Alphanomics: The Informational Underpinnings of Market Efficiency is a concise guide to academic research on market efficiency, behavioral finance, and fundamental analysis. The authors dedicate this book to decision-driven and prospectively-focused research, which is much needed in a constantly evolving market seeking greater efficiency. They describe this type of research as Alphanomics, the informational economics behind market efficiency. Alpha refers to abnormal returns, which provide an incentive for some investors to acquire information and engage in costly arbitrage activities. Nomics refers to the economics of alpha extraction, including the costs and incentives of information arbitrage as a sustainable business proposition.
The book addresses several questions, including why we believe markets are efficient, what problems this belief has engendered, what factors can impede or facilitate market efficiency, and what roles investor sentiment and costly arbitrage play in determining an equilibrium level of informational efficiency. It also delves into the essence of value investing and its relationship to fundamental analysis, as well as the differentiation between risk and mispricing-based explanations for predictability patterns in returns.
The first two sections review the evolution of academic thinking on market efficiency and introduce the noise trader model as a rational alternative. Section 3 surveys the literature on investor sentiment and its role as a source of both risks and returns. Section 4 discusses the role of fundamental analysis in value investing. Section 5 reviews the literature on limits to arbitrage, while Section 6 discusses research methodology issues associated with the need to distinguish mispricing from risk.
李勉群(CharlesM.C.Lee),斯坦福大学商学院MoghadamFamily管理学讲席教授与会计学教授,长期致力于基本面量化和投资者行为的教学、研究与实践;在会计学、金融学和经济学领域的顶级学术期刊上发表了大量关于量化投资、行为金融和权益估值方面的论文,为相关学科领域做出了巨大贡献。苏子英(EricC.So),麻省理工学院斯隆管理学院经济学、金融学和会计学SarofimFamilyCareerDevelopment副教授。研究兴趣主要包括权益估值、资产定价、套利限制和市场微观结构等,重点关注影响市场价格信息含量的因素和机制。
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