Chap011有效市場(chǎng)假說ppt課件

1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 11The Efficient Market Hypothesis有效市場(chǎng)假說INVESTMENTS | BODIE, KANE, MARCUS Maurice Kendall (1953) found no predictable pattern in stock prices.股票價(jià)錢中沒有可預(yù)測(cè)的方式 Prices are as lik

2、ely to go up as to go down on any particular day.任一一天中上漲和下跌的能夠性都一樣 How do we explain random stock price changes?如何解釋股票的隨機(jī)變動(dòng)？ 難道市場(chǎng)價(jià)錢是沒有任何意義的嗎？Efficient Market Hypothesis (EMH)有效市場(chǎng)假說INVESTMENTS | BODIE, KANE, MARCUSEfficient Market Hypothesis (EMH)有效市場(chǎng)假說 EMH says stock prices already reflect all avail

3、able information有效市場(chǎng)假說義務(wù)股票的市場(chǎng)價(jià)錢曾經(jīng)反映了一切可用的信息 A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information.未來的好音訊一定會(huì)使投資者蜂擁而至呵斥如今股價(jià)上漲 Result: Prices change until expected returns are exactly commensurate with risk.結(jié)果就呵斥了股票

4、價(jià)錢的變換方式只能是：獲得的收益是不可預(yù)期風(fēng)險(xiǎn)的補(bǔ)償，其他的收益都會(huì)被套利活動(dòng)拿走INVESTMENTS | BODIE, KANE, MARCUSEfficient Market Hypothesis (EMH)有效市場(chǎng)假說 New information is unpredictable; if it could be predicted, then the prediction would be part of todays information.新的信息是不可預(yù)測(cè)的，假設(shè)是可預(yù)測(cè)的信息馬上就會(huì)帶來股價(jià)變動(dòng)從而成為了今天的信息 Stock prices that change in r

5、esponse to new (unpredictable) information also must move unpredictably.因此，第二天的股票價(jià)錢變動(dòng)一定反響了今天所無法預(yù)知的信息，由于今天每一點(diǎn)每一滴可以預(yù)知和運(yùn)用的信息都會(huì)反映在今天的價(jià)錢變動(dòng)中 Stock price changes follow a random walk.這種完全沒有方法預(yù)測(cè)的未來運(yùn)動(dòng)方式成為隨機(jī)散步INVESTMENTS | BODIE, KANE, MARCUSFigure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Ta

6、rget Companies目的公司接納前累計(jì)的異常收益：只是宣布音訊的那天會(huì)有異常變動(dòng)INVESTMENTS | BODIE, KANE, MARCUSFigure 11.2 Stock Price Reaction to CNBC Reports市場(chǎng)價(jià)錢對(duì)CNBC報(bào)道的反響INVESTMENTS | BODIE, KANE, MARCUSInformation: The most precious commodity on Wall Street 信息是華爾街最珍貴的商品Strong competition assures prices reflect information.強(qiáng)有力的競(jìng)爭(zhēng)

7、保證股票價(jià)錢可以反映有效信息Information-gathering is motivated by desire for higher investment returns.信息搜集是由追求更高投資收益所驅(qū)動(dòng)的The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.競(jìng)爭(zhēng)太猛烈以致于額外收益太低，只需大規(guī)模的基金管理人才會(huì)有動(dòng)機(jī)去做研討分析等EMH and Competition有效市場(chǎng)

8、假說與競(jìng)爭(zhēng)INVESTMENTS | BODIE, KANE, MARCUS Weak弱式假說以為市場(chǎng)的股票歷史價(jià)錢、成交量等市場(chǎng)公開信息曾經(jīng)無用，都已反映在目前的股票價(jià)錢里； Semi-strong半強(qiáng)式假說任何公司財(cái)務(wù)信息、預(yù)期、以及一切公開可得的信息都已無用，反映在當(dāng)前股票價(jià)錢里； Strong強(qiáng)式假說以為任何信息都已反映在股票價(jià)錢信息里，包括內(nèi)幕音訊Versions of the EMH有效市場(chǎng)假說的不同版本INVESTMENTS | BODIE, KANE, MARCUS Technical Analysis - using prices and volume information

9、 to predict future prices技術(shù)分析是利用股票價(jià)錢、成交量等信息預(yù)測(cè)未來價(jià)錢走勢(shì) Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.這類分析勝利的關(guān)鍵要素是股價(jià)本身對(duì)供求要素反響愚鈍，有投機(jī)空間； Weak form efficiency弱式有效 Relative strength相對(duì)強(qiáng)勢(shì)的方法：心情目的 Resistance levels阻力程度：均線目的在弱式有效假說下，技術(shù)分析無效Types of Stock Analysis

10、股票分析的類型INVESTMENTS | BODIE, KANE, MARCUSTypes of Stock Analysis股票分析的類型 Fundamental Analysis - using economic and accounting information to predict stock prices根本面分析利用經(jīng)濟(jì)或財(cái)務(wù)信息來預(yù)測(cè)價(jià)錢未來走勢(shì) Try to find firms that are better than everyone elses estimate.試圖尋覓被低估的公司 Try to find poorly run firms that are not a

11、s bad as the market thinks.試圖尋覓不像市場(chǎng)想象的那么差的公司 Semi strong form efficiency and fundamental analysis在半強(qiáng)式假說下根本面分析無效INVESTMENTS | BODIE, KANE, MARCUS Active Management積極管理 An expensive strategy比較貴的戰(zhàn)略 Suitable only for very large portfolios只適宜于非常大的組合 Passive Management: No attempt to outsmart the market被動(dòng)

12、管理不試圖超越市場(chǎng)表現(xiàn) Accept EMH接受市場(chǎng)有效假說 Index Funds and ETFs指數(shù)基金和買賣所基金 Very low costs本錢費(fèi)用低Active or Passive Management積極與被動(dòng)管理INVESTMENTS | BODIE, KANE, MARCUSEven if the market is efficient a role exists for portfolio management:即使在完全有效的市場(chǎng)中理性管理還是必要的Diversification分散化投資Appropriate risk level適當(dāng)?shù)娘L(fēng)險(xiǎn)程度Tax conside

13、rations避稅戰(zhàn)略的思索Market Efficiency & Portfolio Management市場(chǎng)有效與組合管理INVESTMENTS | BODIE, KANE, MARCUSResource Allocation資源分配 If markets were inefficient, resources would be systematically misallocated.假設(shè)市場(chǎng)是無效的，那么資源的分配就有系統(tǒng)性的錯(cuò)誤 Firm with overvalued securities can raise capital too cheaply.定價(jià)太高的公司能以過于廉價(jià)

14、的價(jià)錢融資 Firm with undervalued securities may have to pass up profitable opportunities because cost of capital is too high.低估的公司得不到適宜的投資時(shí)機(jī)由于融資本錢太高 Efficient market perfect foresight market 有效市場(chǎng)不等于完美的市場(chǎng)INVESTMENTS | BODIE, KANE, MARCUS Empirical financial research enables us to assess the impact of a pa

15、rticular event on a firms stock price.可以讓我們看到某一特殊事件對(duì)公司股票價(jià)錢影響的金融實(shí)證研討，比如某個(gè)重要的董事會(huì)成員下課 The abnormal return due to the event is the difference between the stocks actual return and a proxy for the stocks return in the absence of the event.事件所產(chǎn)生的異常收益估計(jì)了股票的實(shí)踐收益與沒有發(fā)生該事件的基準(zhǔn)收益之差Event Studies事件研討INVESTMENTS | B

16、ODIE, KANE, MARCUSReturns are adjusted to determine if they are abnormal.仔細(xì)校正收益以決議它們能否異常Market Model approach:市場(chǎng)模型a. rt = a + brmt + et(Expected Return)期望收益b. Excess Return = (Actual - Expected)et = rt - (a + brMt)超額異常收益的估計(jì)值能否不為零的檢測(cè)很重要How Tests Are Structured測(cè)試是如何構(gòu)建的INVESTMENTS | BODIE, KANE, MARCUS

17、Magnitude Issue規(guī)模問題Only managers of large portfolios can earn enough trading profits to make the exploitation of minor mispricing worth the effort.只需大型投資組合的經(jīng)理才干從微小的定價(jià)錯(cuò)誤中獲利Selection Bias Issue選擇偏見問題Only unsuccessful investment schemes are made public; good schemes remain private.只需失敗的投資方案才會(huì)公布于眾，出色的投資

18、方案總是非常重要并被仔細(xì)保管的商業(yè)Lucky Event Issue僥幸事件問題：好運(yùn)氣和好技術(shù)可以產(chǎn)生同樣的結(jié)果，如何甄別好的投資績(jī)效背后的緣由？Are Markets Efficient?市場(chǎng)是有效的嗎？INVESTMENTS | BODIE, KANE, MARCUSWeak-Form Tests弱式有效檢驗(yàn) Returns over the Short Horizon短期收益有正相關(guān)特征 Momentum: Good or bad recent performance continues over short to intermediate time horizons動(dòng)量效應(yīng)：在短期內(nèi)

19、股票的上漲或下跌趨勢(shì)延續(xù)不改 Returns over Long Horizons長(zhǎng)期收益有負(fù)相關(guān)特征 Episodes of overshooting followed by correction短期反響過度長(zhǎng)期有修正趨勢(shì)INVESTMENTS | BODIE, KANE, MARCUSPredictors of Broad Market Returns主要市場(chǎng)收益的預(yù)測(cè)者 Fama and French Aggregate returns are higher with higher dividend ratios較高的股息收益率會(huì)帶來較高的報(bào)答 Campbell and Shiller

20、Earnings yield can predict market returns盈利率可以預(yù)測(cè)市場(chǎng)收益 Keim and Stambaugh Bond spreads can predict market returns債券價(jià)差可以預(yù)測(cè)市場(chǎng)收益INVESTMENTS | BODIE, KANE, MARCUS P/E Effect市盈率效應(yīng) Small Firm Effect (January Effect)小公司的1月效應(yīng) Neglected Firm Effect and Liquidity Effects被忽略的公司效應(yīng)、流動(dòng)性效應(yīng) Book-to-Market Ratios凈市率 P

