EMH e Eugene Fama

Fama è un po' il Philip Roth dell' economia: il fatto di non aver preso ancora il Nobel getta discredito sul premio più ancora che su di lui.

Sull' efficienza dei mercati:

As the market efficiency ideas took shape, it 

dawned on me that the reason the trading rules I’d 

developed earlier didn’t work out of sample was 

because price changes were random, which at that 

point was what people thought an efficient market 

meant. We know now it doesn’t. Market efficiency 

means that deviations from equilibrium expected 

returns are unpredictable based on currently available information.  But equilibrium expected returns 

can vary through time in a predictable way, which 

means price changes need not be entirely random...

Sulla crisi finanziaria del 2008:

: I think the global crisis was first a problem of political pressure to encourage the financing of subprime mortgages... . I don’t think the crisis was a problem with markets.

Dove sta dunque il bubbone?

The worst thing to come out of that 

experience, in my view, is the concept of “too big 

to fail.” Basically, the institutions that are considered to be too big to fail have their debt priced 

as if it’s riskless, which gives them a low cost of 

capital and makes it very easy for them to expand 

and become an even bigger problem. Plus, everybody now accepts the assertion that they are too 

big to fail, which creates a terrible moral hazard 

for the management of these financial institutions.

Soluzioni:

The simplest solution would be to raise the capital 

requirements of banks. A nice place to start would 

be a 25% equity capital ratio, and if that doesn’t 

work, raise it more. The equity capital ratio needs 

to be high enough that a too-big-to-fail financial 

institution’s debt is riskless,

Che ne pensi della finanza comportamentale?

is  ex post storytelling and doesn’t 

generate new testable hypotheses It’s not a 

science. In Daniel Kahneman’s book Thinking, Fast 

and Slow,  he states that our brains have two sides: 

One is rational, and one is impulsive and irrational. 

What behavior can’t be explained by that model?

Come risolvere in USA il problema del debito?

Simple. Balance the budget. I heard a 

very prominent person say in private that we could 

balance the budget by going back to the level of 

government expenditures in 2007. The economy 

is currently about the size it was then. If you just 

rolled expenditures back to that point, I think it 

would come close to balancing the budget.

http://www.cfapubs.org/doi/pdf/10.2469/faj.v68.n6.1

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Paradossi:

here is something I never would have expected.  The failure of LTCM, a firm founded and run on the premise that the EMH was wrong, actually shows that .  .  . the EMH is wrong!

Eppure:

The efficient market hypothesis implies that it should be very difficult to beat the markets, as asset prices should already reflect all publicly available information.  Many people found this hard to accept; surely really smart people are better investors than the average schmuck!  Not surprisingly, the very smartest people of all, including not one but two Nobel Prize-winning finance professors, gave in to temptation and joined a hedge fund that was set up to find market anomalies and to make investments that took advantage of the market’s inefficiencies.  That hedge fund was called “Long Term Capital Management.”  Of course anyone who has read ancient Greek tragedies knows what happened next...

E qui ci sta a fagiolo l' aneddoto con Fama:

You have to be impressed by the resourcefulness of the anti-EMH, crowd.  If LTCM and its merry band of Nobel-Prize winning economists had actually beat the market, if they had used market anomalies to get rich, well then it would have been the death knell of the EMH.  Every time Fama said “if you’re so smart how come you’re not rich,” people would have responded that Scholes and Merton did get rich by spotting market inefficiencies.  Instead they failed miserably, and this shows . . . it show that markets are inefficient because the market can stay irrational longer than you can stay solvent. 

La cosa non vi ricorda qualcosa?

 It reminds me of people who see monopoly everywhere.  High prices?  Clearly monopolistic exploitation.  Low prices?  Ah, that’s predatory pricing.  The same price as your competitor?  Obviously price fixing.

http://www.themoneyillusion.com/?p=4121