Compound hypothesis
Composite hypothesis (Engl. Joint hypothesis ) is in the economic literature to determine the efficiency of the capital market established term.
He describes the following situation: If all available information has been fed into the prices or into the trading system , certain assumptions (hypothesis 1) cannot be used to generate excess returns in an efficient market. If you achieve an excess return, that doesn't necessarily mean that the market is inefficient. Rather, this can also be the result of a higher risk taken by an investor . In order to calculate this risk and to confirm the efficiency of the market, one again needs a model (Hypothesis 2). Usually this is done assuming an asset pricing model such as the Capital Asset Pricing Model (CAPM) or the Arbitrage Pricing Theory (APT) . If the market efficiency is falsified , the question that must be taken into account is that the negative result can also be caused by the test model.
The composite hypotheses problem ( Engl . Joint hypothesis problem) describes the fact that it is difficult to impossible to test the market efficiency of a market. It is not possible to determine the excess return without simultaneously determining the expected profits with the help of an asset pricing model. Reasons for irregularities can therefore be due to market inefficiencies, incorrect asset pricing models or both.
The core message of the composite hypothesis problem is that the market efficiency per se cannot be tested.
literature
- Eugene Fama : Efficient Capital Markets: II. , In: The Journal of Finance, Vol.XLVI (5) , 1991, p. 1575 ff.
Individual evidence
- ↑ Jens Hawliczek: Capital market factor morality ?: Price implication of ethically relevant aspects in the capital market . Springer, 2008, ISBN 978-3-8349-9841-5 , pp. 194 ( google.de ).