Efficient markets hypothesis. Problems of the securities market Efficiency of the securities market

Market principles valuable papers and its functions

The economy of the country and the world is a collection of different markets. The most significant ones can be identified among them. These are the markets for labor, products, services and finance. The latter includes several subsystems, one of which is the stock market or the securities market. It represents economic relations in terms of the issue, redistribution and disposal of securities.

All economic interactions in the market are carried out using an object - a security.

Remark 1

A security paper is a document of a strict form, of the established form. It has a dual nature. Acting as an object of transactions, the stock instrument itself has no value, however, expressed by it property right, creates its price.

Now the market uses securities that do not have physical expression. Usually the right of the owner assigned to them is registered in registries or depositories. All calculations are carried out without the use of documents, according to data provided by an organization that has passed state licensing.

The stock market, being one of the elements of the structure of the economic system, performs a number of functions that influence it. These include:

• accumulation money supply and capital;
• distribution of money between sectors of the economy or territories of the country;
• maintaining the country's budget by issuing bonds;
• stimulating the population and industry to invest;
• attracting foreign investment and creating an open market.

In addition, the stock market is an indicator of socio - economic trends in society. Securities, as a tool, allow you to rebuild production, the structure of economic ties between individual subjects.

In the scientific approach, it is customary to divide the stock market into subsystems. On primary market documents that have just been issued by issuers or are sold at a nominal price are wrapped. Secondary market trades stock instruments at real market value... Here, all operations are carried out on the sites of the stock exchange. Persons who have not passed the entry threshold for the exchange are active in the tertiary market. With the development and introduction of Internet technologies, electronic trading platforms where individuals who have not passed state licensing can participate.

Features of the Russian stock market

The formation of the securities market in Russia began after the collapse of the Soviet Union. It is a young and dynamic segment national economy... Unlike Western countries, where the first stocks appeared in the sixteenth century, in Russia the stock market is only now beginning to gain momentum.

The economic system of any country has its own specific properties, formed under the influence of certain historical and evolutionary stages of its development. In Russia, the transition to the market was abrupt, one might say spontaneous. It required a rapid transformation of old institutions and the formation of new economic relationships.

In Russia, the stock market was formed during the economic downturn accompanying the transition stage. The factors influencing the formation of the securities market at that time were:

• a sharp transition from a planned economy to a market economy;
• lack of a legal framework for this segment;
• the predominance of long-term little liquid types of securities;
• high degree of risk in an unstable economic situation;
• low level of operations;
• lack of a monitoring and regulatory system.

The market mainly used bills of exchange, certificates of deposit and bonds. The secondary stock market was underdeveloped and practically did not function.

Problems of the development of the securities market and ways to solve them

Defining role stock market in any country is to provide economic relations in all sectors of the economy. The development of the market creates conditions for attracting investments, infusion of funds and capital from abroad, which in turn contributes to the increase in economic development rates.

International studies have shown that the Russian stock market is not attractive for foreign capital... The attractiveness was assessed according to the following parameters: the degree of market openness; conditions for the import and export of funds; information accessibility; stability of the market structure; the development and efficiency of the market structure.

The Russian stock market also has such problems as:

• insufficient funding from operations in the securities market;
• small share of real capital in the financial market;
• lack of an efficient system of organizations that ensure the effective functioning of the market;
• imperfection of the legislative system capable of protecting the interests of all participants in transactions;
• non-compliance with rules and regulations accounting world standards.

The state is faced with tasks that need to be solved in order to increase the attractiveness of the Russian economy for investors.

Developed countries are characterized by the presence of a single central depository. This approach makes it possible to unify the actions for the accounting, storage and provision of information on securities. In Russia, many depositories have their own rules, and an investor must choose one. A large number of these organizations reduces the availability and transparency of asset movement information, making it difficult to enter the market foreign investors... In Russia, the largest depositories are owned by two monopolists, which complicates and lengthens the process of asset movement and reduces their liquidity.

