文档介绍：Rational Markets: Yes or No? The Affirmative Case†
Mark Rubinstein
Paul Stephens Professor of Applied Investment Analysis
University of California, Berkeley
June 3, 2000
Abstract
This paper presents the logic behind the increasingly neglected proposition that prices set in
developed financial markets are determined as if all investors are rational. It contends that
realistically, market rationality needs to be defined so as to allow investors to be uncertain about
the characteristics of other investors in the market. It also argues that investor irrationality, to the
extent it affects prices, is particularly likely to be manifest through overconfidence, which in turn
is likely to make the market in an important sense too efficient, rather than less efficient, in
reflecting information. To illustrate, the paper ends by re-examining some of the most serious
evidence against market rationality: excess volatility, the risk premium puzzle, the size anomaly,
calendar effects and the 1987 stock market crash.
†I would like to thank the UC Berkeley Finance Group, who prepped me at several “research lunches” prior
to the debate described in this paper, in particular, Jonathan Berk and Greg Duffee mented as well
on the written version.
Rational Markets: Yes or No? The Affirmative Case
In November, 1999, at the program put on by the Berkeley Program in Finance at the Silvarado
Country Club in California’s Napa Valley, I was charged with debating Richard Thaler, one of
the founders of behavioral finance. The issue was: “Rational Markets: Yes or No?” It struck me
then, as I tried to marshal the arguments in the affirmative, how far modern financial economics
e unstuck from its roots. Ever since research supporting market irrationality has e
respectable, perhaps dating from the June/September 1978 issue of the Journal of Financial
Economics, our profession has forgotten the very good reasons that the affirmative proposition
was once so widely believ