財(cái)務(wù)會計(jì)理論sccot第四章有效證券市場(完整版)
【正文】 lower on Mondays than should be expected. ? This is partly due to the fact that Monday returns actually reflect the entire Friday close to Monday close time period (weekend plus Monday), rather than just one day. ? Moreover, after the stock market crash in 1987, this effect disappeared pletely and Monday became the best performing day of the week between 1989 and 1998. Summary of Tests of the EMH ? Weak form is supported, so technical analysis cannot consistently outperform the market. ? Semistrong form is mostly supported , so fundamental analysis cannot consistently outperform the market. ? Strong form is generally not supported. ?If you have secret (“insider”) information, you CAN use it to earn excess returns on a consistent basis. ? Ultimately, most believe that the market is very efficient, though not perfectly efficient. It is unlikely that any system of analysis could consistently and significantly beat the market (adjusted for costs and risk) over the long run. Summary of Tests of the EMH ? Fundamental analysis ?Evaluation of a pany39。j是什么？ ?公司股票相對于整個(gè)大盤的表現(xiàn)情況！ ?公司面向市場大勢的反應(yīng) ?公司對于系統(tǒng)風(fēng)險(xiǎn)的反應(yīng) ? 公司特定風(fēng)險(xiǎn)對要求報(bào)酬的影響體現(xiàn)在哪里？ ?投資人通過多元化投資，基本消除了個(gè)股特定風(fēng)險(xiǎn) jt t( = * ( (f j M fE R R E R R??） ） ）CAPM： 會計(jì)信息怎么影響股票價(jià)格？ ,11jt jtjtjtPDRP ????),1()(1jt jtjtjtE P DERP ????j t t( = * ( (f j fE R R E M R??） ） ）從 T年末時(shí)點(diǎn)看，某股票 T期間的投資報(bào)酬率為（事后的） 從年初時(shí)點(diǎn)看，某股票 T期間的投資報(bào)酬率為（預(yù)期的） 而： 會計(jì)信息的作用：改變?nèi)藗儗τ? 的認(rèn)識；但是會計(jì)信息不可能改變 β、 E（ Rmt） 和 Rf 是可以預(yù)期的 ()jt jtE P D?在 不變的情況下，人們必然調(diào)整 ()jtER,1jtP ?jt t( = * ( (f j M fE R R E R R??） ） ）CAPM： 會計(jì)信息怎么影響股票價(jià)格？ jt1,1jt)1 ( =)(11(jt jtjjt jtjtE P DERPE P DPER???????,t（）（公 式 ））公式 1的寓意是什么？ 寓意 1：給定未來股價(jià)和股利變動，則 β 越大，目前股價(jià)變動越小 寓意 2：給定 β 值，則預(yù)期未來股價(jià)和股利變動越大，則目前股價(jià)變動越大 CAPM： 主要用途 ? 清楚地指出，股票價(jià)格如何依賴于投資人對未來股價(jià)及股利的預(yù)測 ? CAPM之市場模型及其作用 t*j j MR???t j t*+j t j j MRR? ? ??? 含義： 某一證券收益有兩部分構(gòu)成：預(yù)期收益和未預(yù)期收益。ve” investors pricepro
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