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問題 THE PROBLEM
Eugene Fama已經為EMH的本質下了定義，他的看法是，金融資產的價格會反應出與它價值相關的所有資訊。然而，這個說法遭到諸多想要了解總體經濟與國際金融知識的人士關注。Robert Lucas在不久之前曾試著用以下的說法，重新為EMH下定義：
「金融資產的價格會反應所有相關、公開的資訊。如果一個經濟學家有一個公式，可以提前一週正確地預測出金融危機，那麼這個公式會成為公開資訊的一部份，於是金融資產的價格就會提早一周開始下跌。(「效率efficient」這個名詞在這裡是表示，個人為了他們自己的利益迅速地使用資訊，這跟價格會迅速地反應出社會大眾的期望無關。人們常把這兩者搞混。)」
Eugene Fama has defined the essence of EMH as the proposition that the price of a financial asset reflects all available information that is relevant to its value. This claim, however, has come under scrutiny by many who wonder about the intellectual quality of macroeconomics and of international finance. Robert Lucas has tried to defend the EMH recently in The Economist by restating it as follows:
“the price of a financial asset reflects all relevant, generally available information. If an economist had a formula that could reliably forecast crises a week in advance, say, then that formula would become part of generally available information and prices would fall a week earlier. (The term “efficient” as used here means that individuals use information in their own private interest. It has nothing to do with socially desirable pricing; people often confuse the two.)”
以上關於EMH的定義與重要性引起了大家的討論與關注。我聯絡著名的科學哲學家Jim Fetzer，想知道他對這個議題的看法。他告訴我，他覺得EMH很含糊籠統，也就是說：它看起來很重要而且是個真理，但是它其實將正確的概念(關於事情應該如何)與另一個錯誤的概念(關於事情的真實狀況為何)混為一談。他觀察到，比方說如果我們將價格固定住，那麼這個固定的價格會跟事實期望反應出的真正價格有極大的差距。所以說EMH是結合了微不足道的真理與重大的錯誤，簡單的來說，它是個騙局。
The precise meaning and significance of EMH is thus open to discussion and review. When I contacted Jim Fetzer, a prominent philosopher of science, for his take on this issue, he suggested to me that the EMH appears to be ambiguous, namely: that it appears to be both significant and true, but the sense in which it is true (as a normative claim about how things ought to be) is conflated with a second in which it is false (as a descriptive claim about how things actually are). He observed that, if price fixing is at work, for example, then the price may be wildly out of whack with the realities it is supposed to reflect. The EMH thus combines a trivial truth with a significant falsehood and therefore may simply function as a ruse.
在此我的目的是跟隨Fetzer的指引，從與以往不同的觀點切入，我想要做個關於事情及問題是如何發生的描述性假設。我要說明一些它所遭遇到的問題。既然EMH被視為說明市場價格如何運作的重要理論，那麼不論是EMH的方法學理、科學目的、或是真正的有效性，都會被公開挑戰，而這些挑戰很可能會動搖EMH的地位。
My purpose here is to follow Fetzer’s lead by considering the non-trivial sense in which, taken as a descriptive hypothesis about how things are, a number of problems are encountered that strongly suggest that, when it is taken as a significant claim about the actual operation of pricing in the market, the methodological propriety, the scientific purpose, and indeed the validity of the EMH are open to challenges that tend to undermine it.
思考點 CONSIDERATIONS
1.既然「所有攸關的、公開的可用資訊」能夠隨著時間變動、或被剖析、或被編輯，以滿足操控「可用資訊」的需求，那我們應該要問：「這些資訊要給誰用？什麼時候用？資訊本身可靠嗎？是根據哪一個標準產生的？跟誰的『個人利益』有關？在什麼情況下有關？」如果沒有一個客觀的、固定的主體夠資格稱作「具攸關性的可用證據」，EMH的正確性又如何能被評斷？然而這個問題似乎受到無限的變數影響。
Since “all [relevant, generally] available information” can fluctuate from time to time or be parsed or edited to satisfy the desires of those what want to manipulate the “information available”, we should also ask: available to whom? at what moment in time? is the information itself credible? by what standard? and relevant to whose “private interest” and under what circumstances? - If there is no objective, fixed body that qualifies as the “relevant available evidence”, how can the validity of the EMH be assessed? It appears to be subject to infinite variations.
