効率的市場仮説

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出典: フリー百科事典『ウィキペディア（Wikipedia）』 (2024/05/14 20:54 UTC 版)

効率的市場の証券集団訴訟への応用

効率的市場の理論は証券集団訴訟の分野で実問題に応用されている。効率的市場理論は、「市場に対する詐欺理論」と共に証券集団訴訟の正当化および被害見積もりのメカニズムとして用いられている^[67]。ハリバートン事件の最高裁訴訟では、証券集団訴訟を支持する効率的市場理論の仕様が認められた。ジョン・ロバーツ最高裁判事は「最高裁判決は、あまりにも効率的市場理論に依存しているとはいえ、『利用可能な直接証拠』を許す『基本』の判決に則っている」と述べている^[68]。

脚注

^ ^a ^b ^c Fama, Eugene (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”. Journal of Finance 25 (2): 383–417. doi:10.2307/2325486. JSTOR 2325486.
^ ^a ^b http://www.investopedia.com/articles/basics/04/022004.asp
^ Fox, Justin (2009). Myth of the Rational Market. Harper Business. ISBN 0-06-059899-9
^ ^a ^b Nocera, Joe (2009年6月5日). “Poking Holes in a Theory on Markets”. New York Times 2009年6月8日閲覧。
^ ^a ^b Lowenstein, Roger (2009年6月7日). “Book Review: 'The Myth of the Rational Market' by Justin Fox”. Washington Post 2011年8月5日閲覧。
^ Desai, Sameer (2011年3月27日). “Efficient Market Hypothesis”. オリジナルの2011年6月6日時点におけるアーカイブ。 2011年6月2日閲覧。
^ Kirman, Alan. "Economic theory and the crisis." Voxeu. 14 November 2009.
^ See Working (1934), Cowles and Jones (1937), and Kendall (1953), and later Brealey, Dryden and Cunningham.
^ ^a ^b Fox J. (2002). Is The Market Rational? No, say the experts. But neither are you—so don't go thinking you can outsmart it. Fortune.
^ ^a ^b
Empirical papers questioning EMH:
- Francis Nicholson. Price-Earnings Ratios in Relation to Investment Results. Financial Analysts Journal. Jan/Feb 1968:105–109.
- Sanjoy Basu. (1977). Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A test of the Efficient Markets Hypothesis. Journal of Finance 32:663–682.
- Rosenberg B, Reid K, Lanstein R. (1985). Persuasive Evidence of Market Inefficiency. Journal of Portfolio Management 13:9–17.
^ ^a ^b Fama E, French K. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance 47:427–465
^ Beechey M, Gruen D, Vickrey J. (2000). The Efficient Markets Hypothesis: A Survey. Reserve Bank of Australia.
^ Cootner (ed.), Paul (1964). The Random Character of StockMarket Prices. MIT Press
^ Fama, Eugene (1965). “The Behavior of Stock Market Prices”. Journal of Business 38: 34–105. doi:10.1086/294743.
^ Samuelson, Paul (1965). “Proof That Properly Anticipated Prices Fluctuate Randomly”. Industrial Management Review 6: 41–49.
^ Market Sense and Nonsense: How the Markets Really Work (and How They Don't) - Jack D. Schwager
^ Collin Read. The Efficient Market Hypothesists: Bachelier, Samuelson, Fama, Ross, Tobin, and Shiller
^ “The efficient market hypothesis: problems with interpretations of empirical tests” (PDF) (English). 2017年3月25日閲覧。
^ Jung, Jeeman; Shiller, Robert (2005). “Samuelson's Dictum And The Stock Market”. Economic Inquiry 43 (2): 221–228. doi:10.1093/ei/cbi015.
^ Fidelity. "2015 Stock Market Outlook", a sample outlook report by a brokerage house.
^ McKinsey Insights & Publications. "Insights & Publications".
^ Saad, Emad W., Student Member, IEEE; Prokhorov, Danil V. Member , IEEE; and Wunsch,II, Donald C. Senior Member, IEEE (November 1998). “Comparative Study of Stock Trend Prediction Using Time Delay, Recurrent and Probabilistic Neural Networks”. IEEE Transactions on Neural Networks 9 (6): 1456–1470. doi:10.1109/72.728395. PMID 18255823.
^ Granger, Clive W. J. & Morgenstern, Oskar (5 May 2007). “Spectral Analysis Of New York Stock Market Prices”. Kyklos 16 (1): 1–27. doi:10.1111/j.1467-6435.1963.tb00270.x.
^ Kleinberg, Jon; Tardos, Eva (2005). Algorithm Design. Addison Wesley. ISBN 0-321-29535-8
^ Nisan, Roughgarden, Tardos, Vazirani (2007). Algorithmic Game Theory. Cambridge University Press. ISBN 0-521-87282-0
^ Zunino, L.: Bariviera, A.F.: Guercio, M.B; Martinez, L.B., Rosso, O.A. On the efficiency of sovereign bond markets, Physica A, Vol. 391, pp. 4342-4349, doi:10.1016/j.physa.2012.04.009
^ Bariviera, A.F.; Zunino, L; Guercio, M.B.; Martinez, L.B.; Rosso, O.A. Revisiting the European sovereign bonds with a permutation-information- theory approach, Eur. Phys. J. B. (2014), 86:509, doi:10.1140/epjb/e2013-40660-7
^ Grossman, Sanford J; Stiglitz, Joseph E (1980), “On the impossibility of informationally efficient markets”, The American Economic Review 70 (3): 393-408, JSTOR 1805228, https://jstor.org/stable/1805228
^ Fama, Eugene F. (1991), “Efficient capital markets: II”, The Journal of Finance 46 (5): 1575-1617, doi:10.1111/j.1540-6261.1991.tb04636.x, JSTOR 2328565, https://jstor.org/stable/2328565
^ ^a ^b Shiller, Robert (2005). Irrational Exuberance (2d ed.). Princeton University Press. ISBN 0-691-12335-7
^ Burton G. Malkiel (2006). A Random Walk Down Wall Street. ISBN 0-393-32535-0. p.254.
^ http://www.businessinsider.com/warren-buffett-on-efficient-market-hypothesis-2010-12
