? ??? ??? ??? ????? ??? 20?? ?????

? ?????? ??? ??????????????????? ??????? ?????????? ???? ???? ??????? ??? ??????? ??? ?????????????????? ?????. ? ?????? ??? ??????????????????? ??? ?????? ???????? ??? ?? ?????? ???????? ??? ??? ????????? ??? ?????????? ????????? ??? ??????????? ?? ????????  ???? ??????????? ????????????? ??? ??? ?????????? ?????? ??? ??????. ???? ????? ???? ??????????????? ??? ?? ?????????? ??? ????? ???? ????? ?? ??????????? ????????????? ???? ???? ??? ???????????? ????????? ??? ???? ???????? ?? ????? ??? ?????????? ?? ??????????? ??? ????????? ???? ??????? (Fama,1970). ? ?????? ??? ??????????????????? ??????? ?? ???? Dimson ??? Mussavian (1998) ???? ????? ??? ???????? ??? ??? ??? ????? ??? 20?? ????? ??? ??????????? ???????? ??? ???? ????????? ? Bachelier (1900) ??? ?????????? ??? ????????. ? Bachelier ???????? ??? «?? ??????????, ?? ???????? ???? ??? ?? ?????????? ???????? ??? ?????????????? ???????????? ???? ????? ??? ?????? ???? ????? ??? ???????????? ????? ??????? ????? ?? ??? ????????? ??? ?????». ????????, ?? ???? ??? ????????? ????? ?? ????? ?????? ????? ?????????????? ??? ??? Paul Samuelson ??? ???? ??? ????????? ??? 1950 ??? ??? ???????? ???????????? ??? ??????? ??? ??? Cootner (1964).1 ? Paul Samuelson ??????? ????????? ??? ????? ?????? ????????? ??????????????? ?? ??????? ??????? ??????????? ????? ???????????, ????????? ??? ???? ??? ?????????? ?????? ???? ??? ????????????? ??? ??? ??????? ???????? ??????????? ????????????? ????????? ??? ????????????? ??? ?????????? ?? ??????????.2?? Cowles and Jones (1937), ?????????? ??? ?? ???? ??? Bachelier, ????????? ??? ?????????? ??? ?? ????? ??? ??????? ???? ??? ??????????? ??????. ?? 1963 ? Mandelbrot ?????????? ??? ??? ??????? ???????????? ?????, ???? ????????????? ??? ?????? ????????? ????? ??? ??? ???????? ???? Pareto. ??? ???????? ? Fama (1965) ?? ?? ???????????? ??????? ??? (1963, 1965a, 1965b, 1970) ???????????????? ??? ??????? ??? ??????????? ????????? ??? ????? ??? ???????  ????? ??? ???? ??????? ??? ???????? ?????? ??? ???????? ???????? (????? ??????????? ??????? ?? ?????? ????? ??? ??? ???????? ??????????? ????????? ??? ????? ???? ??????) ??? ????????? ??????? (????? ?????????? ??? ??????????? ????????? ??? ??? ???????????? ??? ??????? ????? ???? ???????).?? ???? ?? ??????????????? ?????????? ??? Samuelson, ???? ?? ??? ?????????? ??? ???????? ? Roberts (1967) ??? ?? ?? ?????  ????????? ????? ??? ?? ????????? ?????????? ??????? ??? ????????????????? ? Eugene Fama (1970) ??? ????? ??? “Efficient Market Hypothesis: ? Review of Theory and Empirical Work”, Journal of Finance ?????????? ??? ??? “?????????????? ?????” ?? ??? ????? ???? ????? ?? ????? ??? ?????????? ???????????? ????? ???????? ?? ????????? ??????????? ??? ??? ?????? ????????? ??????? ???? ?? ???????????? ???????. ? Malkiel (1973) ??? ?????? ??? ” A Random Walk down Wall Street” ?????????? ??? ?? ????? ??? ??????? ??????? ?????????? ?????? ??????? ?????????, ??????? ??? ??????? ?? ???????? ??? ????? ??? Fama. ??????? ?? ??? Shiller (2003), ???? ??? ???????? ??? ??????? ??? Malkiel, ?? ?????????? ??? ??? EMH ?? ?????????? ????? ???? ??? ???? ??? ??????????? ???? ??????????? ??? ????? ?????????????. ??? ???????? ???? ?? ????? ???  Samuelson (1965) ??? Fama (1965?, 1965b, 1970), ????? ???? ???????????? ??? «??????????» ?????? ??? EMH ???? ?? ????????? ??? ?????,????? ???????????? ??? ?? ?????? ??? ??????? ???????????? ?????? ?? ????? ?? ??????????? (LeRoy, 1973, ?. Rubinstein, 1976; ??? Lucas, 1978). ?? ?????? ???? ??????, ??????? ?? ??? Lucas (1978), ???? ?? ????????? ????? «??????????? ??????????» ??? ?? ????? ??????????? ?????? ???? ??? ?????????? ???????????. ? EMH ???? ????????? ??? ?? ????? ????????????, ??????????????????? ??? ??????????? ?? ???????????? ???????????? ?????????, ???? ?? ????????? ????????, ?? ??????????? ?????????, ?? ?????????? ??????????? ??? ?? ????? ??????????. ? ?????? ???? ???? ????????? ? ????: ?? ??????????? ????????? ???????????? ??? ?????????? ???? ??????????, ?? ?????? ????????????? ?????????????? ??? ??????????? ??? ?? ????? ?????????? ???????????? ???? ??? ?????????? ??????????? ?????????. ??? ???????????? ?? ????????? ??? ????????? ??? ?????:1) ?? ????????? ????? ??????????? ??? ???????????, ????? ???????? ?? ???? ??????????, ????????????? ??? ???????? ???? ????? ??? ???????????? ??? ????????? ????. ??? ????????? ???????????? ??? ??????????? ?????.2)??? ???????? ????? ?????????? ??? ?????????? ??? ?? ??????????? ??? ?????.3)???? ??? ??????? ??????? ??? ????????? ???? ??????????? ????????? ??? ?????? ?? ?????????? ?????????? ??? ??? ?????????.4)?? ????? ?????????? ?? ????????? ??? ??????? ????????? ? ?? ????????? ??? ????? ?????? (Pt=Pt-1+et/et~N(0,1))5)? ?????????? ????? ????? ??? ????????????????? ???? ????? ??? ?? ?????? ???? ?? ?????? ?????? ??? ?? ?????????? ??? ?????????? ?? ?????? ??????. ? EMH ????????? ???? ??????? ??? ??? ??????????? ??? ?? ?????? ??? ??????????????? ? ????? ??? ??????????? ?? ???????? ??????????. ?? ????? ????? ? ??????????????? ??? ??????????? ???????? ??? ? ???? ?????? ??? ?? ?????????? ????????.?? ??????? ????? ? ?????????? ???? ??????? ??? ????????? ???? ?????????????? ?????????? ??????????? ???. ??????????, ?? ????????? ??? ????? ??? ?????????? ?? ????????? ??????????? ???? ???????????????? ?? ??????????? ??? ?????????, ? ????? ????????? ??? ??? ????? ??? ???? ???????????. ?? ??????? ??? ????? ????? ??????? ?????? ?? ???? ??????????? ??? ????? ???????????. ?? ??????? ?????????????? ????? ? ??????????????? ??? ?????????? ? ????? ??? ?????????? ??????????? ??? ?? ????????? ???????? ????? ? ???????? ??? ????????????????? ??????? ??? ???????????? ??? ??????????? ????????????. ??? ??????? ?????? ??? ??????? ??? ??????????????? ? ??????????? ?????? ?????? ?? ?????????? ???????? (rational investor), ?? ????? ??? ???????? ??????? ?? ?????????? ??????, ??? ???????????? ??? ??????????? ??????????? ???, ???? ????? ???? ??????????  ??? ???????????? ????????? ??? ????  ????????? ??? ????????? ????????? ??? ????????. ? ????????? ??????????? ??????????? ??????????? ?? ???? ??? ??????? ?????????:        ?) ??? ????????? ??????? ????? ??? ?? ??????????? ??? ???????? ????? ???????. ???? ???????? ??? ??? ????? ?????? ?? ????????? ???? ??? ??????? ???????? ??? ??? ?? ???????? ?????? ? ?? ?????? ????????? ?? ???? ?????.        ?) ??? ??????? ???????? ????? ? ???? ??? ???????????????, ?????? ???? ?? ????? ??????? ?? x ??? ?? y ??? ?? y ??? ?? z, ???? ?? ??????? ??? ?? x ??? ?? z.3 ??????? ?? ??? ??????? ??? ??????????? ?????????? ?? ????????? ????????????? ??????????, ????? ??? ?????????? ???????????, ?????????? ????? ??? ???? ??????????? ??? ?????????? ?? ?????????? ???? ??? ????????????????? ?? ?? Fama ???????? 3 ?????? ??????????????????? ??? ? ??????????? ??????? ?? ???? ?? ????? ??? ???????????? ??? ? ???? ????? ????????. ???? ?????? ????? ?? ????? ??????????? ?????????? ??? ??????? ???? ????????? ????? ??? ??????????. ???? ???-?????? ????? ?? ????? ?????????????? ?? ???? ????????? ??????? ??????????. ????? ???? ?????? ????? ?? ????? ??? ?????????? ???????????????? ??? ??? ??????????, ??????? ??? ????????. 4
