An exploration of Neo-Austrian theory applied to financial markets
成果类型：
Article
署名作者：
Benink, H; Bossaerts, P
署名单位：
Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/0022-1082.00353
发表日期：
2001
页码：
1011-1027
关键词：
摘要：
We attempt to translate Neo-Austrian ideas about the workings of financial markets, as originally advanced by F.A. Hayek, into the standard probabilistic language of modern finance. We focus on an apparent paradox, namely the insistence of Neo-Austrians on order (i.e., stationarity) together with ever-reemerging inefficiencies. The paper's findings have implications beyond Neo-Austrian theory: They demonstrate how easy it is to reject market efficiency, but how much more difficult it is to discern the nature of the inefficiency. We illustrate our findings with price data from the U.S. Treasury bill market over the period 1962 to 1999. There is ample evidence that the price of a three-month Treasury bill is not a random walk, yet the sign of the average price change is erratic, so that inference about the nature of the inefficiency is unreliable.