摘要
30多年来,关于证券市场信息效率的研究一直是现代金融学的焦点问题。有效市场假说从理性行为出发,得出证券价格总是可以充分反映可获得的信息,其价格等于其“内在价值”,即预期未来现金流的折现价值。然而,从上个世纪80年代开始,这一假说受到了空前的质疑,首先是来自噪音学派关于交易成本的批评,随后是来自行为金融学关于有限套利和噪音交易等更为严厉的质疑。90年代末关于证券市场价格泡沫的研究又成为现代金融学备受关注的热门话题。
The information efficiency research of the stock market always has been the focal point of the modern finance in thirty years. From the rational behavior, the hypothesis of effective market thinks the securities price always may fully reflect obtainable information. The securities price is equal to its intrinsic value, namely anticipative commutation value of cash class. However, from the beginning of 1980s, this hypothesis has received the unprecedented question. At first, there have criticism about the transaction cost coming from the noise school. Afterwards, there is severer question about the limit arbitrage and the noise transaction coming from behavior finance. At the end of 1990s, the research of stock market price bubble became the hot topic of modern finance again.
出处
《学习与探索》
CSSCI
北大核心
2006年第1期232-236,共5页
Study & Exploration
基金
2005年国家自然科学基金项目(70573040)
2005年国家社会科学基金项目(05BJY100)
2002年教育部重大项目(02JAZJD790007)
关键词
有效市场
理性预期
交易成本
噪音交易
有限套利
价格泡沫
effective market
rationality anticipation
transaction cost
noise transaction
limit arbitrage
price bubble
