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Ogni operatore finanziario sa che superare sistematicamente la performance media dei mercati è molto difficile, lo dimostrano i dati non solo degli investitori "in proprio" ma anche dei gestori professionali. Anche i fondi comuni di investimento non tengono il passo con le medie di mercato. Riconoscere questo fatto significa accettare l'ipotesi EMH (Efficient Market Hypotesis). La definizione originale è stata proprosta da Eugene Fama nel 1965, per cui il prezzo di mercato di un titolo è il miglior predittore del suo prezzo futuro.

Eppure molti definiscono EMH un "mito" che ha illuso molti investitori. Perché?

Primo, molte persone diffidano della "mano invisibile". Non pensano che i mercati siano equi e premino la virtù promuovendo il benessere sociale. In secondo luogo, ci sono critici (agenti di cambio, giornali, analisti di mercatoV...) la cui sopravvivenza dipende dal fatto che i mercati sbaglino, che con le giuste strategie si possa batterli, che con le giuste informazioni si possano fare i soldi.

Un mercato efficiente non è infallibile, spesso va "in bolla", spessissimo deraglia facendo morti e feriti. Un mercato efficiente resta comunque quello che fa meglio.Per definizione, un risultato efficiente non può essere migliorato. I burocrati del governo non solo soffrono degli stessi limiti cognitivi ed emotivi dei consumatori e degli investitori, ma sono anche motivati ​​politicamente piuttosto che interessati al buon esito degli investimenti.

E la bolla del 2004? C'è chi afferma che Robert Shiller aveva notato che l'edilizia abitativa era sotto una bolla senza precedenti. Ma Shiller non predisse un collasso aggregato nel ramo delle costruzioni, aveva semplicemente affermato l'improbabilità che l'aumento dei prezzi continuasse. Nell'edizione 2005 del suo libro -i Irrational Exuberance - scrisse che in alcune città "gli aumenti dei prezzi potrebbero iniziare a rallentare e poi a diminuire. Allo stesso tempo, è probabile che il boom prosegua in altre città". Ora, confronta questo modesto avvertimento di un economista solitario con forze esterne ai mercati che hanno spinto in direzione opposta.

Nessuno pensa che i mercati siano perfetti e EMH non dice nulla del genere. La prova che i mercati sono efficienti è che è così improbabile che si possa generare un alfa. Ma le implicazioni non sembrano ovvie. Trovare una persona che fa soldi sul mercato finanziario è facile ma torovare chi ha la ricetta per far soldi impossibile. Tanto è vero che chi si è arricchito con colpi gobbi poi se ne sta tranquillo investendo in fondi dal rendimento correlato alla media di mercato.

RISPOSTA

I mercati finanziari possono fare grandi cose: raccogliere informazioni disperse, cambiare direzione rapidamente, premiare gli operosi e gli arguti. Quello che non possono fare è impedirsi di perdere di tanto in tanto gli ormeggi. Questa realtà è il motivo per cui negli ultimi due secoli abbiamo sviluppato banche centrali e regolamenti finanziari. Eppure è una realtà quasi completamente ignorata dall'approccio efficiente del mercato alla finanza.

La grande lezione che è emersa dalla confluenza tra l'ipotesi di mercato efficiente e il modello di valutazione delle attività in conto capitale (che sostiene che titoli con una maggiore sensibilità alle fluttuazioni del mercato produrranno rendimenti più elevati) è stato che si dovrebbe detenere un portafoglio ampiamente diversificato, preferibilmente in qualche tipo di fondo indicizzato.

Dibattendo EMH Eric Falkenstein Justin Fox Tim Harford

Notebook per

Dibattendo EMH

Eric Falkenstein Justin Fox Tim Harford

Citation (APA): Harford, E. F. J. F. T. (2014). Dibattendo EMH [Kindle Android version]. Retrieved from Amazon.com

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Parte introduttiva

Nota - Posizione 7

Definizione 2 categorie di scettici: 1. i contrari ideologicamente e 2. i consulenti che non avrebbero niente da consigliare Shiller: hindsight bias Perchè esiste una regolamentazione e una banca centrale se vale EMH? Nel momento in cui reputi buone alcune regole cesi di credere a EMH! MIT Chicago Mason. Sapendo che il mercato è imprrfetto (pur considerandolo il meglio a disosizione) le regole ci saranno sempre come segno di speranza e di cammino verso la xfezione Krugman e LTCM Le bolle possono coesistere con EMH? The peso problem

Evidenzia (giallo) - Posizione 7

The Price Isn't Always Right justin fox

Evidenzia (giallo) - Posizione 8

"security prices at any time 'fully reflect' all available information."

