投资金融学方面的书籍foassetpricing5.pdfVIP

Chapter V. Information and Asset Pricing By assumption in the CAPM information is costlessly available and is interpreted identically by all individuals. As a result, expectations are homogeneous and, given additional perfect markets assumptions, the perceived investment opportunity sets are the same for all investors. In this chapter we drop the assumption that information is costless, while maintaining the assumption that a given piece of information is interpreted identically by all and is considered rationally by all. 1. MARKET EFFICIENCY he rational use and interpretation comes into play when we try to define the notion of an “efficient Tmarket.” In general terms, a market is efficient when no obvious profit opportunities are available, when there are “no $100 dollar bills lying in the street.” This concept of an efficient market is wholly unrelated, by the way, to the concept of an “efficient market portfolio” as was used in the CAPM context. The latter refers to the, given its mean, presumed minimum variance property of the market portfolio; the former refers to the presumed absence of easy profit opportunities. The APT is based on market efficiency in the sense that, by assumption, no arbitrage profits are available. A precise and operational definition of market efficiency requires reference to the information set that an investor uses to infer profit opportunities. Fama (1970, p. 383) defines market efficiency in general as follows: “A market in which prices ‘fully reflect’ available information is called ‘efficient’.” In such a market, clearly, no easy profit opportunities remain. To operationalize the definition Fama distinguishes three forms by what type of information is assumed to be available. Weak form efficiency takes th