市场有效吗？了解有效的市场假设（EMH）

“If the world was perfect, it wouldn’t be.” - 瑜伽士·贝拉（Yogi Berra）

许多市场专家广泛讨论了有效的市场假设（EMH）。了解它并对它发表意见对任何投资者都非常重要。如果您想建立自己对如何有效投资的信念，那么对EMH有明智的看法可能会非常有帮助。

Those who believe in index investing or who market ETF’s are the biggest supporters of EMH, as are most market academics and many newspapers columnists. Most of the top investment managers have specific opinions on EMH and those that beat the indexes over time can almost always tell your why.

EMH一直受到大量炒作和营销的影响。市场有效吗？

I won’t bore you with an in depth description. The basics, however, are that EMH maintains that all stocks are perfectly priced according to their inherent investment properties, the knowledge of which all market participants possess equally. In other words, there are millions of investors that all have access to all available information about any company and these investors make rational choices of which stocks to buy based on all this available information. Therefore, all stocks are always priced accurately.

当获得有关任何公司的新信息时，所有这些投资者都会立即使用所有其他信息，并相应地调整股票价格。这意味着所有股票的定价始终是正确的，这是由于无法从现有已知信息中预见的新信息所产生的。因此，未来的价格变动是“随机步行”。

支持EMH的主要证据是大多数投资者不会击败市场。许多研究表明了这一点。最受欢迎的通常是每年更新的Dalbar研究。现在是一项为期20年的研究，表明在过去的20年中，标准普尔500指数平均每年为13％，平均共同基金（专业投资者）平均为11％，平均投资者（业余投资者）平均为3.5％。平均市场计时器平均损失3.5％。在大多数情况下，只有20-45％的共同基金击败了他们的指数（取决于哪个时间范围和哪个指数）。显然，大多数投资者（专业或业余爱好者）的方法比市场平均差。

There are 3 levels of EMH based on the types of information that are fully accounted for in existing share prices:

1. Weak EMH: All历史market prices and financial data are known to all investors, so no investor can get better returns from analyzing them. This means that all technical analysis (charting) will not work except by luck. Fundamental analysis to figure out the true value of companies can still produce better returns, however.
2. Semi-Strong EMH：全部public information关于所有公司的所有公司都是理性且公正的投资者。这意味着对股票的基本分析也无法产生更好的回报。但是，内部信息或现场访问仍然可以提供信息以产生更好的回报。
3. 强大的EMH：全部公共和内部信息是Al Investors所知。内部信息泄漏，法律阻止内部人员使用它，因此，除了运气外，甚至内部信息也无法产生更好的回报。因此，除了运气外，任何策略或投资方法都无法产生更好的回报。然后，猴子可以选择股票和沃伦·巴菲特（Warren Buffett）。

每当我们听到任何投资策略或任何投资者的回报时，一个大问题是：您怎么知道这不仅是运气？EMH声称，从任何策略中的未来收益都将适合可能的回报的“正常分布”。每当您回头看时，某些策略都会比其他策略更好，而那些相信它的策略将声称这是技巧（事后偏见）。实际上，由于市场通常会增加70％的时间，因此EMH声称从长远来看，所有策略本质上应有70％的时间工作。

标记et theorists and university professors, of course, tend to believe it, since it is intellectual and relatively simple.

Newspaper columnists often like EMH, usually because it is simple and because it is much more difficult to effectively recommend specific investments. If nobody can beat the market, then the only important factor in investments is the cost of trading or the MER of a fund, which is a very simple concept. Jonathan Chevreau has written hundreds of articles about how nobody can beat the market – so just buy ETF’s.

Professional investors, or course, generally disagree with EMH, since it means that none of them are any better than anyone else. Many dismiss it as ridiculous, but many others have very valid criticisms.

Many amateur investors don’t believe in EMH, usually because of a lack of understanding about it. Most people think they are smarter than average and better investors (and drivers) than average, while EMH claims that the only reason anyone gets better returns is dumb luck. Folklore about the amazing returns of some amateur investor and dreams of making big money fuel this. “If Joe’s brother-in-law can do it, then I so can I…”

许多业余投资者（如果他们知道EMH）通常会错误地认为EMH意味着目前的股票价格反映了股票实际上会产生的未来收益。EMH并未声称所有未来的信息都内置在现有的股票价格中。它声称以当前股价考虑了所有可能未来结果的可能性。EMH还没有声称投资者随机行动 - 仅是由于投资者在可用时对新信息做出反应而导致的股价随机行动。这些新信息可能是关于公司，市场，经济，政治事件或其他可能影响公司股份价值并且无法预料的任何其他信息。

What do you think – are markets efficient? Is all information available to all investors? Do investors actually access this information and understand it before making investment decisions? Are investors rational? (By the way, if you really understand EMH, I doubt you will either dismiss it completely or believe it completely.)

Arguments For and Against

Let’s take a closer look at the Efficient Market Hypothesis (EMH). Are the markets efficient?

