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1、TheFinancialReview40(2005)1--9ReflectionsontheEfficientMarketHypothesis:30YearsLaterBurtonG.Malkiel∗PrincetonUniversityAbstractInrecentyearsfinancialeconomistshaveincreasinglyquestionedtheefficientmarkethypothesis.Butsurelyifmarketpriceswereoftenirrationalandifmarketreturnswereaspredictablea
2、ssomecriticshaveclaimed,thenprofessionallymanagedinvestmentfundsshouldeasilybeabletooutdistanceapassiveindexfund.Thispapershowsthatprofessionalinvestmentmanagers,bothinTheU.S.andabroad,donotoutperformtheirindexbenchmarksandprovidesevidencethatbyandlargemarketpricesdoseemtoreflectallavailable
3、information.Keywords:efficientmarkets,stockmarketpredictabilityJELClassifications:G12,G14Ihavebeenanadvocateoftheefficientmarkethypothesisforover30years.Inmyview,equitypricesadjusttonewinformationwithoutdelayand,asaresult,noarbitrageopportunitiesexistthatwouldallowinvestorstoachieveabove-ave
4、ragereturnswithoutacceptingabove-averagerisk.Thishypothesisisassociatedwiththeviewthatstockmarketpricemovementsapproximatethoseofarandomwalk.Ifnewinformationdevelopsrandomly,thensowillmarketprices,makingthestockmarketunpredictableapartfromitslong-runuptrend.Isuggested,largelyinjest,that∗Corr
5、espondingauthor:ChemicalBankChairman’sProfessorofEconomics,PrincetonUniversity,PrincetonUniversity—BendheimCenterforFinance;26ProspectAvenue;Princeton,NJ08540;UnitedStates;Phone:(609)258-6445;Fax:(609)258-0771;E-mail:bmalkiel@princeton.eduThispaperwaspresentedtothe2004MeetingsoftheEasternFin
6、anceAssociationinMystic,Connecticut.12B.G.Malkiel/TheFinancialReview40(2005)1–9ablindfoldedchimpanzeethrowingdartsatthestockpagescouldselectaportfoliothatwoulddoaswellastheexperts.1Infact,thecorrectanalogyistothrowatoweloverthestockpagesandsimplybuyanindexfund,whichbuysandholdsallthestocksma
7、kingupabroadstock-marketindex.Inrecentyears,manyfinancialeconomistshavecometoquestiontheefficientmarkethypothesis.Atleastex-post,thereseemtobeseveralinstanceswheremarketpricesfailedtoreflectavailableinformation.2Moreover,periodsoflarge-scaleirra-ti
