效率资本市场理论与实证研究评述

ClassicalWorksinFinancialEconomicsEugeneF.FamaEugeneF.Fama*EugeneF.Fama+19705252383-4171——“”“”“”1*ArthurLafferRobertAliberRayBallMichealJensenJamesLorieMertonMillerCharlesNelsonRichardRollWilliamTalorRossWatts+Chicago1HarryRobertsEugeneF.Fama22.1“”“”“”“”Sharp[40]-Lintner[2425]“”“”“”E~pj,t+1|=[1+E~rj,t+1|]pjt1Epjtjtpj,t+1t+1rj,t+1pj,t+1-pjt/pjtt“”pj,t+1rj,t+1t?tE~rj,t+1|1pjt“”“”“”?t——?tEugeneF.Famaxj,t+1=pj,t+1–Epj,t+1|2E~xjt+1|=03{xit}{}“”zj,t+1=rj,t+1-E~rj,t+1|4E~zjt+1|=05{zjt}{}“”xj,t+1jt+1tzj,t+1t+1tα=[α1α2…αn]tαjnt+1Vt+1=“”5E~Vt+1|?t==021“”“”iii?tn∑αj[rj,t+1-E~rj,t+1|]j=1n∑αjE~zjt+1|]j=1EugeneF.Fama2.21tE~pj,t+1|pjtE~rj,t+1|06j{pjt}{}66?t?t32.3frj,t+1|=frj,t+17“”Mandelbrot[27]Samuelson[38]3Sharp[40]Linter[2425]Markowitz[30]Tobin[43]EugeneF.Famaft471j1E~rj,t+1|=E~rj,t+18rj,t+1t7entire52.4:12347rj,trj,t-1…5EugeneF.FamapotentialEugeneF.Fama33.13.1.161950196019651966Samuelson[38]Mandelbrot[27]EugeneF.Fama6Mandelbrot-Samuelson1900Bachelier[3]Bachelier1953Kendall[21]19“”[2113]KendallWorking[47]KendallRoberts[36]KendallWorkingRobertsKendallOsborn[33]BachelierMandelbrotSamuelsonAlexander[8200]AlexanderCootner[8232]6MandelbrotSamuelsontt{}1Mandelbrot-Samuelson1tEugeneF.Fama7”[1035]683.1.2XtE~Xt+r~Xt=∫xtE~Xt+r|xtfxtdxtxt78SprenkleKruizengaBoness[8]EugeneF.FamafxtE~Xt+r|xt=0910zjt=rjt–E~rjt|rjt-1rjt-2…99rjtrjt+1E[~rj,t+1-E~rj,t+1][~rjt–E~rjt]=∫[rjt–E~rjt][E~rj,t+1|rjt-E~rj,t+1]frjtdrjtrjt9,{xt}E~Xt+1|=0∫∫∫∫⊂10xτE~Xt~Xt+1…~Xt+τ=0τE~Xt~Xt+τ=0x+1-1xt+2=signxtxt+1xtxt+1xt+2E~Xt+2|xt+1=E~Xt+2|xt=E~Xt+1|xt=E~Xt+2=E~Xt+1=E~Xt=0E~Xt+2|xt+1xt0xt+1xtEugeneF.Fama9E~rj,t+1|rjt=E~rj,t+1t+1t111211E~rj,t+1|rjtrjt-1…=rjt12Roll[37]EugeneF.Fama1[10]DowJones19571962926loge131Kendall[21]Moore[31]Alexander[1]GrangerMorgenstern[17]GodfreyGrangerMorgenstern[16]111302221241N=1200-170011/N-11/20.060.36%13logeloge[10]1logeEugeneF.Fama14substantial10Alexander[12]y%y%y%y%y%6189719591%50%[1]25Alexander[8]351Alexander6FamaBlume[13]Dow-Jones1AlexanderFama-BlumeAlexander1%Fama-Blume0.5%1.0%1.5%14Kendall[21]Mandelbrot[28]Fama[10]Gauss1/N-11/2King[23]Blume[7]Predominaceofsigns[10]EugeneF.Fama150.1%Fama-Blume3.1.3Osborne[34]Fama[10]178151[10]12-1530261850.026130171814EugeneF.FamaNiederhofferOsborne[32]+|+++|++-|--+|+--|-+16NiederhofferOsborneN.Y.S.E.1231/81718+|++-|--+|+--|-+NiederhofferOsborne+|+++|+-2643261/2431/219+|+++|+-+|+++|+-NiederhofferOsborne1617181/819[34]EugeneF.Famauncovered20Niederhoffer-Osborne2124%83%81%[32]908223.1.420NiederhofferOsborne[32]9147/81/81/81/821[32]90822NYSEEugeneF.FamaBachelier[3]GaussianOsborne[33]Moore[31]Kendall[21]Mandelbrot[28]Bachelierstableclass1Fama[10]Blume[7]Roll[37]23MandelbrotWise[46]FamaRoll[15]BlattbergSargent[6]Roll[37]Mandelbrot[28]Fama[10]3.1.5“”RollMandelbrot[27]Samuelson[38]23Press[35]PossionMandelbrotTaylor[29]Press[10]EugeneF.Famazjt=rjt–E~rjt|Φ10Roll“”Roll24Lutz[26]Hicks[8]Kessel[22]“”rjtt+j-1trj+1,t-1t+j-1t-1Ljtrjt“”jtE~rot+j-1|Φ+LjtRoll10E~rjt|Φ=rj+1t-1+E~Ljt|Φ-Lj+1t-1jtE~rjt|Φ=rj+1t-124RollEugeneF.FamaRoll1“”210zjtRoll253.1.6Sharp[40]Linter[24]Markowitz[30]Tobin[43]-jtt+1E~rjt+1|=rft+1+[]rft+1tt+1rmt+1“”m~rmt+1|mcov~rjt+1~rmt+1|jmSharpLintner1125Alexander[1]Alexandery%y%Mandelbrot[28][2]AlexanderE~rmt+1|-rft+1~rmt+1|cov~rjt+1~rmt+1|~rmt+1|EugeneF.Fama[11]1211rft+1cov~rjt+1~rmt+1|/~rmt+1|Sharp-Lintner-cov~rjt+1~rmt+1|/~rmt+126E~rmt+1|-rft+1~rmt+1|Sharp-LintnerSharp-LintnerKendall[21]Cross-CorrelationKing[23]1926-1960NYSE50%10%FamaFisherJensenRoll[14]FFJRBlume[7]Markowitz[30]~rjt+1=α+~rmt+1jt+112~rjt+1~rmt+1Mαjjjt+1FFJRBlume121^aj^jBlume2~rmt+1^jt+13^jt+1~rmt+126∑cov~rjt+1~rmt+1|/~rmt+1|=~rmt+1|jEugeneF.FamaE~rjt+1αj+jE~rmt+1131311Sharp-Lintner11E~rjt+1|αj+jE~rmt+1|14rft+1αj=rft+1[1-j]15j=16141316jt16j1213j12j16rft+1tmM131112^aj~=rf1-^ßj17FFJRBlumeBlume27^aj172712αj^aj=-rjt-^ßj-rMtcov~rjt+1~rmt+1|~rmt+1EugeneF.Fama12(11)Sharp-LintnerSharp-Lintner15αjFFJRBlumeSharp-LintnerSharp-Lintner3.2FamaFisherJensenRollFFJR[14]FFJR3.2.1FFJRBlumeRjt=1+rjtRMt=1+rMt12j^a`j=-Rjt-^ßj-RMt=1+-rjt-^ßj1+-rMt=1-^ßj+^ajBlume^a`j+^ßj~=1^aj0EugeneF.FamaFFJR12“”01-1mmUm=mmUm-29mumUUmNYSE1FFJR-29=m=30UmU+mU—m19271959NYSE940122928Um71.5%940672NYSEFFJR28FFJRmk=-29EugeneF.FamamaterializeFFJR1b1capparenteffects1aFFJREugeneF.Fama3.2.2[14]BallBrown[4]1946-19662611229BallBrown[4175]Waud[45]5000.5%Scholes[39]ScholesSECScholes2928EugeneF.FamaScholes19261966696FFJR303.3NiederhofferOsborne[32]NYSEScholes[39]Sharp[4142]Treynor[44]Jensen[1920]3.3.13028EugeneF.FamaJensenSharp[40]-Lintner[2425]14-16jtt+1E~rjt+1|rft+1[1-j]+E~rmt+1j1833.6181831E~rjt+1|rmt+1rft+1[1-j]+rmt+1j1919Sharp-Lintner2jrmt+1ßj=cov~rjt+1~rmt+1|/s2~rmt+1|ßj31~rjt+1=rft+1[1-ßj]+rmt+1ßj+~jt+1rmt+1E~jt+1|rmt+1=0EugeneF.Famamcrct+1αrft+1+1-αrmt+1ßc?t===1-αα1=α=02rft+1mα0mcov~rct+1~rmt+1|~rmt+1|cov1-α~rmt+1~rmt+1|~rmt+1|EugeneF.Fama3.3.2Jensen—1151955—196410500Jensenfm11589—markettime-14.6%11572—-8.9%Jensen11558-2.5%19531958-2.5%0.09%Jensen2115EugeneF.Fama32Jensen“”[20170]32Scholes[39]JensenEugeneF.Fama4Fama[10]Alexander[1,2]FamaBlume[13]Cootner[9]Moore[31]Fama[10][10]Euge