Development of innovations in tax legislation Russia will allow attracting new investors. The introduction of preferential rates on income from financial transactions will allow you to determine the threshold value up to which the benefit will be valid. In addition, it is necessary to adjust the legislation regarding the taxation of fast transactions, transactions involving individuals, including operations that are unprofitable for an individual. Solving these issues will increase the stability of the country's financial market as a whole.

The Russian stock market is characterized by a large number of speculative transactions. The regulation of this field of activity will create an information field that can not only supply new players with the necessary data, but also allow tracking unfair transactions.

Remark 2

The revision of the legislative framework that controls the securities market will make it possible to remove conflicting legal acts, which in turn will have a beneficial effect on the efficiency of the market.

Market Efficiency is

Definitions efficient market(and different approaches to definitions) there are many. But recently, the following basic definition has crystallized: the market capital is effective if asset prices respond quickly to new information. Sometimes this definition is called narrow, implying that only the information efficiency of the market is meant.

Why should the market be efficient? There are usually three reasons for the explanation:

1. A large number of competing investors, independent of each other, operate on the market, each of which analyzes and evaluates assets independently.

2. New information comes to the market at random.

3. Competing investors are trying to quickly bring asset prices in line with the incoming information.

This alignment of the asset price with new information in an efficient market is not biased, although it may be imperfect. It sounds convoluted, but mathematically accurate. It means that the market can either overestimate the price of an asset in relation to new information, or, conversely, underestimate, but at the same time, on average (both in time and in terms of assets), the estimate will be correct (unbiased), and predict in advance when it will be overestimated, and when underestimated, it is impossible.

Bringing prices in line with incoming information requires the presence of a certain minimum number investors who constantly analyze information and enter into contracts in accordance with the results of the analysis. The more such investors are on the market, the more efficient it is. A large number aggressive investors trying to immediately bring the price of an asset in line with new information means a large volume trade... So the efficiency of the market grows with the growth of volumes. In addition, the market can be efficient in relation to some assets (liquid), and at the same time - ineffective in relation to others (low liquid).

Since in an efficient market new information quickly reflected in the price, the current asset reflects all the information already available. Consequently, the current price of an asset is always an unbiased estimate of all information related to a given asset, including the expected risk of owning that asset. Therefore, the expected profitability embedded in the price of an asset correctly reflects the expected risk. It follows from this that in an efficient market, current prices are always fair and change only under the influence of new information. One of the definitions of an efficient market is precisely that it is a market in which the prices of all assets are always fair.

Thus, in an efficient market, it is impossible to build any trading system nor an investment strategy that could provide more than what the market expects in accordance with the investment risk.

To answer the question of whether the real stock market is efficient, it was necessary to formulate a hypothesis of market efficiency (MER), and look for evidence that it is fair. Looking ahead, it can be noted that many studies support ERTs, but many also refute them, so the question of the effectiveness of the real market remains open. Since the question is extremely important from a practical point of view, you will have to pay more attention to it.

Market efficiency hypothesis (MER)

For the convenience of testing, the market efficiency hypothesis was formulated in three forms: weak, medium, and strong.

1. Weak form: current asset prices take into account all information about the past actions of market participants. That is, the history of transaction prices, quotes, trading volumes is taken into account - in general, all information related to asset trading. It is generally accepted that developed markets are poorly efficient. This implies the senselessness of using technical analysis - after all, it is based solely on market history.

2. Medium form: current asset prices include all publicly available information. The medium form of GER includes a weak one - after all, market information is publicly available. In addition, information was taken into account on the production and financial activities of companies - issuers of securities and on the general political and economic situation. That is, all information about the political structure, economic statistics and forecasts, information about profits and dividends of corporations is taken into account - everything that can be gleaned from publicly available sources of information. The average form of GER implies the senselessness of making investment decisions based on new information that appears (for example, publications financial statements organizations for the next quarter) - this information was included in prices immediately after it became publicly available.

3. Strong form: current asset prices include all information from both public and private sources. In addition to the publicly available, non-public (insider) information was also taken into account, which is available, for example, from managers of some firms regarding the prospects for this the organization... The strong form includes both the weak and the moderate form. , effective in a strong form, can be called perfect - it is understood that in general all information is publicly available, free of charge, and goes to all investors at the same time. In such a market, it makes no sense to make investment decisions even on the basis of confidential information.

