论有效市场假设偏差及行为金融学解释

有效市场假说（Efficient Market Hypothesis,简称EMH）是经典经济学的基础,是由美国芝加哥大学教授法玛在1970年提出的。它的提出为现代资本市场理论的发展提供了强大的理论基石。但是自从有效市场假说被正式提出后,30多年来围绕EMH的争论从来就没有停止过。经济学家们在不断发现支持有效市场假说证据的同时,也碰到了一些相悖的现象,这些异象向这一假设提出了有力挑战。本文通过详细阐述有效市场假说的内容,并在此基础上分析理论上和现实经济中出现的与有效市场假说相悖的现象,探讨行为金融学的思想是否从根本上解释了这一现象。     

浅析行为财务理论假设

传统财务理论建立在资本资产定价模型(CAPM)和有效市场假说(EMH)两大理论基石之上,这些经典理论继承了古典经济学的分析方法和技术,但忽略了对理财行为人实际决策行为的分析。二十世纪八十年代行为财务理论研究悄然兴起,CAPM和EMH的权威地位受到威胁。本文在阅读大量文献的基础上,对行为财务学的理论假设做了比较深入的分析。     

浅析行为财务理论假设

传统财务理论建立在资本资产定价模型(CAPM)和有效市场假说(EMH)两大理论基石之上,这些经典理论继承了古典经济学的分析方法和技术,但忽略了对理财行为人实际决策行为的分析。二十世纪八十年代行为财务理论研究悄然兴起,CAPM和EMH的权威地位受到威胁。本文在阅读大量文献的基础上,对行为财务学的理论假设做了比较深入的分析。     

有效市场检验、行为金融学与资本市场异象

有效市场假说理论及其检验同行为金融文献对有效市场这一命题给出了不同的答案,并提供了认知市场与股价行为不同的思维逻辑.面对两种理论(观点)由过去的分歧到当前的潜在融合,本文试图从历史的视角梳理传统金融难以解释的资本市场异常现象,审视人们对有效市场的证明和检验,并站在融合两者理论观点的基础上提出未来针对有效市场的研究方向.     

关于有效市场假说的阐述

有效市场假说(Efficient Market Hypothesis,EMH)是一种建立在完全理性基础上的一种完全竞争市场模型,是传统主流金融学理论的奠基石。Fama(1970)对有效市场进行了全面阐述,并给出了一个研究EMH的完整理论框架,正式形成了有效市场理论。其核心是:有效市场中证券价格总是能够及时、准确、充分反映所有相关信息。Fama(1970)同时提出资本市场在不同信息环境下具有三种有效形式:弱式有效、半强式有效和强式有效。自此,以股票价格随机游走为理论精髓的有效市场假说达到了全盛时期。     

行为金融学理论初述

本文从行为金融学的内涵、产生和发展、理论模型等角度,对行为金融学体系进行了梳理。     

行为金融学理论初述

本文从行为金融学的内涵、产生和发展、理论模型等角度,对行为金融学体系进行了梳理。     

关于有效市场假说的阐述

有效市场假说(Efficient Market Hypothesis,EMH)是一种建立在完全理性基础上的一种完全竞争市场模型,是传统主流金融学理论的奠基石。Fama(1970)对有效市场进行了全面阐述,并给出了一个研究EMH的完整理论框架,正式形成了有效市场理论。其核心是:有效市场中证券价格总是能够及时、准确、充分反映所有相关信息。Fama(1970)同时提出资本市场在不同信息环境下具有三种有效形式:弱式有效、半强式有效和强式有效。自此,以股票价格随机游走为理论精髓的有效市场假说达到了全盛时期。     

有效市场假说与分形市场假说之争

作为现代金融理论基石的有效市场假说越来越多少被实践证明不符合现实，而建立在非线性动力系统之上的分形市场假说，利用流动性和投资起点很好地解释了有效市场假说无法解释的各种市场现象。通过定性分析和定量分析表明，有效市场假说只是分形市场假说的一种特殊情况，有效市场只是在某个特定时段才可能出现。但由于分形市场假说在数学建模上的困难，有效市场假说仍具有现实的参考和指导意义。     

有效市场假说综述、质疑及发展方向

<正>一、引言从1900年Bachelor对商品价格的实证分析,得出商品价格具有随机波动性。随后Kendall(1953)、Osborne(1959)先后对股票市场价格做了研究,直到Fama(1965)指出"有强有力的证据支持股票市场价格运动的随机性特征。"到了1970年,Fama给出了有效市场的完整框架,正式形成了有效市场理论,认为有效市场的核心是能够及时、准确的对市场信息做     

An Analysis of ASX Price Queries

This study examines 'no news' responses to stock price queries issued by the Australian Stock Exchange (ASX). We find strong evidence that the pre-query changes in price are driven by informed traders rather than by speculators. First, there is only a partial reversion in prices following a 'no news' response by a company in receipt of a price query. Second, the adverse selection component of market spreads rise during the immediate pre-query period and then decline following the company response. Last, the mean level of institutional shareholder ownership increases in the period immediately prior to an ASX query of a price increase.     

