資本市場有效性ppt課件-wenkub
2023-05-27 13:23:34 本頁面
【正文】 1)()()( 22221????????TRRRRRRVARSD T?收益的波動性 R e a l i z e d A n n u a l V o l a t i l i t y00 . 0 10 . 0 20 . 0 30 . 0 40 . 0 50 . 0 60 . 0 70 . 0 80 . 0 90 . 11942 1944 1946 1948 1950 1952 1954 1956 1958 1960 1962 1964 1966 1968 1970 1972 1974 1976 1978 1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2022 2022 2022Y e a rRealized VolatilityS amp。 ? 假定 ： – 投資者是風(fēng)險回避者，并以期望收益率和風(fēng)險(用方差或標(biāo)準(zhǔn)差衡量 )為基礎(chǔ)選擇投資組合 ； 21 – 投資者可以以相同的無風(fēng)險利率進(jìn)行無限制的借貸； – 所有投資者的投資均為單一投資期，投資者對證券的回報率的均值、方差以及協(xié)方差具有相同的預(yù)期； – 資本市場是均衡的； – 市場是完美的，無通貨膨脹，不存在交易成本和稅收引起的現(xiàn)象 。 CAPM模型的意義 ? 按照 CAPM的規(guī)定， Beta系數(shù)是用以度量一項(xiàng)資產(chǎn)系統(tǒng)風(fēng)險的指針，是用來衡量一種證券或一個投資組合相對總體市場的波動性（ volatility）的一種風(fēng)險評估工具。 ? 價格對信息的反映是充分的、正確的、快速的，從而市場是有效的 ? 如果市場非有效，則市場存在： 1）延緩反應(yīng)行為；或者 2）過度反應(yīng)行為 28 The Reaction of Stock Price to News 29 ? 弱型有效性 – 是指過去價格的所有信息都包括在現(xiàn)行市場價格之中。 – 內(nèi)部人員也無法獲取超正常利潤。s shares. 35 Event Studies: Dividend Omissions 36 C u m u l a t i ve A bn or m a l R e t u r n s f or C om pa n i e s A n n ou n c i n g D i vi de n d O m i s s i on s0 . 1 4 6 0 . 1 0 80 . 7 20 . 0 3 20 . 2 4 40 . 4 8 33 . 6 1 95 . 0 1 55 . 4 1 15 . 1 8 34 . 8 9 84 . 5 6 34 . 7 4 7 4 . 6 8 54 . 4 9654321018 6 4 2 0 2 4 6 8D a y s r e l a t i ve t o a n n ou n c e m e n t of di vi de n d om i s s i onCumulative abnormal returns (%)Efficient market response to “bad news” . Szewczyk, . Tsetsekos, and Z. Santout “Do Dividend Omissions Signal Future Earnings or Past Earnings?” Journal of Investing (Spring 1997) 37 What the EMH Does and Does NOT Say ? Investors can throw darts to select stocks. – This is almost, but not quite true. – An investor must still decide how risky a portfolio he wants based on risk aversion and the level of expected return. ? Prices are random or uncaused. – Prices reflect information. – The price CHANGE is driven by new information, which by definition arrives randomly. 38 EMH對投資者的啟示 ? All investments in an efficient market are zero NPV, investors should only expect to obtain a normal rate of return. – Because information is reflected in security prices quickly, awareness of information when it is released does an investor little good. The price adjusts before the investor has time to act on it. – Past trading data contains no relevant information about future prices, . technical analysis is useless. – Analysis of financial statements such as ine statement and balance sheet wi
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