有效市场假设与资产定价模型的关系之探讨

Discussion on the Relationship between Efficient Markets Hypothesis and Asset Pricing Model

有效市场假设与资产定价模型的关系由于联合检验问题的存在一直备受关注,也产生了一些混淆。本文从对有效市场假设和资产定价模型进行实证检验时存在的联合检验问题、资产定价模型的假设条件是否包含有效市场假设以及有效市场假设是否意味着风险证券的收益率服从正态分布三个方面研究了有效市场假设与资产定价模型之间的关系。本文的研究表明:联合检验问题的存在产生了一个逻辑悖论--检验有效市场需要一个正确的资产定价模型,而检验资产定价模型又必须在有效的资本市场中进行;资产定价模型的假设条件确实隐含了有效市场假设;在资产定价模型中被广泛采用的正态性假设并不是有效市场假设的必然结果。

The relationship between Efficient Markets Hypothesis (EMH) and Asset Pricing Model (APM) has been much concerned, due to Joint Hypothesis problem. However, it also contributes to confusion in this research field. This paper studies the relation between EMH and APM from following three aspects: Joint Hypothesis Problem existing in the empirical tests of EMH and APM, whether the assumption conditions of APM include EMH or not, whether EMH indicates the yield of risky securities follow the laws of normal distribution. The research shows: there is a logical paradox in Joint Hypothesis Problem, that is test of EMH needs a correct APM, while test of APM must be done in an efficient market; the assumption conditions of APM does include EMH; the normally distributed assumption applied in APM broadly is not the necessary result of EMH hypothesis.