efficient market hypothesis(Beechy2000)

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1、THEEFFICIENTMARKETHYPOTHESIS:ASURVEYMeredithBeechey,DavidGruenandJamesVickeryResearchDiscussionPaper2000-01January2000EconomicResearchDepartmentReserveBankofAustraliaTheviewsexpressedarethoseoftheauthorsandshouldnotbeattributedtotheReserveBankofAustralia.AbstractTheefficientmarkethy

2、pothesisstatesthatassetpricesinfinancialmarketsshouldreflectallavailableinformation;asaconsequence,pricesshouldalwaysbeconsistentwith‘fundamentals’.Inthispaper,wediscussthemainideasbehindtheefficientmarkethypothesis,andprovideaguideastowhichofitspredictionsseemtobeborneoutbyempirica

3、levidence,andwhichdonot.Inexaminingtheempiricalevidence,weconcentrateonthestockandforeignexchangemarkets.Theefficientmarkethypothesisisalmostcertainlytherightplacetostartwhenthinkingaboutassetpriceformation.Theevidencesuggests,however,thatitcannotexplainsomeimportantandworryingfeatu

4、resofassetmarketbehaviour.Mostimportantlyforthewidergoalofefficientresourceallocation,financialmarketpricesappearattimestobesubjecttosubstantialmisalignments,whichcanpersistforextendedperiodsoftime.JELClassificationNumbers:G10,G14Keywords:efficientmarket,financialmarketiTableofConte

5、nts1.Introduction12.TheEfficientMarketHypothesis23.ThePredictionsoftheEfficientMarketHypothesis33.1DoAssetPricesMoveasRandomWalks?43.2IsNewInformationQuicklyIncorporatedintoAssetPrices?63.3CanCurrentInformationPredictFutureExcessReturns?63.4DoFundManagersSystematicallyOutperformtheM

6、arket?123.5AreAssetPricesSometimesMisaligned?144.DiscussionandConclusion21References24iiTHEEFFICIENTMARKETHYPOTHESIS:ASURVEYMeredithBeechey,DavidGruenandJamesVickery1.IntroductionTheefficientmarkethypothesisisconcernedwiththebehaviourofpricesinassetmarkets.Theterm‘efficientmarket’wa

7、sinitiallyappliedtothestockmarket,buttheconceptwassoongeneralisedtootherassetmarkets.Inthispaper,weprovideaselectivereviewoftheefficientmarkethypothesis.Ouraimistodiscussthemainideasbehindthehypothesis,andtoprovideaguideastowhichofitspredictionsseemtobeborneoutbyempiricalevidence,an

8、dwhichdonot.Inexami