The creator discusses methods for testing market efficiency, focusing on strategies that aim to beat the market. He explains that any test of market inefficiency is a joint test of the strategy and the expected return model used. Various benchmarks and risk/return models like the Sharpe ratio, Information Ratio, Jensen's alpha, and Treynor index are presented as ways to assess if a strategy generates excess returns relative to its risk. The discussion then moves to three forms of market efficiency tests: event studies, portfolio studies, and investor group studies.
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Session 8 (of 42): Market Efficient II - Testing market-beating schemes and strategies
Mar 24, 2026
The creator discusses methods for testing market efficiency, focusing on strategies that aim to beat the market. He explains that any test of market inefficiency is a joint test of the strategy and the expected return model used. Various benchmarks and risk/return models like the Sharpe ratio, Information Ratio, Jensen's alpha, and Treynor index are presented as ways to assess if a strategy generates excess returns relative to its risk. The discussion then moves to three forms of market efficiency tests: event studies, portfolio studies, and investor group studies.
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