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页数:26页
时间:2018-02-10
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1、FinalPDFtoprinterCHAPTERTWELVEBehavioralFinance12andTechnicalAnalysisTHEEFFICIENTMARKET hypothesismakesreflectriskpremiumsnotcapturedbysimpletwoimportantpredictions.First,itimpliesmodelsofriskandreturn,oreveniftheythatsecuritypricesproperlyreflectwhatevermerelyreflectdata
2、mining.Moreover,theinformationisavailabletoinvestors.Asecondapparentinabilityofthetypicalmoneyman-implicationfollowsimmediately:Activetrad-agertoturntheseanomaliesintosuperiorerswillfinditdifficulttooutperformpassivereturnsonactualportfolioscastsadditionalstrategiessuchas
3、holdingmarketindexes.Todoubtontheir“reality.”dosowouldrequiredifferentialinsight;thisArelativelynewschoolofthought,behav-inahighlycompetitivemarketisveryhardtoioralfinance,arguesthatthesprawlinglitera-comeby.tureontradingstrategieshasmissedalargerUnfortunately,itishardtod
4、evisemeasuresandmoreimportantpointbyoverlookingofthe“true”orintrinsicvalueofasecurity,thefirstimplicationofefficientmarkets—theandcorrespondinglydifficulttotestdirectlycorrectnessofsecurityprices.Thismaybethewhetherpricesmatchthosevalues.Therefore,moreimportantimplication
5、,becausemarketmosttestsofmarketefficiencyhavefocusedeconomiesrelyonpricestoallocateresourcesontheperformanceofactivetradingstrate-efficiently.Thebehavioralschoolarguesthatgies.Thesetestshavebeenoftwokinds.Theevenifsecuritypricesarewrong,toexploitanomaliesliteraturehasexam
6、inedstrate-themstillcanbedifficultand,therefore,thegiesthatapparentlywouldhaveprovidedfailuretouncoverobviouslysuccessfultrad-superiorrisk-adjustedreturns(e.g.,investingingrulesortraderscannotbetakenasproofinstockswithmomentumorinvalueratherofmarketefficiency.thanglamours
7、tocks).OthertestshavelookedWhereasconventionaltheoriespresumeattheresultsofactualinvestmentsbyaskingthatinvestorsarerational,behavioralfinancewhetherprofessionalmanagershavebeenstartswiththeassumptionthattheyarenot.abletobeatthemarket.Wewillexaminesomeoftheinformation-Nei
8、therclassoftestshasprovenfullycon-processingandbehavioralirrationalitiesclusive.Theanomalieslite
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