Unavailable Information and Efficient Capital Market: A New Perspective
The traditional EMH maintains that the stock price sufficiently and timely reflects all the available information related to the stock in an efficient market. In fact, investors always take measures to obtain nuavailable future information except for available historical information, public information and private information in an uncertain world. This paper introduces unavailable information into the expectation model and generalizes efficient market theory, and finally deduces the theory of mean revertion.
Available information Unavailable information Market efficiency Uncertainty-information rational expectation Mean revertion
LIU Jielong HUANG Zexian
Economics School of Changsha University of Science & Technology
国际会议
The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)
杭州
英文
525-531
2008-05-18（万方平台首次上网日期，不代表论文的发表时间）