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1、PermanentandTemporaryComponentsofStockPricesEugeneF.FamaandKennethR.FrenchUni四川鈔01ChicagoAslowlymean.revertingcomponentofstockprìcestendstoinducenegativeautocorrelationinreturns.Theautocorrelationisweakforthedailyandweeklyholdingperiodscommoninmarketefficiencytestsbutstrongerfor
2、long-hori互00returns.Intestsforthe1926-85period,largenegativeautocorrelationsforreturnhorizonsbeyondayearsuggestthatpredictablepricevariationduetomeanreversionaccountsforlargefractionsof3-S-yearreturnvariances.Predict?ablevariationisestimatedtobeabout40percentof3-5-yearreturnvari
3、ancesforportfoliosofsmallfirms.Thepercentagefallstoaround25perccntforportfoliosoflargcfirms1.IntroductionEarlytestsofmarketefficiencyexaminedautocorrelationsofdailyandweeklystockreturns.Samplesizesforsuchshortreturnhorizonsaretypicallylarge,andreliableevidenceofnonzeroautocorrel
4、ation?scommon.Sincetheest?matedautocorrelationsareusuallycloseto0.0,however,moststudiesconcludethattheimpliedpredictabilityofre?turnsisnoteconomicallysignificant.Fama(1970)summarizesthisearlywork,whichlargelyconcludesthatthestockmarketisef白ClentSummers(1986)challengesthisinterpr
5、etationoftheautocorrelationofshort-hor?zonreturns.HearguesthattheclaímincommonThecommentsofCraigAnsley,DavidBooth,JohnCochrane.johnHuizinga,ShmuelKandel,RobertKohn,RichardLeftwi巾.MertonMiller.SamPeltzman,CharlesPloss肘，RexSinquefield,and,especìally,G.WilIiamSchwertaregratefullyac
6、knowledged.ThisresearchissupportedhytheNatìonalS口enceFounclation(Fam時，theCenterforResearchinSecurityPrices(French),andBalterymarchFinancialManagement(French)[journo.lo[Pcúihca/Eωm町1988，voL96,no.2)。19也18byTheUnivc"tSityofChκago.Allrighurc:~rvc:d.0022-3808/88/9602.0005$01日》246COMP
7、ONENTSOFSTOCKPRICES247modelsofaninefficientmarketisthatpricestakelongtemporaryswingsawayfromfundamentalvalues,whichhetranslatesintothestatisticalhypothesisthatpriceshaveslowlydecayingstationarycom?ponents.Heshowsthatautocorrelationsofshort-horizonreturnscangivetheimpressionthats
8、uchmean-revertingcomponentsofpricesareofnoconse
