A successful filter rule would violate the weak form of market efficiency but not the semi-strong form.

Question

Quizplus · Accepted Answer

The weak form of market efficiency posits that all past trading information is already reflected in stock prices, meaning that no investment pattern or rule based on historical data (like a filter rule) can consistently yield excess returns. The semi-strong form, which includes all publicly available information, would also not be violated by a successful filter rule, as it suggests that such information is already priced in.

A Successful Filter Rule Would Violate the Weak Form of Market