Learning, Asset‐Pricing Tests, and Market Efficiency
研究参数不确定性对资产定价的影响，发现当投资者需要学习预期现金流时，实证检验可能显示与理性投资者感知不同的模式，如看似可预测的收益或偏离资本资产定价模型，但投资者无法利用这些模式，且价格对现金流新闻的反应是有效的。
ABSTRACT This paper studies the asset‐pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician, or appear to deviate from the Capital Asset Pricing Model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even though prices react efficiently to cash‐flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.