有效市场假设和行为金融学——关于资本市场效率的理论

本文是对资本市场效率问题研究的一个简要回顾和介绍。资本市场效率决定了资本配置、使用的效率,因此是金融经济学的一个主要组成部分。芝加哥商学院教授法玛1970年正式提出有效市场假说(EMH),认为股票价格包含了所有相关信息因而是有效的。在此后很长一段时间内,EMH成为现代金融学的基石。但是近年来,越来越多的理论和实证的发现表明,市场是非有效的。这些理论和实证发现形成了对资本市场效率的新认识—行为金融学。

Market-effectiveness and Behavioral Finance: A Theory of Capital Market Efficiency

This paper is a brief introduction and survey of the studies on stock market efficiency. Stock market efficiency is one of the most important themes in the financial economics because only in an efficient market can stock prices fully reflect all available information and resource can be allocated efficiently. Soon after the conception of efficient market hypothesis, it turned into an enormous theoretical and empirical success and has been the central proposition of finance. However, in the last twenty years, the theoretical foundations of EMH and the empirical evidence purporting to support it have been challenged. With the new theory and evidence, behavioral finance has emerged as an alternative view of financial market.