Journal of Finance
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Опубликовано на портале: 03-12-2007
Lawrence H. Summers
Journal of Finance.
1986.
Vol. 41.
No. 3.
P. 591-601.
This paper examines the power of statistical tests commonly used to evaluate the
efficiency of speculative markets. It shows that these tests have very low power.
Market
valuations can differ substantially and persistently from the rational expectation
of the
present value of cash flows without leaving statistically discernible traces in the
pattern
of ex-post returns. This observation implies that speculation is unlikely to ensure
rational valuations, since similar problems of identification plague both financial
economists
and would be speculators


Noise [статья]
Опубликовано на портале: 03-12-2007
Fisher Black
Journal of Finance.
1986.
Vol. 21.
P. 529-543.
The effects of noise on the world, and on our views of the world, are profound. Noise
in
the sense of a large number of small events is often a causal factor much more powerful
than a small number of large events can be. Noise makes trading in financial markets
possible, and thus allows us to observe prices for financial assets. Noise causes
markets
to be somewhat inefficient, but often prevents us from taking advantage of inefficiencies.
Noise in the form of uncertainty about future tastes and technology by sector causes
business cycles, and makes them highly resistant to improvement through government
intervention. Noise in the form of expectations that need not follow rational rules
causes inflation to be what it is, at least in the absence of a gold standard or
fixed
exchange rates. Noise in the form of uncertainty about what relative prices would
be
with other exchange rates makes us think incorrectly that changes in exchange rates
or
inflation rates cause changes in trade or investment flows or economic activity.
Most
generally, noise makes it very difficult to test either practical or academic theories
about
the way that financial or economic markets work. We are forced to act largely in
the
dark

