An Exploration of Neo‐Austrian Theory Applied to Financial Markets
尝试将哈耶克提出的新奥地利学派关于金融市场的观点转化为现代金融的概率语言，用美国国库券市场数据证明市场效率容易被拒绝但难以判断无效性的具体性质。
We attempt to translate Neo‐Austrian ideas about the workings of financial markets, as originally advanced by F. A. Hayek, into the standard probabilistic language of modern finance. We focus on an apparent paradox, namely the insistence of Neo‐Austrians on order (i.e., stationarity) together with ever‐reemerging inefficiencies . The paper's findings have implications beyond Neo‐Austrian theory: They demonstrate how easy it is to reject market efficiency, but how much more difficult it is to discern the nature of the inefficiency . We illustrate our findings with price data from the U.S. Treasury bill market over the period 1962 to 1999. There is ample evidence that the price of a three‐month Treasury bill is not a random walk, yet the sign of the average price change is erratic, so that inference about the nature of the inefficiency is unreliable.