金融研究论文都是废话（Financial research papers are bullshit）.doc

金融研究论文都是废话（Financial research papers are bullshit） Financial research papers are bullshit This is a disturbing news: the vast majority of financial strategies that claim to be able to beat the market are virtually impossible to do. What is even more surprising is that many financial research papers that claim to have discovered the rules of the functioning of financial markets have found no real patterns. You cant believe what Im saying, but this is the conclusion of 3 American scholars, Campbell Harvey (Campbell, Harvey), Liu Yan, and Heqing Zhu. They issued the financial research paper is tantamount to throw a grenade, the most surprising is that Harvey is not what to non orthodox thought activists. He has been in the financial authority of the Journal The Journal of Finance (Financial Journal) as editor in chief. What is it? Many financial studies have tried to find out what the return on investment portfolio is. The first attempt to solve the problem led to the conclusion that the return on investment was consistent with the random walk hypothesis (random-walk, hypothesis). This hypothesis is a century ago by the mathematician Louis? (Louis Bachelier) Shirley Pakistan is proposed, the basic idea is: correct prediction of any price movements would be counterproductive, because if the price will obviously rise tomorrow, then the price will rise today; therefore, not possible to predict the price the trend of success. In 1960s, several researchers launched a second attempt at the issue, and they proposed a capital asset pricing model (CAPM): a higher risk portfolio would likely lead to higher returns. The argument seems to be true. Then, in 1992, Eugene Fama (? Eugene Fama, last year won the Nobel prize) and Kenneth (Kenneth French)? French found that there are 3 factors that affect the stock portfolio returns (i.e. the Fama French three factor model - - Translators note): market factors (systemic risk), scale factor (market capitalization listed companies (listed