Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

► A degree of market efficiency is introduced in terms of an entropic distance to randomness. ► Quantification of market efficiency, rather than an all-or-none concept, has not been explored in the literature. ► It is shown that US stock market efficiency varies over time from 1929 to 2012, with a slight decline in the past 10 years.