欢迎来到天天文库
浏览记录
ID:8133493
大小:1.07 MB
页数:32页
时间:2018-03-06
《behavioral finance and technical analysis》由会员上传分享,免费在线阅读,更多相关内容在工程资料-天天文库。
1、Chapter12:BehavioralFinanceandTechnicalAnalysisChapterOpenerPART IIIp.381THEEFFICIENTMARKEThypothesismakestwoimportantpredictions.First,itimpliesthatsecuritypricesproperlyreflectwhateverinformationisavailabletoinvestors.Asecondimplicationfollowsimmediately:activetradersw
2、illfinditdifficulttooutperformpassivestrategiessuchasholdingmarketindexes.Todosowouldrequiredifferentialinsight;thisinahighlycompetitivemarketisveryhardtocomeby. Unfortunately,itishardtodevisemeasuresofthe“true”orintrinsicvalueofasecurity,andcorrespondinglydifficulttote
3、stdirectlywhetherpricesmatchthosevalues.Therefore,mosttestsofmarketefficiencyhavefocusedontheperformanceofactivetradingstrategies.Thesetestshavebeenoftwokinds.Theanomaliesliteraturehasexaminedstrategiesthatapparentlywouldhaveprovidedsuperiorrisk-adjustedreturns(e.g.,inves
4、tinginstockswithmomentumorinvalueratherthanglamourstocks).Othertestshavelookedattheresultsofactualinvestmentsbyaskingwhetherprofessionalmanagershavebeenabletobeatthemarket. Neitherclassoftestshasprovenfullyconclusive.Theanomaliesliteraturesuggeststhatseveralstrategieswo
5、uldhaveprovidedsuperiorreturns.Buttherearequestionsastowhethersomeoftheseapparentanomaliesreflectriskpremiumsnotcapturedbysimplemodelsofriskandreturn,oreveniftheymerelyreflectdatamining.Moreover,theapparentinabilityofthetypicalmoneymanagertoturntheseanomaliesintosuperiorr
6、eturnsonactualportfolioscastsadditionaldoubtontheir“reality.” Arelativelynewschoolofthought,behavioralfinance,arguesthatthesprawlingliteratureontradingstrategieshasmissedalargerandmoreimportantpointbyoverlookingthefirstimplicationofefficientmarkets—thecorrectnessofsecur
7、ityprices.Thismaybethemoreimportantimplication,becausemarketeconomiesrelyonpricestoallocateresourcesefficiently.Thebehavioralschoolarguesthatevenifsecuritypricesarewrong,toexploitthemstillcanbedifficultand,therefore,thefailuretouncoverobviouslysuccessfultradingrulesortrad
8、erscannotbetakenasproofofmarketefficiency. Whereasconventionaltheoriespresumethatinvestorsarer
此文档下载收益归作者所有