In a perfectly efficient market, the information coefficient would be expected to be

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In a perfectly efficient market, all available information should already be reflected in the prices of securities. Therefore, no new information would provide any additional insight that could lead to abnormal returns. As a result, the information coefficient, which measures the correlation between a security's return and the information that is available on it, would be expected to be zero.

In a Perfectly Efficient Market, the Information Coefficient Would Be