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本文对资本市场有效性假说、资本资产定价理论和有效市场假说的检验进行了综述。提出了对有效市场的检验应该在时间上明确树立短期和长期的概念,并且认为从长期来看资本市场对资产是合理定价的,资产价格调整合理的时间受制于制度成本;本文提出短期的股价不合理不能否认资本市场长期的资产定价合理性,而长期的异常成为了资产价格扭曲;长期价格偏离合理的实质已经不是市场的行为,而是制度设计与制度执行的问题。结论是:政府所要做的就是降低制度成本,并且政府干预市场的准则是市场自我调整股价的社会成本大于政府干预的社会成本。
This paper reviews the hypothesis of capital market effectiveness, capital asset pricing theory and the test of effective market hypothesis. The author puts forward that the test of effective market should establish the concept of short-term and long-term clearly in time and think that the capital market is reasonably priced to assets in the long run and the reasonable time of asset price adjustment is subject to the system cost. This paper proposes short-term stock price Unreasonable can not deny the capital market long-term asset pricing rationality, and long-term anomalies have become asset price distortions; long-term price deviation from the reasonable substance is not the market behavior, but the system design and implementation of the system. The conclusion is: What the government needs to do is to reduce the system cost, and the government intervention in the market is that the social cost of self-adjusting the stock market is greater than the social cost of government intervention.