An efficient securities market. The efficient markets hypothesis. Average degree of market efficiency

Within the framework of the neoclassical approach, there are two concepts of market efficiency, representing the quality of the stock market from different angles. This is, firstly, the concept of the market of perfect or imperfect competition. The criterion of efficiency is the nature of competition and the conditions for maximizing profit arising from it. In accordance with this concept, the securities market (SM) refers to markets of imperfect competition.

And the second neoclassical concept is the market efficiency hypothesis formulated by E. Fama. The criterion of efficiency here is the quality of pricing based on the accounting in the price of financial assets of information that is important for its formation. In this case, it is sometimes said about the information efficiency of financial markets. However, this is a simplified interpretation of the market efficiency hypothesis. The type (nature) of information, namely: past (historical) prices, or public (public), or private, which is operated by the market and which underlies the formation of prices, is a criterion for highlighting the degree (or form) of market efficiency. But the criterion of an efficient market is precisely the quality of pricing: the compliance of the market price with its internal (or fair) value, the condition for achieving which is the complete and instantaneous reflection in the price of all information that is important for its formation. The information mechanism of pricing is a condition for the implementation of effective pricing of financial assets.

The balance of supply and demand can be achieved both in a market of imperfect competition and in a market that is not efficient within the framework of the neoclassical hypothesis of its efficiency. Within the framework of the latter, the stock market, like the financial market as a whole, appears as a market with information asymmetry. And market efficiency refers to the efficiency of the pricing of financial assets. In relation to the stock market, this is the efficiency of securities pricing, i.e. property rights (or institutions).

Within the framework of the institutional approach, the concept of an efficient market is based on minimizing transaction costs as the price of transactions that underlie the mechanism for pricing goods. Transaction costs are, in institutional terms, the prices of market imperfections 17. The qualitative criterion of market efficiency is the non-personalized nature of the exchange. Transaction costs equal to zero would mean the existence of a perfect market, (i.e., a market of perfect competition) and, at the same time, would mean, in accordance with R. Coase's theorem, an efficient allocation of resources in conditions of clear definition of property rights, the redistribution of which could not change distribution of resources in the economy.

Thus, the efficiency of its institutional mechanism is placed at the center of assessing the efficiency of the market, i.e. the ability of institutions to provide efficient pricing based on a level playing field and minimizing transaction costs. In this context, the approximation to market efficiency in the understanding that the institutional approach provides is a necessary condition for achieving its efficiency within the framework of various concepts of the neoclassical approach.

“Economic actors possess incomplete information and develop subjective models as a tool of choice. Transaction costs arise from the fact that information has a price and is asymmetrically distributed between the parties to the exchange. As a consequence, the result of any actions of the players on the formation of institutions with the aim of restructuring relationships will increase the degree of imperfection of markets ”18. Consequently, the degree of efficiency of the financial market has quantitative characteristics. These are, first of all: the level of transaction costs in the economy for attracting investment; the level of costs of functioning of financial markets; the level of costs of financial transactions of economic entities both in the open market and as a result of their internalization within the framework of integrated corporate structures. In other words, "the efficiency of an economic market can be measured by the degree to which a competitive structure, through arbitration and effective information feedback, imitates or approaches the conditions of a structure with zero transaction costs."

This understanding of market efficiency makes it possible to substantiate in a new perspective the formulation of the problem of stock market efficiency at the macroeconomic level, which is traditionally analyzed in terms of overvaluation, the emergence of “market bubbles” and cross-border capital movements due to the different quality of asset valuation in national markets. In addition, the dependence of economic growth on the quality of functioning of an institution such as the RZB and the efficiency of pricing for its assets is also in line with this methodological approach and in the focus of applied analysis of the process of financial globalization.

