Often goods, services or contracts are offered or traded in different variants on a market. The variants differ with regard to certain qualitative characteristics. Then the question quickly arises whether the prices “exactly” correspond to the quality offered or whether the relationship between price and value is not uniform.
In the first case, a prospective buyer will hardly make any effort to clarify the question of quality: he will read the quality directly from the price, knowing that all qualities are equally “inexpensive”. The price may be viewed as public and open information.
However, if the prices of the variants differ, a prospective buyer will obtain further information, even if this means a certain amount of effort, in order to find out more precisely the quality that is not disclosed and does not always correspond to the price.
The question of whether prices and values correspond, of course, is of particular importance when it comes to substantial investments, i.e. when buying securities. The prospective buyer could assume a lower level of information for himself and would then only make a financial investment after extensive analysis.
A financial market is called information-efficient if all (new) information is reflected almost immediately and correctly in the prices based on the (in principle available) information achievable with a security, appropriately risk-adjusted. This definition is attributed to FAMA, who in turn refers to ROBERTS, who probably first brought up the idea of information efficiency for price formation in the financial markets around 1960. JENSEN later formulated an equivalent definition:
A financial market is said to be information-efficient if it is not possible, through the acquisition and evaluation of one's own information, to design an investment strategy that would be superior to direct buying and holding (buy-and-hold), i.e. based on transaction costs and after adjustment for the risks taken a higher return could be expected.
Both definitions mean that neither overpaid nor underpaid securities can be found in information-efficient markets. All securities are properly valued at all times. Consequently, in information-efficient markets, the uninformed market participants are protected. When they buy, hold and later sell, they have the same performance as an active investor who is informed and who uses the information obtained to create a “pattern” according to which he buys and sells securities.
The first definition allows one more conclusion with regard to the process of price development:
Information is only new if it is unexpected, if it is surprising, otherwise the news could have been derived from what is already known.
Now the “surprising” has to be accidental, otherwise it would be calculable, predictable. So the stream of new messages is purely coincidental.
Since the prices in an information-efficient stock market correctly reflect the news then available at all times, the process of price development must also be a random process. Therefore, with the discussion of information efficiency, the random walk (discrete points in time) or the Brownian movement (continuous time) have become important for describing prices or returns.
Whether or not stock markets are information-efficient is primarily a question that needs to be clarified empirically. Numerous tests were carried out to check, for example, whether price movements can be interpreted as a random walk or whether it is possible to achieve excess returns with certain trading strategies. As for the latter, the question quickly arises as to what information may be used to implement such a trading strategy.
Stock markets are not very information efficient. But a lot of empirical research shows that the main markets (apart from a few counterexamples) can be viewed as semi-powerfully information-efficient. However, trading strategies have been formulated that even question the poor information efficiency.
Für das Management einer Unternehmung lehren diese Betrachtungen die Bedeutung der Informationspolitik gegenüber der Öffentlichkeit. Ohne eine klare und formalisierte Struktur der Communication policy könnten schnell gewisse Aktionärsgruppen, insbesondere Kleinaktionäre, benachteiligt werden. Zudem wird die Bedeutung von Ankündigungen für die Kursbildung offensichtlich. Da Analysten auf Equity-Stories achten, wird eine Unternehmung ihre Projekte in Art und zeitlicher Struktur so wählen, daß ihr ein beständiger Strom von Ankündigungen möglich ist.