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Efficient Market Hypothesis (EMH)

有效市场假说（Efficient Market Hypothesis，EMH）

Overview

概述

The Efficient Market Hypothesis (Fama, 1970) posits that asset prices fully reflect available information, making it impossible to consistently earn abnormal returns. EMH is organized into three forms — weak, semi-strong, and strong — each defined by the information set reflected in prices.
有效市场假说（Efficient Market Hypothesis，Fama，1970）认为，资产价格能够完全反映所有可用信息，因此持续获得超额收益是不可能的。EMH分为弱式、半强式和强式三种形态，每种形态由价格所反映的信息集定义。

When to Use

适用场景

  • Evaluating whether a trading strategy exploits genuine inefficiency
  • Designing event studies (semi-strong form test)
  • Assessing if active management adds value over passive indexing
  • Debating the validity of technical or fundamental analysis
  • 评估某一交易策略是否利用了真实的市场无效性
  • 设计事件研究（半强式检验）
  • 评估主动管理是否比被动指数投资更具价值
  • 探讨技术分析或基本面分析的有效性

When NOT to Use

不适用场景

  • As justification to ignore all market anomalies without investigation
  • When markets are clearly illiquid or informationally segmented
  • For normative claims — EMH describes price behavior, not what prices "should" be
  • 作为无需调查就忽略所有市场异象的理由
  • 市场明显缺乏流动性或信息存在分割的情况
  • 用于规范性主张——EMH描述的是价格行为，而非价格“应该”处于何种水平

Assumptions

假设条件

IRON LAW: In an efficient market, prices reflect available information —
beating the market consistently requires either superior information
or accepting more risk. No free lunch.
Key assumptions:
  1. Large number of rational, profit-maximizing participants
  2. Information is costless and available simultaneously to all participants
  3. Transaction costs do not prevent trading on information
  4. Investors react quickly and unbiasedly to new information
IRON LAW: In an efficient market, prices reflect available information —
beating the market consistently requires either superior information
or accepting more risk. No free lunch.
核心假设：
  1. 存在大量理性、追求利润最大化的市场参与者
  2. 信息免费且同时提供给所有参与者
  3. 交易成本不会阻碍基于信息的交易
  4. 投资者能够快速、无偏地对新信息做出反应

Methodology

方法论

Step 1 — Identify the Information Set

步骤1 — 确定信息集

  • Weak form: past prices and trading volume only
  • Semi-strong form: all publicly available information
  • Strong form: all information including private/insider information
  • 弱式：仅包含历史价格和交易量
  • 半强式：包含所有公开可用信息
  • 强式：包含所有信息，包括私有/内幕信息

Step 2 — Determine the Testable Implication

步骤2 — 确定可检验的推论

FormInformation ReflectedImplication
WeakHistorical pricesTechnical analysis cannot earn excess returns
Semi-strongAll public infoFundamental analysis cannot earn excess returns
StrongAll info (public + private)Even insiders cannot earn excess returns
形态反映的信息推论
弱式历史价格技术分析无法获得超额收益
半强式所有公开信息基本面分析无法获得超额收益
强式所有信息（公开+私有）即使内幕人士也无法获得超额收益

Step 3 — Select Appropriate Test

步骤3 — 选择合适的检验方法

  • Weak: autocorrelation tests, runs tests, filter rules
  • Semi-strong: event studies (abnormal returns around announcements)
  • Strong: insider trading profitability studies
  • 弱式：自相关检验、游程检验、过滤法则
  • 半强式：事件研究（公告前后的超额收益）
  • 强式：内幕交易盈利能力研究

Step 4 — Interpret Results with Joint-Hypothesis Awareness

步骤4 — 结合联合假说明确性解读结果

Any test of efficiency is simultaneously a test of the asset pricing model used to define "abnormal" return.
任何有效性检验同时也是对用于定义“超额”收益的资产定价模型的检验。

Output Format

输出格式

markdown
undefined
markdown
undefined

EMH Assessment: [Market / Strategy]

EMH评估：[市场 / 策略]

Efficiency Form Tested

检验的有效性形态

  • Form: [weak / semi-strong / strong]
  • Information set: [description]
  • 形态：[弱式 / 半强式 / 强式]
  • 信息集：[描述]

Evidence

证据

TestResultSupports Efficiency?
[test name][finding][Yes/No/Ambiguous]
检验方法结果是否支持有效性？
[检验名称][发现][是/否/不明确]

Known Anomalies in This Context

此场景下的已知异象

  • [List relevant anomalies and their current status]
  • [列出相关异象及其当前状态]

Conclusion

结论

  • [Efficiency assessment with caveats]
  • [Joint-hypothesis caveat]
undefined
  • [带有说明的有效性评估]
  • [联合假说说明]
undefined

Gotchas

注意事项

  • Joint-hypothesis problem: you cannot test efficiency without assuming an equilibrium model
  • Grossman-Stiglitz paradox (1980): if markets are perfectly efficient, no one has incentive to gather information
  • Anomalies (momentum, value, size) persist but may reflect risk or data mining
  • EMH does not claim prices are always "correct" — only that mispricings are not systematically exploitable
  • Market efficiency varies by market segment; large-cap equities are more efficient than micro-caps
  • Behavioral finance provides systematic counterexamples but does not necessarily invalidate EMH
  • 联合假说问题：若不假设一个均衡模型，就无法检验有效性
  • Grossman-Stiglitz悖论（1980）：如果市场完全有效，那么没有人有动力去收集信息
  • 异象（动量、价值、规模效应）持续存在，但可能反映了风险或数据挖掘问题
  • EMH并非声称价格始终“正确”——只是认为错误定价无法被系统性利用
  • 市场有效性因市场板块而异；大盘股比小盘股更具有效性
  • 行为金融学提供了系统性反例，但不一定能推翻EMH

References

参考文献

  • Fama, E. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25(2), 383-417.
  • Grossman, S. & Stiglitz, J. (1980). On the impossibility of informationally efficient markets. American Economic Review, 70(3), 393-408.
  • Malkiel, B. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59-82.
  • Fama, E. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25(2), 383-417.
  • Grossman, S. & Stiglitz, J. (1980). On the impossibility of informationally efficient markets. American Economic Review, 70(3), 393-408.
  • Malkiel, B. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59-82.