the efficient market hypothesis

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1、FinalPDFtoprinterCHAPTERELEVENTheEfficientMarketHypothesis111ONEOFTHE earlyapplicationsofcomput-Atfirstblush,Kendall’sresultsweredis-ersineconomicsinthe1950swastoanalyzeturbingtosomefinancialeconomists.Theyeconomictimeseries.Businesscycletheo-seemedtoimplytha

2、tthestockmarketisristsfeltthattracingtheevolutionofseveraldominatedbyerraticmarketpsychology,oreconomicvariablesovertimewouldclarify“animalspirits”—thatitfollowsnologicalandpredicttheprogressoftheeconomyrules.Inshort,theresultsappearedtocon-throughboomandbust

3、periods.Anaturalfirmtheirrationalityofthemarket.Onfur-candidateforanalysiswasthebehavioroftherreflection,however,economistscametostockmarketpricesovertime.AssumingthatreversetheirinterpretationofKendall’sstudy.stockpricesreflecttheprospectsofthefirm,Itsoonbec

4、ameapparentthatrandomrecurrentpatternsofpeaksandtroughsinpricemovementsindicatedawell-functioningeconomicperformanceoughttoshowupinorefficientmarket,notanirrationalone.thoseprices.InthischapterweexplorethereasoningMauriceKendallexaminedthisproposi-behindwhatm

5、ayseemasurprisingconclu-tionin1953.1Hefoundtohisgreatsurprisesion.Weshowhowcompetitionamongana-thathecouldidentifynopredictablepat-lystsleadsnaturallytomarketefficiency,andternsinstockprices.Pricesseemedtoevolveweexaminetheimplicationsoftheefficientrandomly.T

6、heywereaslikelytogoupasmarkethypothesisforinvestmentpolicy.Wetheyweretogodownonanyparticularday,alsoconsiderempiricalevidencethatsup-regardlessofpastperformance.Thedatapro-portsandcontradictsthenotionofmarketvidednowaytopredictpricemovements.efficiency.PARTII

7、I1MauriceKendall,“TheAnalysisofEconomicTimeSeries,PartI:Prices,”JournaloftheRoyalStatisticalSociety96(1953).bod61671_ch11_349-387.indd3497/17/133:41PMFinalPDFtoprinter350PARTIIIEquilibriuminCapitalMarkets11.1RandomWalksandtheEfficientMarketHypothesisSupposeKe

8、ndallhaddiscoveredthatstockpricechangesarepredictable.Whatagoldminethiswouldhavebeen.IftheycoulduseKendall’sequationstopredictstockprices,inves-torswouldreapunendingprofitssimplybypurchas