2.EMH指出個人可以或會根據「他們自己的私人利益」去使用「所有攸關的、公開的可用資訊」的這個說法，並沒有存在任何具備良好定義的行為、認知、或法律上的規則。舉例來說，財務會計資訊並非客觀地真實，即使這些資訊內容合法而且被稽核過了，但它是經理人為了產生週期性的財務報表，而針對客觀交易資料做主觀調整之產出。換句話說，並沒有由「資訊」所組成且固定不變的證據可供大家使用，以作出「有效率的」決策。
There is no behavioral, cognitive or legal law identified according to which the EMH refers to “all [relevant, generally] available information” that individuals could or would use “in their own private interest”. - For example, financial accounting information is not objectively true, but based on subjective adjustments of objective transaction data for periodic income and value reports by managements, even when they are legal and audited. In other words, there is no fixed body of evidence available to the public that constitutes “the information” that is the basis of “efficient” decisions.
3.既然沒有定義明確的法則存在，我們便不知道如何區別起因與成效。建立於資訊片段與價格之間的任何關聯性其實並不一定能解釋些什麼。譬如說，「當Scholes先生從美國的長期資本管理公司(LTCM)事件中發現到，有時候市場壓力會使原本彼此毫不相干的資產，瞬間變成具有高度相關性。關於這個道理，整個金融業其實也都已經了解了。從這一點看來，風險值模型(value-at risk models, VAR)中指出的資本緩衝其實是嚴重不足的」(經濟學人, July 18th, 2009, p. 68).
Since no laws are specified, we do not know how to distinguish causes and effects. Establishing any correlation between any piece of information and any price does not necessarily explain anything to anyone. – For example, “as Mr Scholes discovered from LTCM and as the entire finance industry has now learned for itself, at times of market stress assets that normally are uncorrelated can suddenly become highly correlated. At that point the capital buffer implied by [“value-at risk” models] VAR turns out to be woefully inadequate.” (The Economist, July 18th, 2009, p. 68).
4.EMH所指出的認知法則，就跟：「你就別考慮任何在經濟學上合理的、有效率的價格了吧！當市場好像反應過熱時，就賣出！」一樣單純。「可用的財務會計資訊」可能跟真實的投機市場行為不相干。從那些更「令人興奮或激動」的資訊中，我們就足以產生或感應「市場熱度」。根據經驗法則來看，有很多例外狀況會使得EMH誤導大眾偏離事實。
The cognitive laws implied by the EMH may be as simple or simplistic as: “Don’t even consider any economically justified, ‘efficient’ price: When the market seems psychologically overheated, sell short!” - The “available financial accounting information” may be irrelevant to actual speculative market behavior. Generating or sensing “market heat” may be enough to gain from those more “excited or excitable.” The rules of thumb it suggests may have a multitude of exceptions that render the EMH more misleading than true.
5.測試EMH(為了反駁它)似乎建立於「背離均衡值的情況可能不會持續太久…此外，不管對誰來說，試著擊敗金融市場都是一個愚蠢的行為。如果資訊就在那裡，那它也早就在價格裡了。(經濟學人, July 18th, 2009, p. 68)」。如果我們可以從經驗得知均衡值，或是可以將它準確地預測出來，那麼「效率市場」就是一個了不起的假說或理論。但它並非如此，它僅是使用「似是而非」的統計分析，來對證券價格做「學理上」的解釋。試想，每個「擁有能提早一個禮拜準確地預測金融危機的公式的經濟學家」都會願意把消息趕在第一時間公布給大家使用嗎？
Testing the EMH (in order to attempt to refute it) seems to be based upon the implication that “Deviations from equilibrium values could not last for long . . . and trying to beat the [financial] market was a fool’s errand for almost everyone. If the information was out there, it was already in the price.” (The Economist, July 18th, 2009, p. 68). – If equilibrium values were empirically known or could be reliably estimated, this would be a non-trivial “efficient market” hypothesis or theory; but since they are not, virtually any “plausible” statistical analysis can serve as a “theoretical” explanation of security prices. Would every “economist who had a formula that could reliably forecast crises a week in advance”also make it publicly available in time?
