出版社：Mediterranean Center of Social and Educational Research (MCSER)
摘要：The paper provides a theoretical study on efficient market hypothesis (EMH) changes under the influence of behavioral finance. Authors of the paper briefly provide the basic assumptions of efficient markets theory and remind how the top of its dominance was reached in the 1970s. At the same time the goal of the paper is to develop the unbiased and complex overview of the today’s market efficiency and show its transformations under the impact of market participants’ irrationality. In the paper authors introduce the interaction between market efficiency, market arbitrage, irrationality of market participants and highlight the importance to revise the reliability of efficient market theory assumptions in order to achieve high performance of investment portfolios. Through the behavioral finance point of view authors not only aggregate the critics EMH faces during the recent years, but also evaluate today’s opportunities for arbitrage and provide arbitrage critics. According to documented by experimental economists departures from market efficiency and taking into consideration their nature, i.e. investors’ irrationality as a result of influence of a set of specific behavioral (both cognitive and emotional) biases, an alternative to EMH approach called “The Adaptive Markets Hypothesis” espoused by Andrew Lo in 2004 is introduced. The supporters of the EMH have responded to these challenges by arguing that, while behavioral biases and corresponding inefficiencies do exist from time to time, there is a limit to their prevalence and impact because of opposing forces dedicated to exploiting such opportunities. Finally, basic financial market anomalies are presented in the paper as an example of market inefficiency. On the one hand, their persistence in the face of public scrutiny seems to be a clear violation of the EMH. On the other - most of these anomalies can be exploited by relatively simple trading strategies, and, while the resulting profits may not be riskless, they seem usually profitable relative to their risks. Summing up of the investigation presented in the paper, authors conclude that many classical EMH supporters set the cases theoretically without empirical or real measurement analysis. Therefore the discussion on EMH is still on-going, but real market analysis should be done instead of evolving EMH theoretical evaluation models, which remain theoretical and do not always work properly in the conditions of real financial market.