Many amateur and even professional investors dismiss it quickly, but it is clear there is evidence that the stock markets are relatively efficient. As mentioned in part 1, professional and amateur investors usually make considerable less than the markets.

当公司收购要约时，该公司股票的价格几乎立即反映了收购价（由于时间到收购的时间，而对收购是否会发生收购的程度较少，少了数额）。这种价格调整显示了市场效率。

On the other hand, there is also clear evidence that EMH is not totally true. Index enthusiasts argue that all information is available to all investors and that they have rationally built it into the current share price. Therefore, the extreme belief would mean that throwing a dart at the stock page will be equally effective to all investment strategies. Their argument for owning the index is that you own “all of the market” (which is not really true), but their real belief is that any stock would be expected to have the same returns as the index (taking into account the risk level).

如果您遇到EMH狂热者，只需建议他们在库存页面上扔一些飞镖而不是购买索引，您会发现他们毕竟并不完全相信EMH。

反对EMH的最佳论点来自行为金融领域。EMH无法解释市场狂热。它认为所有投资者始终都是理性的，但是在“非理性旺盛”或非理性悲观的历史上有很多例子。

例如，1987年的崩溃使市场在几天内下降了20％以上，但很少消息。看到大量滴水，投资者将股票抛弃了恐慌销售。如果您认为投资是相当重视的，那么您如何才能认为随着恐慌销售的趋势是理性行为呢？

Here in Brampton, we saw our local company Nortel fall from $123.50/share to $.69/share in just over 2 years. EMH would argue that both prices were accurate based on known information. How can that possibly be? In hindsight, it is clear that it was never worth anywhere close to $123.50. This was part of the “tech bubble” with investors having piled into Nortel for a few years only because it was going up as it continued to rise and outperform almost all other investments. And $.69/share was equally ridiculous, with investors finally capitulating and dumping Nortel in mass.

Behavioural finance shows that many cognitive and emotional biases often result in prices selling for much higher or lower than they are really worth. As humans, our minds search for patterns and we see all kinds of patterns that don’t actually exist (clustering bias). We tend to be over-confident, anchor on past numbers, interpret data based on our preconceived views, feel safer following the herd, see things differently in hind-sight and fall prey to many other cognitive biases. (It is worth reading about behavioural finance, because then you will find listening to your investing buddies quite funny! People hate it when you name their investing cognitive bias!)

Humans also tend to often make decisions for emotional reasons. How often have you heard someone say they bought an investment because a “gut feeling” or “it feels right”? Is this rational behaviour? Irrational exuberance and panic selling are clearly emotional reactions and not rational behaviour, as EMH would argue.

The other big argument against EMH is the investors that beat the indexes by wide margins over long periods of time. EMH does claim, however, that by luck and with a normal distribution, a few investors would beat the markets by wide margins over long periods of time.

很难对一些业余投资者的巨大回报索赔充满信心。他们通常无法独立验证，研究表明，大多数业余投资者大大误解了自己的回报（如果他们完全计算出来）。此外，很难找到证据不仅是运气。

但是，有很多例子表明，专业基金经理在长时间内击败了索引。沃伦·巴菲特（Warren Buffett），乔治·索罗斯（George Soros），彼得·林奇（Peter Lynch）和比尔·米勒（Bill Miller）等投资者在很长一段时间内击败了市场，以至于幸运的是天文数字。这些回报是可验证的公共信息。

也有很多杰出的长期价值投资者。价值股票和增长股票往往具有相似的长期回报，每个股票都有赞成。最近，我们从1995 - 99年间拥有增长的价值，因此所有价值风格的投资似乎都很无聊，每个人都想要技术和所有高增长领域。从2000年至2006年，价值完全占据了很大的主导地位，以至于增长投资似乎很荒谬，每个人都希望资源，周期性，财务和股息股票。现在，在2007年，增长似乎开始再次接管。

价值和增长具有其周期和类似的长期回报。但是，当您查看长期杰出投资者时，他们几乎都是有价值的投资者。例如，里克·吉林（Rick Guerin）从1965年到1983年（19年）管理了太平洋伙伴基金，平均每年为32.9％，而标准普尔指数仅占7.8％。他每年都超过25％！然后是沃尔特·施洛斯（Walter Schloss），特威迪·布朗（Tw​​eedy Browne），查尔斯·芒格（Charles Munger），比尔·鲁安（Bill Ruane），还有许多最近的基金经理。

The unique point here is that all these managers are value style. The other 2 main investing styles, growth and momentum, rarely have a manager with long term large index-beating returns. This fact would seem to point to a systematic market inefficiency. The EMH cannot explain it.

我的卑鄙看法

My opinions about the Efficient Market Hypothesis (EMH) are not necessarily worth more than anyone else’s, but I have been reading and researching EMH for years. I’ve also heard many informed opinions about it.

