As far as market existed, the research in the economic and financial fields questioning the existance of forces able to preserve and self-determine an equilibrium to keep markets efficient has given rise to a debate that now lasts for more than a century. A turning point in the discussion came in the middle of the 1990s when, thanks to the strenght and the viability of its fundamentals, the Efficient Market Hypothesis was brought to assume the intellectual predominance among the economic paradigms of the Twentieth century. After the theorical and empirical success gained in its aftermath, since the Seventies the efficient markets revolution has been challenged by several parties. On one hand, economists claimed that, at some extent, stock returns could be predicted relying either on their endogenous historical information or on exogenous factors influencing the firm activity. On the other hand, behavioral finance advocates accused market efficiency to be only an ideal artifact, definitely rejectable from a psychological and behavioral point of view. The paramount intent of this thesis is to provide the reader with both a survey of the literature that marked the life of the Efficient Market Hypothesis and with an empirical study dedicated to check the validity of its issues in the Italian stock exchange. Starting from the theory, the evidence stemming from momentum strategies and the application of a test for statistical arbitrage to a sample of italian stocks will lead this work towards the conclusion that market efficiency is effectively mined by empirical inconsistencies, which can be ultimately attributed to market anomalies.
Il dibattito sull'efficienza dei mercati iniziato agli albori del Novecento si sta protraendo da più di un secolo. La necessità di dare una valida spiegazione teorica alle forze auto determinanti in grado di preservare un equilibrio nei mercati finanziari ha spinto economisti, psicologi e econometrici a studiare l'evoluzione dei prezzi e dei rendimenti dei titoli finanziari, con l'obiettivo di individuarne falle e punti di forza. A partire dalla seconda metà del Novecento, l'affermazione della Teoria dei Mercati Efficienti ha segnato un punto di svolta nella ricerca economica. Le forti basi teoriche e i test empirici in suo supporto hanno ben presto reso questa preposizione una delle più valide e radicate dell'intero panorama economico e finanziario dello scorso secolo. Come ogni forza rivoluzionaria, tuttavia, anche l'ipotesi di efficienza del mercato avrebbe dovuto aspettarsi controrivoluzioni. L'istituzione della finanza comportamentale unita allo studio econometrico sulla possibilità di prevedere l'andamento futuro dei titoli azionari sfruttando dati storici od esogeni hanno minato le fondamenta della Teoria dei Mercati Efficienti. Questa tesi è destinata a fornire sia un quadro storico degli avvenimenti che hanno segnato l'ascesa della Teoria dei Mercati Efficienti, sia le prove empiriche che al contrario hanno spinto il mondo finanziario a dubitare della sua validità. Infine, viene presentato uno studio empirico condotto su un campione di titoli selezionato tra i listini della Borsa Italiana che investiga la possibilità di extra-profitti investendo in strategie di momentum. I profitti derivanti da tali strategie sono inoltre sottoposti ad un test per l’individuazione di opportunità di arbitraggio statistico.
A DISCUSSION ON THE EFFICIENT MARKET HYPOTHESIS: HISTORICAL REVIEW AND EMPIRICAL EVIDENCE
BRUSATI, ANGELO
2015/2016
Abstract
As far as market existed, the research in the economic and financial fields questioning the existance of forces able to preserve and self-determine an equilibrium to keep markets efficient has given rise to a debate that now lasts for more than a century. A turning point in the discussion came in the middle of the 1990s when, thanks to the strenght and the viability of its fundamentals, the Efficient Market Hypothesis was brought to assume the intellectual predominance among the economic paradigms of the Twentieth century. After the theorical and empirical success gained in its aftermath, since the Seventies the efficient markets revolution has been challenged by several parties. On one hand, economists claimed that, at some extent, stock returns could be predicted relying either on their endogenous historical information or on exogenous factors influencing the firm activity. On the other hand, behavioral finance advocates accused market efficiency to be only an ideal artifact, definitely rejectable from a psychological and behavioral point of view. The paramount intent of this thesis is to provide the reader with both a survey of the literature that marked the life of the Efficient Market Hypothesis and with an empirical study dedicated to check the validity of its issues in the Italian stock exchange. Starting from the theory, the evidence stemming from momentum strategies and the application of a test for statistical arbitrage to a sample of italian stocks will lead this work towards the conclusion that market efficiency is effectively mined by empirical inconsistencies, which can be ultimately attributed to market anomalies.È consentito all'utente scaricare e condividere i documenti disponibili a testo pieno in UNITESI UNIPV nel rispetto della licenza Creative Commons del tipo CC BY NC ND.
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https://hdl.handle.net/20.500.14239/4189