Market fundamental efficiency: Do prices really track fundamental value?
Market fundamental efficiency: Do prices really track fundamental value?

Summary/Abstract: This paper provides an evidence supporting the hypothesis that under certain assumptions capital market prices track securities fundamental values. Examining market fundamental efficiency using ex ante and ex post analysis of S&P 500 quotations from 1960- -2013, it was documented that since 1974 prices follow two series of fundamental values obtained with actual data. Research provides an evidence that under certain assumptions investors correctly predict future values of dividends and expected rates of return. Moreover, unlike fundamental value which may be considered theoretically a very useful tool, as long as certain assumptions are made, fundamental value determined on the basis of historical data has, from investors’ point of view, no tangible economic value at all.

• Details
• Contents