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1、RECENTRESEARCHRECONCILINGEFFICIENTMARKETSWITHBEHAVIORALFINANCE:THEADAPTIVEMARKETSHYPOTHESIS1ByAndrewW.Lo,Ph.D.AbstractIntroductionhebattlebetweenproponentsoftheEfficientuchofmoderninvestmenttheoryandprac-TMarketsHypothesisandchampionsofbe-MticeispredicatedontheEfficientMarke
2、tsHy-havioralfinancehasneverbeenmorepitched,pothesis(EMH),thenotionthatmarketsandlittleconsensusexistsastowhichsideiswinningorfully,accurately,andinstantaneouslyincorporatealltheimplicationsforinvestmentmanagementandcon-availableinformationintomarketprices.Underlyingsulting
3、.Inthisarticle,Ireviewthecaseforandagainstthisfar-reachingideaistheassumptionthatmarketpar-theEfficientMarketsHypothesisanddescribeanewticipantsarerationaleconomicbeings,alwaysactinginframework—theAdaptiveMarketsHypothesis—inself-interestandmakingoptimaldecisionsbytradingof
4、fwhichthetraditionalmodelsofmodernfinancialeco-costsandbenefitsweightedbystatisticallycorrectprob-nomicscancoexistalongsidebehavioralmodelsinanabilitiesandmarginalutilities.Theseassumptionsofintellectuallyconsistentmanner.Basedonevolutionaryrationality,andtheircorrespondingi
5、mplicationsforprinciples,theAdaptiveMarketsHypothesisimpliesmarketefficiency,havecomeunderattackrecentlyfromthatthedegreeofmarketefficiencyisrelatedtoenvi-anumberofquarters.Inparticular,psychologistsandronmentalfactorscharacterizingmarketecologysuchasexperimentaleconomistsha
6、vedocumentedanumberofthenumberofcompetitorsinthemarket,themagni-departuresfrommarketrationalityintheformoftudeofprofitopportunitiesavailable,andtheadapt-specificbehavioralbiasesthatareapparentlyubiquitousabilityofthemarketparticipants.Manyoftheexamplestohumandecisionmakingun
7、deruncertainty,severalofthatbehavioralistsciteasviolationsofrationalitythatwhichleadtoundesirableoutcomesforanindividual’sareinconsistentwithmarketefficiency—lossaversion,economicwelfare.overconfidence,overreaction,mentalaccounting,andWhilethereislittledoubtthathumansdoexhib
8、itotherbehavioralbiases—are,infact,consistentwithancertainbehavioralidiosyncrasiesfromtim