Nota - Posizione 8

FORMULAZIONI

Evidenzia (giallo) - Posizione 18

Finally, if all one means by "efficient market" is a market that's hard to beat, that's not such a wrongheaded idea at all

Nota - Posizione 19

ACCORDO

Evidenzia (giallo) - Posizione 21

Robert Shiller -- a long-time critic of the efficient market hypothesis -- cobbled together an inflation-adjusted index of U.S. real estate prices going back to 1890 and found that (a) in the past, prices had declined for decades on end and (b) the rise in real home prices since 1997 was by far the sharpest on record. From these two pieces of data he drew the common-sense conclusion that the rise in housing prices wouldn't go on forever and was likely to be followed by a sharp fall.

Nota - Posizione 25

SHILLER

Evidenzia (giallo) - Posizione 30

In Defense of Efficient Markets eric falkenstein

Evidenzia (giallo) - Posizione 31

you make many gracious acknowledgements to the efficient markets hypothesis (EMH), such as the basic implication that it is very, very difficult to outperform the market.

Nota - Posizione 32

CONCESSIONE

Evidenzia (giallo) - Posizione 34

This is not a minor acknowledgment, but basically is the EMH theory.

Nota - Posizione 34

CONCESSIONE DECISIVA

Evidenzia (giallo) - Posizione 37

I think this distaste for efficient markets comes from two sources. First, many people distrust the "invisible hand."

Nota - Posizione 38

MANO INVISIBILE

Evidenzia (giallo) - Posizione 38

Secondly, there are critics (stockbrokers, talking heads on CNBC, financial journalists) whose livelihood depends on markets being wrong;

Nota - Posizione 39

CONFLITTO D INTRRESSE

Evidenzia (giallo) - Posizione 40

Government fails more often than markets do

Nota - Posizione 40

GOVERNO

Evidenzia (giallo) - Posizione 42

Yet I think government power should be minimized, because government failure is far more common than market failure, as the I.Q. of a group is diminished by centralized interaction.

Nota - Posizione 43

IQ GROUP

Evidenzia (giallo) - Posizione 45

Shiller did not predict an aggregate housing decline; instead, he merely stated the recent increase in home prices was unlikely to continue.

Nota - Posizione 46

SHILLET

Evidenzia (giallo) - Posizione 48

Now, compare this modest warning by a lone economist to the forces promoting home lending from all directions. It was not just a Wall Street phenomenon, but one pushed by our government, legislators, regulators, and even academics (for evidence, see Stan Liebowitz's "Anatomy of a Train Wreck").

Nota - Posizione 50

LONE ECONOMIST

Evidenzia (giallo) - Posizione 57

The market diagnosed the bubble

Evidenzia (giallo) - Posizione 60

ket prices, not legislators, instigated the end of the insanity. How quickly are failed governmental initiatives usually stopped, once identified?

Nota - Posizione 61

IL MERCATO SI È CORRETTO

Evidenzia (giallo) - Posizione 63

That you were able to find one person in 2004 and turn his measured warning into something that would have drastically reversed the regulatory emphasis on weakening underwriting standards is classic hindsight wisdom.

Nota - Posizione 64

A POSTERIORI

Evidenzia (giallo) - Posizione 67

Markets Can Do Many Things Well, But Not Everything justin fox

Evidenzia (giallo) - Posizione 74

This reality is why over the past two centuries we've developed central banks and financial regulations. Yet it is a reality almost completely ignored by the efficient-market approach to finance.

Nota - Posizione 75

BANCHE CENTRALI E EMH

Evidenzia (giallo) - Posizione 75

The housing bubble was driven by the market

Nota - Posizione 76

BUBBLE

Evidenzia (giallo) - Posizione 81

I'll be honest: I don't know what exactly the new rules should be.

Nota - Posizione 81

REGOLE? Boh

Evidenzia (giallo) - Posizione 86

The big lesson that came out of the confluence of the efficient market hypothesis and the capital asset pricing model (which holds that stocks with higher sensitivity to market fluctuations will deliver higher returns) was that you should hold a widely diversified portfolio, preferably in some kind of index fund.

Nota - Posizione 87

COME INVESTIRE

Evidenzia (giallo) - Posizione 89

Jack Bogle's "cost matters hypothesis," which states that: No matter how efficient or inefficient markets may be, the returns earned by investors as a group must fall short of the market returns by precisely the amount of the aggregate costs they incur. It is the central fact of investing. So I invest in index funds not because I think the market is all that efficient, but because index funds charge the lowest fees.

