Eficiência de Mercado, Não-Arbitragem - Propriedades Mágicas?
Com o extremamente merecido Nobel desse ano, voltaram ao foco as discussões sobre a validade do conceito de eficiência de mercado e a aparente contradição entre um prêmio dado simultaneamente a Fama e Shiller.
O problema é que são erroneamente atribuídas propriedades mágicas ao conceitos de eficiência de mercado e não-arbitragem. A principal mágica é que sobre a validade desses conceitos não poderiam existir crises, o mercado estaria sempre em equilíbrio e não poderiam existir bolhas. Parte do problema vem de um desconhecimento da teoria, e parte do problema é que muitas condições teóricas e matemáticas desses conceitos só foram recentemente resolvidas. Em especial a importância de local martingales e a diferença entre a modelagem em tempo contínuo x tempo discreto.
Dois artigos relativamente recentes ajudam a entender esses conceitos corretamente:
Jarrow, Robert A. e AU - Larsson, Martin - THE MEANING OF MARKET EFFICIENCY
Mathematical Finance, 22, 1
"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."
E acho que especialmente relevante é o artigo de Robert Jarrow, Philip Protter, Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory, Finance Research Letters, Volume 9, Issue 2, June 2012, Pages 58-62
In economic theory, both discrete and continuous time models are commonly believed to be equivalent in the sense that one can always be used to approximate the other, or equivalently, any phenomena
present in one is also present in the other. This common belief is misguided. Both (strict) local martingales and singular processes exist in continuous time, but not in discrete time models.
More importantly, their existence reflects real economic phenomena related to arbitrage opportunities, large traders, asset price bubbles, and market efficiency. And as an approximation to trading opportunities in real markets, continuous trading provides a better fit and should be the preferred modeling approach for asset pricing theory.
Aproveitando, o Rodrigo de Losso escreveu um material muito bom sobre as contribuições de Fama e Hansen.
O problema é que são erroneamente atribuídas propriedades mágicas ao conceitos de eficiência de mercado e não-arbitragem. A principal mágica é que sobre a validade desses conceitos não poderiam existir crises, o mercado estaria sempre em equilíbrio e não poderiam existir bolhas. Parte do problema vem de um desconhecimento da teoria, e parte do problema é que muitas condições teóricas e matemáticas desses conceitos só foram recentemente resolvidas. Em especial a importância de local martingales e a diferença entre a modelagem em tempo contínuo x tempo discreto.
Dois artigos relativamente recentes ajudam a entender esses conceitos corretamente:
Jarrow, Robert A. e AU - Larsson, Martin - THE MEANING OF MARKET EFFICIENCY
Mathematical Finance, 22, 1
"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."
E acho que especialmente relevante é o artigo de Robert Jarrow, Philip Protter, Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory, Finance Research Letters, Volume 9, Issue 2, June 2012, Pages 58-62
In economic theory, both discrete and continuous time models are commonly believed to be equivalent in the sense that one can always be used to approximate the other, or equivalently, any phenomena
present in one is also present in the other. This common belief is misguided. Both (strict) local martingales and singular processes exist in continuous time, but not in discrete time models.
More importantly, their existence reflects real economic phenomena related to arbitrage opportunities, large traders, asset price bubbles, and market efficiency. And as an approximation to trading opportunities in real markets, continuous trading provides a better fit and should be the preferred modeling approach for asset pricing theory.
Aproveitando, o Rodrigo de Losso escreveu um material muito bom sobre as contribuições de Fama e Hansen.
posted by Márcio Laurini at 11:28 AM
1 Comments:
Obrigado pela generosidade.
De Losso.
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