^ “Seasonal Asset Allocation: Evidence from Mutual Fund Flows by Mark J. Kamstra, Lisa A. Kramer, Maurice D. Levi, Russ Wermers :: SSRN”. Social Science Research Network. 2016年8月17日閲覧。
^ Chan, Kam C.; Gup, Benton E. & Pan, Ming-Shiun (4 Mar 2003). “International Stock Market Efficiency and Integration: A Study of Eighteen Nations”. Journal of Business Finance & Accounting 24 (6): 803–813. doi:10.1111/1468-5957.00134.
^ Dreman David N. & Berry Michael A. (1995). “Overreaction, Underreaction, and the Low-P/E Effect”. Financial Analysts Journal 51 (4): 21–30. doi:10.2469/faj.v51.n4.1917.
^ Ball R. (1978). Anomalies in Relationships between Securities' Yields and Yield-Surrogates. Journal of Financial Economics 6:103–126
^ Dreman D. (1998). Contrarian Investment Strategy: The Next Generation. Simon and Schuster.
^ DeBondt, Werner F.M. & Thaler, Richard H. (1985). “Does the Stock Market Overreact”. Journal of Finance 40: 793–805. doi:10.2307/2327804.
^ ^a ^b Fama, E; French, K (1996). “Multifactor explanation of asset pricing anomalies”. Journal of Finance 51 (1): 55–84. doi:10.1111/j.1540-6261.1996.tb05202.x.
^ Chopra, Navin; Lakonishok, Josef; & Ritter, Jay R. (1985). “Measuring Abnormal Performance: Do Stocks Overreact”. Journal of Financial Economics 31 (2): 235–268. doi:10.1016/0304-405X(92)90005-I.
^ Jegadeesh, N; Titman, S (1993). “Returns to Buying winners and selling losers: Implications for stock market efficiency”. Journal of Finance 48 (1): 65–91. doi:10.1111/j.1540-6261.1993.tb04702.x.
^ Jegadeesh, N; Titman, S (2001). “Profitability of Momentum Strategies: An evaluation of alternative explanations”. Journal of Finance 56 (2): 699–720. doi:10.1111/0022-1082.00342.
^ Fama, E; French, K (2008). “Dissecting Anomalies”. Journal of Finance 63 (4): 1653–78. doi:10.1111/j.1540-6261.2008.01371.x.
^ Harrod, R. F. (1951). The Life Of John Maynard Keynes
^ Investment Opportunities in China - YouTube. July 16, 2007. (34:15 mark)
^ Hebner, Mark (2005年8月12日). “Step 2: Nobel Laureates” (English). Index Funds: The 12-Step Program for Active Investors. Index Funds Advisors, Inc.. 2005年10月14日時点のオリジナルよりアーカイブ。2005年8月12日閲覧。
^ Thaler RH. (2008). 3Q2008 Archived 2009年3月20日, at the Wayback Machine.. Fuller & Thaler Asset Management.
^ “Good Day Sunshine: Stock Returns and the Weather by David A. Hirshleifer, Tyler Shumway :: SSRN” (English). Social Science Research Network. 2016年8月17日閲覧。
^ “A Non-Random Walk Down Wall Streeｔ” (English). Princeton University Press. 2017年3月20日閲覧。
^ Friedman, Milton (1953), The Case for Flexible Exchange Rates in Essays in Positive Economics, Chicago: The University of Chicago Press
^ Shleifer, Andrei; Vishny, Robert W. (1997), “The limits of arbitrage”, The Journal of Finance 52 (1): 35-55, doi:10.1111/j.1540-6261.1997.tb03807.x
^ Barberis, Nicholas C.; Thaler, Richard H. (2003), “A survey of behavioral finance”, in Constantinides, George M.; Harris, Milton; Stulz, René M., Handbook of the Economics of Finance 1, Elsevier, pp. 1053-1128, doi:10.1016/S1574-0102(03)01027-6, ISBN 9780444513632
^ Hurt III, Harry (2010年3月19日). “The Case for Financial Reinvention”. The New York Times 2010年3月29日閲覧。
^ Quiggin, John (2013年4月16日). “The Bitcoin Bubble and a Bad Hypothesis”. The National Interest. オリジナルの2014年10月22日時点におけるアーカイブ。
^ K.M. Lui and T.T.L Chong, "Do Technical Analysts Outperform Novice Traders: Experimental Evidence" Economics Bulletin. 33(4), 3080-3087, 2013.
^ Hoffman, Greg (2010年7月14日). “Paul the octopus proves Buffett was right”. Sydney Morning Herald 2010年8月4日閲覧。
^ Malkiel, A Random Walk Down Wall Street, 1996
^ “Sun finally sets on notion that markets are rational”. The Globe and Mail. (2009年7月7日) 2009年7月7日閲覧。
^ Paul Volcker (2011年10月27日). “Financial Reform: Unfinished Business”. New York Review of Books 2011年11月22日閲覧。
^ Siegel, Laurence B. (2010). “Black Swan or Black Turkey? The State of Economic Knowledge and the Crash of 2007–2009”. Financial Analysts Journal 66 (4): 6–10. doi:10.2469/faj.v66.n4.4. Quote on p. 7.
^ “Has 'guiding model' for global markets gone haywire?” (English). Jerusalem Post. (2009-June-11) 2009-June-17閲覧。 ^{[リンク切れ]}
^ “Investors are finally seeing the nonsense in the efficient market theory” (English). The Telegraph (2009-Jun-17). 2017年3月30日閲覧。
^ “After the Blowup”. The New Yorker. (2010年1月11日) 2010年1月12日閲覧。
^ Jon E. Hilsenrath, Stock Characters: As Two Economists Debate Markets, The Tide Shifts Archived 2012年4月6日, at the Wayback Machine.. Wall Street Journal 2004
^ Michael Simkovic, "Secret Liens and the Financial Crisis of 2008", American Bankruptcy Law Journal 2009
^ Michael Simkovic, "Competition and Crisis in Mortgage Securitization"
^ http://www.nytimes.com/2014/06/29/your-money/are-markets-efficient-even-the-supreme-court-is-weighing-in.html?_r=0
^ http://www.nytimes.com/2014/06/24/business/Justices-rule-on-class-actions-for-securities-fraud.html

