?

,

vs (good) ( )

(asset) ( , , , ..) / (capital gain/loss)

: , , , ?

(q) (d)

: , ?

:

Et qt +1 = E (qt +1| t),

qt - t , t - , t

(EMH) () , EMH . ,

: ( ) ( ) (EMH)

,

EMH ( ) EMH:

Fama E.F. (1970) Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, pp. 383-417.

EMH , , ( ) ( )

EMH ,

EMH , , (, , !)

EMH , EMH

: EMH ? EMH ?

(No-Arbitrage-Condition)EMH , : , , :

(NAC): NAC (1.2) , , ..

NAC : , (1.1) - (1.2)

NAC : NAC ( ):

:

- , , d(t) = d0 t = tS , t = tS, d(t) = d1 > d0

- t = tS , :

_1177751993.unknown

_1177752016.unknown

_1177752063.unknown

_1177752157.unknown

_1177752028.unknown

_1177752007.unknown

_1168760943.unknown

- , , d(t) = d0 t = tA , t = tS, d(t) = d1 > d0

_1177752007.unknown

_1177752028.unknown

_1177752063.unknown

_1177752157.unknown

_1177752016.unknown

_1168760943.unknown

_1177751993.unknown

_1168760922.unknown

- t = tA - (jump variable).

2

: qt - ,dt, dt+1, dt+2, - ,r (NAC) :

(NBC) :

NBC . , , ( )

, (2.1) :

(8) : t , .. :: , (2.7) (2.6)

? , NAC rational bubble, .. NAC , , :

: 1998. , , NASDAQ . the great bull market , , NASDAQ 2000 , Requiem for a prudent man A fund manager's career has lessons for today's investorsThe Economist (March 27th 2008)

? , , .. , . ?

, ? , fundamentals, .. . fundamentals (noise traders), (fads), (herd behavior), ..

Noise traders (smart money) noise traders? ( , ). , : , .. , , , -

: 3,000% 1994. 1,600. (~$1) 1994. 105,000 . (~$51) 1994. .

: ?

: Tulipmania 17 1634 1637 Admiral Van de Eyck 1,500 1634 7,500 1637 ( !!!) 20 !!! 1637 10%

Garber P.M. (1990) Famous First Bubbles. Journal of Economic Perspectives, 4(2), pp. 85-101.

: Tulipmania : Tulipmania 1634-1637. ?

: Tulipmania , , . !!! 1637 1642 32% 18 28.5%

: NAC :

:

NBC :

(2.11) NBC (2.12) :

:

(Forward-looking solution) (2.14) : , ,

,

*