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segunda-feira, abril 16, 2012

Leitura do Dia - THE MEANING OF MARKET EFFICIENCY

Mathematical Finance, Vol. 22, No. 1 (January 2012), 1–30

THE MEANING OF MARKET EFFICIENCY

ROBERT A. JARROW AND MARTIN LARSSON

Cornell University

Fama defined an efficient market as one in which prices always “fully reflect” available information. This paper formalizes this definition and provides various characterizations
relating to equilibrium models, profitable trading strategies, and equivalent martingale measures. These various characterizations facilitate new insights and theorems
relating to efficient markets. In particular, we overcome a well-known limitation in tests for market efficiency, i.e., the need to assume a particular equilibrium asset
pricing model, called the joint-hypothesis or bad-model problem. Indeed, we show that an efficient market is completely characterized by the absence of both arbitrage
opportunities and dominated securities, an insight that provides tests for efficiency that are devoid of the bad-model problem. Other theorems useful for both the testing of
market efficiency and the pricing of derivatives are also provided.



Esse é um dos artigos mais importantes em finanças publicados nos últimos anos. Ele completa as relações entre a teoria de não-arbitragem e o conceito de eficiência de mercado, e vários outros pontos em aberto na teoria de finanças.

posted by Márcio Laurini at 12:37 PM

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Nome: Márcio Laurini

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