behavioral finance and technical analysis

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1、Chapter12:BehavioralFinanceandTechnicalAnalysisChapterOpenerPART  IIIp.381THEEFFICIENTMARKEThypothesismakestwoimportantpredictions.First,itimpliesthatsecuritypricesproperlyreflectwhateverinformationisavailabletoinvestors.Asecondimplicationfollowsimmediately:activetradersw

2、illfinditdifficulttooutperformpassivestrategiessuchasholdingmarketindexes.Todosowouldrequiredifferentialinsight;thisinahighlycompetitivemarketisveryhardtocomeby.   Unfortunately,itishardtodevisemeasuresofthe“true”orintrinsicvalueofasecurity,andcorrespondinglydifficulttote

3、stdirectlywhetherpricesmatchthosevalues.Therefore,mosttestsofmarketefficiencyhavefocusedontheperformanceofactivetradingstrategies.Thesetestshavebeenoftwokinds.Theanomaliesliteraturehasexaminedstrategiesthatapparentlywouldhaveprovidedsuperiorrisk-adjustedreturns(e.g.,inves

4、tinginstockswithmomentumorinvalueratherthanglamourstocks).Othertestshavelookedattheresultsofactualinvestmentsbyaskingwhetherprofessionalmanagershavebeenabletobeatthemarket.   Neitherclassoftestshasprovenfullyconclusive.Theanomaliesliteraturesuggeststhatseveralstrategieswo

5、uldhaveprovidedsuperiorreturns.Buttherearequestionsastowhethersomeoftheseapparentanomaliesreflectriskpremiumsnotcapturedbysimplemodelsofriskandreturn,oreveniftheymerelyreflectdatamining.Moreover,theapparentinabilityofthetypicalmoneymanagertoturntheseanomaliesintosuperiorr

6、eturnsonactualportfolioscastsadditionaldoubtontheir“reality.”   Arelativelynewschoolofthought,behavioralfinance,arguesthatthesprawlingliteratureontradingstrategieshasmissedalargerandmoreimportantpointbyoverlookingthefirstimplicationofefficientmarkets—thecorrectnessofsecur

7、ityprices.Thismaybethemoreimportantimplication,becausemarketeconomiesrelyonpricestoallocateresourcesefficiently.Thebehavioralschoolarguesthatevenifsecuritypricesarewrong,toexploitthemstillcanbedifficultand,therefore,thefailuretouncoverobviouslysuccessfultradingrulesortrad

8、erscannotbetakenasproofofmarketefficiency.   Whereasconventionaltheoriespresumethatinvestorsarer