lunedì 8 agosto 2016

Are markets efficient? eugene fama

Notebook per
Are markets efficient?
eugene fama
Citation (APA): fama, e. (2016). Are markets efficient? [Kindle Android version]. Retrieved from

Parte introduttiva
Evidenzia (giallo) - Posizione 2
Are markets efficient? By eugene fama
Evidenzia (giallo) - Posizione 4
What is the efficient-markets hypothesis and how good a working model is it? Fama: It’s a very simple statement: prices reflect all available information.
Nota - Posizione 5
Evidenzia (giallo) - Posizione 6
Thaler: I like to distinguish two aspects of it. One is whether you can beat the market. The other is whether prices are correct.
Nota - Posizione 7
Evidenzia (giallo) - Posizione 7
Fama: It’s a model, so it’s not completely true. No models are completely true. They are approximations to the world. The question is: “For what purposes are they good approximations?” As far as I’m concerned, they’re good approximations for almost every purpose.
Nota - Posizione 9
Evidenzia (giallo) - Posizione 13
Richard Thaler, you give the example of the 1987 crash, when stock prices fell 25 percent, as an example of how prices can be wrong in some sense.
Nota - Posizione 14
Evidenzia (giallo) - Posizione 15
I don’t think anyone thinks that the value of the world economy fell 25 percent that day. Nothing happened. It’s not a day when World War III was declared.
Nota - Posizione 16
Evidenzia (giallo) - Posizione 16
Fama: It was a time when people were talking about perhaps an oncoming recession, which turned out not to have happened. In hindsight, that was a big mistake; but in hindsight, every price is wrong.
Nota - Posizione 17
Evidenzia (giallo) - Posizione 20
Robert Shiller. His argument was, “Prices fluctuate too much to be explained by a rational process.”
Nota - Posizione 20
Evidenzia (giallo) - Posizione 21
Fama: Shiller’s model was based on the proposition that there is no variation through time in expected returns. But we know there is variation in expected returns. Risk aversion moves dramatically through time. It’s very high during bad periods
Nota - Posizione 22
Evidenzia (giallo) - Posizione 23
Do bubbles exist? How do we define bubbles? Thaler: I have two examples. The first is house prices.
Nota - Posizione 24
Evidenzia (giallo) - Posizione 26
Fama: What’s the bubble? The up? The down? The subsequent up?
Nota - Posizione 26
Evidenzia (giallo) - Posizione 33
Fama: That’s an anecdote. There’s a difference between anecdotes and evidence, right? I don’t deny that there exist anecdotes where there are problems. For bubbles, I want a systematic way of identifying them.
Nota - Posizione 34
Evidenzia (giallo) - Posizione 35
All the tests people have done trying to do that don’t work.
Evidenzia (giallo) - Posizione 48
The point is not that markets are efficient. They’re not. It’s just a model. The question is, “How inefficient are they?” I tend to give more weight to systematic things like failure to adjust completely to earnings announcements, or momentum, than to anecdotes, which are curiosity items rather than evidence.
Nota - Posizione 50
Evidenzia (giallo) - Posizione 98
Whereas I think the rational thing to do, because prices reflect available information pretty much, is to be a passive investor.