The Efficient Market Hypothesis and Its Critics（有效市场假说和批评者）.pdf

Journal of Economic Perspectives— Volume 17, Number 1—Winter 2003—Pages 59 – 82 The Ef cient Market Hypothesis and Its Critics Burton G. Malkiel generation ago, the ef cient market hypothesis was widely accepted by academic nancial economists; for example, see Eugene Fama’s (1970) A in uential survey article, “Ef cient Capital Markets.” It was generally be- lieved that securities markets were extremely ef cient in re ecting information about individual stocks and about the stock market as a whole. The accepted view was that when information arises, the news spreads very quickly and is incorporated into the prices of securities without delay. Thus, neither technical analysis, which is the study of past stock prices in an attempt to predict future prices, nor even fundamental analysis, which is the analysis of nancial information such as com- pany earnings and asset values to help investors select “undervalued” stocks, would enable an investor to achieve returns greater than those that could be obtained by holding a randomly selected portfolio of individual stocks, at least not with com- parable risk. The ef cient market hypothesis is associated with the idea of a “random walk,” which is a term loosely used in the nance literature to characterize a price series where all subsequent price changes represent random departures from previous prices. The logic of the random walk idea is that if the ow of information is unimpeded and information is immediately re ected in stock prices, then tomor- row’s price change will re ect only tomorrow’s news and will be independent of the price changes today. But news is by de nition unpredictable, and, thus, resulting price changes must be unpredictable and random. As a result, prices fully re ect all known information, and even uninformed investors buying a diversi ed portfolio at