我不得不说我相信“弱EMH”。为什么？

有很多证据表明市场相对有效，并非常快速，通常有效地吸收新信息。EMH不能完全被解雇。

However, while most information is available to everyone, most investors make investment decisions based on very little information (such as just recent returns) and often make their decisions primarily on emotional factors. The cognitive errors outlined in behavioural finance explain much of what really happens in the markets. Even professional investors are still human and also fall into these same traps.

Weak EMH claims that all technical analysis (charting) does not work except by luck. I believe that this is true for the most part. We’ve seen many people selling charting strategies, but have seen very few verifiable examples of anyone making a good return from them.

我认为有人看到一种可能实际上不存在的模式。我们认为人类的大多数模式实际上并不存在。学习时，随机库存运动通常看起来像一种模式。然后，一群投资者开始看到它并通过它进行投资，这实际上使模式发生了。然后，更多的人发现了它并识别模式并更快地购买，这使模式停止了工作。一旦它停止工作，看到它的工作人员就可以开始营销它。（如果运行良好，没有人会销售它。他们会把它保留在自己身上。）

从我们看到的情况来看，“半强EMH”的下一个级别令人怀疑。它声称基本分析不起作用，但是我们看到了太多基本分析的例子。第2部分中提到的所有杰出基金经理都将基本分析作为其价值风格的一部分。他们研究一家公司，以弄清楚它的真正价值，并且只有在比该价值低30-50％的情况下才购买。

作为财务顾问，我们所做的一部分是不断评估相互和对冲基金经理，以确定对我们的客户最好和最聪明的人。最有用的信息之一是基金经理对EMH的看法。击败该指数的基金经理通常对他们为何击败指数有非常有见地的意见。当然，许多人没有或没有意见来自他们阅读的东西。不击败指数的基金经理经常驳回EMH或声称这些指数对投资者来说太冒险了。

例如，我们的一位基金经理是一个价值风格的投资者，声称大多数股票在大多数情况下都是错误的。他们弄清楚公司的真正价值，并声称大多数股票的销售明显高于或低于其真正的内在价值。他们声称该市场倾向于珍视目前受欢迎的公司，但是不受欢迎的股票的售价通常远低于其价值。这是一个系统的市场效率低下，他们声称能够始终如一地利用（及其性能恢复）。

我们的另一个基金经理认为，市场指数确实是具有特定原则的共同基金。该索引购买了大型液体公司，几乎没有营业额，抛弃了失败者并拥有其获奖者 - 所有这些通常都在起作用。大多数共同的基金经理也相反。但是，这些索引的研究很少，因此他们通常拥有不良或劣等的公司。这位基金经理通过做索引做对的事情而不是他们做错了什么，从而系统地击败了索引。

另一位基金经理认为，有很多市场，而不仅仅是一个市场。不同的市场在不同程度上有效。美国拥有最有效的股票市场，还有许多其他国家，尤其是新兴市场的效率要降低。大型盖股票往往更紧密地遵循，因此比小帽股更高效。IPO通常是大量销售的，并且与成熟的公司相比，信息通常少，因此IPO的效率不如广泛的股票市场。这位基金经理通过购买被低估的公司并专注于效率较低的市场来击败指数。

Top fund managers often have these types of profound insights into the EMH and the systematic inefficiency that allows them to beat the index. This is why I don’t believe the “Semi-strong EMH” or “Strong EMH”. Fundamental analysis of stocks quite often produces better returns – much less than half the time but enough to prove it can be systematically done.

Much of the time, top performers were just lucky or their style just happened to be in favour, as EMH claims. However, a few skilled investors can identify and take advantage of systematic inefficiencies in the markets and are disciplined enough to take advantage of them.

既然您有了一般的理解，并且可能对EMH有意见，那么这如何影响您对如何有效投资的哲学？

了解您对EMH对不同策略的有效性的意义。例如，您的意见是否意味着技术分析（图表）值得做？如果没有，请不要浪费时间。这是否意味着基本分析可以胜过？然后在购买前进行更多分析。

EMH支持指数投资（或任何低成本多元化投资）。我们如何有效地使用它？

很少有顾问花时间衡量他们的表现，但值得做。更重要的是，无论您对EMH的看法如何，您可以采取的最好的投资步骤之一就是衡量您的绩效。

这是我的建议。无论您的策略如何，都可以选择您认为最能近似策略的索引组合。使其成为您的个人基准。例如，它可能是30％的TSX，30％的斯科舍邦债券宇宙，20％S＆P500和20％的MSCI世界。然后计算您的回报与此索引组合。这将告诉您您从主动管理中获得什么好处。如果您没有在更长的时间内击败可比的基准测试，请确保理解原因 - 并重新考虑投资策略。也许您应该使用索引或击败索引的人进行投资。

But here is the important part. Whenever you are considering a portfolio change, think about how that might affect your returns vs. your benchmark. Doing this will discourage rash, big bets and it will encourage you to remain invested and diversified.

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