02-08 Efficient Markets Hypothesis, EMH

有效市场假说
Efficient Markets Hypothesis, EMH
Jules Regnault, 1863
Fama, 19xx, Nobel Prize

EMH assumptions:

  • Large number of investors
  • New information arrives randomly
  • Prices adjust quickly
  • Prices reflect all available information

What does information come from?

  • Price/volume
  • Fundamental
  • Exogenous 外部信息,如油价之于航空公司
  • Company insiders (有些不合法)(最难获取)

3 forms of the EMH

  • weak: Future prices cannot be predicted by analyzing historical prices
    (基本面分析 ok)
  • Semi-strong: Prices adjust rapidly to new public information
    (基本面分析不 ok,内幕信息 ok)
  • Strong: Prices reflect all information public and private

Q: The EMH prohibits?

Information Weak Semi-Strong Strong
Technical no no no
Fundamental yes no no
Insider yes yes no

Is the EMH correct?

有人通过内幕信息获利>>strong not correct
市盈率对未来回报有预测性>>semi-strong not correct

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