Ipoteza de piata eficienta si criticii ei

IPOTEZA DE PIATA EFICIENTA SI CRITICII EI

Abstract

The intellectual dominance of the efficient-market revolution Dominatia intelectuala a revolutiei de piata eficienta - a fost intens contestata de economisti

has more been challenged by economists who stress psychological and behavioral care au analizat psihologic si de comportamental elementele de stoc-determinare de pret,

Acest studiu analizeaza atacurile la ipoteza eficientei de piata si relatia dintre predictibilitatea si eficienta. I

Burton G. Malkiel conclude that our stock markets are more efficient and less predictable than many recent ajunge la concluzia ca pietele bursiere sunt mai eficiente si mai putin previzibile decat multe recente lucrari academice.

academic papers would have us believe.

A generation ago, the efficient market hypothesis was widely accepted by O generatie in urma, ipoteza de piata eficienta a fost pe larg acceptata de catre

academic financial economists; for example, see Eugene Fama's (1970) influential economisti academico-financiari, de exemplu, a se vedea Eugene Fama's (1970) influentul

survey article, "Efficient Capital Markets." It was generally believed that securities articolul expertiza, 'Efficient Capital Markets.' . In general, s a crezut ca titluri de valoare

markets were extremely efficient in reflecting information about individual stocks and au fost extrem de eficiente pentru a reflecta informatii despre stocuri individuale si

about the stock market as a whole. cu privire la piata de valori in ansamblu. Punctul deThe accepted view was that when information arises, vedere acceptat a fost acela potrivit caruia atunci cand o informatie apare, vestea se raspandeste foarte repede si este inclusa

the news spreads very quickly and is incorporated into the prices of securities without in preturile de titluri de valoare, fara intarziere.

delay. Thus, neither technical analysis, which is the study of past stock prices in an Astfel, nici analiza tehnica, care este studiul preturilor stocurilor din trecut intr-o

attempt to predict future prices, nor even fundamental analysis, which is the analysis of incercare de a anticipa preturile viitoare, nici macar analiza fundamentala, care este analiza

financial information such as company earnings, asset values, etc., to help investors select informatiilor financiare, cum ar fi castigurile companiei, valoarea de inventar, etc, nu sunt definitive pentru a ajuta investitorii in selectarea stocurilor "subevaluate".

The efficient market hypothesis is associated with the idea of a "random walk," Ipoteza pietei eficiente este asociata cu ideea de mers pe jos 'random,' ,un termen vag

which is a term loosely used in the finance literature to characterize a price series where utilizat in literatura specifica pentru a caracteriza o serie de preturi in cazul in care

all subsequent price changes represent random departures from previous prices. toate modificarile ulterioare de pret reprezinta abateri aleatorii de la preturile anterioare. The

logic of the random walk idea is that if the flow of information is unimpeded and Logica ideii de plimbare aleatoare este ca, in cazul in care fluxul de informatii este liber si

information is immediately reflected in stock prices, then tomorrow's price change will informatia este imediat reflectata in preturile actiunilor, apoi modificarea de maine de pret va

reflect only tomorrow's news and will be independent of the price changes today. va fi independenta de modificarile de pret de azi. But Dar noutatea este prin definitie imprevizibila si, prin urmare, rezulta modificarile de pret trebuie sa fie imprevizibile si aleatorii.

unpredictable and random.

The way I put it in my book, A Random Walk Down Wall Street , first published inBy the start of the twenty-first century, the intellectual dominance of the efficient Pana la inceputul secolului XXI, dominatia intelectuala a ipotezei pietei eficiente

market hypothesis had become far less universal. a devenit mult mai putin universalea. Many financial economists and Multi economisti din spectrul financiar,precum si un numar de statisticienii au inceput sa creada ca preturile actiunilor sunt cel putin partial previzibile.

statisticians began to believe that stock prices are at least partially predictable.Un nou tip de economisti a accentuat elemente psihologice si comportamentale ale determinarii stoc-pret si sustine ideea conform careia preturile actiunilor viitoare sunt oarecum previzibile pe baza modelelor de trecut de pret rulant si anumitor "masuratori fundamentale de evaluare" A