Testing the local volatility assumption: a statistical approach

In practice, the choice of using a local volatility model or a stochastic volatility model is made according to their respective ability to fit implied volatility surfaces. In this paper, we adopt a different point of view. Indeed, using a purely statistical methodology, we design new procedures aiming at testing the assumption of a local volatility model for the price dynamics, against the alternative of a stochastic volatility model. These test procedures are based only on historical data and do not require any calibration procedures via option prices. We also provide a convincing simulation study and an empirical analysis on future contracts on interest rates.     

Developing a Trading Rule from the FTSE-100 Stock Index Futures Contract: Evidence in Support of the EMH

An extensive literature documents the predictability of both short and long horizon returns, over a wide range of sample periods, frequencies and markets. This predictability may represent weak form inefficiency, or it may be caused by a failure to account for a time-variation in risk. We develop statistically reliable ex ante models of the returns on the FTSE-100 stock index futures contract and test a simple trading rule based on the out-of-sample predictions from these models. We interpret the failure of our ex ante model to produce abnormal returns for a risk neutral investor as evidence in favour of the EMH. Our trading rule results clearly suggest that we should be careful in interpreting such ex ante models as evidence of financial market inefficiency.     

Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data

Financial data are typically not identically, independently and normally distributed (iid-normal). Yet, standard tests of asset-pricing models are based on this assumption, and we have little information on how sensitive the tests are to violations of iid-normality. Recent evidence suggests that test outcomes may be sensitive to these violations. In this paper, we use Australian data to compare the standard test results with those that do not require iid-normality: the GMM-J test and bootstrap-based tests. We find that different tests produce differences in prob values at least as large as those in US studies but that test outcomes are generally robust.     

Statistical analysis of financial time series under the assumption of local stationarity

The aim of this paper is to apply a nonparametric methodology developed by Donoho et al(2003 IEEE Trans. Signal Processing 53614–27) for estimating an autocovariance sequence to the statistical analysis of the return of securities and discuss the advantages offered by this approach over other existing methods such as fixed-window-length segmentation procedures. Theoretical properties of adaptivity of this estimation method have been proved for a specific class of time series, namely the class of locally stationary processes, with an autocovariance structure which varies slowly over time in most cases but might exhibit abrupt changes of regime. This method is based on an algorithm that selects empirically from the data the tiling of the time–frequency plane which exposes best in the least-squares sense the underlying second-order time-varying structure of the time series, and so may properly describe the time-inhomogeneous variations of speculative prices. The applications we consider here mainly concern the analysis of structural changes occurring in stock market returns, VaR estimation and the comparison between the variation structure of stock index returns in developed markets and in developing markets.     

A recombining lattice option pricing model that relaxes the assumption of lognormality

Option pricing models based on an underlying lognormal distribution typically exhibit volatility smiles or smirks where the implied volatility varies by strike price. To adequately model the underlying distribution, a less restrictive model is needed. A relaxed binomial model is developed here that can account for the skewness of the underlying distribution and a relaxed trinomial model is developed that can account for the skewness and kurtosis of the underlying distribution. The new model incorporates the usual binomial and trinomial tree models as restricted special cases. Unlike previous flexible tree models, the size and probability of jumps are held constant at each node so only minor modifications in existing code for lattice models are needed to implement the new approach. Also, the new approach allows calculating implied skewness and implied kurtosis. Numerical results show that the relaxed binomial and trinomial tree models developed in this study are at least as accurate as tree models based on lognormality when the true underlying distribution is lognormal and substantially more accurate when the underlying distribution is not lognormal.     

Is the sticky price assumption reasonable for exchange rate models?

The testable implications of sticky price exchange rate models are discussed. The empirical examples suggest that the predetermined or sticky price assumption employed in recent asset models of exchange rate determination appears to be appropriate for Germany, Japan, the United States, and the United Kingdom.     

农村信用社贷款五级分类的软件开发设想

贷 款 五级 分 类 法 是 一套 对 银 行 信 贷质 量 进 行 评 价并 对 贷 款 机构 抵 御 信 贷 风 险 的 能 力 进 行 评 估 的 系 统 方法 。经过多年 的试点,中 国人民银行 于 2001年 12月 19日 下发了《中 国人民银行 关于全面 推行贷款 质量 五级分类 管理的通知 》,要求从     

延迟退休对城镇职工养老保险收支影响的净效应估计——基于2025年起渐进式延迟退休年龄的假设

鉴于延迟退休对养老金收支有多重影响,本文假定2025年起以"每4年延迟1年"节奏,逐步将男(女)养老金正常领取年龄(NRA)从60(55)岁提高至2049年的65(60)岁,利用中国未来分年龄人口数的完整估计数据,估算了延迟退休对城镇职工基本养老保险收支影响的净效应。估算结果显示,延迟退休为2050年争取到了近25%的制度赡养比下降空间,养老压力高峰期大大推迟。无论延迟与否,未来养老金收支缺口规模都很大,但延迟退休对抑制缺口扩大仍有显著效果,特别是在短中期,每年的收支缺口会因此减少40%~70%,但2050年后的远期效果明显减弱。建议尽早实施渐次延迟退休,减少工作退休的强制性,尊重国情允许男女差龄退休;加强养老金财政补贴长期规划,减轻远期财政兜底压力;加强养老金缴费与受益的精算联系,大力提高基金投资效率等。