On the Impossibility of Weak-Form Efficient Markets
构建模型证明，只要理性投资者风险厌恶且资产基础价值有风险，弱式有效市场就会失效，并发现非理性交易者在多种参数下能够存活。
Recent theoretical models show that irrational expectations can generate return predictability consistent with apparent violations of weak-form market efficiency documented in the empirical literature. These behavioral models constrain rational investors' ability toexploit inter-temporal predictability by assuming that rational agents face high transactions costs, are myopic, or are non-existent. This paper presents a model in which there are two types of irrational expectations, one that causes momentum and another that creates reversals. I investigate whether these types of predictability will persist in the presence of fully rational agents who face no transactions costs, are long lived, and trade dynamically to optimally exploit any predictability due to irrational mispricings. I show that weak-form market efficiency will be violated under two very weak conditions: rational investors are risk averse and the fundamental value of the asset is risky. The paper also investigates the accumulation of wealth by trader type and shows that irrational agents will survive under a large set of parameters.