【正文】 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 ? 223。如果會計人員不提供有用的成本效益的信息，會計的有用性職能會日益衰退而為其他信息渠道所取代 The Information of Share Price: A Logical Inconsistency ? Fully Informative Share Prices ?Market prices collapse ?No role for accounting information ? Partly Informative Share Prices ?Noise traders ?Information Asymmetry CAPM ? 證券市場是半強勢有效的 —— 財務會計信息披露應該能夠影響公司股價 —— 怎么影響？ ? CAPM模型！ CAPM： 怎么來的？ M CAPM： 預期報酬之計算工具 ?Only firmspecific ponent is 223。 Financial Accounting Theory Chapter 4： Efficient Securities Markets 潘克勤 本章的結(jié)構(gòu) 有效性 的含義 財務報告含義 CAPM 模型 信息不對稱 /內(nèi)部交易、逆向選擇 充分 披露 本章的目的 ? 證券市場是半強勢有效的！ ?證券市場上每一種證券價格反映了已經(jīng)公開的所有信息 ?此時，證券價格就是內(nèi)在價值嗎？ ?否！除非沒有內(nèi)部信息！ ? 財務會計的用武之地 ?充分披露，讓證券價格接近內(nèi)在價值，增強市場配置資源的效率！ ? 財務會計面臨挑戰(zhàn) ?其他信息渠道 Definition of Efficient Markets ? An efficient capital market is a market that is efficient in processing information. ? We are talking about an “informationally efficient” market, as opposed to a “transactionally efficient” market. In other words, we mean that the market quickly and correctly adjusts to new information. ? In an informationally efficient market, the prices of securities observed at any time are based on “correct” e