the Grossman-stigliz paradox 发表评论(0) 编辑词条
If we make the following two assumptions:
1. Prices are right (i.e. the market is efficient)
2. Researching securities costs time and energy
Then:
1. If prices ARE right, why would you spend time and energy researching securities?
2. If prices ARE right, and therefore you DON’T spend time and energy researching securities, then how did prices get right in the first place?
It is an interesting paradox, and actually is a knock on the strong form of efficient market hypothesis. I suppose that Dr. French’s discussion of this paradox in itself is a bit paradoxical on the surface since Fama and French believe in passive investing through DFA. However, Dr. French indicated that one possible solution is that there have to be only enough mispricings to tempt people into expending this time and energy. They believe this to be a futile endeavour – the reasons for which will be covered in future posts.
1. Prices are right (i.e. the market is efficient)
2. Researching securities costs time and energy
Then:
1. If prices ARE right, why would you spend time and energy researching securities?
2. If prices ARE right, and therefore you DON’T spend time and energy researching securities, then how did prices get right in the first place?
It is an interesting paradox, and actually is a knock on the strong form of efficient market hypothesis. I suppose that Dr. French’s discussion of this paradox in itself is a bit paradoxical on the surface since Fama and French believe in passive investing through DFA. However, Dr. French indicated that one possible solution is that there have to be only enough mispricings to tempt people into expending this time and energy. They believe this to be a futile endeavour – the reasons for which will be covered in future posts.
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