The efficient market hypothesis (EMH), formally associated with the work of Fama (1970) and its restatement (Fama (1991)), states that the market prices of assets reflect all available information about the assets. The appropriate definition of ‘all available’ varies and gives rise to alternative testable implications of the EMH. The information set over which markets are said to be efficient can be one of three possibilities, each giving rise to a broader (i.e. stronger) version of the EMH which encompasses more information relevant to asset prices/returns...