?????? 1  ?? 3 ?????? ??? EMH  ????: https://www.slideshare.net???? ??? ??????? ??? ???????? ?????? ?????? ?? ????? ?? ???????????? ? ??????????? ??? ??????? ????????? ???? ?????, ????????? ??????? ??????? ??????????? ??? ?? ?????????? ? ???????? ??? ??????????????????? ??? ?????? (Beja (1977), Grossman and Stiglitz (1980), LeRoy and Porter (1981) ??? MacKinlay (1988), Lehmann (1990), Jegadeesh (1990), ??.). ?????????? ?? De Bondt ??? Thaler (1985) ??????????????? ???????? ????????? ??? ??????? ??? ?????????????? ??? ?.?????? (NYSE) ??? ?? 1926 ??? ?? 1982, ????????? ??? ??????? ??? ?? ??????? ??? ?? ????????? ??? ?????? ???????? ??? 36 ????? ??????? ?? ???????????? ??? ??????? ???? ???? ??? ??????? ??????? ??? ????? ????????? (36 ?????). ?? Jegadeesh ??? Titman (1993) ??????????? ??? ? ?????????? contrarian ?????? ?? ???????????? ????????? ????????????? (???? ??? ????? ??????). ???? ?????? ?? ????????? ??? ??????? ??? ? ????? ??????? ?? ??? ??????? ??????? (?????????) ???????? ??? ????? ????? ?? ?????????????? (??-??????????????) ??????????? ????????? ??????. ??????????? ??? ? ??????? ?? ?????????? ??? ?????? ??? ?????? ??????? ????????, ?? ????????? ???????? ??? ???? (????????) ?? ???? ????? ??????? (?????? ???????). ???????? ??? ?????????????? ??? ????????? 1960 ??? 1970 ????????? ?? ????? ???????, ??? ?? ?????? ??????????? ??? ????????????? ???? ?????? ??? ??????? ?? ??????????? ??? ??? ?????? ??? ???????????????????. ??? ???? ???????? ??? ?? ?????? ??? ????????? ?? ????? ??????????????? ???? ?????? ?????, ????????? ?????? ????????? ?????????? ???? ??? ?????????? ??? ???????? ??? ??? ???-??????? ??????.? Malkiel(2003)??????? ???? ????????? ??? ??????? ??? ??????????????????? ??? ?????? ??? ???????? ??? ?????????? ??? ????????? ???????? ??? ?????? ?????? ?? ???????? ??? ?? ????????????? ??????? ??? ???? ????????? ?? ???????????? ?? ?????????? ??? ???? ??? ?????. ? Schwert (2003) ???????????? ??? ????????? ??? ??????????? ??? ?????????????????? ??? ??????, ???????? ??? ?????????? ??? ? ???? ??? ?????????? ?? ?? ???????? ??? ??????????? ?????????? ???????? ???? ?????????? ?? ???????????? ????????? ??? ?????????????? ????????? ??? ???????? ?? ???????????? ?? ??? ?????????. ??????, ????? ??? ?? ?? ????????? ??????? ???? ??????? ?????????????? ???? ??? ????? ???????????? ??? ????? ????, ?? ?????????????? ??? ????????????? ??? ?????????? ??????????? ??? ?? ?????????????? ??? ??????? ??????????? ??????? ?? ??????????? ??? ????????? ????. ? Malkiel (2005), ?????? ??? ?? ????????????? ???????????? ?????????? ??? ????????? ??? ?????? ???????? ???? (index benchmarks) ??? ??????? ???????? ??? ?? ??????? ??????? ?? ????? ??? ?????? ???????? ?? ??????????? ???? ??? ?????????? ???????????. ?? Marshall ??? ?????????? (2010) ???????? ???? ??? 5000 ??????? ?????????? ?? 49 ????? ??? ????????? ??? ?????????? ???  ???? ????????????????? ? ????????? ??? ?????????, ?? ????? ??? ???? ???????? ??????? ??? ????? ?????????? ??? ???? ??? ??????????? ??? ??? ??????? ???????????? ??? ?????????. ?????? ???? ????????? ????????? ??? ? ??????? ??????? ?????????? ???????? ???? ??????????? ??????, ??????? ??? ???????? ?? ??? ??????? ??? ????? ?? ?????? ????? ??? ???????? ???????????????, ???? ???? ??? ????? ??? ?????? ?????????? ??? ?? ?????????.??????? ?? ?? Lo(2007) ? ??? ????? ???? ???????? ??? ??? ??? ????? ? ????????-????????, ??? ???????? ??????? ???? ????????? ???? ???????????? ?????????, ?? ????? ????? ?????????, ?????? ?????? ??? ?????????. ?? ??????? ??? ?? ??????? ????? ??????? ??? ????????? ?????????? ??? ????? ??????????????? ??? ?? ??????? ??? ? ???????????? ????? ?????? ?????? ??????????? ??? ?????? ????????? ??????? ?? ??????????? ??? ????. ??? ???????? ??????? ??????? ??? ?????????? ???????? ?? ????????? ????????? ??? ????????????? ???? ??????. 

1
https://en.wikipedia.org/wiki/Efficient-market_hypothesis

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2 EFFICIENT
MARKETS HYPOTHESIS Andrew W. Lo, The New Palgrave: A Dictionary of Economics, Second Edition, 2007. New
York: Palgrave McMillan

3 BEHAVIORAL FINANCE Psychology,
Decision-Making, and Markets, Ackert & Deaves,2010 ???.4

4 https://www.slideshare.net/Zorro29/market-efficiency-and-empirical-evidence

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