Dynamic Asset Allocation and the Informational Efficiency of Markets
指出市场除了信息作用外还有资源配置作用，价格变动可能源于配置性交易而非信息，这会导致信息效率失效；动态交易策略因风险未完全证券化而产生配置性交易，投资者需判断价格变动是信息性还是配置性。
ABSTRACT Markets have an allocational role; even in the absence of news about payoffs, prices change to facilitate trade and allocate resources to their best use. Allocational price changes create noise in the signal extraction process, and markets where such trading is important are markets in which we may expect to find a failure of informational efficiency. An important source of allocational trading is the use of dynamic trading strategies caused by the incomplete equitization of risks . Incomplete equitization causes trade. Trade implies the inefficiency of passive strategies, thus requiring investors to determine whether price changes are informational or allocational.