参考文献

Bogle, John (1994). Bogle on Mutual Funds: New Perspectives for the Intelligent Investor, Dell, ISBN 0-440-50682-4
Hebner, Mark T. (2007), Index Funds: The 12-Step Program for Active Investors, IFA Publishing, 2007, ISBN 0-9768023-0-9
Cowles, Alfred; H. Jones (1937). “Some A Posteriori Probabilities in Stock Market Action”. Econometrica 5 (3): 280–294. doi:10.2307/1905515. JSTOR 1905515.
Jones, Steven L.; Netter, Jeffry M. (2008). "Efficient Capital Markets". In David R. Henderson (ed.). Concise Encyclopedia of Economics (2nd ed.). Indianapolis: Library of Economics and Liberty. ISBN 978-0865976658. OCLC 237794267。
Kendall, Maurice. “The Analysis of Economic Time Series”. Journal of the Royal Statistical Society 96: 11–25.
Khan, Arshad M. (1986). “Conformity with Large Speculators: A Test of Efficiency in the Grain Futures Market”. Atlantic Economic Journal 14 (3): 51–55. doi:10.1007/BF02304624.
Lo, Andrew and MacKinlay, Craig (2001). A Non-random Walk Down Wall St. Princeton Paperbacks
Malkiel, Burton G. (1987). "efficient market hypothesis," The New Palgrave: A Dictionary of Economics, v. 2, pp. 120–23.
Malkiel, Burton G. (1996). A Random Walk Down Wall Street, W. W. Norton, ISBN 0-393-03888-2
Samuelson, Paul (1972). "Proof That Properly Anticipated Prices Fluctuate Randomly." Industrial Management Review, Vol. 6, No. 2, pp. 41–49. Reproduced as Chapter 198 in Samuelson, Collected Scientific Papers, Volume III, Cambridge, M.I.T. Press.
Sharpe, William F. "The Arithmetic of Active Management"
Working, Holbrook (1960). “Note on the Correlation of First Differences of Averages in a Random Chain”. Econometrica 28 (4): 916–918. doi:10.2307/1907574. JSTOR 1907574.

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効率的市場仮説効率的市場の証券集団訴訟への応用

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効率的市場の証券集団訴訟への応用

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効率的市場仮説

効率的市場の証券集団訴訟への応用

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