?????????? ?????????? ???????????? ?????????????? ??-??? ? ????????

1
?????????? ?????????? ???????????? ??????????????
??-??? ? ?????????????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ???????? ?????? ?? ???
• ??????? ??????? ??????????, ???. ????????? ??
  ??-???, ?????? ???.???.??????????? ?? ??-???.
• ?????????? ?????? ??????????, ??????? 4 ????? ??
  ??-???, ????
• ????????? ????????? ??????????, ??????? ???????
  ??????????? ??????????? ?? ??-???
• ????????? ?????? ????????? , ??????? 4 ????? ??
  ??-???
• ??????? ????? ???????, ????????????? ???????
  ??????????? ??????????? ?? ??-???
• ?????? ??
• ?????? ???????? ? ??????????? ? ????????????
  ???????? ????????????? ?????????? ??????.
• ?????? ?????????? ? ?????????????? ????????????
  ?????? ????? ????????????? ????? ? ??????????????
  ???????? ?????????.

2
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ???????? ???.
• ??????????? (????????????) ???.
• ?????????????? ?????? ???????????? ???.
• ?????????????? ?????? ????????????
  ??????????????? ?
• ???????????????? ??????.
• ????? ??? ? ????????????? ??????? ????????????.
• ??????????? ????????? ? ??????????? ???.
• ?????????????? ???????? ???.
• ?????????????? ???? ???????????????.

3
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ?????????? ???????? ???.

1900 1955 ?.??????? ?????? ??????????. ????????? ?????????????? ?????? ??? ???????? ???????? ??? ????? ? ?????? ?????? ???????????. ??????? ?????? ?????? ???????????? ???????? (1905 ?.????????) ?????? ?????????? ????????? (Random Walk, RW, 1905 ?.??????) ???????? ????????????? ?????? (1965, ?. ???????????? ? ?. ????) Savage ????????? ??????? ??????????? ??????? ? ???????? ?? ????? ????????.
1964 1965 1966 1972 Capital Asset Prices Model (CAPM) Sharpe. Capital Asset Prices A Theory of Market Equilibrium under Conditions of Risk. Lintner. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolio and Budgets. Mossin. Equilibrium in a Capital Asset Market. Black. Capital Market Equilibrium with restricted borrowing.
1965 Fama. The Behavior of Stock Market Prices. - ????????? ?????????????? ???????????? ???????????? ???????? ??? - ??????????? RW ?????? - ?????? ???????????? ???????????? ???????
1965 Samuelson. Proof that Properly Anticipated Prices Fluctuate Randomly. - ?????????? ??? ??????????????, ???? ????????? ???????? ??? ?????????? ? ???????? ???? ??????????. - ???????? ????????????? ????????????? ???????? ? ??????????-???????????. - ?????? ????????? ? ????????, ???????? ?????? Black ? Scholes. - ????? ????????????? ????????????? ??????????.
1971 1985 ???????? ??????????????. ???? ???????????????? ?????? (market maker). Jack L. Treynor. (pseudonym Walter Bagehot). The Only Game In Town. Kyle. Continuous Auctions and Insider Trading.
4
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ?????????? ???????? ???.