Foreign researchers measure the opportunities for economic growth of countries by examining how industry (its composition and structure) is valued in global capital markets using the price-earnings ratio (P / Eratio) in global portfolios of industrial enterprises and their stocks. Study 20 authors conclude that exogenous growth opportunities predict future changes in GNP and investment in most countries. This is most evident in countries that have liberalized their capital accounts, securities markets and banking systems. A study of periods of sustained rapid growth in the prices of stock market assets in the United States over 200 years showed that they occurred during periods of rapid economic growth and productivity, and even ahead of them. Two periods were distinguished by particularly high rates of growth in market prices: 1923–1929. and 1994-2000. Based on an assessment of the relationship between the growth in asset prices on the securities market and such fundamental factors as growth in real GDP, productivity, price levels, money and credit markets, it was concluded that the ups (“booms”) in the securities market are due to fundamental factors and real economic growth. While there is no consistent relationship between inflation and rises in SMEs, the latter tend to occur when money and credit market growth is above average. 21 This study, based on the significant data history of the developed US RZB and, most importantly, on modern data on the last period of an unprecedentedly long period of US economic growth in 1993-2000, reaffirmed the deep relationship between the growth processes in the market economy and the RZB, moreover, the steady rise in prices for securities market plays an indicative role, since it is of a leading nature and reflects real processes in the economy. However, one should not rely only on the readings of the stock index, especially on a specific period of its advance when forecasting economic dynamics. Only a group of macroeconomic indicators should be used in forecasting, while the variability of the time lag and time parameters of a particular cycle significantly reduces the potential quality of quantitative forecasts of the dynamics of economic cycles.

There are various ways to determine whether stock prices are overstated or understated at the macroeconomic level (similarly for individual securities). Among them are the ratios: P / Eratio, the ratio of the market value of shares and book value (P / BV), the ratio of the total market value of equity capital (capitalization) to some aggregated indicators, for example, the value of the gross national product (GNP) or the total replacement cost of capital ... The deviation of the current value from the average (or moving average) over the long term can be regarded as an overestimation or underestimation by the market of stock prices in the economy.

At the same time, the stock mechanism for assessing the value of assets does not remove some of the problems and costs of measurement. Modigliani and Koch (1979) hypothesized that RZB suffers from a “money illusion” that devalues ​​real cash flows by discounting them at nominal discount rates. The monetary illusion hypothesis also influences the pricing of risky assets relative to those with low levels of risk. A simultaneous check by foreign researchers (2005), taking into account modern pricing data for treasury bills (that is, a priori risk-free assets), low-risk securities and high-risk securities made it possible to clear the “money illusion” of any changes in investor attitudes towards risk. The empirical results support the hypothesis that the stock market suffers from a "money illusion." 22

Whether this stock pricing mechanism is related to the degree of market efficiency, or is it a consequence of the institutional characteristics of the market's valuation of assets - this is the problem posed by these results of empirical research.

A "market bubble" in the stock market means the excess of market prices of shares over their fundamental (intrinsic) value. Investors' expectations for higher prices and their belief in limited short sales lead to persistent overpricing of stocks relative to their fundamental value 23. The presence of such a “market bubble” causes reciprocal new share issues, placed at these inflated prices, which leads to an increase in the Tobin coefficient (Tobin's Q) and causes, in turn, paradoxical as it may seem, an increase in real investments. Empirical confirmation of the key position of the theoretical model of such a relationship has been obtained: with the growth of expectations of price increases, the volume of new emissions, the Tobin coefficient, and real investments increase. Thus, the “market bubble” is formed under the influence of investors' expectations and imperfect restrictions on the speculative game based on short sales, and is supported by the response of the real sector - the offer of securities at overpriced prices and the growth of real investments due to the resulting underestimation of real assets. Since these consequences for a certain time, obviously, are positive in the real sector and cause an increase in the market capitalization of companies, objectively conditioned by the growth of investments, the existence of a “market bubble” is supported for some time by this mechanism of direct and reverse links between the stock market and the real sector of the economy.

Consequently, the emergence of "market bubbles" is explained by reasons of a systemic nature: both the expectations of investors and their role in pricing, and the quality of the functioning of the market mechanism (its distortion), as well as the underestimation of real assets, which causes an increase in real investments and stimulates the purchase and growth of prices of real assets as a feedback mechanism.

Revealing the institutional peculiarities of the RZB as a market with information asymmetry and the difference in the level of transparency of the market and the firm also makes it possible to explain some of the effects and asymmetry of direct and portfolio investment flows as institutional effects caused by the specifics of this market. In this aspect, foreign direct investment is characterized by a management style that enables the owner to obtain relatively accurate information about the firm's performance. This superiority over foreign portfolio investment comes at a cost: a firm owned by a relatively well-informed strategic investor has a relatively low resale value due to this type of information asymmetry (known as the 'lemons' market). This comparative model of direct and portfolio investment based on information asymmetry can explain several facts related to foreign capital flows, for example, the relatively higher foreign direct investment / foreign portfolio investment (FDI / FPI) ratio in developing countries compared to developed ones. and also the lower volatility of net imports of direct investment compared to net imports of portfolio investment 25.

