北京大學(xué)實(shí)證金融學(xué)講義1概念有效市場假說(已修改)
2025-01-07 02:17 本頁面
【正文】 實(shí)證金融分析 趙留彥 概念：有效市場 北京大學(xué)經(jīng)濟(jì)學(xué)院 Kendall 的早期分析 ?經(jīng)濟(jì)周期 分析中，一些經(jīng)濟(jì)變量能夠很好地預(yù)測經(jīng)濟(jì)的上漲與衰退 ?股價(jià)反應(yīng)了公司的經(jīng)營業(yè)績，是否存在一些變量 預(yù)測 其漲跌？ ?Kendall(1953)奇怪地發(fā)現(xiàn)，沒有！ ?股價(jià)隨機(jī)變動(dòng) ：無論前段業(yè)績?nèi)绾?，下一日漲跌的可能性基本一樣 有效市場 ?“ An inefficiency ought to be an exploitable opportunity. If there is nothing investors can properly exploit in a systematic way, then it’ s very hard to say that information is not being properly incorporated into stock prices” . ?Richard Roll 有效市場 ? A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Formally, the market is said to be efficient with respect to some information set…if security prices would be unaffected by revealing the information to all participants. Moreover, efficiency with respect to an information set implies that it is impossible to make economic profits by trading on the basis of that information. ? “ Financial markets are efficient because they don’ t allo
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