Efficient markets hypothesis--论文代写范文精选

幽默的经济逻辑失败的例子是相当准确的，有效市场假说(EMH)是最激烈的命题之一,在所有的社会科学方面。它非常简单,深远的影响了学术理论和业务实践。下面的paper代写范文进行详述。

Abstract
The efficient markets hypothesis (EMH) maintains that market prices fully reflect all available information. Developed independently by Paul A. Samuelson and Eugene F. Fama in the 1960s, this idea has been applied extensively to theoretical models and empirical studies of financial securities prices, generating considerable controversy as well as fundamental insights into the price-discovery process. The most enduring critique comes from psychologists and behavioural economists who argue that the EMH is based on counterfactual assumptions regarding human behaviour, that is, rationality. Recent advances in evolutionary psychology and the cognitive neurosciences may be able to reconcile the EMH with behavioural anomalies.

There is an old joke, widely told among economists, about an economist strolling down the street with a companion. They come upon a $100 bill lying on the ground, and as the companion reaches down to pick it up, the economist says, ‘Don’t bother – if it were a genuine $100 bill, someone would have already picked it up’. This humorous example of economic logic gone awry is a fairly accurate rendition of the efficient markets hypothesis (EMH), one of the most hotly contested propositions in all the social sciences. It is disarmingly simple to state, has far-reaching consequences for academic theories and business practice, and yet is surprisingly resilient to empirical proof or refutation. 

Even after several decades of research and literally thousands of published studies, economists have not yet reached a consensus about whether markets – particularly financial markets – are, in fact, efficient. The origins of the EMH can be traced back to the work of two individuals in the 1960s: Eugene F. Fama and Paul A. Samuelson. Remarkably, they independently developed the same basic notion of market efficiency from two rather different research agendas. These differences would propel the them along two distinct trajectories leading to several other breakthroughs and milestones, all originating from their point of intersection, the EMH.

Like so many ideas of modern economics, the EMH was first given form by Paul Samuelson (1965), whose contribution is neatly summarized by the title of his article: ‘Proof that Properly Anticipated Prices Fluctuate Randomly’. In an informationally efficient market, price changes must be unforecastable if they are properly anticipated, that is, if they fully incorporate the information and expectations of all market participants. Having developed a series of linear-programming solutions to spatial pricing models with no uncertainty, Samuelson came upon the idea of efficient markets through his interest in temporal pricing models of storable commodities that are harvested and subject to decay. Samuelson’s abiding interest in the mechanics and kinematics of prices, with and without uncertainty, led him and his students to several fruitful research agendas including solutions for the dynamic assetallocation and consumption-savings problem, the fallacy of time diversification and logoptimal investment policies, warrant and option-pricing analysis and, ultimately, the Black and Scholes (1973) and Merton (1973) option-pricing models.

In contrast to Samuelson’s path to the EMH, Fama’s (1963; 1965a; 1965b, 1970) seminal papers were based on his interest in measuring the statistical properties of stock prices, and in resolving the debate between technical analysis (the use of geometric patterns in price and volume charts to forecast future price movements of a security) and fundamental analysis (the use of accounting and economic data to determine a security’s fair value). Among the first to employ modern digital computers to conduct empirical research in finance, and the first to use the term ‘efficient markets’ (Fama, 1965b), Fama operationalized the EMH hypothesis – summarized compactly in the epigram ‘prices fully reflect all available information’ – by placing structure on various information sets available to market participants. 

Fama’s fascination with empirical analysis led him and his students down a very different path from Samuelson’s, yielding significant methodological and empirical contributions such as the event study, numerous econometric tests of single- and multi-factor linear asset-pricing models, and a host of empirical regularities and anomalies in stock, bond, currency and commodity markets. The EMH’s concept of informational efficiency has a Zen-like, counter-intuitive flavour to it: the more efficient the market, the more random the sequence of price changes generated by such a market, and the most efficient market of all is one in which price changes are completely random and unpredictable. This is not an accident of nature, but is in fact the direct result of many active market participants attempting to profit from their information. 

Driven by profit opportunities, an army of investors pounce on even the smallest informational advantages at their disposal, and in doing so they incorporate their information into market prices and quickly eliminate the profit opportunities that first motivated their trades. If this occurs instantaneously, which it must in an idealized world of ‘frictionless’ markets and costless trading, then prices must always fully reflect all available information. Therefore, no profits can be garnered from information-based trading because such profits must have already been captured (recall the $100 bill on the ground). In mathematical terms, prices follow martingales. Such compelling motivation for randomness is unique among the social sciences and is reminiscent of the role that uncertainty plays in quantum mechanics. 

Just as Heisenberg’s uncertainty principle places a limit on what we can know about an electron’s position and momentum if quantum mechanics holds, this version of the EMH places a limit on what we can know about future price changes if the forces of economic self-interest hold. A decade after Samuelson’s (1965) and Fama’s (1965a; 1965b; 1970) landmark papers, many others extended their framework to allow for risk-averse investors, yielding a ‘neoclassical’ version of the EMH where price changes, properly weighted by aggregate marginal utilities, must be unforecastable (see, for example, LeRoy, 1973; M. Rubinstein, 1976; and Lucas, 1978). In markets where, according to Lucas (1978), all investors have ‘rational expectations’, prices do fully reflect all available information and marginal-utilityweighted prices follow martingales. The EMH has been extended in many other directions, including the incorporation of non-traded assets such as human capital, state-dependent preferences, heterogeneous investors, asymmetric information, and transactions costs. But the general thrust is the same: individual investors form expectations rationally, markets aggregate information efficiently, and equilibrium prices incorporate all available information instantaneously.(paper代写)

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