Eugene F. Fama reviews the literature on market efficiency, emphasizing that while the original 1970 review was groundbreaking, the current research is more complex and extensive. He argues that market efficiency should be judged by how well it explains the time-series and cross-sectional behavior of security returns. The joint-hypothesis problem makes precise inferences about market efficiency difficult, but the empirical work on market efficiency and asset-pricing models has significantly improved our understanding of return behavior. The paper discusses three main areas of research: return predictability, event studies, and tests for private information. Return predictability is considered first, with new evidence suggesting that returns are predictable from past returns, dividend yields, and term-structure variables. This challenges the old market efficiency-constant expected returns model. The joint-hypothesis problem complicates the interpretation of these results, as they could reflect rational variation in expected returns, irrational deviations from fundamental values, or a combination of both. Event studies, which examine how security prices react to public information announcements, are discussed next. These studies have become a growth industry and provide direct evidence on market efficiency. The evidence from event studies is largely supportive of market efficiency. Tests for private information examine whether specific investors have information not fully reflected in market prices. New evidence suggests that corporate insiders have private information not fully reflected in prices, but the evidence on professional investment managers is murky due to the joint-hypothesis problem. The paper also discusses the predictability of long-horizon returns, which is more controversial. Recent evidence suggests that long-horizon returns are predictable from past returns, dividend yields, and term-structure variables. However, the joint-hypothesis problem makes it difficult to determine whether this predictability reflects rational variation in expected returns or irrational deviations from fundamental values. The paper concludes that the research on market efficiency has been highly successful in empirical economics, with good prospects for future success. It emphasizes the importance of understanding the relationship between time-varying expected returns and business conditions, as well as the need for further research on the links between financial market variables and economic fundamentals.Eugene F. Fama reviews the literature on market efficiency, emphasizing that while the original 1970 review was groundbreaking, the current research is more complex and extensive. He argues that market efficiency should be judged by how well it explains the time-series and cross-sectional behavior of security returns. The joint-hypothesis problem makes precise inferences about market efficiency difficult, but the empirical work on market efficiency and asset-pricing models has significantly improved our understanding of return behavior. The paper discusses three main areas of research: return predictability, event studies, and tests for private information. Return predictability is considered first, with new evidence suggesting that returns are predictable from past returns, dividend yields, and term-structure variables. This challenges the old market efficiency-constant expected returns model. The joint-hypothesis problem complicates the interpretation of these results, as they could reflect rational variation in expected returns, irrational deviations from fundamental values, or a combination of both. Event studies, which examine how security prices react to public information announcements, are discussed next. These studies have become a growth industry and provide direct evidence on market efficiency. The evidence from event studies is largely supportive of market efficiency. Tests for private information examine whether specific investors have information not fully reflected in market prices. New evidence suggests that corporate insiders have private information not fully reflected in prices, but the evidence on professional investment managers is murky due to the joint-hypothesis problem. The paper also discusses the predictability of long-horizon returns, which is more controversial. Recent evidence suggests that long-horizon returns are predictable from past returns, dividend yields, and term-structure variables. However, the joint-hypothesis problem makes it difficult to determine whether this predictability reflects rational variation in expected returns or irrational deviations from fundamental values. The paper concludes that the research on market efficiency has been highly successful in empirical economics, with good prospects for future success. It emphasizes the importance of understanding the relationship between time-varying expected returns and business conditions, as well as the need for further research on the links between financial market variables and economic fundamentals.