1576 The Journal of finance tested jointly with some model of equilibrium, an asset-pricing model point, the theme of the 1970 review(Fama(1970b)), says that we can st whether information is properly reflected in prices in the context pricing model that defines the meaning of"properly. As a result, when we find anomalous evidence on the behavior of returns, the way it should be plit between market inefficiency or a bad model of market equilibrium is Does the fact that market efficiency must be tested jointly with an equilib rium-pricing model make empirical research on efficiency uninteresting? Does the joint-hypothesis problem make empirical work on asset-pricing models uninteresting? These are, after all, symmetric questions, with the same answer. My answer is an unequivocal no. The empirical literature efficiency and asset-pricing models passes the acid test of scientific useful ness. It has changed our views about the behavior of returns, across securi ties and through time. Indeed, academics largely agree on the facts that emerge from the tests, even when they disagree about their implications for efficiency. The empirical work on market efficiency and asset pricing models has also changed the views and practices of market professionals As these summary judgements imply, my view, and the theme of this paper, is that the market efficiency literature should it improves our ability to describe the time- series and cross-section behav. ior of security returns. It is a disappointing fact that, because of the joint hypothesis problem, precise inferences about the degree of market efficiency are likely to remain impossible. Nevertheless, judged on how it has improve our understanding of the behavior of security returns, the past research or market efficiency is among the most successful in empirical economics, with good prospects to remain so in the future Il. The main Areas of Research The 1970 review divides work on market efficiency into three categories (1)weak-form tests(How well do past returns predict future returns? ),(2) semi-strong-form tests(How quickly do security prices reflect public informa tion announcements?), and (3) strong-form tests (Do any investors have private information that is not fully reflected in market prices? )At the risk of damning a good thing, i change the categories in this paper. Instead of weak-form tests, which are only concerned with the forecast ower of past returns, the first category now covers the more general area of tests for return predictability, which also includes the burgeoning work on forecasting returns with variables like dividend yields and interest rates Since market efficiency and equilibrium-pricing issues are inseparable, the discussion of predictability also considers the cross-sectional predictability of returns, that is, tests of asset-pricing models and the anomalies (like the size effect)discovered in the tests. Finally, the evidence that there are seasonals in returns (like the January effect), and the claim that security prices are too