6.當談到本益比(PE)或是市盈率(CAPE)時，Smithers [www.economist.com/freeexchange] 建議我們可以考慮使用「公平價值」。但它們同樣會面臨到，因錯誤資料或資訊而導致的「錯誤評估」。又現行之公開的會計與稽核的方法及實務，是否足以保護一般大眾與投資人追求他們的「私人利益」，是另一個值得我們討論的問題。然而這個問題的答案很可能令人無法放心。
By comparison, “fair value” is another option, when expressed in terms of price earnings ratios (PE) or cyclically adjusted price earnings ratios (CAPE) as suggested by Smithers [www.economist.com/freeexchange]; but they are also subject to “mis-evaluations” caused by possibly false data and information. – Whether current public accounting and audit methodology and practice are sufficient to protect the public and any investor pursuing her “private interest” are other obvious questions worth pursuing, where truthful answers to these questions may very well not prove to be especially reassuring.
7.「效率」的屬性很模稜兩可，因此Lucas教授認為效率是「個人為了自己的利益，快速地去使用資訊」。與我們對它的認知相反，「它跟社會期望的價格無關，人們通常將兩者搞混。」是因為要提供特殊的財務利益，所以故意在這使用含糊不清的語意嗎？換個角度解釋，EMH有沒有可能在當作個人利益的指導原則時是沒問題，但作為公共定價的方針時就很有問題？
The attribute “efficient” is so ambiguous that Professor Lucas interprets it as meaning “that individuals use information in their own private interest.” Contrary to the common understanding, “it has nothing to do with socially desirable pricing; people often confuse the two.” - Is this another case of deliberate semantic ambiguity that may serve special financial interests? Is it possible that, under differing interpretations, the EMH could be true as a guide to personal benefits but untrue as an indication of public pricing?
8.在經濟學人雜誌中提到EHM的想法(同上出處)：「如果資訊就在那裡，那它也早就在價格裡了。」這句話聽起來更像是種誤導，是種飄渺虛無的說法，專門用來敲潛在投資人的竹槓。把時間與精力花在定義一些無法即時被用來決定金融資產的價格之「相關」資訊上，就像是在追求「人造觀念」或是「垃圾假說」，而不像嘗試反駁一個嚴肅的科學理論。垃圾假說的內容提供很好的藉口給理財專員與騙子，讓他們能解釋自己對股票與債券採取的一切行動，「從簡單的利率選擇權到日益複雜的信用違約交換及債務抵押債券」(經濟學人雜誌，同上出處)
The formulation of the EMH by The Economist [ibid.]: “If the information was out there, it was already in the price” sounds more like a misleading and potentially deceptive claim that could be used to fleece potential investors. - Time and effort spent trying to identify “relevant” information that was NOT available in time to an individual user for determining a specific market price of any particular type of financial asset is more like chasing an “artificial construct” or a “junk hypothesis” than trying to a refute a serious scientific theory, where a junk hypothesis in this context is any excuse for financiers and hustlers to justify any action they want to take with respect to stocks and bonds up to “simple interest rate options to ever more intricate credit-default swaps and collateralized debt obligations” [The Economist, ibid.].
