EMH,Noise Traders and Money-making Strategy
This paper compares and analyzes traditional Efficient Market Hypothesis (EMH) and Behavior Finance Theory from the view of financial market realities.Two types of investors are involved in this market,rational traders and noise traders.Different from the view of EMH,we provide the evidences that with the absence of substitute security and the complicated emotion of the investors,noise traders long exist in the market will lead to limitation to arbitrage.So will do the excess returns.And unlike what is supposed under EMH.,the auto-covariance of the returns at different times,which stand for momentum effect,will reliably be different from zero.Then,there is money-making strategy in the financial market,and we can propose a framework in theory to find it.
EMH Limit to arbitrage Money-making strategy Noise traders
Zhang Zongcheng Qu Shengning
School of economics Huazhong University of Science and Technology Wuhan,China
国际会议
重庆
英文
836-840
2010-09-17（万方平台首次上网日期，不代表论文的发表时间）