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1、EfficientMarketHypothesisAndBehavioralFinance–IsACompromiseInSight?ByNikolaiChuvakhinLegendhasitthatonceuponthetimetwoeconomistswerewalkingtogetherwhenoneofthemsawsomethingthatstruckhismind.“Look,”heexclaimed,“here’sagreatresearchtopic!”“Nonsense,”theotheronesaid,“Ifitwere,someonewouldhavew
2、rittenapaperonitbynow.”Foralongtimethisattitudegovernedtheviewofeconomiststowardthestockmarket.Economistssimplybelievedthatthestockmarketwasnotapropersubjectforseriousstudy.Indeed,mostofthepre-1960researchonsecuritypriceswasactuallydonebystatisticians.ThePre-History:StatisticalResearchMosto
3、ftheearlystatisticalresearchofthestockmarketconcentratedaroundthesamequestion:aresecuritypricesseriallycorrelated?Dosecuritypricesfollowarandomwalk?Arepricesonanygivendayaslikelytogoupastheyaretogodown?Anumberofstudiesconcludedthatsuccessivedailychangesinstockpricesaremostlyindependent.Ther
4、eseemedtobenopatternthatcouldpredictthefuturedirectionofpricemovements.Oneofthemostinteresting(andcurrentlyrelevant)researchprojectsofthatearliererawasundertakenbyHarryRoberts,astatisticianattheUniversityofChicago.Inhispaper,“StockMarket‘Patterns’andFinancialAnalysis,”publishedintheJournalo
5、fFinancein1959,Robertswrote:Ifthestockmarketbehavedlikeamechanicallyimperfectroulettewheel,peoplewouldnoticetheimperfectionsand,byactingonthem,removethem.Thisrationaleisappealing,iffornootherreasonthanitsvalueascounterweighttothepopularviewofstockmarket“irrationality,”butitisobviouslyincomp
6、lete.Robertsgeneratedaseriesofrandomnumbersandplottedtheresultstoseewhetheranypatternsthatwereknowntotechnicalanalystswouldbevisible.Figure1providesanexampleofRoberts’plot:EfficientMarketHypothesisAndBehavioralFinance—IsACompromiseInSight?Figure1.SimulatedstockpricepathThosesomewhatacquaint
7、edwithtechnicalpatternsmightrecognizeafamiliarheadandshouldersformation,whichtechnicalanalystsbelievetobeoneofthesurestindicatorsofatrendreversal.Atthispoint,thereadermaytakepause.Arethesestockpricepatternsofvalueornot?Iftheyworkevenondecidedlyrandomseri