Much effort has gone into verifying the validity of each form of ERT. Most of the research has been done on stocks traded on the stock market. the NYSE(). Moreover, stocks were selected for which there was full story bidding, i.e. liquid. And the higher liquidity a particular stock, the more reason to expect that the market for it will be effective. How to carry out similar research on illiquid assets is not very clear, and here the question remains open. Therefore, research results may be biased in favor of supporting ERTs.

We investigated the possibility of obtaining a statistically significant gain in comparison with a simple purchase of an asset at the beginning of the study period and sale at the end of it (the "buy and hold" strategy). Transactional expense- commissions and slippage (or the difference between dealer prices for buying and selling an asset).

In cases where asset selection or market slices by asset were investigated, a risk adjustment (beta) was made to prevent excess returns from simply increasing risk. Here excess return was defined as the difference between the actual return on investment and the return predicted on the basis of the CAPM, taking into account the beta of a particular stock. For example, in the investigated period the market is down 10% and the stock has a beta of 1.5. Then the projected yield based on the CAPM is -15%. If the actual profitability was -12%, then the excess profitability is + 3%.

It should be clarified once again that market efficiency is assumed on average - over time or over asset cut. Therefore, the effectiveness check was carried out on periods time exceeding several economic cycles... There are many investment and trading strategies that give a big payoff in a certain part of the business cycle, especially on the rise. In times of crisis or stagnation, these same strategies can generate losses. If a one-time sampling is carried out according to some parameter, then it was carried out on the maximum available set of assets.

Checking for a weak form of GER

To check the validity of the weak form of GER, two groups of tests were carried out.

1. Statistical checks. If the market is efficient, then there should be no correlation between asset returns at different time intervals, i.e. autocorrelation coefficient of the asset return rt, t-n ( correlations yield in the selected interval t and, separated from the first by n intervals for different n) should be close to zero. Studies on a wide range of assets have confirmed that this is the case - there were no statistically significant deviations from zero for autocorrelation coefficients.

In addition, a runs test was carried out for the random nature of the series of price changes. If the price of an asset rises in the selected interval, a plus sign is attributed to it, if it falls - a minus sign. Then prices in time look something like this: "+ - ++++ - ++ ----- ++++++ - + ..." (increases on the first day, decreases on the second, then increases four days in a row, etc.). It turned out that the distribution of the series of continuous repetitions of pluses and minuses does not differ from the random distribution (that is, the same series of "heads" and "tails" can be obtained by tossing a coin).

2. Trading strategies based on technical analysis. Two difficulties arose here. The first was that many of the technical analysis recommendations are based on subjective interpretation of the data (for example, on the same chart, some analysts see a head-and-shoulders formation, while others do not). The second is that you can think of an almost infinite variety of trading strategies, and it is impossible to test all of them. Therefore, only the most well-known strategies based on objective analysis data.

As a result, it turned out that the overwhelming majority of trading strategies do not give statistically significant gains compared to the “buy and hold” strategy. Of course, taking into account commissions - many "winning" strategies require a large number transactions, and as a result, the costs eat up all the additional winnings. Still, the results are not entirely unambiguous - several recent studies have shown the possibility of obtaining gains for some strategies. In general, the research confirms the widespread belief that well-known winning strategies do not give a win in a liquid market, but one can hope to “beat” the market by coming up with a new strategy. This can provide excess returns until a significant number of investors follow it.

Conclusions. Developed markets are weakly effective, but there is some evidence to suggest the possibility of ineffectiveness relative to some trading strategies based on technical analysis.

Checking the average form of GER

1. Publications of financial statements. Studies have shown that excess return on investment (positive) can be obtained by buying stocks after the release of quarterly reports in which profit the firm turns out to be higher than the average analystami expected. Moreover, if such a discrepancy exceeds 20%, then excess profitability in average profit increases the expense on commissions. According to the available statistics, 31% of excess growth occurs in the period before the announcement, 18% - on the day of the announcement, and 51% - in the period after the day of the announcement (the effect usually ends within 90 days). If the data is worse than expected (negative surprise), then the market reacts much faster, and it remains unclear whether it is possible to obtain excess returns by selling such shares short.

