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1、THEJOURNALOFFINANCEVOL.XLVI,NO.5DECEMBER1991EfficientCapitalMarkets:I1EUGENEF.FAMA*SEQUELSARERARELYASgoodastheoriginals,soIapproachthisreviewofthemarketefficiencyliteraturewithtrepidation.Thetaskisthornierthanitwas20yearsago,whenworkonefficiencywasrathernew.Theliteraturei
2、snowsolargethatafullreviewisimpossible,andisnotattemptedhere.Instead,IdiscusstheworkthatIfindmostinteresting,andIoffermyviewsonwhatwehavelearnedfromtheresearchonmarketefficiency.I.TheThemeItakethemarketefficiencyhypothesistobethesimplestatementthatsecuritypricesfullyrefle
3、ctallavailableinformation.Apreconditionforthisstrongversionofthehypothesisisthatinformationandtradingcosts,thecostsofgettingpricestoreflectinformation,arealways0(GrossmanandStiglitz(1980)).Aweakerandeconomicallymoresensibleversionoftheefficiencyhypothesissaysthatpricesref
4、lectinformationtothepointwherethemarginalbenefitsofactingoninformation(theprofitstobemade)donotexceedthemarginalcosts(Jensen(1978)).Sincetherearesurelypositiveinformationandtradingcosts,theextremeversionofthemarketefficiencyhypothesisissurelyfalse.Itsadvantage,however,ist
5、hatitisacleanbenchmarkthatallowsmetosidestepthemessyproblemofdecidingwhatarereasonableinformationandtradingcosts.Icanfocusinsteadonthemoreinterestingtaskoflayingouttheevidenceontheadjustmentofpricestovariouskindsofinformation.Eachreaderisthenfreetojudgethescenarioswherema
6、rketefficiencyisagoodapproximation(thatis,deviationsfromtheextremeversionoftheefficiencyhypothesisarewithininformationandtradingcosts)andthosewheresomeothermodelisabettersimplifyingviewoftheworld.Ambiguityaboutinformationandtradingcostsisnot,however,themainobstacletoinfer
7、encesaboutmarketefficiency.Thejoint-hypothesisproblemismoreserious.Thus,marketefficiencyperseisnottestable.Itmustbe*GraduateSchoolofBusiness,UniversityofChicago.ThecommentsofFischerBlack,DavidBooth,MichaelBradley,MichaelBrennan,StephenBuser,JohnCampbell,Nai-fuChen,JohnCoc
8、hrane,GeorgeConstantinides,WayneFerson,KennethFrench,CampbellHarvey,RichardIppolito,MichaelJense