Nota - Posizione 93

FEES

Evidenzia (giallo) - Posizione 94

passive approach

Evidenzia (giallo) - Posizione 96

Why Most Market Regulation is Useless And/Or Harmful eric falkenstein

Evidenzia (giallo) - Posizione 98

As George Will writes, most regulation is championed by a confluence of Baptists and bootleggers, the first group with high motives, usually naïve, and the second more cynical group who hide behind them.

Nota - Posizione 99

TEGOLAZIONE DANNOSA

Evidenzia (giallo) - Posizione 100

Regulatory efforts fall into three categories. The first is exemplified by things like short-sale downtick prohibitions, Glass-Steagall, and mortgage disclosure requirements, all of which are really irrelevant to protecting the retail investor.

Nota - Posizione 101

3 TIPI DI REGOLE

Evidenzia (giallo) - Posizione 105

A second type of financial regulation is downright counterproductive, because it sows the seeds for future problems.

Nota - Posizione 105

PROBLEMI FUTIRI

Evidenzia (giallo) - Posizione 113

Without regulation, markets correct themselves

Evidenzia (giallo) - Posizione 115

In the bad old days prior to much financial regulation, or even a central bank, we had crisesevery twenty years: in 1819, 1838, 1857, 1873, 1893, and 1907. After a couple of years, though, things always got better, and growth was strong over this period.

Nota - Posizione 117

REGOLA DEI 20 ANNI

Evidenzia (giallo) - Posizione 119

Businesses lobby for regulation to stifle competition Much regulation is really about preventing competition,

Nota - Posizione 120

INCUMBENT

Evidenzia (giallo) - Posizione 124

For the 95 percent of investors who have no conceivable investing alpha, the best strategy is to avoid costs from overtrading, and avoid risk by diversifying.

Nota - Posizione 125

STRATEGIA

Evidenzia (giallo) - Posizione 129

Bold regulation is the triumph of hope over experience,

Evidenzia (giallo) - Posizione 132

Back to the Myth of the Rational Market justin fox

Nota - Posizione 132

TITOLO

Evidenzia (giallo) - Posizione 133

So Eric, you're saying that some financial regulations are pointless, some are counterproductive, and some actually do good. Sounds about right to me. But it's not what the die-hard rational marketeers of the 1970s and 1980s were saying.

Nota - Posizione 134

TI CONTRADDICI

Evidenzia (giallo) - Posizione 139

Financial regulation is not going away

Nota - Posizione 140

TITOLO

Evidenzia (giallo) - Posizione 141

MIT economists think markets are imperfect, therefore we need regulation. Chicago economists think markets are perfect, therefore we don't need regulation. George Mason economists think markets are imperfect, therefore we don't need regulation.

Nota - Posizione 143

TRE SCUOLE

Evidenzia (giallo) - Posizione 146

Richard Thaler offered this verdict: While imperfect, financial markets are still the best way to allocate capital. Even so, knowing that prices can be wrong suggests that governments could usefully adopt automatic stabilising activity,

Nota - Posizione 148

THALER

Evidenzia (giallo) - Posizione 150

We Need Less Regulation, Not More eric falkenstein

Nota - Posizione 151

TITOLO

Evidenzia (giallo) - Posizione 153

I agree with Kling, in that when you say something is imperfect, it should always be asked, "compared to what?" Some theoretical nirvana where a social planner

Nota - Posizione 154

COMPARE TO WHAT

Evidenzia (giallo) - Posizione 175

Krugman Reviews Book He Didn't Read eric falkenstein

Nota - Posizione 175

TITOLO

Evidenzia (giallo) - Posizione 176

Justin Fox noted that I didn't read his book, because if I did he would have noted Fox's rather balanced treatment.

Nota - Posizione 177

LE AMMISSIONI DI FOX

Evidenzia (giallo) - Posizione 184

Krugman demonstrates he has strong opinions disproportionate to any evidence, and displays the measured analysis of an anonymous blog commenter.

Nota - Posizione 185

GAFFE KRUGG

Evidenzia (giallo) - Posizione 195

The quintessential collaboration between big money and academic superstars was the hedge fund Long-Term Capital Management, whose partners included Scholes and Robert Merton, with whom Scholes shared another finance Nobel. L.T.C.M. eventually imploded, nearly taking the world economy down with it. But efficient-markets theory retained its hold on financial thought.

