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
