有效市场、信息、金融异象、行为金融

The Efficient Market Hypothesis and Its Critics

Burton G. Malkiel

The Journal of Economic Perspectives, V ol. 17, No. 1 (Winter, 2003), pp. 59-82

对市场有效性的重新定义：没有投资者可以获取超过风险调整后的平均收益。“I will use as a definition of efficient financial markets that such markets do not allow investors to earn above-average returns without accepting above-average risks.”

Anomalies: No random walk evidence

1.Short-term momentum

Lo and MacKinlay (1999) finds that short-run serial correlations are not zero and that the existence of "too many" successive moves in the same direction enable them to reject the hypothesis that stock prices behave as true random walks. There does seem to be some momentum in short-run stock prices.

Lo, Mamaysky and Wang (2000) find, through the use of sophisticated nonparametric statistical techniques that can recognize patterns, some of the stock price signals used by "technical analysts," such as "head and shoulders" formations and "double bottoms," may actually have some modest predictive power.

Explanations:

(1)bandwagon effect. Shiller (2000)

(2)underreaction to new information

2.Long-Run Return Reversals

Fama and French (1988) found that 25 to 40 percent of the variation in long holding

period returns can be predicted in terms of a negative correlation with past returns.

Poterba and Summers (1988) found substantial mean reversion in stock market returns at longer horizons.

Explanations:

(1)Overreaction DeBondt and Thaler (1985)

3.Seasonal and Day-of-the-Week Patterns

January has been a very unusual month for stock market returns. Returns from an equally weighted stock index have tended to be unusually high during the first two weeks of the year. (Keim, 1983; Haugen and Lakonishok ,1988).

French (1980) documents significantly higher Monday returns.

There also appear to be some patterns in returns around the turn of the month

(Lakonishok and Smidt, 1988), as well as around holidays (Ariel, 1990).

Anomalies: Predictable Patterns Based on Valuation Parameters

1.Dividend yields

Formal statistical tests of the ability of dividend yields (that is, the ratio of dividend to stock price) to forecast future returns have been conducted by Fama and French (1988) and Campbell and Shiller (1988).

2.Price-Earnings Multiples

Investors have tended to earn larger long-horizon returns when purchasing the market basket of stocks at relatively low price-earnings multiples. Campbell and Shiller (1998)

report that initial P/E ratios explained as much as 40 percent of the variance of future

returns. They conclude that equity returns have been predictable in the past to a

considerable extent.

3.Other Predictable Time Series Patterns

Fama and Schwert (1977) found that short-term interest rates were related to future stock returns. Campbell (1987) found that term structure of interest rates spreads contained

useful information for forecasting stock returns. Keim and Stambaugh (1986) found that risk spreads between high-yield corporate bonds and short rates had some predictive

power.

Anomalies: Cross-Sectional Predictable Patterns

Based on Firm Characteristics and Valuation Parameters

1.The Size Effect

smaller-company stocks generate larger returns than large-company stocks. (Keim, 1983), Fama and French (1993)

2.Value Stocks

"value" stocks have higher returns than so-called "growth" stocks. The most common two methods of identifying value stocks have been price-earnings ratios and

price-to-book-value ratios

“有效市场假说”的研究起源于路易斯·巴舍利耶（Bachelier，1900），他从随机过程角度研究了布朗运动以及股价变化的随机性，并且他认识到市场在信息方面的有效性：过去、现在的事件，甚至将来事件的贴现值反映在市场价格中。他提出的“基本原则”是股价遵循公平游戏（fair game）模型。

Kendall(1953)研究英国和美国的商品价格和证券价格，发现股价变化的随机性。后来，Roberts（1959）展示了一个从随机数列产生的序列和美国的股价是无法区分的。Osborne （1959）发现股价行为和流体中的粒子的行为差不多，并用物理方法来研究股价行为。Coonter(1964)的论文集收录了大量对随机游走模型的检验；而在这个论文集中，一些论文在解释随机游走时却通常是在暗示股价服从公平游戏过程。因为早期学者是从实证结论出发而缺乏一个理论框架。

1965年，尤金·法玛（Eugene Fama）在Financial Analysts Journal上发表文章Random Walks in Stock Market Prices. 在这篇文章中第一次提到了Efficient Market 的概念：有效市场是这样一个市场，在这个市场中，存在着大量理性的、追求利益最大化的投资者，他们积极参与竞争，每一个人都试图预测单个股票未来的市场价格，每一个人都能轻易获得当前的重要信息。……在一个有效市场上，众多精明投资者之间的竞争导致这样一种状况：在任何时候，单个股票的市场价格都反映了已经发生的和尚未发生、但市场预期会发生的事情。

Samuelson（1965），Mandelbrot（1966）通过数学证明澄清了公平游戏模型和随机游走的关系，从理论上论述了有效市场和公平游戏模型之间的对应关系，还为有效市场假说作了理论上的铺垫。

在总结了前人的理论和实证的基础上，并借助Samuelson（1965）的分析方法和Roberts （1967）提出的三种有效形式，Fama（1970）提出了有效市场假说（efficient markets hypothesis），其对有效市场的定义是：如果在一个证券市场中，价格完全反映了所有可获得的信息，那么就称这样的市场为有效市场。

At the core of the EMH lies the following three basic premises:

1. Investor rationality: It is assumed that investors are rational, in the sense that they correctly update their beliefs when new information is available.

