In which context, I was just reminded by a conversation with my missus that the Eddie Murphy/Dan Ackroyd film "Trading Places" turns on a particular point about commodity futures which, IMO, gives the absolute lie to any claims of market efficiency beyond Fama's purely statistical efficiency concept.
That point (which is, incredibly, very well established and true) is that 40% of the entire volatility of the NYMEX contract in September Frozen Concentrated Orange Juice occurs in the single day on which the Department of Agriculture releases its forecasts for orange production. I just can't for the life of me see how this factoid is at all consistent with the FCOJ futures market having any information advantage over the US government. dd -----Original Message----- From: PEN-L list [mailto:[EMAIL PROTECTED] Behalf Of Doug Henwood Sent: 23 June 2004 21:24 To: [EMAIL PROTECTED] Subject: Re: Marxist Fianancial Advice Daniel Davies wrote: >The more hazy idea behind >efficient markets theory is that stock market prices are in some way the >"best" forecast of discounted value of future cash flows. Yup. It's been ages since I read this stuff, but some of the more honest economists conceded there was a "joint hypothesis problem" with EM theory - the speed with which prices reflected the thinking of market participants, and the quality of that thinking itself, two separate issues that often get conflated into a "best available wisdom" argument. Greenspan loved to cite the wisdom of the markets as a way of avoiding the word "bubble" in the late 1990s. Doug