This paper examines the attacks on the efficient market hypothesis and the belie

Acest document analizeaza atacurile asupra ipotezei de piata eficienta si convingerii

that stock prices are partially predictable. ca preturile actiunilor sunt partial previzibile. While I make no attempt to present a complete In timp ce Burton Gordon Malkiel se sustrage de la incercarea de a prezenta un dosar complet ce trece in revista regularitati pretinse sau anomalii existente in piata de valori,acesta se rezuma doar la descrierea principalelor constatari statistice, precum si bazele lor de comportament daca este cazul, precum si,

also examine the relationship between predictability and efficiency. de asemenea, sa examineze relatia dintre predictibilitate si eficienta. Un alt aspect descris de acesta constituie argumentele majore ale celor care cred ca pietele sunt de multe ori irationale prin analizarea "prabusirii de 1987",dar si alte specifice irrationalities often mentioned by critics of efficiency. irationalitati des mentionate de catre criticii eficientei. I conclude that our stock markets

Este adusa in prim plan o bine-cunoscuta poveste ce are ca protagonisti un profesor de finante

tells of a finance professor and a student who come across a $100 bill lying on the si un student care gaseste intamplator o bancnota de 100 dolari pe jos.

grounStudentul se opreste pentru a o ridica,iar profesorul sau  spune: 'Nu te deranja, daca ar fi fost

really a $100 bill, it wouldn't be there." The story well illustrates what financial intr-adevar 100 $, nu ar fi fost acolo. ' Aceasta poveste ilustreaza cu mare maiestrie la ce se refera economistii financiari atunci cand afirma ca "pietele sunt eficiente". Markets can be efficient in

Pietele pot fi eficiente in acest sens, chiar daca, uneori,pot face unele erori in evaluare, astfel

this sense even if they sometimes make errors in valuation, as was certainly true during cum a fost cu siguranta adevarat in timpul anului 1999- inceputul anului 2000 cu binecunoscutul caz "Internet bubble".

the 1999-early 2000 internet bubble.De asemeanea, Burton G.Malkiel dezvaluie ipoteza conform careia Markets can be efficient even if many marketpietele pot fi eficiente, chiar daca unii participanti sunt destul de irationali;cu atat mai mult,pietele pot fi eficiente

participants are quite irrational.Markets can be efficient even if stock prices exhibit chiar daca preturile de stoc prezinta volatilitate mai mare decat poate fi explicata prin

greater volatility than can apparently be explained by fundamentals such as earnings and elemente fundamentale, cum ar fi castigurile salariale si dividendele.

dividends.

EconomistiiMany of us economists who believe in efficiency do so because we viMulti econmu care cred in eficienta, fac acest lucru, deoarece acestia vizualizeaza

markets as amazingly successful devices for reflecting new information rapidly and, for pietele ca dispozitive de uimitor de succes pentru a reflecta noi informatii rapid si, cel mai important,cu acuratete.

Printre acesti economisti se numara si Burton G.Malkiel care este de parere ca stabilirea preturilor de piata nu este intotdeauna perfecta,mai mult acesta este constient de greselile extraordinare comise in cazul "internet bubble".

the most part, accurately.Above all, we believe that financial markets are efficient

Nor do I deny that psychological factors influence securitieSi nici nu neaga faptul ca factori psihologici au un cuvant de spus in ceea ce priveste stabilirea preturilor titlurilor de valoare-acesta crede cu tarie ca "adevarata valoare va castiga in cele din urma"

And before the fact, there is no way in Si inainte de fapt, nu exista nici o posibilitate ca investitorii sa poata exploata in mod credibil

which investors can reliably exploit any anomalies or patterns that might exist. orice anomalii sau modele care ar putea exista. I am

Burton G.Malkiel este sceptic ,el sustinand ca nici unul dintre modele 'previzibile', care au fost documentate in literatura de specialitate nu a fost niciodata suficient de robust, astfel incat sa creeze oportunitati de investitii profitabile.

skeptical that any of the "predictable patterns" that have been documented in the

CONCLUZII:

As long as stock markets exist, the collective judgment of investors will Atata timp cat exista pietele bursiere, hotararea colectiva a investitorilor va face

sometimes make mistakes. uneori, anumite greseli. Undoubtedly, some market participants are Fara indoiala, unii participantii de pe piata sunt

demonstrably less then rational. demonstrabil mai putin rationali. As a result, pricing irregularities and predictable Ca rezultat,neregulile de stabilire a preturilor si modelele previzibile in declaratiile de stoc pot aparea in timp, si chiar si persista pentru perioade scurte.

patterns in stock returns can appear over time and even persist for short periods.

