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1、FinalPDFtoprinterCHAPTERTWELVEBehavioralFinance12andTechnicalAnalysisTHEEFFICIENTMARKET?hypothesismakesreflectriskpremiumsnotcapturedbysimpletwoimportantpredictions.First,itimpliesmodelsofriskandreturn,oreveniftheythatsecuritypricesproperlyreflectwhatevermerelyreflectdata

2、mining.Moreover,theinformationisavailabletoinvestors.Asecondapparentinabilityofthetypicalmoneyman-implicationfollowsimmediately:Activetrad-agertoturntheseanomaliesintosuperiorerswillfinditdifficulttooutperformpassivereturnsonactualportfolioscastsadditionalstrategiessuchas

3、holdingmarketindexes.Todoubtontheir“reality.”dosowouldrequiredifferentialinsight;thisArelativelynewschoolofthought,behav-inahighlycompetitivemarketisveryhardtoioralfinance,arguesthatthesprawlinglitera-comeby.tureontradingstrategieshasmissedalargerUnfortunately,itishardtod

4、evisemeasuresandmoreimportantpointbyoverlookingofthe“true”orintrinsicvalueofasecurity,thefirstimplicationofefficientmarkets—theandcorrespondinglydifficulttotestdirectlycorrectnessofsecurityprices.Thismaybethewhetherpricesmatchthosevalues.Therefore,moreimportantimplication

5、,becausemarketmosttestsofmarketefficiencyhavefocusedeconomiesrelyonpricestoallocateresourcesontheperformanceofactivetradingstrate-efficiently.Thebehavioralschoolarguesthatgies.Thesetestshavebeenoftwokinds.Theevenifsecuritypricesarewrong,toexploitanomaliesliteraturehasexam

6、inedstrate-themstillcanbedifficultand,therefore,thegiesthatapparentlywouldhaveprovidedfailuretouncoverobviouslysuccessfultrad-superiorrisk-adjustedreturns(e.g.,investingingrulesortraderscannotbetakenasproofinstockswithmomentumorinvalueratherofmarketefficiency.thanglamours

7、tocks).OthertestshavelookedWhereasconventionaltheoriespresumeattheresultsofactualinvestmentsbyaskingthatinvestorsarerational,behavioralfinancewhetherprofessionalmanagershavebeenstartswiththeassumptionthattheyarenot.abletobeatthemarket.Wewillexaminesomeoftheinformation-Nei

8、therclassoftestshasprovenfullycon-processingandbehavioralirrationalitiesclusive.Theanomalieslite