Zingales sobre cómo vivir sin la teoría de los mercados de capitales eficientes

Zingales es uno de nuestros preferidos. Este artículo escrito para Dédalo explica maravillosamente la Efficient Capital Markets Hypothesis, sus fallos y cómo y con qué podemos sustituirla. Un par de párrafos

        The necessary starting point is always Friedman’s argument that deviations of prices from fundamentals create moneymaking opportunities. Yet this argument should be tempered by the understanding that these opportunities are not as easy to capture as $100 bills on the sidewalk. Even in the simplest cases, lack of capital can prevent arbitrageurs from doing their job, particularly when it comes to leaning against the entire market

Nevertheless, in the short run, relative prices can deviate from their relative fundamentals, especially when institutional or technical factors create a significant imbalance between demand and supply. Consider, for instance, the case of acquiring companies. It is well known that on average the stock price of companies engaged in large acquisitions drops. Historically, this drop has been interpreted as a signal that the market values most of these acquisitions negatively. In fact, this drop could be due, at least in part, to the selling pressure of merger arbitrageurs, who buy the target and hedge by selling short the bidder. Over several days, one expects this deviation to be corrected, but at the announcement of the bid, the imbalance can be very strong and can temporarily alter relative prices. These temporary misalignments have no serious impact on the efficiency with which market prices direct the allocation of resources; still, they must be considered when we make inferences from events studies.

When it comes to the absolute level of prices, however, or the relative price between very different asset classes, we cannot have the same level of confidence in market efficiency. Arbitrages between asset classes or directional arbitrages against the overall level of the markets are extremely risky for any trader. Only a very self-confident trader, one whose job is not at risk because he bets mostly with his own money, can afford to engage in these arbitrages. Warren Buffett is one of the few investors who fit this description. Not surprisingly, he has an amazing record of performance. The paucity of this type of arbitrageur should give us pause in taking the overall level of the market at face value.

Y luego saca algunas consecuencias acerca de lo que deberían hacer los bancos centrales; cómo estructurar la remuneración de los administradores de compañías cotizadas y sobre si debe mantenerse la contabilización de los activos a su valor de mercado.

Rather than demonstrating market inefficiency, the 2007–2008 financial crisis stands out as an example of the potential costs that deviation of assets price from fundamentals can have on the real economy, especially when these deviations are amplified by high leverage