This study assesses the link between market efficiency proxies and the capacity of stock
prices to anticipate a firm's future economic performance. The analysis, which covers firms
from 31 countries in the period 1990–2019, reveals a strong association between the
average score of market efficiency proxies and the sensitivity of current stock returns
(“normalized” prices) to future profitability. These results are robust to several sensitivity
tests, including different definitions of the profitability measure (earnings, cash flows, firm …