The Relative Efficient Markets Hypothesis:Information Space and Refutable Models
The concept of information is not specified with an information space in the conventional proposition of Efficient Markets Hypothesis (EMH).As a result,due to the joint-hypothesis problem (Fama,1991),the EMH is not well-defined and empirically refutable.Nonetheless,the EMH or its accompanying model of equilibrium becomes well-defined and empirically refutable once the concept of information is confined to some particular information space.The EMH hence can be deciphered either way: the traditional none-refutable way or the information-specified refutable way.The former is what we call the absolute EMH and the later the relative EMH.By virtue of a Hilbert space we demonstrate how an information space alternative to the neoclassical one is characterized and how its relative efficiency is compared against the neoclassical information space in terms of viable price systems or pricing kernels.
The absolute EMH the relative EMH information space relative efficiency property assets viable price system pricing kernel
Jialiu LU
Professor of Economics and Finance and Director of Institute of Behavioral Finance & Financial Economics at Sun Yat-Sen University
国际会议
2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)
上海
英文
570-600
2013-07-08（万方平台首次上网日期，不代表论文的发表时间）