9.假設這個世界是個理想世界，所有資訊都非常完美、所有券商與經理人都非常誠實，那麼當EMH做為一種規範性聲明時，它可能是對的，但當用以描述事物是如何運作時，EMH依然是錯的。這個在真實世界的交易中會被認同的推論，能夠輕易地用於掩飾所有會造成價格波動，但並非對每個買家或投資人來說都是「公開」的舞弊與黑箱作業。這個指出價格會反應所有資訊的推論，告訴你完全無法透過蒐集資料與資訊獲得額外的好處(Grossman and Stiglitz)。所以它其實根本是藉由這個聽似冠冕堂皇，但壓根完全錯誤的說法，來為舞弊行為創造出一個溫室。
Even though the EMH may be true as a normative claim in an ideal world with perfect information and honorable brokers, it is false when viewed as a description of how things actually work. - The presumption it is satisfied in actual transactions in the real world can easily serve as a cover for fraud and secret manipulations that affect the price of traded items but are not “generally available” to all buyers or investors. The presumption that prices reflect all information implies that nothing can be gained by collecting data and information (Grossman and Stiglitz), which thereby creates the context for perpetrating fraud by appealing to a plausible sounding but false claim.
10.公開資訊與價格之間的關聯性無法解釋EMH中的因果關係。即使搜尋工具變數也不會對理解如此複雜的問題有所幫助，雖然很可能他們的「工作…是確保分析因素的遺漏…不會導致產生不正確的結果」(經濟學人，同上出處)，但目的是什麼？是當談到「風險」時，為所有「債券」「打分數」？是為債券訂出一個具有獲利能力的售價？還是評估銷售紅利(無論風險與獲利能力為何)？又誰能得到好處？
Correlations between available information and prices cannot explain causalities. Even search for instrumental variables will not help with such complex problems although presumably their “job . . . is to ensure that the omission of factors from an analysis . . . does not end up producing inaccurate results” (The Economist, ibid.) – But for what purpose? To “rate” any and all “securities” in terms of “risk,” to price them for profitable sales, to justify sales bonuses (regardless of their risk and profitability)? For whose benefit?
結論 CONCLUSION
如果沒有由「資訊」所組成，且固定不變的證據可供大家用，以作出良好的投資決策，那麼「可用的資訊」可能會不斷地波動、循環、或變化至不同的面向。然而，我們需要評估它是否圍繞著「公平價值」(Smithers)來提供證據。理性意味著正確的猜測，並依據批判性思考進行辯解。既然現代認識論很明顯是理性的，那麼我們可以避免經濟上的不理性。在使用會計、電腦、經濟與統計的技術之前，我們不僅要允許，也需要使用實證方法去證明之。
If there is no fixed body of evidence that is available to the public that constitutes “the information” that is the basis of investment decisions, then the “available information” may be constantly fluctuating, “rotating” or varying to different degrees; however, whether it does this around a “fair value” is to be determined [Smithers]. Rationality implies proper conjectures and attempted refutations based on critical thinking. Economic irrationality can be avoided since modern epistemology is clearly rational. It not only allows, but demands positioning empirical methodology before technology as in the case of accounting, of computing, of econometrics and of statistics.
身為一種科學，經濟需要明確的方法論更勝於新的計量經濟學。當一個假說是模稜兩可，像是EMH，那麼它就應該被澄清。我們不應拿EMH中微乎其微的正確說法，去混淆、掩飾EMH中的重大錯誤。「現實」無法用來作為「理想」的模型。價格可以固定、資料可以操弄、此外券商並非一定都是誠實的。經濟「科學」不能亂建立在瑣碎的小觀念上，否則會促成詐欺與舞弊的發生。以上提出十點想法，雖說在商場中會誤導客戶的人，依然會持續的引用EMH，但那些堅守誠信與正直的人，應該要能夠拋棄EMH才是。
Economics as a science needs methodological clarity more than it needs new econometrics. When a hypothesis is ambiguous, as in the case of the EMH, then it should be clarified. That the EMH has a true but trivial interpretation should not obfuscate that it also has a significant but false interpretation. The real does not model the ideal. Prices can be fixed, data can be manipulated, and brokers are not invariably honest. The “science” of economics cannot be based upon the abuse of trivialities to promote deception and fraud. Given the set of ten considerations presented here, even though those who are in the business of misleading their clients may continue to appeal to the EMH, those who are committed to honesty and integrity in their dealings ought to abandon it.
參考資料 References at：
www.economist.com
www.economist.com/freeexchange
翻譯：中正會資所 汪修平
© Copyright 2009 by Hart J. Will |
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