New conclusions make it possible to draw an institutional approach to assessing the efficiency of the stock market in relation to its impact on the investment structure: the quality of the assessment of market assets determines the priority forms of direct investment. Firms carry out foreign direct investment either by investing in lucrative projects or through cross-border takeovers. Cross-border takeovers are undertaken by firms with heterogeneous corporate assets to exploit their complementarity, while foreign direct investment in manufacturing projects involves setting up production in a foreign market. Effective foreign direct investment in manufacturing projects and cross-border takeovers coexist, but the structure of foreign direct investment varies. Empirical studies have shown that firms that invest directly in new production are systematically more efficient than those involved in cross-border acquisitions. Moreover, most foreign direct investment takes the form of cross-border takeovers, where the price differential between countries is negligible, while investment in manufacturing projects is more important for foreign direct investment from high-income countries to low-income countries. 26.

Interaction with other institutions of the financial system can modify the mechanism of functioning of the stock market, influence the degree of its efficiency, the quality of implementation of its functions, and the development of its institutions.

In particular, the existence of taxes as an institution of economic activity affects the value of the real disposable income of economic entities. The acquisition of assets for the purpose of building tax protection schemes leads to an increase and overvaluation of the market prices of these assets. The result is often inefficient allocation of resources, which manifests itself in the "market bubbles" of the stock market, real estate market and other markets. Moreover, the restoration of the correspondence between the market price and the fair "intrinsic value" of assets occurs often in a crisis form. Depending on the degree of involvement of institutions and subjects of different markets in the process of "erosion" of existing institutional restrictions, the crisis can cover a number of markets and result in a crisis of the financial system, as well as the economy as a whole. This, in turn, can lead to a change in the phase of the business cycle or a change in other quantitative and qualitative characteristics of its dynamics.

Generalization of these theoretical provisions leads to a number of conclusions:

Financial institutions as norms of economic activity can lead to allocative market inefficiency.

The deformation of the mechanism for the distribution of resources in the economy can manifest itself in the ineffectiveness of pricing in the stock market, an increase in transaction costs in the financial and economic system as a whole, and crises as a method (mechanism) of self-regulation.

Crises in the economic (including financial) system, on the one hand, are an indicator of the inconsistency of the institutional system of the economy (or its individual sectors) with the goals and mechanism of its functioning, and on the other hand, lead to the forced restoration of the efficiency of pricing, as well as to a change in institutions. (norms) at all levels of the system.

The efficiency of the stock market is determined by the level of its development as a market institution and interaction with other institutions of the economy.

High transaction costs are an inherent feature of emerging markets. One of the most obvious manifestations of market imperfections is significant differences in the price of the same product, and hence the possibility of arbitration. The price volatility of the spot market (current, cash market) increases the uncertainty of the markets in the future. But the opposite is also true: the uncertainty of the future state of the market affects the volatility of the current market conditions. It follows that institutional changes that reduce uncertainty in the future, as well as create a mechanism of interconnection (adequate response) between the current and future state of the market, that is, the creation of risk distribution institutions, is a factor in increasing the efficiency of the market, both from the point of view of the neoclassical approach, and and an institutional approach (reducing transaction costs as payment for imperfect markets).

Empirical research on the efficiency of the Russian stock market is based on the Market Efficiency Hypothesis (EMN). The concept of market efficiency occupies an extremely important place both in financial theory and in practice. The Capital Assets Pricing Model (CAPM) shows how important information about future payments is in determining asset prices. In general, it is assumed that investors in the market have different information about the future flows of payments for shares (financial assets). Equilibrium in the market under rational expectations is that prices aggregate all available information. According to E. Fama 27, the market is efficient. if market prices fully and instantly reflect all the information relevant to their formation.

E. Fama identified 3 forms (degrees) of market efficiency. The market has a weak form of efficiency (wear-form), if the dynamics of rates over the past period does not allow predicting the future value of the price and, therefore, decisions to buy or sell securities, made on the basis of technical analysis methods, do not systematically obtain a different from normal ( mid-market level) profit.

