chap011有效市場假說(編輯修改稿)
2025-06-19 21:58 本頁面
【文章內容簡介】 ass up profitable opportunities because cost of capital is too 太高 – Efficient market ≠ perfect foresight market 有效市場不等于完美的市場 INVESTMENTS | BODIE, KANE, MARCUS 1114 ? Empirical financial research enables us to assess the impact of a particular event on a firm’s stock 對公司股票價格影響的金融實證研究，比如某個重要的董事會成員下課 ? The abnormal return due to the event is the difference between the stock’s actual return and a proxy for the stock’s return in the absence of the 際收益與沒有發(fā)生該事件的基準收益之差 Event Studies事件研究 INVESTMENTS | BODIE, KANE, MARCUS 1115 Returns are adjusted to determine if they are Market Model approach:市場模型 a. rt = a + brmt + et (Expected Return)期望收益 b. Excess Return = (Actual Expected) et = rt (a + brMt)超額（異常）收益的估計值是否不為零的檢測很重要 How Tests Are Structured 測試是如何構建的 INVESTMENTS | BODIE, KANE, MARCUS 1116 ? Magnitude Issue規(guī)模問題 – Only managers of large portfolios can earn enough trading profits to make the exploitation of minor mispricing worth the 合的經理才能從微小的定價錯誤中獲利 ? Selection Bias Issue選擇偏見問題 – Only unsuccessful investment schemes are made public。 good schemes remain 投資計劃才會公布于眾，杰出的投資計劃總是非常重要并被仔細保管的商業(yè)秘密 ? Lucky Event Issue幸運事件問題：好運氣和好技術可以產生同樣的結果，如何甄別好的投資績效背后的原因？ Are Markets Efficient? 市場是有效的嗎？ INVESTMENTS | BODIE, KANE, MARCUS 1117 WeakForm Tests 弱式有效檢驗 ? Returns over the Short Horizon短期收益有正相關特征 – Momentum: Good or bad recent performance continues over short to intermediate time horizons動量效應：在短期內股票的上漲或下跌趨勢延續(xù)不改 ? Returns over Long Horizons長期收益有負相關特征 – Episodes of overshooting followed by correction短期反應過度長期有修正趨勢 INVESTMENTS | BODIE, KANE, MARCUS 1118 Predictors of Broad Market Returns 主要市場收益的預測者 ? Fama and French – Aggregate returns are higher with higher dividend ratios較高的股息收益率會帶來較高的回報 ? Campbell and Shiller – Earnings yield can predict market returns盈利率能夠預測市場收益 ? Keim and Stambaugh – Bond spreads can predict market returns債券價差能夠預測市場收益 INVESTMENTS | BODIE, KANE, MARCUS 1119 ? P/E Effect市盈率效應 ? Small Firm Effect (J
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