<P> Empirical evidence has been mixed, but has generally not supported strong forms of the efficient - market hypothesis According to Dreman and Berry, in a 1995 paper, low P / E stocks have greater returns . In an earlier paper Dreman also refuted the assertion by Ray Ball that these higher returns could be attributed to higher beta, whose research had been accepted by efficient market theorists as explaining the anomaly in neat accordance with modern portfolio theory . </P> <P> One can identify "losers" as stocks that have had poor returns over some number of past years . "Winners" would be those stocks that had high returns over a similar period . The main result of one such study is that losers have much higher average returns than winners over the following period of the same number of years . A later study showed that beta (β) cannot account for this difference in average returns . This tendency of returns to reverse over long horizons (i.e., losers become winners) is yet another contradiction of EMH . Losers would have to have much higher betas than winners in order to justify the return difference . The study showed that the beta difference required to save the EMH is just not there . It is important to note, however, that these studies were compiled in the mid-1980s and may not be reflective of more modern trends of efficiency, which often rely around extensive internet and computer based information analytics . </P> <P> Speculative economic bubbles are an obvious anomaly, in that the market often appears to be driven by buyers operating on escalating market sentiment / irrational exuberance, who take little notice of underlying value . These bubbles are typically followed by an overreaction of frantic selling, allowing shrewd investors to buy stocks at bargain prices . Rational investors have difficulty profiting by shorting irrational bubbles because, in the words of a famous saying attributed to John Maynard Keynes, "Markets can stay irrational longer than you can stay solvent ." Sudden market crashes as happened on Black Monday in 1987 are mysterious from the perspective of efficient markets, but allowed as a rare statistical event under the weak - form of EMH . Benoit Mandelbrot has argued that market bubbles are not anomalous but rather characteristic of price dynamics described by power laws such as Pareto, Zipf or Tracy - Widom combined with persistence in price change trends . </P> <P> Burton Malkiel has warned that certain emerging markets such as China are not empirically efficient; that the Shanghai and Shenzhen markets, unlike markets in United States, exhibit considerable serial correlation (price trends), non-random walk, and evidence of manipulation . Foye, Mramor, and Pahor (2013) report similar findings for Eastern Europe's emerging stock markets </P>

Who is credited with saying markets can stay irrational longer than you can stay solvent