Racjonalni inwestorzy zamiast racjonalnych oczekiwań w hipotezie rynku efektywnego
Rational investors instead of rational expectations in effective market hypothesis

Summary/Abstract: Information incoming to the market affects not only current prices but also expected future prices that are set in the futures market. Prices on the futuretermine market bring important information about investor expectations. Incorporation of neoclassical investor rationality (Discounted Cash Flow method DCF in a continuous function of time) leads to the conclusion that the efficient market hypothesis (EMH) tests based only on past and present data may give erroneous results. Bypassing the expectations of future investors makes it difficult to see a possible new price trend created by the arrival of new informatoion to investors. Excluding from EMH testing expected future value of the variables is contrary to the principle of investor rationality. To reduce the risk of abnormal EMH test results, it is suggested to include the future prices and fundamental variables expected by investors in the studies.

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