1970 Fama. Efficient Capital Markets A Review of Theory and Empirical Work. - ??????????? ??? ?????, ? ??????? ???? ?????? ????????? ???????? ????????? ??????????, ???????? ???????????. - ?????????? ???????? (joint hypothesis) ???????????? ??????????? ????? ????? ?????? ????????? ???????? ????????? ??????????, ?? ????? ??????????, ??? ????? ?????? ????????? ???????? ??? ??????????, ?? ?????? ?????????? ??????? ???????????? ????? ?????????? (??????, ???? ? ?.?.). ???????, ????? ????????? EMH - ????????? ? ???????? ????????????? ? ???????????? ????? ??????????. ????????????? ???? ??? ??????. ???????????. ???????. ?????? ??? ?????? ???????????? ????? ?????????????, ?????????? ?????????, ?????????? ???????????????, ?????????? ?????????????? ???????? ?????? ????????????? ????????? ? ???????????? ???????? (RE rational expectations). (?????? ?????? ????????? ??. ???? ?., ?????????? ?. ? ????? ??., 2001) - ?????????????? ????????? ????????? ???????? ??????????? (RE rational expectations) - ????? ?????????? ? ???????? ?????????? ?????????? (OR - orthogonality property) - ? ??????????? ???? ???????? ??? ????????? ?????????? ????????? (???)
1980 1986 Grossman and Stiglitz. On the Impossibility of Informationally Efficient Markets. - ????? ?? ????? ???? ????????? ????????????? ????????????, ???? ?????????? ??????? ?? ???? ? ????????? ??????????. - ???????? ???????? ???????? ?????????? ???????? ? ?????? ?????????? ??? ??????? ???????????????? ??????????????? ? ?????????????? ??????????. - ???? ?? ?????? ??????????. - ??????????? ??????????????? ? ????????????????? ?????????? ??????? ?? ????????? ?????, ????????? ?????????? ? ?????????????? ????????. - ??? ?????? ??????????????? ??????????, ??? ???? ????? ? ???????????. Black. Noise. - ??????? ??????? ????????? (noise traders) ? ?????????????? ?? ???????.
5
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ?????????? ???????? ???.

1988 ?????????? ???????? ????????? ?????????. Lo and MacKinlay. Stock Market Prices do not Follow Random Walks Evidence from a Simple Specification Test.
1989 1998 1999 2000 2005 2007 ?????? ???. LeRoy. Efficient Capital Markets and Martingales. Dimson and Mussavian. A brief history of market efficiency. Farmer and Lo. Frontiers of finance Evolution and Efficient Markets. Beechey, Vickery and Gruen. The Efficient Market Hypothesis A Survey. Pesaran. Market Efficiency today. Lo. EMH.
1991 Fama. Efficient Capital Markets II. ??????????????? ??????????? ???????? ???. ?????????? ?? ??????? ?????? ?? ???? ? ????????? ??????????. ????????????? ???????????? ?????????? ???????? (joint hypothesis). ????? ?????????????? ????????????? ???? ??? (2 ????? ???????) ????????? ?? ??????????????? (??????????????? ?? ????????? ? ????? ?????????? ??????????). ????????? ??????? ?? ????????????? ?????????? (event-studies). ????????? ?? ??????? ??????????.
1996 ??????? ?? ???. ????????????? ?? RW ? ??????????????. RW1 - iid - identically and independently distributed. ?????? ????????? ?????????. RW2 - - inid independent but not identically distributed. ?????????? ????? ??????????? ????? ????????? ??? ?????????? ????????? ???????????. RW3 - - ninid not independent but not identically distributed. ??????? ????? ???? ??????????, ?? ??????????????????. Campbell, Lo and MacKinlay. The Econometrics of Financial Markets.
1998 Fama. Market efficiency, long-term returns, and behavioral finance. ?????? ??? ?? ???????? ????????????? ????????, ???????????? ????????.
6
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ?????????? ???????? ???.

