A test of quantitative models on the efficiency of American stock markets

This project examined how one should invest in American stock markets by challenging the semi-strong form of the efficient market hypothesis. Its semi-strong form states that the price of any given security accurately reflects any information that is publicly available. Thus, an investor in an efficient market can not exploit this information to earn above average earnings consistently. In this project some of the best known investment strategies of the past 60 years were compared to the strategy of index fund investment. These strategies have been developed into quantitative models that mirror the strategy as it was published. The use of quantitative strategies allowed the researchers to use real market data on American stock markets from 1971 through 2006. Strategies found Pareto optimal maximized returns and minimized risk over the long and short term.