资本市场信息效率:评述、前沿与展望

Information Efficiency in the Capital Market: Review, Frontier,and Prospect

作为资本市场研究核心的问题,信息效率一直吸引了学术界的广泛关注。2013年诺贝尔奖两位得主,尤金·法玛(市场有效)和罗伯特·席勒(市场无效)也正是在市场效率这一问题存在截然相反的观点。考虑到市场效率这一金融学根本命题在逻辑上内在地要求存在一类套利者,因此本文从新近发展的机构投资者视角出发,对资本市场效率这一重大问题进行了回顾与评述。这为学术界进一步梳理"信息"与"信息效率"在金融研究中的前沿问题和发展脉络提供了参考与借鉴。最后,我们对目前研究不足之处进行总结,并提供了未来可能的一些创新方向。

As one of the most important topics in the research of the capital market , information efficien-cy has attracted much academic attention for decades .For example , Fama （ market efficiency ） and Shiller （ market non-efficiency ） , two Noble Laureates in 2013 hold opposite views on this issue .Given that informa-tion efficiency inherently requires the existence of arbitrageurs , this paper starts with the analysis from the view of institutional investors and further reviews market efficiency , i.e., the fundamental question in financial study .We hope this paper can help researchers to have a better and clearer understanding of the development , the framework , and the frontiers of the topics on information （ or information efficiency ） in financial research . At last, we summarize some potential directions for future research .