2. Calendar effects. It was noticed that in the United States at the end of the calendar year, many investors sell those shares for which they suffered the greatest losses in the past year - in order to get tax deductions... In the first week of January (mostly on the very first trading day), the same shares are bought back. That is, the market decreases abnormally at the end of the year, and grows abnormally at the beginning of the year (the January effect). Studies have shown that such an effect does exist, and the smaller the size of the organization, the greater it is. Moreover, it is so large that it significantly covers transaction costs. (An efficient market would have enough investors buying on credit shares at the end of the year and selling at the beginning to eliminate the anomaly). Another explanation for the January effect is window dressing. managers investment funds, because they are wary of showing assets in the balance sheets for which a significant loss has been received.

Among other calendar effects, we can note the effect of the end of the week - price changes from the close of the market on Friday to the opening of the market on Monday are, on average, negative. Interestingly, such price changes are persistently positive in January and persistently negative in all other months.

3. Important events. It is known that the market reacts violently to the publication of important events in the politics and economy of both the world (country) and individual corporations- price changes are significant and occur very abruptly. Can you take advantage of this to get super profitability? As it turned out, the answer depends on the type of events.

Unexpected events in the world and news about the state of the economy. If the publication takes place at a time when the market is closed, it opens at prices that fully take into account the news (of course, on average), and it is not possible to extract additional profitability. If the publication takes place in a live market, the price adjustment takes about one hour. A. Share split. Contrary to popular belief, the publication of a decision on a share split (the exchange of each old share of a firm for several new ones in order to reduce the share price and thereby increase liquidity) does not allow you to extract additional profitability.

(primary IPIO shares). An organization from a closed one becomes a public one, for the first time placing its shares on the stock exchange. On average, the share price rises by 15%, so take part in IPO profitable. But almost all the increase occurs on the first day. trades... So, on average, the best strategy is to subscribe to the shares being placed and sell them on the very first day. trades... Investors who bought shares on the market on the first day of trading on average lose relative to the market, so research in this area confirms the validity of the average form of GER (as for splits).

Passing through the listing. Since the publication of the organization's decision to enter stock exchange and before reporting the passage listing the average yield is slightly higher than the market one, after that it is lower than the market one.

4. The existence of indicators that could be used to forecast the future profitability of the market. In an efficient market, the best estimate of future profitability is historical long-term profitability, and the aforementioned indicators it is impossible to select. It turned out that in the real market such indicators everything is just like that. You can use the market average dividend yield (the ratio of the dividend to the share price) - the higher it is, the higher the future yield of the market as a whole. In addition, it was found that the spread between the average yield of Aaa and Baa treasuries (according to Moody's), as well as the time spread between long-term and 1-month bonds, can be used to predict the yield of stocks and bonds.

However, short-term (up to 6 months) forecasts on the basis of such indicators are not sufficiently successful (on average, transaction costs are not covered), and the greatest success falls on the investment horizon from two to four years. In addition, the success of forecasts strongly depends on the state of the market - if the market is calm, the degree of reliability of the forecasts is low. If the market is high, then the degree of forecast reliability increases.

5. The existence of indicators that could be used to predict the future return on individual assets. In an efficient market, all assets, without exception, must have the same ratio of return to systematic risk (beta) and be located exactly on the line of the stock exchange (LFR). The aim of the research was to find such indicators that would make it possible to detect undervalued or overvalued assets based on risk. It should be pointed out that this kind of research tests the combined hypothesis (market efficiency + fairness of the CAPM), since the risk of an asset is assessed by the CAPM. Therefore, the ability to indicate assets that do not belong to the LFR indicates either market inefficiency or an erroneous risk assessment methodology - it is impossible to separate these effects within the framework of such studies.

Studies of most of the indicators have failed to conclude that the market is ineffective or have shown mixed results. However, some indicators were also discovered, following which allows you to extract more profitability than the market - they are listed below.

P / E ratio. Low P / E stocks (the ratio of the share price to arrived per share) are systematically undervalued, and stocks with high P / E are overvalued. A possible explanation is the fact arrived Okie P / E are inherent in the so-called "growth stocks", and the market systematically overestimates the growth prospects - in fact, growth is proceeding at a lower rate than expected.

Market firm. Small stocks are systematically undervalued. The effect is amplified if among such stocks you choose stocks with low P / E. It should be noted that for shares of small companies, transaction costs are much higher than for large companies, therefore, gains can be obtained only over a sufficiently long period (it was found that for shares USA it's still a little less than a year).

P / BV ratio. Low P / BV stocks (the ratio of share price to book value share capital per share) are systematically underestimated, the effect is the strongest of the above. The effect is most pronounced for small companies; in this case, the additional influence of the P / E ratio is not traced.

Conclusions. Overall, the results of checking the average form of ERT for developed markets are mixed. Research has shown market efficiency for almost all significant events, both globally and internally. At the same time, it has been established that it is possible to predict the future yield of the stock market using indicators such as dividend yield or spread in the bond market. Calendar effects, market response to surprises in the quarterly reporting of companies, as well as the possibility of using indicators such as P / E, market capitalization and P / BV. At the same time, the degree of market inefficiency is almost always small (taking into account transaction costs), and it is unclear whether it will persist in the future - according to some reports, over time, the market becomes effective against an increasing number of tests.

Checking for a strong form of GER

Possibility to use undisclosed information for super profitability is widely accepted. Otherwise, there would be no need to enact laws restricting insider trading. But the question is not as trivial as it seems at first glance. Insiders are investors who either have access to sensitive non-public information or who have the ability to systematically outpace other investors by acting on public information. Researchers distinguish three groups of such investors.

1. Corporate insiders. These are persons who have access to confidential data on the status of a particular company. V USA they are required to provide reports on their transactions in the shares of this organization, and some summarized data are published. This data confirms that corporate insiders are systematically generating ultra-high returns on investment, especially when looking at just purchases. (Since such insiders are often rewarded in the form of options, the volume of sales on average significantly exceeds the volume of purchases, so sales can be accidental, just to realize the reward - to convert it into cash.)

2. Analysts. Analysts investment companies and banks make recommendations for buying / selling shares not only on the basis of publicly available information. Usually they meet with top management, which allows them to assess the "human factor", and more or less get acquainted with the plans of the companies for the future. As it turned out, the average recommendation Analystov(both in terms of the choice of stocks for inclusion in the portfolio, and in terms of the timing of buying / selling) allow you to get excess returns. The effect is especially strong for “Sell” recommendations, which are relatively rare. This is the basis for ethical requirements for Analystam do not carry out transactions with shares for which investment organization, in which they work, makes any recommendations.

3. Managers portfolios. Like analysts, managers are stock market professionals. During its professional activity managers do not face directly confidential information, however, they are as close as possible to those circles where such information can circulate. That is, if there is a group of investors who, while not formally being insiders, are nevertheless capable of obtaining super-profitability based on inside information, then this is most likely a group of professional managers. Alas, taking into account the risk, only about two-thirds of managers showed super-profitability over a long period, while taking into account commissions and other costs - only one third. (We mainly analyzed data on US mutual funds - they have a long open history of profitability.) Among other things, managers have the opportunity to systematically stay ahead of other groups of investors, acting on the basis of public information - it comes to them first. However, as studies show, this does not lead to the possibility of extracting excess profitability.

Exclusive access to critical information provides significant ultra-return on investment for corporate insiders, which belies the strong form of ERT. For the group of professional Analysts, the data are mixed; the possibility of obtaining super-profitability is shown, but not high. Finally, data from a group of professional asset managers support ERTs - no opportunities to generate excess returns have been identified. Since the average can hardly surpass the manager both in access to insider information and in the speed of response to new information, the market must be efficient for him (in these parameters).

Efficiency of the Financial Market

The concept of the efficiency of the financial market is one of the central ideas of the functioning of the financial market. We will consider the following range of issues: the ratio investment value and market rate; efficient market hypothesis; weak, medium and strong forms of market efficiency; neoclassical theories; case studies - mechanical trading strategies, index funds; CFA exam questions.

As we noted, the real boom in the Theory of Finance occurred with the development of probabilistic methods that arose along with the assumption of uncertainty in price, demand, and supply. In the first half of the 20th century, starting with L. Bachelier's dissertation, a series of works appeared in which an empirical analysis of various financial characteristics in order to get an answer to the question about the predictability of price movements. Since that time, the hypothesis that the logarithms of prices behave like a random walk (their increments are independent random variables) has been actively discussed. The random walk hypothesis was not immediately accepted by economists, but it later led to the concept of an efficient market (EMH - efficient market hypothesis).

One of the goals investment analysis is the assessment of the fair value of securities, the so-called investment value.

The investment value of a security is the present value of expected future returns assessed by well-informed and highly qualified Analysts.

Consider an idealized market with the following properties:

all investors have free access to information, which reflects absolutely all existing information regarding this security;

all investors are good Analysts;

all investors closely monitor market rates and instantly react to their changes;

it is not difficult to assume that in such a market the price of a security will be a good estimate of its investment value, it is this property that is a criterion for the efficiency of the financial market.

An efficient market (an absolutely efficient market) is a market in which the price of each security always coincides with its investment value.

In such an idealized market, everyone is always sold at fair value, all attempts to find securities with the wrong prices are in vain, the information set is complete, new information is instantly reflected in market prices, all actions of market participants are rational and all are the same in their goals.

It is customary to distinguish three degrees of market efficiency, in accordance with the degree of information efficiency of the market.

They say that the market is efficient in relation to any information if this information is immediately and completely reflected in the price, i.e. it is impossible to build an investment strategy that uses only this information, which would make it possible to receive excess profits (other than normal) on a permanent basis. Depending on the amount of information that is immediately and completely reflected in the price, it is customary to distinguish three forms of market efficiency.

We divide all information into three groups:

past information - past state of the market ( dynamics rates, trading volumes, offer);

all information - includes both public and internal information that is known only to a narrow circle of people (for example, due to official position).

There are three forms of market efficiency:

weak-form efficiency - past information is fully reflected in the price of securities;

average form of efficiency (semistrong efficiency) - public information is fully reflected in the value of securities;

a strong form of efficiency - all information is reflected in the value of securities.

This definition of the degree of market efficiency is not fully formalized and is partly intuitive - in particular, neither the value of normal profit, nor the target settings of market participants (for example, their attitude to risk) are indicated. Nevertheless, if we accept a certain pricing model (for example, the now classic CAPM profit), these definitions are easily formalized, which allows testing the hypothesis of market efficiency in conjunction with the chosen pricing model. All these concepts - market efficiency, excess profit, normal profit, risk - we will illustrate further when we consider the CAPM model.

Which form of efficiency is more suitable for today's advanced financial profit?

To answer this question, let's look at the modern financial market. Three types of Analystov work on it:

fundamentalists ("fundamentalists") - conduct - proceed in their decisions from the "global" state of the economy, the state of certain sectors, the prospects of specific companies, and in their assessments they proceed from the rationality of the actions of market participants;

technicians ("technicians") - carry out technical analysis- they are guided in their decisions by the "local" behavior of the market, for them the "behavior of the crowd" is especially important as a factor that significantly influences their decision, taking into account, among other things, psychological aspects; most of the methods they use are of a heuristic nature (i.e., poorly formalized, not fully substantiated from a mathematical point of view);

quants ("quantitative analysts") are followers of L. Bachelier - they conduct empirical research - identify patterns based on historical data, build models, form appropriate strategies.

Technical analysis is based primarily on the analysis of past market conditions, therefore, with a weak form of market efficiency, it makes no sense to spend time and money on it (information about past market conditions is already included in the price). Fundamental analysis, like empirical research, is based on public information, therefore, with an average form of market efficiency, it is useless to resort to fundamental analysis... However, as is easy to see, all of the above analysts exist well and are in great demand in modern world... Therefore, strictly speaking, the modern financial market cannot meet all the requirements of any degree of financial market efficiency.

On the other hand, in the modern financial market, a significant discrepancy between the price of a security and its investment value is a rare phenomenon. The fact is that a significant or underestimation of a security in the market will be noticed by attentive Analysts who will try to extract profit from it. As a result, securities that are below the investment value will be bought, causing the rate to rise due to increased demand for them. And securities, the rate of which is higher than the investment value, will sell, causing the rate to fall due to the increase in supply. It would seem that there is still an opportunity to get profit from a small or temporary discrepancy, but in this direction there will be an obstacle in the form of transaction costs (for example, due to spread, liquidity), which are explicitly or implicitly included in the expenses for any transactions on exchange... As a result, the financial market is a kind of dynamic system that constantly strives for efficiency.

Through this self-organization financial markets, modern developed stock markets can be classified as weakly efficient, although some anomalies are still present there.

Let us emphasize once again that the concept of an efficient market continues to play a dominant role in modern Theory of Finance. However, this concept is undergoing revision. First of all, this refers to the assumption that all investors are homogeneous in terms of their targets and the rationality of their decisions. In particular, the concept of an efficient market does not take into account that investors in the financial market have different investment horizons ("long-term" and "short-term" investors), which react only to information related to their investment horizon(the so-called "fractality" of the interests of the participants). The presence of these two categories of investors in the market is essential for market stability. On the basis of this circle of ideas, the concept of fractality (fractionality) of the market arose, the foundations of which were laid in the works of G. Harst (1951) and B. Mandelbrot (1965). This theory makes it possible to explain, among other things, the phenomenon of the collapse of stock markets, when there is not just a downward price movement, but a market collapse, in which the prices of the nearest deals are divided by an abyss. As, for example, it was during the default in Russian Federation in 1998.

The above theoretical reasoning has a purely practical implementation. Consider the use of mechanical trading strategies and index funds as examples.

The modern stock market, strictly speaking, is not efficient, so new information is gradually reflected in the asset price. As a result, the price is formed. It can be used to make a profit, provided that the price movement of an asset is detected in a timely manner. Some mechanical securities trading systems use similar methods. For completeness of the picture, it is profitable that there is another type of mechanical trading strategies, which operates on the opposite principle - the purchase of an asset begins not when it starts to grow, but when its price falls below a certain level; and, accordingly, sell when its price rises above a certain value.

The efficient market hypothesis gave impetus to the emergence of the first index funds, the portfolio of which reproduced some stock index, i.e. contained a set of shares included in the selected one. One of the first funds was "The Vanguard index Trust-500 Portfolio" (1976), created on the basis of index Standard & Poor "s-500 (USA), which presents shares of 500 companies (400 industrial, 20 transport, 40 consumer and 40 financial). This approach realizes the idea of ​​passive management of a well-diversified portfolio of securities. This approach does not require the presence of highly qualified Analysts. in addition, transaction costs are minimized, which will certainly arise in the case of active management briefcase. Despite the fact that passive portfolio management methods are not the limit of portfolio managers' skill, index funds nevertheless perform well. If we turn to profitability statistics Russian mutual funds for 2006, it turns out that not many funds performed better than index funds. Moreover, if we look at the results for 2005 and 2006, then only a few have performed better than the returns of index funds over 2 years, and no one has shown significantly better results. This is due to the fact that many funds use risky strategies, which allows them to get better results when they are lucky. However, not a single mutual fund has been able to consistently perform significantly better than the return on index funds, precisely because of the relative efficiency of the stock exchange.

NScapital market efficiency

The purpose of the capital market is to effectively reallocate funds between borrowers and borrowers. Individuals and companies may have excess investment opportunities in production with an expected rate of return that exceeds the market borrowing rate, but do not have sufficient funds to use them all for their own purposes. However, if a capital market exists, they can borrow the required money... Lenders who have surplus funds after exhausting all their production possibilities with a rate of return higher than the borrowing rate are willing to lend them, because the lending rate is higher than they could otherwise earn. Thus, both creditors and creditors sustainable if efficient capital markets facilitate the reallocation of funds. The lending / borrowing rate is used as an important piece of information by every manufacturer who will undertake a project as long as the rate of return of the least profitable project is at least equal to the cost of attracting external funds (i.e. lending rate). Thus, a market is called allocationally efficient if prices are determined from the equality of the minimum effective rate of return for all producers and accumulators. In a distributed efficient market, scarce savings are optimally allocated to production facilities with an income for everyone.

Describing efficient capital markets is useful primarily for comparing them to perfect capital markets. The following conditions necessary for a perfect market:

The markets are frictionless, i.e. no transaction costs, all assets are perfectly divisible and liquid, no restraining rules;

Perfect competition in commodity markets and securities markets. In the commodity markets, this means that all manufacturers offer goods and services at the lowest average cost; in the securities market, this means that all participants are dealers;

The market is information efficient, i.e. free and obtained simultaneously by all participants;

All participants rationally maximize expected utility.

Commodity and securities markets that satisfy these conditions will be both distributed and operationally efficient. Operational efficiency deals with the cost of reallocating money. If it is zero, there is operational efficiency.

Capital market efficiency is much broader than the concept of perfect markets. In an efficient market, prices are fully and immediately responsive to all relevant information. This means that when assets are sold, prices accurately reflect the allocation of capital.

To show difference between perfect and efficient markets, let us relax some of the assumptions in defining a perfect market. For example, the market will remain efficient if it ceases to be frictionless. Prices will also be perfectly responsive to all kinds of information if sellers are forced to pay a brokerage commission for sure, or are not infinitely divisible. Moreover, the commodity market will remain efficient in the absence of a perfect competition... Hence, if it can receive monopoly profits in the commodity market, the efficient capital market will determine the asset price that fully reflects the current value of the expected stream of monopoly profits. Thus, the profits may have an inefficient distribution in the commodity markets, but an efficient capital market. Finally, information can be paid in an efficient marketplace.

Capital market efficiency implies operational and distributed efficiency. Asset prices are accurate indicators in the sense that they fully and instantly respond to all sorts of relevant information and are used to direct capital flows from savings to investments with the highest rate of return. The capital market is operationally efficient if the intermediaries providing the above flows do so for a minimal amount.

Rubinstein (1975) and Latham (1985) have expanded the definition of market efficiency. By their definition, a market is called efficient in relation to an information event if the information is not the reason for the portfolio change. It is possible that people may disagree with the conclusions from some of the information so that some will sell and others will buy at this time, which will lead to indifference to prices. If the information does not change prices, then the market is called efficient in relation to information according to Fama, but not according to Rubinstein-Latman. The latter requires not only the invariability of prices, but also the absence of movement of money.

Sources of

marketanalysis.ru Stock market mathematical tools

aton-line.ru Aton

mirslovarei.com/ World of dictionaries - collection of dictionaries and encyclopedias

ru.wikipedia.org Wikipedia - the free encyclopedia

Investor encyclopedia. 2013 .

An efficient securities market is formed when investors have a large and easy available information and all of it is already reflected in the prices of securities. The concept of an efficient market was developed on the basis of the works of Maurice Kendall, who in the early 1950s. found that changes in stock prices from period to period do not depend on each other. Prior to this, stock prices were assumed to have regular cycles. Studies have shown that, for example, the correlation coefficient between the price change of any day and the day following it is hundredths. This indicates a minor trend, such as a further increase in prices following an initial increase. Independent price behavior should only be expected in a competitive market.

In accordance with the market efficiency hypothesis, it is impossible to make accurate predictions of price behavior. The high efficiency of the portfolios of securities of some firms in comparison with others is explained, in accordance with this hypothesis, not by the competence of managers, but by pure chance.

Based on the US stock market crash that began on October 17, 1987, six lessons from an efficient market have been developed.)