Some markets are more efficient than others. That is a simple fact. Efficiency is still related to competition and market structure. In a perfectly competitive market, excess profits are driven to zero. If you want to invest in those markets you will get paid for risk-taken but do not expect to do better than that, and don't expect to do better than your peers. More competition and the speed of adjust to new information will be faster. If there are more market frictions, there will be less efficiency.
This basic framework can guide any investor as to whether some markets will be more likely to be profitable through information gathering or through the use of trend-following. Investors will be paid fore their information analysis in a less efficient market. There is less competition of market assessment. Similarly, there will likely be more trends either because there is less capital to push markets to equilibrium or the cost of responding to any piece of information is higher.
Above is a simple table of characteristics of markets that may be less efficient. This does not mean that all markets with these characteristics will more profitable than others. We have not seen any work that has directly tested this hypothesis. There is some evidence from general studies and conjecture. Most investors still focus on large liquid markets for the simple reason that they are easier to trade and can handle more size.
However, we can say that global macro markets are more likely to be inefficient because they are harder to value. This is often been referred to as Samuelson Dictum on markets "micro efficient but macro inefficient". Unfortunately, fewer traders and less liquidity also place these markets at higher risk of larger downside moves. You may be able to exploit inefficiencies, but there are special risks.
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