Moreover, the market cannot be perfectly efficient or there would be no incentive In plus, piata nu poate fi perfect de eficienta sau nu ar exista nici stimulent

for professionals to uncover the information that gets so quickly reflected in pentru profesionisti de a dezvalui informatiile care se reflecta atat de repede in

market prices, a point stressed by Grossman and Stiglitz (1980). preturile de pe piata, un punct subliniat de Grossman si Stiglitz (1980). Undoubtedly,

But I suspect that the end result will not be an abandonment of the belief Dar banuiesc ca rezultatul final nu va fi o abandonare a credintei in faptul ca piata de valori

of many in the profession that the stock market is remarkably efficient in its este deosebit de eficienta prin utlizarea sa de informatii.

utilization of information Periods such as 1999 where "bubbles" seem to have Aceste perioade ,precum anul 1999 in cazul in care asa numitele 'bule'(bubbles) par sa fi

existed, at least in certain sectors of the market, are fortunately the exception existat, cel putin in anumite sectoare ale pietei, reprezinta din fericire exceptia, mai

rather than the rule. degraba decat o regula. Moreover, whatever patterns or irrationalities in the pricing Mai mult decat atat, indiferent de modele sau irationalitati in preturi

of individual stocks that have been discovered in a search of historical experience de stocuri de individuale care au fost descoperite intr-o cautare de experienta istorica

are unlikely to persist and will not provide investors with a method to obtain este putin probabil sa persiste si nu va oferi investitorilor o metoda de a obtine

extraordinary returns. recompense extraordinare. If any $100 bills are lying around the stock exchanges of

References

Dupa activitatea lui Malkiel (1973) ipoteza de piata eficienta a dobandit

widespread acceptance. acceptare pe scara larga. The idea evolved that all available information is correctly embedded in today's Ideea a evoluat ca toate informatiile disponibile sunt corect incorporate in preturile de capitaluri proprii de astazi , astfel incat toate modificarile

equity prices so that all future price changes will reflect news in the future and be independent of today de pret din viitor  vor reflecta imbunatatiri si vor fi independente fata de variatiile de pret de astazi.

price changes.

But the acceptance of the efficient market hypothesis diminished over time after the 1987 crash and the Dar,acceptarea acestei ipotezei de piata eficienta a diminuat in timp, dupa prabusirea din 1987, precum si dupa acest "balon" imens de capitaluri proprii care s-a dezvoltat la

huge equity bubble that developed in the late 1990s and subsequent bust. sfarsitul anilor 1990 . Malkiel (2003) discusses some

Malkiel (2003) discuta unele criticii ale ipotezei pietei eficiente conform carora preturile de

critics of the efficient market hypothesis who believe that equity prices may be predictable based on capital pot fi previzibile pe baza modelelor fundamentale ale preturilor din trecut.

fundamentals and past price patterns.

Efficiency as defined by Malkiel (2003) means financial markets are efficient when ". markets do not Eficienta, astfel cum este definita de Malkiel (2003) inseamna ca pietele financiare sunt eficiente atunci cand ' pietele nu permit investitorilor de a castiga beneficii, fara a accepta riscuri".

allow investors to earn above-average returns without accepting above-average risks." Commodity

markets, in general, discount new information very Financial markets are no different. Pietele financiare nu sunt diferite fata de pietele de marfuriBut at ,dar in acelasi timp, psihologia

same time investor psychology and bandwagon effects obviously influence price behavior. investitorilor si a efectelor pot influenta in mod evident comportamentul de pret. Many such Multe astfel de episoadele pot fi citate. The basic argument is that, over a sufficiently long time, the efficient market Argumentul de baza este ca , peste un timp suficient de

episodes can be cited. lung,ipoteza pietei eficiente atrage prin atuurile sale si alti factori,influentand astfel

hypothesis trumps other factors influencing pricing and, in the end, investors do not earn above-average preturile.