財(cái)務(wù)會(huì)計(jì)理論sccot第四章有效證券市場(chǎng)(已修改)
2025-01-18 21:29 本頁(yè)面
【正文】 Financial Accounting Theory Chapter 4： Efficient Securities Markets 潘克勤 本章的結(jié)構(gòu) 有效性 的含義 財(cái)務(wù)報(bào)告含義 CAPM 模型 信息不對(duì)稱 /內(nèi)部交易、逆向選擇 充分 披露 本章的目的 ? 證券市場(chǎng)是半強(qiáng)勢(shì)有效的！ ?證券市場(chǎng)上每一種證券價(jià)格反映了已經(jīng)公開的所有信息 ?此時(shí)，證券價(jià)格就是內(nèi)在價(jià)值嗎？ ?否！除非沒有內(nèi)部信息！ ? 財(cái)務(wù)會(huì)計(jì)的用武之地 ?充分披露，讓證券價(jià)格接近內(nèi)在價(jià)值，增強(qiáng)市場(chǎng)配置資源的效率！ ? 財(cái)務(wù)會(huì)計(jì)面臨挑戰(zhàn) ?其他信息渠道 Definition of Efficient Markets ? An efficient capital market is a market that is efficient in processing information. ? We are talking about an “informationally efficient” market, as opposed to a “transactionally efficient” market. In other words, we mean that the market quickly and correctly adjusts to new information. ? In an informationally efficient market, the prices of securities observed at any time are based on “correct” evaluation of all information available at that time. ? Therefore, in an efficient market, prices immediately and fully reflect available information. Definition of Efficient Markets (cont.) ? Professor Eugene Fama, who coined the phrase “efficient markets”, defined market efficiency as follows: ?In an efficient market, petition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events that have already occurred and on events which, as of now, the market expects to take place in the future. ?In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value. History ? Prior to the 1950’s it was generally believed that the use of fundamental or technical approaches could “beat the market” (though technical analysis has always been seen as something akin to voodoo). ? In the 1950’s and 1960’s studies began to provide evidence against this view. ? In particular, researchers found that stock price changes (not prices themselves) followed a “random walk.” ? They also found that stock prices reac
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