21、ost-Earnings Announcement Price Drift盈余公告后的價(jià)錢漂移Semistrong Tests: Anomalies半強(qiáng)式檢驗(yàn)：市場(chǎng)異象INVESTMENTS | BODIE, KANE, MARCUSFigure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 2021十家不同規(guī)模組合的平均年收益INVESTMENTS | BODIE, KANE, MARCUSFigure 11.4 Average Return as a Function of Book-To-Market Rati

22、o, 19262021按賬面/市值比大小分組后的平均收益INVESTMENTS | BODIE, KANE, MARCUSFigure 11.5 Cumulative Abnormal Returns in Response to Earnings Announcements累積日常收益對(duì)盈利宣布的反響INVESTMENTS | BODIE, KANE, MARCUSStrong-Form Tests: Inside Information強(qiáng)式有效檢驗(yàn)：內(nèi)幕音訊 The ability of insiders to trade profitability in their own stock

23、has been documented in studies by Jaffe, Seyhun, Givoly, and Palmon內(nèi)部人員利用內(nèi)幕音訊買賣本公司股票獲得異常收益并不少見 SEC requires all insiders to register their trading activity美國(guó)證券會(huì)要求一切內(nèi)部人員注冊(cè)他們的買賣活動(dòng)INVESTMENTS | BODIE, KANE, MARCUSInterpreting the Anomalies市場(chǎng)異象的解釋The most puzzling anomalies are price-earnings, small-fir

24、m, market-to-book, momentum, and long-term reversal.最為困擾的異象是市盈率、小公司、賬面/市值比，動(dòng)量和長(zhǎng)期反向效應(yīng)Fama and French argue that these effects can be explained by risk premiums.這些異象能被風(fēng)險(xiǎn)溢價(jià)所解釋Lakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets.另外一些學(xué)者以為這些異象是市場(chǎng)并不是那么有效的證據(jù)INVESTME

25、NTS | BODIE, KANE, MARCUSFigure 11.6 Returns to Style Portfolio as a Predictor of GDP Growth 國(guó)民消費(fèi)總值增長(zhǎng)作為預(yù)測(cè)因子下的投資組合收益INVESTMENTS | BODIE, KANE, MARCUSInterpreting the Evidence如何了解這些實(shí)證研討的結(jié)果？ Anomalies or data mining?市場(chǎng)異象或者只是數(shù)據(jù)發(fā)掘 Some anomalies have disappeared.一些異象曾經(jīng)消逝了 Book-to-market, size, and moment

26、um may be real anomalies.規(guī)模、動(dòng)量、賬面/市值比確實(shí)還存在，被當(dāng)做系統(tǒng)性風(fēng)險(xiǎn)溢價(jià)的證據(jù)，但是目前還沒用太多令人服氣的解釋INVESTMENTS | BODIE, KANE, MARCUSInterpreting the Evidence如何了解這些實(shí)證研討的結(jié)果？ Bubbles and market efficiency泡沫與市場(chǎng)有效性 Prices appear to differ from intrinsic values.價(jià)錢總是與內(nèi)在價(jià)值發(fā)生背叛 Rapid run up followed by crash快速上漲的結(jié)局都是解體 Bubbles are di

27、fficult to predict and exploit.泡沫很難預(yù)測(cè)與利用INVESTMENTS | BODIE, KANE, MARCUSStock Market Analysts股票市場(chǎng)的分析師 Some analysts may add value, but:有些分析師可以糾正定價(jià)錯(cuò)誤，添加價(jià)值，然而： Difficult to separate effects of new information from changes in investor demand難以確定終究是真的有效，或僅僅是引薦股票這種信息改動(dòng)了投資者的需求？ Findings may lead to inves

28、ting strategies that are too expensive to exploit研討結(jié)果的代價(jià)能否過高以致于沒有價(jià)值？INVESTMENTS | BODIE, KANE, MARCUSMutual Fund Performance共同基金的表現(xiàn) The conventional performance benchmark today is a four-factor model, which employs:傳統(tǒng)的業(yè)績(jī)基準(zhǔn)可以看做是一個(gè)四要素模型 the three Fama-French factors (the return on the market index, an

29、d returns to portfolios based on size and book-to-market ratio) 包含三個(gè)法犸-法蘭奇要素：指數(shù)收益，SMB、HML因子 SmallMinusBig, HighMinusLow因子 plus a momentum factor (a portfolio constructed based on prior-year stock return).加上一個(gè)動(dòng)量因子，即由前一年股票收益率從高到低陳列，選取最優(yōu)的幾十家組成組合構(gòu)建的投資組合INVESTMENTS | BODIE, KANE, MARCUSFigure 11.7 Estimates of Individual Mutual Fund Alphas, 1993 2007利用期望收益四因子模型計(jì)算所得的共同基金的阿爾法值INVESTMENT