The market has an average form of efficiency (semistrong-form efficiency) of the market if all publicly available information (about factors such as inflation rates, money supply dynamics, interest rates, issuer's income, etc.) has no predictive power, and its use , including in fundamental analysis, does not allow you to extract profits above the market average from trading on the market.

Finally, a market is strong-form efficiency if all publicly available information as well as private information is fully reflected in prices. Therefore, in an efficient market in a strong form, the price of a security fairly accurately reflects its investment value (intrinsic, fair) 28. Thus, prices in an efficient market make it possible to assess the comparative efficiency of the activities of various industries and individual issuers and perform the function of regulating the flow of capital into the most efficient spheres of its application in the best possible way.

According to the theory, in an efficient market, past information is useless for predicting future prices, and the market should only respond to new (unexpected) information, but since this is by definition unpredictable, future prices and returns in an efficient market cannot be predicted (Fama). Thus, empirical research on market efficiency assesses whether the past available information allows predicting future prices, and whether there are factors (variables) in the past that affect current market prices.

Changes in the institutional environment have a direct and indirect impact on the quality of the stock market and its degree (form) of efficiency. Significant changes in the institutional structure in these periods increase the degree of market imperfection, as shown in the first part of the work, due to the increased costs of such restructuring. The efficiency of markets in conditions of high volatility of the institutional structure is unstable, since the market equilibrium in these conditions is also unstable. Therefore, the weak form of efficiency of the Russian securities market, identified by a number of authors 29 in the period 2000–2003, is not a stable characteristic in the medium and long term. It is the influence of institutional factors that brings the market out of the local, temporary equilibrium and violates the degree (form) of its efficiency. Therefore, the analysis of data at longer intervals reveals a violation of the form of market efficiency in certain periods. Thus, the conclusions obtained in the works of these authors do not fundamentally contradict the theoretical conclusions and the results of empirical analysis in the context of the institutional approach.

These transitions from one equilibrium state to another can be identified on the basis of one of the approaches to testing the efficiency of the stock market: using trading strategies as a mechanical filter for making trading investment decisions 30, i.e. based on the methods of mathematical statistics in the framework of technical analysis of the securities market. If the use of this method allows you to systematically gain profit (level of profitability) from investment operations in the securities market above the market average, calculated on the basis of the dynamics of the stock index with a wide calculation base, then the market is not efficient within this time period 31.

We tested the form of market efficiency based on the analysis of the efficiency (profitability) of investment operations in the Russian stock market based on the use of various trading strategies, i.e. fixed combinations of statistical analysis methods to identify trend reversal signals for making investment decisions. The research was carried out on the basis of a ten-year series of daily observations of the RTS index (more than 2.5 thousand observations) from 01.10.1995 to 01.06.2005 and a seven-year series of daily observations of the MICEX index (1.75 thousand observations) according to the official data of these exchanges.

The analysis used 40 basic trading strategies included in the analytical toolkit of the professional software package "Meta-stock", which are based on combinations of various methods of mathematical statistics and the theory of probability 32. 20 strategies out of 40 tested give an opportunity to get positive profit. At the same time, 5 of them provide systematically in the analyzed period profitability above the average market level, calculated on the basis of the MICEX composite index and the RTS index. In accordance with the efficient market theory, this result refutes the hypothesis of the efficiency of the Russian stock market in the medium and long term (see Table 1) (and only in such periods it is conceptually possible to test the efficiency of the market 33).

An efficient securities market is formed if investors have extensive and easily accessible information and all of it is already reflected in the prices of securities. The concept of an efficient market was developed on the basis of the works of Maurice Kendall, who in the early 1950s. found that changes in stock prices from period to period do not depend on each other. Prior to this, stock prices were assumed to have regular cycles. Studies have shown that, for example, the correlation coefficient between the price change of any day and the day following it is hundredths. This indicates a minor trend, such as a further increase in prices following an initial increase. Independent price behavior should only be expected in a competitive market.

In accordance with the market efficiency hypothesis, it is impossible to make accurate predictions of price behavior. In accordance with this hypothesis, the high efficiency of the portfolios of securities of some firms in comparison with others is explained not by the competence of managers, but by pure chance.

Six lessons from an efficient market have been developed based on the US stock market crash that began on October 17, 1987)