EMH, Noise traders and money-making strategy

This paper compares and analyzes traditional Efficient Market Hypothesis (EMH) and Behavior Finance Theory from the view of financial market realities. Two types of investors are involved in this market, rational traders and noise traders. Different from the view of EMH, we provide the evidences that with the absence of substitute security and the complicated emotion of the investors, noise traders long exist in the market will lead to limitation to arbitrage. So will do the excess returns. And unlike what is supposed under EMH., the auto-covariance of the returns at different times, which stand for momentum effect, will reliably be different from zero. Then, there is money-making strategy in the financial market, and we can propose a framework in theory to find it.