{"title":"有效市场假说的现代方法","authors":"Gabriel Frahm","doi":"10.2139/ssrn.2216104","DOIUrl":null,"url":null,"abstract":"Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it \"fully reflects\" or \"rapidly adjusts to\" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"42 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"A Modern Approach to the Efficient-Market Hypothesis\",\"authors\":\"Gabriel Frahm\",\"doi\":\"10.2139/ssrn.2216104\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it \\\"fully reflects\\\" or \\\"rapidly adjusts to\\\" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient.\",\"PeriodicalId\":250928,\"journal\":{\"name\":\"arXiv: General Finance\",\"volume\":\"42 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-02-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv: General Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2216104\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: General Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2216104","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Modern Approach to the Efficient-Market Hypothesis
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient.