Menu Expand

Probleme der Theorie effizienter Märkte und ihrer empirischen Überprüfung

Cite JOURNAL ARTICLE

Style

Neumann, M., Klein, M. Probleme der Theorie effizienter Märkte und ihrer empirischen Überprüfung. Credit and Capital Markets – Kredit und Kapital, 15(2), 165-187. https://doi.org/10.3790/ccm.15.2.165
Neumann, Manfred J. M. and Klein, Martin "Probleme der Theorie effizienter Märkte und ihrer empirischen Überprüfung" Credit and Capital Markets – Kredit und Kapital 15.2, 1982, 165-187. https://doi.org/10.3790/ccm.15.2.165
Neumann, Manfred J. M./Klein, Martin (1982): Probleme der Theorie effizienter Märkte und ihrer empirischen Überprüfung, in: Credit and Capital Markets – Kredit und Kapital, vol. 15, iss. 2, 165-187, [online] https://doi.org/10.3790/ccm.15.2.165

Format

Probleme der Theorie effizienter Märkte und ihrer empirischen Überprüfung

Neumann, Manfred J. M. | Klein, Martin

Credit and Capital Markets – Kredit und Kapital, Vol. 15 (1982), Iss. 2 : pp. 165–187

1 Citations (CrossRef)

Additional Information

Article Details

Neumann, Manfred J. M.

Klein, Martin

Cited By

  1. Recent Developments in the Theory of Efficient Capital Markets

    Andersen, Torben M.

    Credit and Capital Markets – Kredit und Kapital, Vol. 18 (1985), Iss. 3 P.347

    https://doi.org/10.3790/ccm.18.3.347 [Citations: 4]

References

  1. Alexander, Sidney S. (1961): Price Movements in Speculative Markets: Trends or Random Walks, Industrial Management Review 2, 7-26.  Google Scholar
  2. Alexander, Sidney S. (1964): Price Movements in Speculative Markets: Trends or Random Walks, No.2, in: P. H. Cootner (Hrsg.), The Random Character of Stock Market Prices, Cambridge, Mass., 338 - 372.  Google Scholar
  3. Eucken, Walter (1959): Die Grundlagen der Nationalökonomie, 7. Aufl, Berlin, Göttingen, Heidelberg.  Google Scholar
  4. Fama, Eugene F. (1970): Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance 35, 383-417.  Google Scholar
  5. Fama, Eugene F. (1976 a): Foundations of Finance, New York.  Google Scholar
  6. Fama, Eugene F. (1976 b): Reply, Journal of Finance 31, 143 - 145.  Google Scholar
  7. Fama, Eugene F., Lawrence Fisher, Michael Jensen und Richard Roll (1969): The Adjustment of Stock Prices to New Information, International Economic Review 10, 1-21.  Google Scholar
  8. Fama, Eugene F. und Merton H. Miller (1972): The Theory of Finance, Hinsdale, Illinois.  Google Scholar
  9. Friedman, B. M. (1980): Survey Evidence on the ‘Rationality’ of Interest Rate Expectations, Journal of Monetary Economics 6, 45-4365.  Google Scholar
  10. Granger, Clive W. J. und Oskar Morgenstern (1970): Predictability of Stock Market Prices, Lexington, Mass.  Google Scholar
  11. Grossman, Sanford (1976): On the Efficiency of Competitive Stock Markets Where Trades Have Diverse Information, Journal of Finance 31, 573-585.  Google Scholar
  12. Grossman, Sanford und Joseph E. Stiglitz (1976): Information and Competitive Price Systems, American Economic Review, Papers and Proceedings 66, 246 - 253.  Google Scholar
  13. Grossman, Sanford und Joseph E. Stiglitz (1980): On the Impossibility of Informationally Efficient Markets, American Economic Review 70, 39-4308.  Google Scholar
  14. Hayek, Friedrich A. (1945): The Use of Knowledge in Society, American Economic Review 35, 519 - 531.  Google Scholar
  15. Hellwig, Martin F. (1980): On the Aggregation of Information in Competitive Markets, Journal of Economic Theory 22, 477 - 498.  Google Scholar
  16. Hirshleifer, Jack (1971): The Private and Social Value of Information and the Reward to Inventive Activity, American Economic Review 61, 561 - 574.  Google Scholar
  17. Hirshleifer, Jack (1977): The Theory of Speculation Under Alternative Regimes of Markets, Journal of Finance 32, 975 - 1000.  Google Scholar
  18. Keynes, John Maynard (1936): The General Theory of Employment, Interest, and Money, New York.  Google Scholar
  19. Klein, Martin (1982): Ist die Theorie effizienter Märkte empirisch widerlegt?  Google Scholar
  20. LeRoy, Stephen F. (1973): Risk Aversion and the Martingale Property of Stock Prices, International Economic Review 14, 436 - 446.  Google Scholar
  21. LeRoy, Stephen F. (1976): Efficient Capital Markets: Comment, Journal of Finance 31, 139 - 141.  Google Scholar
  22. Lintner, John (1965): The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, The Review of Economics and Statistics 47, 13-37.  Google Scholar
  23. Lucas, Robert E. (1978): Asset Prices in an Exchange Economy, Econometrica 46, 1429 - 1445.  Google Scholar
  24. Muth, John (1961): Rational Expectations and the Theory of Price Movements, Econometrica 29, 315 - 335.  Google Scholar
  25. Neumann, Manfred J. M. und Herbert S. Buscher (1980): Die Inflationsprognosen der Arbeitsgemeinschaft deutscher wirtschaftswissenschaftlicher Forschungsinstitute: Sind sie ‚rational‘?, Weltwirtchaftliches Archiv 116, 533 - 550.  Google Scholar
  26. Neumann, Manfred J. M. und Herbert S. Buscher (1981): Forecasts of the German Economy: An Evaluation Based on Rational Expectations, mimeo.  Google Scholar
  27. Reiß, Winfried und Frank W. Mühlbradt (1979): Eine empirische Überprüfung der Validität des ‚market‘- und des ‚capital asset pricing‘-Modells für den deutschen Aktienmarkt, Zeitschrift für die gesamte Staatswissenschaft, 135, 41 - 68.  Google Scholar
  28. Richardson, G. B. (1959): Equilibrium, Expectations and Information, Economic Journal 49, 223 - 237.  Google Scholar
  29. Richardson, G. B. (1960): Information and Investment, Lon-dRuboinsntei.n, Mark (1975): Securities Market Efficiency in an Arrow- Debreu Economy, American Economic Review 65, 81-8224.  Google Scholar
  30. Samuelson, Paul A. (1965): Proof That Properly Anticipated Prices Fluctuate Randomly, Industrial Management Review 6, 41-49.  Google Scholar
  31. Samuelson, Paul A. (1973): Proof That Properly Discounted Present Values of Assets Vibrate Randomiy, Bell Journal of Economics and Management Science 4, 369 - 374.  Google Scholar
  32. Sharpe, William F. (1964): Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance 19, 425 - 442.  Google Scholar
  33. Sharpe, William F. (1970): Portfolio Theory and Capital Markets, New York.  Google Scholar
  34. Verrecchia, Robert E. (1979): A Proof of the Existence of ‚Consensus Beliefs‘, Journal of Finance 34, 957 - 963.  Google Scholar
  35. Zellner, A. (1962): An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias, Journal of the American Statistical Association 57, 248 - 368.  Google Scholar

Abstract

Problems of the Theory of Efficient Markets and the Empirical Testing of it

This article ventilates various, theoretical and empirical problems of efficient markets. Following a brief introduction to Fama’s theoretical groundwork, an attempt is made to reformulate the concept of the information efficiency of markets, using the marginal costs of information procurement to distinguish among centrally published, decentrally published and temporarily monopolized information. The new approach enables an economically substantiated distinction to be drawn between high and low information efficiency and, in addition, to reject the famous information paradox as a spurious problem. The critical discussion of hypothesis tests in the second part of the article culminates in the conclusion that all tests of the hypothesis of high information efficiency are invariably only weak, that is, not very restrictive tests.