Economic use of theory can earn a fortune
You have probably heard the joke about the economist who is walking along the street when his wife points out a $10 bill on the pavement. "Don't be silly," he replies, "if there was one, someone would already have picked it up."
The joke is more illuminating than funny. The economist is, of course, right. There are very few $10 bills on the pavement, for precisely the reasons he identifies. People rarely drop $10 bills and when they do the money is quickly picked up. If you see a $10 bill on the pavement, it is probably a piece of litter that looks like a $10 bill. You would not be well advised to try to make a living tramping the streets in search of discarded $10 bills.
The story is intended to mock the commitment of most economists to the efficient market hypothesis - the theory that it is hard to make money by trading because everything there is to know about the value of shares, currencies or bonds is already reflected in the price. A corollary is that share prices follow a random walk - past behaviour gives no guidance as to the direction of future changes, and the next market move is always as likely to be down as up.
Efficient market theory is central to modern financial economics, which has long been the jewel in the crown of the business school curriculum - it combines technical rigour with practical applicability and its successful practitioners command large salaries in financial institutions. In 1978, Michael Jensen, doyen of efficient market theory, famously wrote that "there is no other proposition in economics which has more solid empirical evidence supporting it than the Efficient Market Hypothesis."
So it comes as a shock when the latest rich list from Forbes reveals that Warren Buffett has collected $44bn by finding $10 bills among the trash on the sidewalks of Wall Street, and now rivals Bill Gates for the title of the world's richest man. Mr Buffett's investment success has long troubled efficient market theorists. He himself noted that if 250m orang-utans kept flipping coins, one of them would produce a long string of heads. But if the lucky orang-utan keeps tossing heads even after you have picked him out from the crowd, that suggests he knows something you do not.
And so it is with Mr Buffett. In 1999 smart operators thought his luck had run out and sent Berkshire Hathaway shares to a discount on asset value. Mr Buffett eschewed technology shares, explaining that he would not invest in things he did not understand. As usual, he had the last laugh.
Paul Samuelson, who is to economics what Mr Buffett is to investment, published a Proof that Properly Anticipated Prices Fluctuate Randomly, but hedged his bets by investing in Berkshire Hathaway stock. Almar Alchian, a Chicago economist, eager as ever to show that only government regulation gets in the way of market efficiency, attributed Mr Buffett's success to anomalies in Nebraskan insurance law. But it seems unlikely that these could generate a fortune that is about equal to the entire income of the state.
Advocates of efficient market theory confuse a tendency with a law. As Mr Buffett himself has put it: adherents of the theory, "observing correctly that the market was frequently efficient, went on to conclude incorrectly that it was always efficient. The difference between these propositions is night and day." The joke demonstrates why this must be the case. There is a contradiction at the centre of the efficient market hypothesis. There is no point bending down to pick up a $10 note because someone will have done it already. But if there is no point in bending down to pick it up, it will still be there. In an article published just after Mr Jensen's, Joe Stiglitz demonstrated that contradiction, in many lines of mathematics rather than the single line of the stand-up comic, and this was one of the contributions for which he received the Nobel Prize for economics.
But for everyday purposes, it is quite enough to know the story of the $10 bill and its unexpectedly complex interpretation. The efficient market hypothesis is 90 per cent true, and you will lose money by ignoring it. The search for the elusive 10 per cent, like the search for discarded $10 bills, attracts effort greater than the rewards. But for the very few skilled searchers, the rewards can be large indeed
活用理论才能赚钱
你或许听说过这样的笑话：有位经济学家和妻子走在街上，他妻子指给他看，地上有张10美元钞票。经济学家回答说："别犯傻了。要是真有的话，早就该被人捡走了。"
这笑话并不是多可笑，但其教育意义却不浅。当然，经济学家说得并没错。正因为他所说的原因，街道上很少有10美元的钞票。人们很少让10美元的钞票掉到地上，就算真掉了，也很快有人捡走。如果你看到人行道上有张10美元的钞票，很可能只是一张纸屑，看起来像10美元钞票而已。你最好别想通过逛街找10美元钞票来谋生。
这故事讽刺的对象是那些忠于效率市场假说（efficient market hypothesis）的经济学家。该假说认为，股票、货币、债券的价值全反映在价格上，所以经纪行为难以赚钱。由此推论，股票价格就如同路过10美元钞票一样，是非常规行为，无从说明未来变化的方向，接下来的市场是涨是跌，概率完全一样。
效率市场理论是现代金融经济学的核心，而现代金融经济学又如同商学院课程皇冠上的宝石。该理论方法严谨，实用性强，成功运用该理论的人都在金融机构拿高薪。1978年，效率市场理论的鼻祖迈克尔o严森（Michael Jensen）写下了这句广为人知的话："经济学理论中最有实证基础的，莫过于效率市场假说了。"
最近《福布斯》(Forbes)财富排行榜上，沃伦o巴菲特（Warren Buffett）的总财富达到440亿美元，直逼排第一位的比尔o盖茨（Bill Gates）。让人惊奇的是，他这440亿美元可全是从华尔街人行道上的垃圾里捡10美元这样捡来的。巴菲特先生投资成功的故事一直让拥护效率市场理论的人困惑。他自己说过，如果2.5亿只猩猩在一直不断地抛硬币，其中有一只会连续不断地抛到正面。不过如果你把这只幸运的猩猩从集体中挑出来，他还是抛到正面，那就说明他有一些你所不知道的知识。
这正是巴菲特先生的情形。1999年，一些自作聪明的人认为他的运气到头了，因而把伯克希尔哈撒韦(Berkshire Hathaway)的股价降到了资产价值以下。巴菲特先生没有去碰技术股，他的解释是他不去投资他搞不懂的东西。果然，又是他笑到最后。
说起投资，我们必提巴菲特；说起经济学，我们必提保罗o塞缪尔森（Paul Samuelson）。塞缪尔森发表了《合理预测随机波动价格之证明》（Proof that Properly Anticipated Prices Fluctuate Randomly）一文，但另一方面，他却又买了伯克希尔哈撒韦股票。美国芝加哥学派经济学家阿尔马o阿尔奇安（Almar Alchian）总是鼓吹政府调控是维持市场效率的唯一方法。他把巴菲特的成功归结为内布拉斯加州保险法规的异常。但是这个论调行不通，因为巴菲特积累的财富相当于美国一个州的收入。
拥护效率市场理论的人将趋势和定律混为一谈。正如巴菲特先生自己所说的那样：拥护该理论的人"正确地看到市场一般情况下是有效率的，但进而又错误地认定市场总是有效率的。这两种理论的差别就如同白天和黑夜。"我们上文所说的笑话也说明了这二者的差别。效率市场理论在其核心是有矛盾的。弯腰去捡10美元没有道理，因为有人已经把钱捡走了。但是，如果弯腰去捡10美元没有道理，那么那10美元应该还在地上才是。在严森先生的论述发表后，乔o斯蒂格利茨（Joe Stiglitz）就揭示了这一矛盾，不过不是用一个简单形象的笑话来说明，而是用了很多行的数学运算。他因此还获得了诺贝尔经济学奖。
但是为了日常目的，我们只需了解10美元的故事及其背后的复杂阐释就可以了。效率市场假说90%正确，如果你忽视它，你会丢钱。那剩下的10%难以捉摸，去寻找它就像去找掉在地上的10美元一样，总是付出多，收获少。但是遇到会找的人，收获就会很大。
