The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street

摘要

Is modern finance theory and in particular the efficient market hypothesis (EMH) to blame for the financial crisis, as Justin Fox's provocative title suggests? While the title may lead one to that impression, the book is more than a cheap shot across the bow of the giants of the finance academy. Instead, I found a more considered reflection on the development of finance thought and the contribution of finance theory to financial markets. The historical description of the breakthroughs in finance starts with the beginnings of Wall Street and the Great Depression. The collection of market data, blended with statistics, mathematics, and economics, to better understand stock prices is traced, but doubt is created by evidence from behavioral finance and boom and bust cycles that seem to run counter to the notion of market efficiency. The contributions by Fisher, Modigliani and Miller, Samuelson, Markowitz, Sharpe, Fama, Jensen, Black and Scholes, Greenspan, Shleifer, and Thaler are enriched by skillful interviews, research, and detailed endnotes.