Nota - Posizione 197

KRUGG LEGGENDA LTCM

Evidenzia (giallo) - Posizione 198

If he actually knew something about hedge funds in general, or LTCM in particular, he would know that Merton and Scholes where marketing props. The strategies LTCM employed were neither derived by, or managed by Scholes and Merton. The LTCM strategy had nothing to do with a tweak to the Black-Scholes option formula.

Nota - Posizione 200

NOBEL PROP.

Evidenzia (giallo) - Posizione 207

It is much smarter to approach markets as if markets are rational. As there are literally thousands of prices in thousands of markets, some are too low or too high, but it is not obvious which because most are priced 'just right' given the information available. If you think it is easy, as implied by an irrational market, you don't check your assumptions enough. Several, perhaps hundreds, prices are wrong, but it takes a lot of smart analysis to figure out which.

Nota - Posizione 210

EMH È PIÙ SMART

Nota - Posizione 211

L IPOTESI PIÙ DIFFICILE DA CONFUTARR

Evidenzia (giallo) - Posizione 217

The theory has esteemed detractors, but that's about it. Indeed, it seems ultimately a semantics debate (ie, 'efficient' implies 'perfect' to some).

Nota - Posizione 219

SEMANTICA

Evidenzia (giallo) - Posizione 223

Such a book has its place on the bookshelf, but it is not part of the intellectual debate, more like learning about Hitler's childhood, which is interesting but really doesn't explain the concentration camps or Operation Barbarossa.

Nota - Posizione 224

INFANZIA DI HOTLER

Evidenzia (giallo) - Posizione 231

'Education is an admirable thing, but is well to remember from time to time that nothing that is worth knowing can be taught.'

Nota - Posizione 232

INSEGNARE

Evidenzia (giallo) - Posizione 234

Do Crashes Support or Disprove 'Rational' Markets? eric falkenstein

Nota - Posizione 235

TITOLO

Evidenzia (giallo) - Posizione 235

Noneconomists tend to think 'rational markets' is patently absurd, pointing to various asset bubbles such as the internet bubble,

Nota - Posizione 236

BOLLE

Evidenzia (giallo) - Posizione 242

To assert markets are irrational or inefficient, however, one needs to propose a measure of 'true value', and then show that actual market prices diverge from this.

Nota - Posizione 242

TRUE VALUE

Evidenzia (giallo) - Posizione 245

It is essential to have a specific alternative, because how do you know they are wrong unless you know the right answer?

Nota - Posizione 245

RISPOSTA

Evidenzia (giallo) - Posizione 249

One big issue in tests of whether prices are 'right' or not is the Peso Problem. The term 'peso problem'

Nota - Posizione 250

PESO PEOBLEM

Evidenzia (giallo) - Posizione 269

So why can’t market participants also be considered rational and yet have their collective opinions vary wildly over time and space?

Nota - Posizione 270

VOLATILE MA NN IRRAZIONALE

Evidenzia (giallo) - Posizione 283

Prices fluctuate more than we would like. But is it too much?

Nota - Posizione 283

TROPPO VOLATILE?

Evidenzia (giallo) - Posizione 287

How to make money from a Nobel cause tim harford

Nota - Posizione 288

TITOLO

Evidenzia (giallo) - Posizione 296

Fama and Shiller disagree with each other.

Evidenzia (giallo) - Posizione 298

it’s hard to beat the market, and you should probably be suspicious of people who claim to be able to pull off the trick.

Evidenzia (giallo) - Posizione 304

a second reason to disbelieve the EMH is the experience of the dotcom and subprime bubbles.