2001 ??????? ?????? ??????????????? ? ?????????????? SDF ???????. Cochrane. Asset Pricing.
2003 Malkiel. The Efficient Market Hypothesis and Its Critics.
2004 ??????????????? ? ?????? EMH. ??????????? ??? ????? ?????????? ???????????? ??????????????? ?????? Ot, ?????????? ?????? St, ? ??????????????? ??????? Mt, ???? ?????????? ???????? ????????????? ???????, ?????? ?? ?????? ????????, ????????????? ?? ??????? ????????? ? Mt, ???????????? ? ?????????????? ?????? Ot ? ?????????? ? ?????????????? ?????????? ?????? St. ??????????? ????????????? ???????????? ???. Granger and Timmermann. Efficient Market Hypothesis and Forecasting.
2004 ?????? ????? ?? ??? ? ???????????? ????????????? ???????????????. Cuthbertson and Nitzsche. Quantitative financial economics. Stocks, bonds and foreign exchange.
2004 ???????? ???????????????? ????????? ??? ?????????????? ?????????????. ?????. ???? ??????. ?????? ????????.
2005 ??????????? ?????????????? ?????? ???. Pesaran. Market Efficiency today.
2005 Malkiel. Reflections on the Efficient Market Hypothesis 30 Years Later.
2006 ????????? ?????????????. ????????????? ?????????? ????????????? ?? ???????????? ???????? ??????. Tóth and Kertész. Increasing market efficiency Evolution of cross-correlations of stock returns.
2007 ??????? ????????? ??? ? ?????????????? ????????? ? AMH. Lo. EMH.
7
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ?????????? ???????
• ??????? ???????????? ??? ????????? -
  ??????????.
• ??????? ??????? ??? Random Walk ??????
  ???????? (2005).
• ??????? ?????????????? ????????? ??? MV
  SDF (Mean-Variance Stochastic Discount Factor).
• ??????? ???? ????????????? ??? ? ???????
  ????????????.
• ????????? ?????????? ???????????? ???.
• ??????????? ???? (Fama 1970) ?????, ? ???????
  ???? ?????? ????????? ???????? ?????????
  ??????????, ???????? ???????????.
• ??????????? ???????? (Jensen 1978) ?????
  ???????? ??????????? ? ????????? ???????????????
  ????????? Ot, ???? ?????????? ????????? ????????
  ????????????? ???????, ???????? ?? ?????? Ot. ???
  ????????????? ???????? ?? ????????
  ????????????????? ?? ???? ????? ??????????, ??
  ??????? ???? ????????.
• ???????????? ??????????? ???????? ? ???????????
  (Granger and Timmermann 2004), ???????????
  ??????????? ???????? ????? ??????????
  ???????????? ??????????????? ?????? Ot,
  ?????????? ?????? St, ? ??????????????? ???????
  Mt, ???? ?????????? ???????? ?????????????
  ???????, ?????? ?? ?????? ????????, ?????????????
  ?? ??????? ????????? ? Mt, ???????????? ?
  ?????????????? ?????? Ot ? ?????????? ?
  ?????????????? ?????????? ?????? St.

8
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ????????? ?????????? ???????? ??????????????? ?
  ?????? ???.
• ????????? ??? ???????????? ????????
  ??????????? ?????.
• ????????? ??????????? ??????????? ????????
  ?????????????.

???????????? ???????? ??????????? ?????
???????????? ?????????. ????????? ??????? ?? ???? ? ????????? ??????????. ??????????????? ? ?? ??????????????? ?????????. ????????? ?????????????? ?????? ??????????????? ? ????? ??????????????. ??????????? ?????????????? ????????????? ???????. ??????????????? ??????????. ???????????? ???????? (????????? ??? ????????? ??????????). ??????. ???????????? ???????????. ??????????? ?? ????????? ???????? ???????, ????????????. ???????????? ??? ????????? ???????. ?????????? ?????? ??????????? ??????.
9
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ???????? ??????????????? ? ??????????? ??
  ??????????? ???.

????????? ??????????? ??? ?????????? ??????????? ???
??????????? ??????????????? ??? ??????????? ????????????. ?????? ?????? ??????? ???????? ???? ????? ??????????? ????. ??????????? ????????? ?????????? ? ?????? ?? ????. ????????? ?????????? ???????? ??? ??????????????. ????????? ?? ????? ???????? ??????????? ???????. ???? ??????????? ?????? ?????????? ????????? (random walk, RW). ????????? ??????????????? ??????????? ???????? ???. ?????????? ?? ??????? ?????????? ? ?????? ?? ????. ????????? ?? ????? ?? ?????????? ?????? ???????? ??????????? ???????. ??????? ???????? ???????? ???????? ??? ??????????? ????????? ? ?????????????? ?????????? ????????? ??? ?????????? ??? ? ??????????????? ????? ???????????? ????????????? ? ??????? ?? ?????????????? ??????? ?????????? ????????? ????????? ??????????????? ? ?????? ????????? ???????????? ????. ???????? ? ??????? (Grossman, Stiglitz 1980) ?????????, ??? ????????? ?????????????? ????? ????????????? ??? ????? ???????? ???????? ???????? ??? ??????????? ?????????, ????? ???????? ??????????? ??????????????? ? ?? ??????????????? ???????? ?????????? (????? ???????, ?????????? ?? ???????? ??????????? ??? ???????).
? ????????????? ????????????? ???????????????
????????????? (???????????) ??????? - ???
?????????????? ???????????? ??????????????
??????? (benchmark) ????????? ????????????
???????? ??? ?????????? ?????????? ?????????
??????? (? ?????????? ??????????? ??????
???????????????) ??? ????? ?????? ?? ????
(?????????? ?????????? ?????????? ? ?????? ????
?????).
10
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ??????? ?? ?????????? ??????????? ??? (Fama
  1970) ? ??????????? ??????????? ??? (Jensen 1978)
  ? ????????????? ??????????? ???????? ?
  ???????????.

