【正文】 s financial statements. ? Technical analysis ?Attempts to predict the market price of a pany39。 αj+βj*RMt為預期部分， εjt為未予期部分 ? 收集某一證券 N期的歷史 Rjt ， N期的 RMt，就可以估計該證券的 β值，并計算出所謂的 αj CAPM： 主要用途 ? 計算出某一股票歷史的 αj和 βj有什么用？ ?假定公司長期的 βj值不變，可以用來計算在新的市場條件下（ E(RMt）），未來該股票的預期收益。ve” investors priceprotected ?Accountants in petition Accounting Implications of Securities Market Efficiency ? 只要會計政策沒有導致現(xiàn)金流量產(chǎn)生差別的后果，或對所采用的特定會計政策所形成的差別予以披露，以及投資者能獲得足夠的信息以致能夠在不同的會計政策之間做出抉擇的話，公司所采取的會計政策便不會影響證券的市價 ? 只要會計政策沒有導致現(xiàn)金流量產(chǎn)生差別的后果，或對所采用的特定會計政策所形成的差別予以披露，以及投資者能獲得足夠的信息以致能夠在不同的會計政策之間做出抉擇的話，公司所采取的會計政策便不會影響證券的市價 Accounting Implications of Securities Market Efficiency ? 市場的有效性意味著公司不必過分考慮無知的投資者，即財務報表信息不必用過于簡單的方式表達，以致任何人都能理解。P 500. The smaller (but still large) stocks tend to outperform the really large ones. The “Incredible” January Effect ? Stock returns appear to be higher in January than in other months of the year. ? This may be related to the size effect since it is mostly small firms that outperform in January. ? It may also be related to end of year tax selling ?Selling of securities, usually at year end, to realize losses in a portfolio, which can be used to offset capital gains and thereby lower an investor’s tax liability. The P/E Effect ? It has been found that portfolios of “l(fā)ow P/E” stocks generally outperform portfolios of “high P/E” stocks. ? This may be related to the size effect since there is a high correlation between the stock price and the P/E. ? It may be that buying low P/E stocks is essentially the same as buying small pany stocks. The Day of the Week Effect ? Based on daily stock prices from 1963 to 1985 Keim found that returns are higher on Fridays and 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