{"title":"如果它不是作为“市场完整性度量”构建的,那么它就不是一个市场完整性度量","authors":"Oghenovo A. Obrimah","doi":"10.2139/ssrn.3378818","DOIUrl":null,"url":null,"abstract":"In absence of metrics for assessing each of `incompleteness' properties of stock markets, and `completeness' properties of new issues of equity (combined, `market completeness, equivalently, incompleteness metrics (MIM)'), regardless of market efficiency and presence of fully rational agents, the probability of a positive stock market return is no greater than that of a pure chance event. In presence of MIM, while stock returns are not monotone increasing, they are strictly positive. Formal predictions do not find any evidence for proxies for MIM within stock markets, show none of market betas, return correlations etc. are substitutes for market incompleteness metrics.","PeriodicalId":251522,"journal":{"name":"Risk Management & Analysis in Financial Institutions eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"11","resultStr":"{\"title\":\"If It Is Not Constructed As a ‘Market Completeness Metric,’ It Is Not a Market Completeness Metric\",\"authors\":\"Oghenovo A. Obrimah\",\"doi\":\"10.2139/ssrn.3378818\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In absence of metrics for assessing each of `incompleteness' properties of stock markets, and `completeness' properties of new issues of equity (combined, `market completeness, equivalently, incompleteness metrics (MIM)'), regardless of market efficiency and presence of fully rational agents, the probability of a positive stock market return is no greater than that of a pure chance event. In presence of MIM, while stock returns are not monotone increasing, they are strictly positive. Formal predictions do not find any evidence for proxies for MIM within stock markets, show none of market betas, return correlations etc. are substitutes for market incompleteness metrics.\",\"PeriodicalId\":251522,\"journal\":{\"name\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-01-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"11\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Risk Management & Analysis in Financial Institutions eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3378818\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Risk Management & Analysis in Financial Institutions eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3378818","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
If It Is Not Constructed As a ‘Market Completeness Metric,’ It Is Not a Market Completeness Metric
In absence of metrics for assessing each of `incompleteness' properties of stock markets, and `completeness' properties of new issues of equity (combined, `market completeness, equivalently, incompleteness metrics (MIM)'), regardless of market efficiency and presence of fully rational agents, the probability of a positive stock market return is no greater than that of a pure chance event. In presence of MIM, while stock returns are not monotone increasing, they are strictly positive. Formal predictions do not find any evidence for proxies for MIM within stock markets, show none of market betas, return correlations etc. are substitutes for market incompleteness metrics.