?????????? ??????????? ???????? ? ??????????? ? ?????? ????????? ?????????? ??????? ????? ?????????? ???????????? ??????????????? ?????? Ot, ?????????? ?????? St, ? ??????????????? ??????? Mt, ???? ?????????? ???????? ?????????? ????????????? ???????, ??? ????? ?????? ?? ???? ???????????? ?????? ERt, ?????? ?? ?????? ????????, ????????????? ?? ??????? ????????? ? Mt, ???????????? ? ?????????????? ?????? Ot ? ?????????? ? ?????????????? ?????????? ?????? St, ??? ???????? ?????????????? ?????????? ? ?????? ?? ????? ? ????????? ?????????? At ?? Ot, ??? ?????????? ?????????????? ???????? ? ???????????? ??????????? Lt, ? ???????? ????????? GOt ??????? ???????????? Mt .

• Ot - ?????????????? ????????? ????????
  ????????? ??????????, ??????? ??? ???????? ???? ?
  ????????? ?????????? ???????? ?????? ?????? ?
  ??????? ??????????
• ?????? ??????????? ??? ?, ??????????????, ??????
  ?????? ?? ???? (ERt)
• ????? ??????? ????????????, ????????? ? ?????
  ?????? ???????, ??????? ????? ?? ?????? (Mt)
• ?????????? ?????? ??? ?????? ?????? ??????
  ??????????????? ?? ?????? Mt (??? ?????? ??????
  ???????) (St)
• ?????? ??????????? ?????????? (??????????),
  ??????? ????????? ?????? ??????? ??????????,
  ????????? ????? ?????????? ? ?????? ?? ??
  ?????????????? ? ?????? ???????? ??????? Mt ? St
  ?? ??????? (At)
• ?????? ????????? ?? ??????? ?????????
  ??????????, ??????????? ? ????????? ??????????
  ???????? ? ?.?. (Lt)
• ?????? ????????? (????????) (GOt) ???????
  ???????????? Mt (??????? ????????
  ???????????????).

11
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ??????? ??????? ??? ?? Random Walk ? ??????
  ????????? (2005).

????????????? ??????????? ??? ? ?????? ??????-?????????????? ??????? (MV) ? ?????????? ??????????? ???????? ????????????? ????.
?????? ?????????? ????????? (random walk)
??????? ?????? ????????????? ??????.
, ??? i ? j
- IID identically and independently
distributed. ??? ?????????? ?????????
????????????.
??? , ??????? Xt - ???? ?????????,
? ??????????
- ??????? ???????????? ????.
12
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ??????? ??????? ??? ?? Random Walk ? ??????
  ???????? (2005).

????????????? ??????????? ??? ? ?????? ??????? ??????????????? ??????????????? ??????? (???) ? ??????????? ??????????? ???????? ????????????? ????????.

