问一个关于EMH的问题，请不要鄙视

Fama的Effective Market Hypothesis认为很多投资者在孜孜不倦的寻找市场错误，所以导致市场有效从而无法长期获得+alpha。

那假定一个投资者（比如buffett？）或者一家公司（比如AQR？）一直能够寻找到市场的定价错误而获得+alpha并同时促使市场更有效，这是对EMH的支持还是反对？

这不跟无套利假设一样么  支持撒

kelvinwhu 发表于 2012-6-5 08:24
这不跟无套利假设一样么  支持撒

可是这样产生的结果不是跟“没有人能长久战胜市场”的结论违背的吗？

If there exists an investor of such, there is evidence that EMH is wrong. Otherwise there is NO EVIDENCE that EMH is wrong.

P.S. None of Berkshire Hathaway, AQR, or RenTech can constantly beat the market. An 'unbeatable' market is strong form efficient according to EMH but the current financial market is weak form/semi-strong form efficient, which leaves investor some arbitrage opportunities.

hangli2 发表于 2012-6-6 15:28
If there exists an investor of such, there is evidence that EMH is wrong. Otherwise there is NO EVID ...

THANK YOU VERY MUCH!

hangli2 发表于 2012-6-6 15:28
If there exists an investor of such, there is evidence that EMH is wrong. Otherwise there is NO EVID ...

yet what is your criterion for " constantly beat the market"? Is Buffett or Simons still not ?  

JESSECHEN8888 发表于 2012-6-6 17:36
yet what is your criterion for " constantly beat the market"? Is Buffett or Simons still not ?

MOST OF THE TIME, they outperform the market.

but one has to outperform the market in EVERY SINGLE TRADE to beat EMH, or I can conclude that they are just lucky

hangli2 发表于 2012-6-6 18:17
MOST OF THE TIME, they outperform the market.

but one has to outperform the market in EVERY SIN ...

You can't be serious. I will stay at home and wait "lucky" make me become the richest people in the world.

JESSECHEN8888 发表于 2012-6-6 20:54
You can't be serious. I will stay at home and wait "lucky" make me become the richest peo ...

flip a coin 20 times and you can expect somebody who will get 20 heads up. cheers.

hangli2 发表于 2012-6-7 01:13
flip a coin 20 times and you can expect somebody who will get 20 heads up. cheers.

Oaa, again, fooled by randomness.  In theory, you are right. But don't forget Simons was one of the best  mathematicians, do you think he didn't know this before applied his aggressive strategy? Come on, he must knew what he is doing and won't anchor his hope on small probability event.