2. Arbitrage: Individual investment decisions satisfy the arbitrage condition, and trade decisions are made guided by the calculus of the subjective expected utility theory.

3. Collective rationality: Differences in beliefs across investors cancel out in the market.

Burton Malkiel, a well-known proponent of the general validity of EMH, has warned that certain emerging markets such as China are not empirically efficient; that the Shanghai and Shenzhen markets, unlike markets in United States, exhibit considerable serial correlation (price trends), non-random walk, and evidence of manipulation.

It is recognized that markets are likely to be efficient most of the time but not all the time. Inefficiencies could arise particularly during periods of important institutional and technological changes. It is not possible to know when and where market inefficiencies arise in advance - but it is believed that they will arise from time to time.

有效资本市场假说的三种形式

一、弱式有效市场假说（Weak-Form Market Efficiency）

该假说认为在弱式有效的情况下，市场价格已充分反映出所有过去历史的证券价格信息，包括股票的成交价、成交量，卖空金额、融资金额等；

推论一:如果弱式有效市场假说成立，则股票价格的技术分析失去作用，基本分析还可能帮助投资者获得超额利润.。

二、半强式有效市场假说(Semi-Strong-Form Market Efficiency)

该假说认为价格已充分所映出所有已公开的有关公司营运前景的信息。这些信息有成交价、成交量、盈利资料、盈利预测值、公司管理状况及其它公开披露的财务信息等。假如投资者能迅速获得这些信息，股价应迅速作出反应。

推论二:如果半强式有效假说成立，则在市场中利用技术分析和基本分析都失去

作用,内幕消息可能获得超额利润。

三、强式有效市场假说(Strong-Form Market Efficiency)

强式有效市场假说认为价格已充分地反映了所有关于公司营运的信息，这些信息包括已公开的或内部未公开的信息。

推论三:在强式有效市场中,没有任何方法能帮助投资者获得超额利润,即使基金和有内幕消息者也一样。

EMH面临的理论挑战

（1）投资者并非是完全理性的。Fischer、Black（1986）指出投资者购买所依据的是“噪音”而非信息。

（2）投资者不止偶然偏离理性，而是经常以同样的方式偏离理性。行为金融学中“投资者心态”理论讨论的就是大量投资者犯同样的判断失误的错误，且他们的错误又具有相关性的现象。

（3）套利者不会完全消除非理性投资者的错误对价格的影响。大多数情况下证券没有合适的的替代品。即使能找到完全的替代品，套利者也面临其他风险，如noise trade risk——未来出让时价格不可预知

It was widely accepted up until the 1990s, when behavioral finance economists, who had been a fringe element, became mainstream.[6]Empirical analyses have consistently found problems with the efficient-market hypothesis

EMH面临的实证挑战

一、对弱式有效市场的挑战

（1）De Bondt、Thaler（1985）发现长期反转效应。

（2）Jegadeesh、Titman（1993）发现“动量效应”。

（3）一月效应

二、对半强式有效市场的挑战

（1）小规模效应、p/e效应、pb效应。

（2）过度反应异象：IPOs——Ritter（1991）、Loughran & Ritter（1995）；SEOs——Loughran & Ritter（1995）、Spiess & Affeck-Graves（1995）；New exchanges listings ——Dharan & Ikenberry （1995）。

（3）反应不足异象：Post-announcement Drift——Ball & Brown（1968）、Bernard & Thomas （1990）；Spinoffs——Cusatis et al. （1993）；Stock splits——Desai & Jain（1997）、Ikenberry et al.（1996）；Share tenders——Vermaelen（1990）；Open-market share repurchases——Ikenberry et al. （1995）；Dividend omissions and initiations——Michaely et al.（1995）。

（4）无法区分反应过度还是反应不足的异象：Mergers（acquring firm）——Asquith（1983）、Agrawal et al. （1992）；Proxy contests——Ikenberry & Lakonishok （1993）。

三、对“消息真空则股价无反应”的挑战：

（1）Cutler et al（1991）战后美国股市当日波动最大的50家公司的股价变化，许多并没有明显消息变化。

（2）Roll（1994、1998）两项研究表明：引起股价波动的是意外冲击而非消息

A new perspective on financial anomalies in emerging markets: the case of China

Zhichao Zhang; Wai Sun; Hua Wang

Applied Financial Economics, 2008, vol. 18, issue 21, pages 1681-1695

Financial anomalies in emerging markets can be caused by very different reasons than that in mature markets. In a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, we examine financial anomalies in emerging markets from a new perspective, which focuses on heavy political interventions. In the context of China, we show that political consideration of the government can be a critical force that drives the monthly anomaly in the stock market. The Chinese case indicates that usual explanations for the monthly anomaly or the January effect may become invalid in an environment where political intervention is a dominant force in the stock market. Typical of a policy-driven market that prevails in emerging economies, indicate no evidence for the January effect in China, neither its mirror version, the Chinese New Year effect. Rather, returns abnormality is found to occur in March when China is in the political high season. This March effect is likely a result of political manoeuvre by the government to make the appearance of a stable and thriving stock market, which serves the political purpose of preventing social resentment in a politically sensitive time. This shows political window dressing can be an important cause of financial anomalies, which has been largely neglected in the literature.

Reflections on the Efficient Market Hypothesis: 30 Years Later

Burton G. Malkiel

The Financial Review 40 (2005) 1—9

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