• ???????????? ????????? ????????????? ?????????
  ???????????????.
• ???????? ?????????????.
• ?????????? ???????? ?????????? ?????????.
• ????????? ???????? et1 (???????????? s2t1)
  ????? ???? ??????? ?? ????? ?????????? ?????????,
  s2t, ??? ????????? ??????? ???????????????
  (????????, ?????? ARCH ????????????????? ??????
  ???????? ???????????????????? (Autoregressive
  Conditional Heteroskedasticity, Engle 1982) ?
  GARCH (Generalized Autoregressive Conditional
  Heteroskedasticity, Bollerslew 1986).
• Campbell, Lo, and MacKinlay 1996 The Econometrics
  of Financial Markets.
• RW1 Random walk 1 ????????? ????????? ?
  ????????????? ??????????? ???????? et (IID).
• Random Walk 2 ?????????, ??? ??????????
  ????????? ????, ???????? ??????????????? ??
  ???????, ????? ??? ??????????? ?????????? ??
  ??????? ?????????? ?????????????, ?? ???? ???????
  et ????? ???? ????????????, ?? ???????????
  ??????????????? ?????????? ?????????? (INID
  independent but not identically distributed).
• Random Walk 3 ????????? ???????? et ????
  ??????????, ?? ??????????????????, ? ????????
  ????? ?????? ?????? ?????????? ?????????.

13
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ??????? ??????? ??? ?? Random Walk ? ??????
  ???????? (2005).

• ?????????? ? ?????? ???
• ?????????????.
• ??????????????? ? ??????????????? ??????.
• ??????? ??????????? ????????.
• ??????? ???????????? ???????? (rational
  expectations, RE) (???, Muth 1961).

- ?????? ?? ???? i ?????????,
- ?????????????? ? ?????????????? ???????? i
?????????.
- ???????????? ?????????????? ?????, ????????????
????????? ??????????
???
? ??????? ??????????
- ???????? ??????? ????????? ?? ???????????.

• ?????????????? ?????????????? ?????? (stochastic
  discount factor SDF).

- ?????? ??????????? ??????? ???????????.
- ???????????? ???????? ?????????? ??????????
?????? ? ????? ??? ???? ???????
?????????????? ????????
??????? ??????????????? ??????????? ??????? ??
????????????? ?????????? ?????????????? ??????
????? ??????? ?? ???? ? ???????????????????
?????????.
14
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ??????? ?????????????? ????????? ???.
• MV SDF (Mean-Variance Stochastic Discount
  Factor).
• ?????????? ???????? (joint hypothesis, JP, Fama
  1970, 1991).
• ????????????? ???????????? ??? ??? ??????
  ???????????? ???????????????.
• ?????????? ???????? ??????? ????????????
  ????????? ???????????????, ??? ????????? ?????
  ???.
• 1991 (Fama)
• ????????????? ??????????? ???????
• CAPM SLB (Capital Asset Prices Model, (Sharp
  1964), (Lintner 1965), (Black 1972)).
• ?????????????? ?????? ????????????
  ??????????????? APT arbitrage-pricing theory (
  (Merton 1973), (Ross 1976)).
• ???????????? ?????? ?????? ??????? ?? ??????
  ??????????? ( (Rubinstein 1976), (Lucas 1978),
  (Breeden 1979)).
• ???????? ? ??????????? ??????????? ???????
• CAPM. ?????? ????? ??????? ?? ?????????
  ????????? ????????????? ???????? ????????????
  ?????????? ?? ??????????????? ????????, ????????,
  ????????? ????/??????? (????, Basu 1977 ?
  1983).
• ?????????????? ??????. ? ?????? c ??????????
  ?????? ????? ??????? ??????? ???? ?????????
  ???????. ????????? ???????? ??????????
  ???????????????? ????????? ?????? ? ??????
  ????????, ???????????? ??????? ???????? ?
  ???????????? ??????, ??? ?????? ? ????????????
  ???? ?? ?????? ?????? ????????????? ?????,
  ??????????? ??????? ???? ??? ? 1970 ????.
  ?????????????? ?????? ?? ???????? ???????????????
  ????????????? ???????????.
• ???????????? ?????? ?????? ??????? ?? ??????
  ???????????. ?????? ????? ??????? ?? ????????
  ???????? CAPM SLB ? ??????? ????? ?????
  ??????????, ?????? ?? ???????, ???????
  ?????????? ?????? ?? ???? (equity premium puzzle
  - ????? ? ???????? (Mehra and Prescott 1985)).
  ????????????? ????? ??????? ???????????????,
  ??????????? ??????????? ???????? ???? ? ?????????
  ?????????????? ??????????, ? ??????????? ??
  ???????, ????????????? ????? ????????? ??????? ?
  ??????????? ? ??????????.

15
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ??????? ?????????????? ????????? ???.
• MV SDF (Mean-Variance Stochastic Discount
  Factor).
• ?????????? ???????? ??????? ????????????
  ????????? ???????????????, ??? ????????? ?????
  ???.
• 2007
• ???????? ? ??????????? ??????????? ???????
• ??????????????? CAPM. ???? ???????
• Lettau ? Ludvigson 2002 Comparing
  Consumption-Based Asset-Pricing Models .
• CCAPM ? ICAPM ???????????? ? ???????????
  ???????? CAPM ?? ???????????? ?????????
  (in-sample) ? ???????? ??????????????? ??
  ???????????????? ????????? ? ?????? out-of-sample
  ???????????.
• ???????????? ???????????? ???????????? ???????
  ?????? ??????? c ????? ???????, ??????????
  ??????? ???????? ? ???????? ???????????
  ?????????? ? ????????????? ?????????, ??? ???????
  ??????? ????????????? ? ??????????????
  ???????????, ? ?????? ???????, ??? ??????? ??????
  ???????????????, ??? ???????? ????????????
  ??????????? ??? ???????? ?? ???????? ???????????
  OOS.
• ???????????? ????????? ?????????????, ???
  ?????????? ????? ??????????? ??????? ?????????
  ????? ? ?????????? ??????? ?????????????
  ?????????? ????? ????? ? ?????, ?? ??????? ????,
  ? ????????? ? ???????????? ????? ???????????? ?
  ???????? ????????? ??????-?????????????
  ?????????.

16
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ??????? ???? ????????????? ???????
  ????????????.
• ?????????? ???? ??? ? ???????? ? ???????????? ???
  ?? ???????????????.
• Dimson and Mussavian 2000
• Dacorogna, Muller, Olsen and Pictet 2001
• Malkiel 2003
• ????????? 2004
• Cuthbertson and Nitzsche 2004
• Lo 2007
• ??????? ?????????? ???? ???
  ? ????????????? ??????? ????????????.

Fama 1970 ?????? (weak) ????????? (???????????, ???????) ???????
Fama 1991 ?????? ????? ????????????? - ????? ??????????????? ?????????? (test for return predictability). ? ?????? ? ??????? ????? ? ????????? ???????? ?????? ???????? ?? ????? ??????????????, ????? ?? ???????? ??? ??. ?????? ??????? ????? ? ?????? ????????? ???????????? ?????? ???????? ??????? (event studies), ? ??? ??????? ????? ??????? ?????????? (tests for private information).
17
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ????????? ????? ???????????
• ?????????????? ???? ?????????????.
• Fama (1991) ?????????, ?? ??, ???
  ?????????????? ?????????, ??????? ?????????
  ????????? ????????? ? ??????? ?????????????, ????
  ?????????? ? 1960-? ????? ?????? ??? - ??????
  ????? ??????? ???????????? ?????????? ? ????
  ???????? ??????????? ??????? ?????????.
• ?????? ?????? - ????? ?????????? ????????,
  ?????????? ? ????????? ? ???????? ???????????
  ???, ? ????? ??????????? ????????? ???????????
  ??????? ???????? ??????????? ??????????, ???
  ?????????????????, ??? ? ??????????????, ??????,
  ??? ?????? ?????? ???????? ????????????? ???????
  ????? ??????? ? ???????? ?????????? ???????,
  ?????????? ??????????? ????????. ??, ???
  ????????? ????? ??????, ???????? ? ???, ??? ??
  ??????? ?????????? (? ?????? ???????? ? ????????)
  ??? ??????? ?????????? ???????????
  ???????????????? ??????????.
• ????????? ?????? ? ?????? ?? ????????
  ?????????? ??????? ??????? ????????? ????? ?
  ????? ???????? ?????????? ??????????. ??? ????
  ??????????? ????? ???????? 40 ??? ?????, ?????
  ???? ? ?????? ?????? ???? ??????? ????????????,
  ?? ???????? ?????????? ??????? ? ??????????,
  ?????? ?? ???????????? ?????? ???????? ??????????
  ??????????, ??????????? ???????? ???? ?????? ?
  ?? ??????? ????? ???????????? ?????.
• Malkiel (2003) ???????? ? ???? ??????????
  ????????????? ????????, ?????????? ?? ??? ?
  ??????? ??????? ???????????????, ???? ?? ??
  ?????? ?? ??? ????????? ???????????? ??????
  ?????????
• ????????? ???????? ?????????????????? ???????
  ????????????? ??????????????? ? ??
  ??????????????? ???????????
• ??????????? FOREX. ???????????? ??????? -
  ????????????? ????????????????

18
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
??????????????? ? ??????????????? ??????????
????????? ????? ? ?????? ???????? ?????????????
?????

• ????????? ????? ???????????
• ?????????????? ???? ?????????????.
• ??????? ??????????? ?????????????? ???
  ????????????? ????????? ???????????????.
• ?????? ????? ?????????????. ????????????
  ????????????? ???? ? ???, ??? ???????
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  ????????? ? ?????? ?????????? ?????????. ???
  ???????? ??????????? ??????????? ?????????????
  ????????, ?????? ?????? ?????????? ?????????
  ?????????? ????????????? ??????????? ??????
  ???????????????. ?????????????? ???????? ???????
  ????? ????????? ??????????? (ERt) ? ????????
  ???????? ???? ?????????? ??????? ?????????????
  ????????? ???????????????.
• ????????? ????? ????????????? ????????? ?
  ????????. ??????? ????????????? ???????????????
  ???????????? ???????????? ? ???????? ??????????
  ?????????? ????? ???????????????? ? ??
  ???????????????? ????????? ??????????? (??????
  ?????????????? ?????????? At).
• ????? ????????????? ??? ??????????? ??? ??
  ????????. ???????? ??? ??????????? ???????????
  ??????? ????????????? ???????????????. ??????,
  ?????????? ?????????????? ????????????? ???????,
  ???????????? ??????????? ?????? (ERt). ??????,
  ?????????? ?????????????? ????????????? ???????,
  ???????????? ???????? ???????? ????.
• ????????? ???????? ??????? ???????? ??????
  ????????????? ???????? ???????? ???????????
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  ??? ??? ???? ???? ??????????????? ???????????
  ??????????, ??????????????? ?????????????
  ??????????????? ? ?????? ???.

19
?????????? ?????????? ???????????? ??????????????
??-??? ? ???????? 2007?????????????? ????
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????????? ????? ? ?????? ???????? ?????????????
?????

• ????????? ????? ???????????
• ?????????????? ???? ?????????????.
• ??? ????????? ?????????????? ?????? ???????
  ???????? ????????????? ????????? ??????????
  ?????? ????????? ?????????????? ???????? ?
  ???????
• Ot - ?????????????? ????????? ????????
  ????????? ??????????, ??????? ??? ???????? ???? ?
  ????????? ?????????? ???????? ?????? ?????? ?
  ??????? ??????????
• ?????? ??????????? ??? ?, ??????????????, ??????
  ?????? ?? ???? (ERt)
• ????? ??????? ????????????, ????????? ? ?????
  ?????? ???????, ??????? ????? ?? ?????? (Mt)
• ?????????? ?????? ??? ?????? ?????? ??????
  ??????????????? ?? ?????? Mt (??? ?????? ??????
  ???????) (St)
• ?????? ??????????? ?????????? (??????????),
  ??????? ????????? ?????? ??????? ??????????,
  ????????? ????? ?????????? ? ?????? ?? ??
  ?????????????? ? ?????? ???????? ??????? Mt ? St
  ?? ??????? (At)
• ?????? ????????? ?? ??????? ?????????
  ??????????, ??????????? ? ????????? ??????????
  ???????? ? ?.?. (Lt)
• ?????? ????????? (????????) (GOt) ???????
  ???????????? Mt (??????? ????????
  ???????????????).