ناهنجاری ها در امور مالی: چه هستند و برای چه مفید هستند ؟

In the natural sciences, anomalies contribute significantly to the development of new and ultimately more successful theories. The role of anomalies in financial economics, however, has been quite different. Although at the beginning, the word was used to show deviations from the Efficient Markets Hypothesis (EMH)/Capital Asset Pricing Model (CAPM) paradigm, lately, it has been applied to a new literature that is also more accurately called Behavioral Finance (BF). This paper argues that this misuse and misapplication of the word anomaly is not a simple coincidence. It is rather a sophisticated and accordant effort to imply that although there are some unresolved deviations from the norm, the reigning paradigm is irreplaceable, and its validity needs no empirical proof. In fact, an alternative paradigm such as BF is not only insignificant but also unnecessary and even impossible.

The word “anomaly” has gained both prominence and broadening use in that branch of economics that is commonly referred to as financial, having become the standard label for a flourishing and ever-expanding literature. Specifically, the word refers to a compendium of studies that shows evidence contrary to the empirical validity of the Efficient Markets Hypothesis (EMH, subsequently) of Fama, 1965 and Fama, 1970 and/or the Capital Asset Pricing Model (CAPM, subsequently) of Black (1972), Lintner (1965), Sharpe (1964), and others. In a recent paper, Fama (1998) implies that what is known today as Behavioral Finance (BF, subsequently) is, in fact, “the anomalies literature.” The objective of this paper is to show that this misuse and misapplication of the word “anomaly” is not a simple coincidence. It is rather a sophisticated and accordant effort to imply that although there are some unresolved deviations from the norm, the EMH/CAPM combination is irreplaceable, and its validity needs no empirical proof. In fact, an alternative paradigm such as BF is not only insignificant but also unnecessary and even impossible. Fama (1998) does not stop short of arguing that only an alternative proven with much more binding rigor can replace the EMH as a paradigm. If this claim is taken seriously, then, anomalies or not, the EMH is for all practical purposes immunized against any possibility of rejection. This is so, because the existence of the EMH has itself never been proven with any rigor, it having had to make do with circumstantial and indirect statistical evidence. Fama's (1998) paper is a landmark with respect to another consideration as well. This is the first time that the advocates of the EMH/CAPM2 have found it necessary to defend so rigorously their paradigm against another paradigm that shows more promise of coping with the continuing onslaught of anomalous results, in essence, against what they call BF. In earlier defenses of the EMH such as Ball (1996), anomalies were recognized but not taken too seriously.3 The way we see it, the anomaly imbroglio has two dimensions: 1. Whether there is any significance to finance's current misuse of the term other than misunderstanding the underlying philosophy of science. 2. What the role of anomalies ought to be in the growth of scientific knowledge and in the understanding of the financial world. These two dimensions may not be totally independent of each other, which raises the question of how researchers should deal with a situation that might, in fact, be more harmful than one would imagine at first look. Consistent with the objective stated above, then, the following section deals with the general thesis of what anomalies are in the philosophy of science, specifically in the sociology of science approach of Thomas Kuhn, who introduced the term in its philosophical sense. In the natural sciences, anomalies contribute significantly to the development of new and ultimately more successful theories. Although the disinclination to accept new theories is never trivial, eventually, usually with the help of better instruments of measurement, resentment is overcome via the triumph of empirical evidence over ideology. The role of anomalies in financial economics, however, has been quite different. In Section 3, we document and evaluate the use of the word in the contemporary finance literature. Although at the beginning, the word was used to show deviations from the EMH/CAPM paradigm, lately, it has been applied to a new literature that is also more accurately called BF. BF is work that questions some of the key behavioral assumptions of traditional (also known as “modern”) finance. One consequence of this challenge is a rejection of the EMH/CAPM. Although the methods of analysis of BF so far have remained the same as those of modern finance, and its empirical domain is the same price/volume data, which modern finance has mined for years, its findings jeopardize the ruling paradigm and perhaps provide an opening toward a new way of thinking about financial phenomena. Section 4 of the paper is about how observed phenomena become anomalies in financial economics and what role they are playing in the process of discovery (search for truth). We will argue that for an empirical finding to become an unexplainable occurrence in finance; that is, an “anomaly,” it has to go against the grain of the explicit and implicit axioms and assumptions that together constitute the framework of the paradigm in which the phenomenon is recognized. This fact has two important consequences: 1. It immunizes the broadly accepted paradigm from being replaced. 2. More importantly, it circumscribes the ontology (what is to be known) of the field within rigid boundaries. The second point constitutes an almost insurmountable roadblock in the development of new and more comprehensive theories, because it sets out fairly specifically the phenomena that are worth studying. In Section 5, we offer our conclusions and express our hope that, somehow, the profession is going to reconsider its ways of thinking and talking about itself.

In his comments on Kleidon's (1987) article, which we discussed extensively in Section 3, Robert Shiller (1987) makes the following statement: Perhaps what we need is not something so dramatic as a ‘scientific revolution’ so much as a little softening of the dogmatic adherence to the efficient markets viewpoint among people in academe. If you look in finance journals, you will find a nearly total absence of any mention of the possibility that fashions or fads may be at work. Those who bring up such a possibility are viewed as if they were bringing up astrology or extrasensory perception. I find that, as a consequence, many people in academic finance show little indication of having thought much about how fashions or fads might affect financial markets (Shiller, 1987, p. 317). To this, we would add that what finance really needs is a healthy infusion of the very sort of science that it portrays itself as practicing. First, it ought to be more attentive to its philosophy. It should be clear from the numerous quotations from Kuhn in this paper that he is not very precise about just what an “anomaly” is. However, it should be equally clear from our discussion in this paper that where finance has made reference to Kuhn, it has clearly done so in its own interests. It uses the word “anomaly” in what is on the whole its general sense in order to disparage what ought to be taken as serious evidence against the EMH and CAPM, and it borrows Kuhn's more dismissive comments on anomalies to give the semblance of philosophical respectability to what it is doing. Second, finance ought to be more attentive to its language in general. Although it purports to be objective, it clearly uses words that are subtly dismissive of alternatives to its most cherished theories. Even finance's critics contribute to their own downfall. It is not surprising that Kleidon should contrast “rational expectations” with “mass psychology” and “fads.” However, if Shiller expects BF ever to be taken seriously, it cannot continue to be described as advocating the relevance of “fashions” and “fads.” Of course, it is hard to imagine a term for markets that could possibly compete with “efficiency,” now that that term has been adopted for what previously had been not nearly so attractively referred to as a “random walk.” The case of the word “anomaly” in many ways encapsulates the current status of research in finance. Traditional finance has immunized itself from criticism by ensuring that its novices in doctoral programs receive a limited education in its own bastardized version of the philosophy of science and by clothing itself in terms that are so attractive and its opposition in terms that are so disparaging. Real progress in finance can only be achieved when such matters are recognized for what they are and critically examined.