Who said? If it is so, the spot price of it will go down immediately as nobody will will buy it, and then the expected return becomes positive. Or, in the arbitrage theory, the stock will be sold short, which makes it positive in no time.

这一问一答，让人想起了这个经典故事，好象改编过的版本如下：

一位华尔街年轻的实习交易员急急忙忙地跑来告诉一位年长的资深交易员，说道：有谁在交易所大厅地板上掉了100美元。资深交易员听后头也不抬，回答说：“别去想那100美元了，就在你说话这会儿，一定已经有人把它捡走了。”因为在一个有效金融市场，信息传递得如此之快，如此之广，以至于任何无风险套利的机会都瞬息即逝。所以，你不能先于其他人而廉价地获得一项信息来保障你的投资收益

摘至 金融工程学 周洛华

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二楼的回答，是不是同样可以应用到： why a stock may have a positive expected return?

[此贴子已经被作者于2006-10-13 2:31:14编辑过]