Nota - Posizione 304

BOLLE

Dibattendo EMH

• Definizione
• 2 categorie di scettici: 1. i contrari ideologicamente e 2. i consulenti che non avrebbero niente da consigliare
• Shiller: hindsight bias
• Perchè esiste una regolamentazione e una banca centrale se vale EMH?
• Nel momento in cui reputi buone alcune regole cessi di credere a EMH!
• MIT Chicago Mason. Sapendo che il mercato è imprrfetto (pur considerandolo il meglio a disosizione) le regole ci saranno sempre come segno di speranza e di cammino verso la xfezione
• Krugman e LTCM
• Le bolle possono coesistere con EMH?
• The peso problem
• Xxx
• The Price Isn't Always Right justin fox
• Eugene Fama at Chicago in the late 1960s envisioned a market in which "security prices at any time 'fully reflect' all available information."
• the world experienced financial crises long before anybody at the University of Chicago thought to string the words "efficient" and "market" together.
• Finally, if all one means by "efficient market" is a market that's hard to beat, that's not such a wrongheaded idea at all
• Robert Shiller -- a long-time critic of the efficient market hypothesis -- cobbled together an inflation-adjusted index of U.S. real estate prices going back to 1890 and found that (a) in the past, prices had declined for decades on end and (b) the rise in real home prices since 1997 was by far the sharpest on record. From these two pieces of data he drew the common-sense conclusion that the rise in housing prices wouldn't go on forever
• Xxx
• In Defense of Efficient Markets eric falkenstein
• you make many gracious acknowledgements to the efficient markets hypothesis (EMH), such as the basic implication that it is very, very difficult to outperform the market....This is not a minor acknowledgment, but basically is the EMH theory.
• I think this distaste for efficient markets comes from two sources. First, many people distrust the "invisible hand." They do not think markets are fair games that reward virtue and promote social welfare. Secondly, there are critics (stockbrokers, talking heads on CNBC, financial journalists) whose livelihood depends on markets being wrong;
• Shiller. Shiller did not predict an aggregate housing decline; instead, he merely stated the recent increase in home prices was unlikely to continue.
• Bolla: The market diagnosed the bubble......prices, not legislators, instigated the end of the insanity.
• No one thinks markets are perfect, and EMH never says this. The proof that markets are efficient is that it is so improbable one can generate alpha -- something you, like most EMH critics, concede. But the implications do not seem obvious. That you were able to find one person in 2004 and turn his measured warning into something that would have drastically reversed the regulatory emphasis on weakening underwriting standards is classic hindsight
• Markets Can Do Many Things Well, But Not Everything justin fox
• why over the past two centuries we've developed central banks and financial regulations. Yet it is a reality almost completely ignored by the efficient-market approach to finance.
• I'll be honest: I don't know what exactly the new rules should be.
• Why Most Market Regulation is Useless And/Or Harmful eric falkenstein
• As George Will writes, most regulation is championed by a confluence of Baptists and bootleggers,
• Regole: irrilevanti o contrproducenti.
• The first. Exemplified by things like short-sale downtick prohibitions, Glass-Steagall, and mortgage disclosure requirements, all of which are really irrelevant to protecting the retail investor.
• A second type of financial regulation is downright counterproductive... Consider the Equal Credit Opportunity Act of 1974, a law which sat around not causing problems, until 1992 when Fed President Richard Syron realized he could use it as a club to get banks to lower home loan underwriting standards in the 1990s....Another example is the Clinton administration law putting a surtax on millionaires, which created an incentive to focus on option-based compensation for corporate executives.
• Without regulation, markets correct themselves
• In the bad old days prior to much financial regulation, or even a central bank, we had crisesevery twenty years: in 1819, 1838, 1857, 1873, 1893, and 1907. After a couple of years, though, things always got better, and growth was strong over this period. It is historical experience, not religious faith,
• Much regulation is really about preventing competition,
• Bold regulation is the triumph of hope over experience,
• Back to the Myth of the Rational Market justin fox
• So Eric, you're saying that some financial regulations are pointless, some are counterproductive, and some actually do good. Sounds about right to me. But it's not what the die-hard rational marketeers of the 1970s and 1980s were saying.
• Xxx
• We Need Less Regulation, Not More eric falkenstein
• when you say something is imperfect, it should always be asked, "compared to what?" Some theoretical nirvana
• Krugman Reviews Book He Didn't Read eric falkenstein
• Justin Fox noted that I didn't read his book, because if I did he would have noted Fox's rather balanced treatment.
• The LTCM strategy had nothing to do with a tweak to the Black-Scholes option formula.
• Do Crashes Support or Disprove 'Rational' Markets? eric falkenstein
• Noneconomists tend to think 'rational markets' is patently absurd, pointing to various asset bubbles such as the internet bubble,
• To assert markets are irrational or inefficient, however, one needs to propose a measure of 'true value'... It is essential to have a specific alternative, because how do you know they are wrong unless you know the right answer?
• Prices fluctuate more than we would like. But is it too much? The future is very uncertain, and in the US where so many prominent financial researchers work, we tend to forget we had a very fortunate 20th century
• Xxxxx
• Arnold Kling
• MIT economists think markets are imperfect, therefore we need regulation.
• Chicago economists think markets are perfect, therefore we don't need regulation.
• George Mason economists think markets are imperfect, therefore we don't need regulation.
• Bad stuff's going to happen from time to time. Get used it. But political and regulatory reality is such that this mindset is never going to prevail.
• How to make money from a Nobel cause tim harford
• Fama and Shiller disagree with each other.
• EMH, is much maligned, so let me state it in the form that has spared me anxiety and saved me money over the years: it’s hard to beat the market,

.