chap012行為金融與技術分析(完整版)
【正文】 Warning!警告 ? It is possible to perceive patterns that really don’t ，因此需要小心甄別 ? Figure is based on the real data. The graph in panel B was generated using “returns” created by a randomnumber 實股價，右圖隨機模擬 ? Figure shows obvious randomness in the weekly price changes behind the two panels in Figure （ ， ） INVESTMENTS | BODIE, KANE, MARCUS 1227 Figure Actual and Simulated Levels for Stock Market Prices of 52 Weeks實際與仿真股票價格在 52個星期內的走勢 INVESTMENTS | BODIE, KANE, MARCUS 1228 Figure Actual and Simulated Changes in Stock Prices for 52 Weeks實際與仿真股票收益在 52個星期內的走勢 。INVESTMENTS | BODIE, KANE, MARCUS Copyright 169。 gkDPV?? 10INVESTMENTS | BODIE, KANE, MARCUS 1216 Technical Analysis and Behavioral Finance技術分析與行為金融 ? Technical analysis attempts to exploit recurring and predictable patterns in stock 過發(fā)掘股票價格的波動周期和可預測的股價走勢以獲得優(yōu)異的投資業(yè)績，理由有： – Prices adjust gradually to a new 價格在套利的作用下漸漸趨于新平衡，技術分析就試圖做推動股票價格平衡的套利技術； – Market values and intrinsic values converge 的，也有套利空間。 INVESTMENTS | BODIE, KANE, MARCUS 128 Figure Prospect Theory 前景理論 INVESTMENTS | BODIE, KANE, MARCUS 129 Limits to Arbitrage套利限制 ? Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral 為投資者的失誤，那么行為偏差并不會對定價產生影響，但是在實際中，這些套利活動會受到如下影響： ? Fundamental Risk: 基本面風險 – “Markets can remain irrational longer than you can remain solvent.”市場能夠在一直都不理性直至你失去償付能力，套利失敗 – Intrinsic value and market value may take too long to 內在價值 INVESTMENTS | BODIE, KANE, MARCUS 1210 Limits to Arbitrage套利限制 ? Implementation Costs:執(zhí)行成本 – Transactions costs and restrictions on short selling can limit arbitrage 賣空限制會抑制本應該發(fā)生的套利 ? Model Risk:模型風險 – What if you have a bad model and the ma
公司管理相關推薦
鄂ICP備17016276號-1