challenges to market efficiency

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1、±±±±±±±±±±±±±±±±±±±CHALLENGESTOMARKET±±±±±±CHAPTER±±±±4±±±±EFFICIENCY±4.1INTRODUCTIONSincetheheydayofthemarketefficiencyhypothesisabout30yearsago,research-ershavegradually,bothontheoreticalandempiricalgrounds,increasinglychippedawayatitsedifice.While,asdiscussedinChapter2,e

2、arlytestsofmarketefficiencywerelargelypositive,morerecentempiricalevidencehasuncoveredaseriesofanomalies.Anomaliesareempiricalresultsthatappear,untiladequatelyexplained,toruncountertomarketefficiency.Appearistheoperativewordsincevirtuallyalltestsofmarketefficiencyrequirethe

3、useofanassetpricingmodeltoadjustforrisk.Theresultisthatefficiencytestsarebytheirverynaturejointhypothesistests,whichmeansthatmarketefficiencyandaparticularrisk-adjustmenttechnique(CAPMuntilmorerecenttests)togetherconstitutethemaintainedhypothesis.Re-jectionimplieseitherinef

4、ficiencyoraninappropriaterisk-adjustmentmethod(orperhapsboth).Becauseonecannotsaywhich,itisvirtuallyimpossibletocategori-callyrejectefficiency.Thefirsthalfofthischapterreviewssomeofthesekeyanomalies.Empiricalevidencenotwithstanding,ithasbeensuggestedthatfortheoreticalreason

5、stheforcesofrationalvaluationmaybeweakerthanmanyatfirst1believed.Whenthoseinvestorswhoareonthelookoutforopportunitiesdetectmispricing,itisnaturalthatthroughtheirtradingtheywilltrytotakeadvantageofthem.Marketefficiencysuggeststhatthecollectiveactionofsuchtraderscausessuchopp

6、ortunitiestobearbitragedaway.Technically,arbitrageinvolvesthesimul-taneouspurchaseandsale(orshort-sale)ofsecurities(whichareperfectsubstitutes)2soastolockinarisk-freeprofit.Inthesecondhalfofthischapter,wearguethatbecausetherearesignificantlimitstoarbitrage,notallmispricingn

7、eeddisappearquickly.Theselimitsstemfromnoise-traderrisk(thepossibilitythatmispricingworsensintheshortrun);fundamentalrisk(whichexistswhenthesubstitutesecu-rityisanimperfectsubstitute);andimplementationcosts(tradingcostsandthepotentialnonavailabilityofthesecuritythatmustbesh

8、ort-sold).60CHALLENGESTOMARKETEFFICIENCY614.2SOMEKEYANOMALIESThissectionreviewsafe