有效市场假说:行为金融理论和现代金融理论  

EMH: Behavioral Finance Versus Modern Financial Theory

作　　者：陈锐刚[1] 杨如彦[1] 

机构地区：[1]中国科学院研究生院管理学院,北京100049

出　　处：《管理评论》2004年第11期46-52,共7页Management Review

基　　金：中国科学院研究生院院长基金项目(YZJJ200308)

摘　　要：本文在现代金融理论框架和行为金融理论框架下,分别讨论了市场有效性及其检验的有效性问题。对两种模式下的实证检验进行了简要回顾与分析,并指出各自的缺陷与问题。由于价格是市场均衡的产物,价格的形成体现了市场对信息的反应程度和速度。因而,有效市场实证研究有助于促进市场的公平和公正。由于“联合假设”问题以及实证模型中所存在的缺陷,我们需要更强的理论来评估市场的公平和公正。This paper addresses the effectiveness of EMH, the test of market efficiency and the original theory sketch by which the test was applied. The authors briefly review various theories and empirical work, the formation of equilibrium capital price that uncovers information involved and, the problems that traditional empirical work of EMH makes stock market more efficient but the joint-hypothesis results in the fact that its conclusion is incredible. We conclude that the valuable question before us is not the technique itself but the theory development which could improve the effectiveness of criterion to test and the justice of stock market.

关 键 词：行为金融理论 有效市场假说 价格 信息 市场组合 投资 

分 类 号：F830[经济管理—金融学]