Читать книгу Equity Markets, Valuation, and Analysis - H. Kent Baker - Страница 48

Numerous studies show that markets with many profit-maximizing investors appear to be both weak form and semi-strong form efficient. Studies examining strong form efficiency generally indicate that these same marketplaces are not strong form efficient (Givoly and Palmon 1985; Jaffe 1974), even with prohibitive securities regulations. The fact that these markets are weak and semi-strong form efficient does not prohibit an investor from earning an acceptable return. Instead, the hypothesis merely clarifies that in an efficient market, investors cannot consistently earn abnormal returns as new market and/or other public information becomes available (Seyhun 1986).

Testing strong form efficiency presents various challenges. First, studying the efficiency of strong form markets requires using private data. Second, because the information is privately held, no competitive trading can take place on the information. Third, because the information is private and cannot be used competitively, government regulation is required to prevent insider trading on private information from occurring. Therefore, the markets cannot be strong form efficient in an otherwise efficient market such as that in the United States.

On average, in an efficient market, the returns earned should be commensurate with the level of risk taken. Over the long term, this risk–return tradeoff is critical to investors since, in an efficient market, shareholders should have the opportunity to receive a fair return relative to the risk they undertake. Without efficient markets, some investors could be consistent winners, but a larger portion of the investors, especially retail traders, are doomed to incur losses.