Institut für Halle Institute for Economic Research Wirtschaftsforschung Halle Das Institut für Wirtschaftsforschung Halle ist Mitglied der Leibniz-Gemeinschaft Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market...

The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity...