标题: question about strong-form efficient [打印本页] 作者: YouCanDoIt 时间: 2013-8-11 16:28 标题: question about strong-form efficient
“the January effect is proof enough that markets are not strong-form efficient”
whether you agree or disagree with the statement and jusitfy your decision.作者: soverby 时间: 2013-8-11 16:29
The January effect is an argument against weak-form efficiency (that prices quickly reflect market data), but certainly is not an argument against strong-form efficiency (that markets quickly reflect all data, public and private). The January effect has nothing to do with insider information.作者: Kapie 时间: 2013-8-11 16:31
S2000 is correct:
This is a typical case of illicit minor syllogistic fallacy . The minor term is distributed as the conclusion but not in the process.
Argument : the January effect is true . This proves that a weak form efficient market does not exist .ergo a strong form efficient market cannot exist too.
An explanation of the illicit minor argument is :
All Dogs have tails
A cheshire cat has a tail too.
So the cheshire cat must be a dog.
The fallacy:
All strong form efficient markets are weak-form efficient as well.
So in order to prove that a strong form efficient market cannot exist , it is sufficient to prove that a weak form efficient market does not exist.
Forgive me.作者: Windjammer 时间: 2013-8-11 16:32
^ What he said.作者: soverby 时间: 2013-8-11 16:33
I disagree. Dogs and Cheshire cats are not in a subset-superset relationship like strong form and weak form.
There would be no January effect if a strong form, semi-strong form or weak form efficiency held.
In other words, if “–” denotes “implies”
strong form – weak form – technical analysis useless – no January effect.
Reverse this chain (if not A implies not B then B implies A)
Januarry effect – technical analysis works – no weak form – no strong form.作者: Viceroy 时间: 2013-8-11 16:35
To prove strong-form efficiency or lack of you would use a test that is structured to examine insider trades. It seems ridiculous to use a minor argument to prove or disprove the super作者: tango_gs 时间: 2013-8-11 16:37
Actually, the more I think about this – something I should have done at the beginning – the more I agree that the January effect does, in fact, argue against strong-form EMH.
Strong-form EMH says that market prices quickly reflect all information, public and private. The January effect demonstrates that market prices don’t, in fact, quickly reflect all information, public and private.
Once again, I’m so glad I don’t have to take these exams any more.作者: OmarAdnan 时间: 2013-8-11 16:38
If something violates weak form efficiency, then that also is sufficient to show that the market cannot be either semi-strong or strong form efficienct.
If semi-strong is violated then the market cannot be semi-strong or strong form efficient, however it may be weak form efficient.作者: Analyze_This 时间: 2013-8-11 16:41
Disagree, b/c January effect disproves semi-strong not strong form. Also I read the answer in the Scweser book like 4 months ago. COME GET SOME!!!作者: sabre 时间: 2013-8-11 16:43
Actually I just looked up the same question in both the 2013 and 2012 edition of the Schweser notes. Its in the EOC of reading 7 question 9. The 2012 says “Disagree”, the 2013 says “Agree”. Go figure, I’m blaming the folks at Schweser for this stupid question they created that they don’t even know the answer to.作者: Analti_Calte 时间: 2013-8-11 16:46
The January effect has to be tradeable to disprove the weak form (and by extension the strong form, because the strong form by definition meets the criteria of weaker forms, plus additional criteria, janakisri’s jargo-babble notwithstanding). A pattern in prices does not disprove efficient markets if it is impossible to profit from it after transaction costs are considered. So it depends on whether the January effect is tradeable for a profit, which I think studies show it is.
Here’s an interesting data point. Virtually all of the growth in the S&P 500 over time comes from the overnight appreciation from close to open. If you could be in the market only during closing hours, you’d make a fortune with substantially less risk. However, you have to trade two times every day, buy at the close, sell at the open, and those transactions costs eat up all extra profits. Bummer, and that doesn’t provide enough evidence to challenge efficiency hypotheses, either.作者: anothercfainnyc 时间: 2013-8-11 16:47
