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《the efficient market hypothesis》由會員上傳分享，免費在線閱讀，更多相關內容在工程資料-天天文庫。
1、FinalPDFtoprinterCHAPTERELEVENTheEfficientMarketHypothesis111ONEOFTHE?earlyapplicationsofcomput-Atfirstblush,Kendall’sresultsweredis-ersineconomicsinthe1950swastoanalyzeturbingtosomefinancialeconomists.Theyeconomictimeseries.Businesscycletheo-seemedtoimplytha
2、tthestockmarketisristsfeltthattracingtheevolutionofseveraldominatedbyerraticmarketpsychology,oreconomicvariablesovertimewouldclarify“animalspirits”—thatitfollowsnologicalandpredicttheprogressoftheeconomyrules.Inshort,theresultsappearedtocon-throughboomandbust
3、periods.Anaturalfirmtheirrationalityofthemarket.Onfur-candidateforanalysiswasthebehavioroftherreflection,however,economistscametostockmarketpricesovertime.AssumingthatreversetheirinterpretationofKendall’sstudy.stockpricesreflecttheprospectsofthefirm,Itsoonbec
4、ameapparentthatrandomrecurrentpatternsofpeaksandtroughsinpricemovementsindicatedawell-functioningeconomicperformanceoughttoshowupinorefficientmarket,notanirrationalone.thoseprices.InthischapterweexplorethereasoningMauriceKendallexaminedthisproposi-behindwhatm
5、ayseemasurprisingconclu-tionin1953.1Hefoundtohisgreatsurprisesion.Weshowhowcompetitionamongana-thathecouldidentifynopredictablepat-lystsleadsnaturallytomarketefficiency,andternsinstockprices.Pricesseemedtoevolveweexaminetheimplicationsoftheefficientrandomly.T
6、heywereaslikelytogoupasmarkethypothesisforinvestmentpolicy.Wetheyweretogodownonanyparticularday,alsoconsiderempiricalevidencethatsup-regardlessofpastperformance.Thedatapro-portsandcontradictsthenotionofmarketvidednowaytopredictpricemovements.efficiency.PARTII
7、I1MauriceKendall,“TheAnalysisofEconomicTimeSeries,PartI:Prices,”JournaloftheRoyalStatisticalSociety96(1953).bod61671_ch11_349-387.indd3497/17/133:41PMFinalPDFtoprinter350PARTIIIEquilibriuminCapitalMarkets11.1RandomWalksandtheEfficientMarketHypothesisSupposeKe
8、ndallhaddiscoveredthatstockpricechangesarepredictable.Whatagoldminethiswouldhavebeen.IftheycoulduseKendall’sequationstopredictstockprices,inves-torswouldreapunendingprofitssimplybypurchas
