chap011有效市場假說(參考版)
2025-05-18 21:58本頁面
【正文】 鄧普頓、喬治索羅斯 。 good schemes remain 投資計(jì)劃才會(huì)公布于眾，杰出的投資計(jì)劃總是非常重要并被仔細(xì)保管的商業(yè)秘密 ? Lucky Event Issue幸運(yùn)事件問題：好運(yùn)氣和好技術(shù)可以產(chǎn)生同樣的結(jié)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(yàn) ? Returns over the Short Horizon短期收益有正相關(guān)特征 – Momentum: Good or bad recent performance continues over short to intermediate time horizons動(dòng)量效應(yīng)：在短期內(nèi)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(fù)相關(guān)特征 – Episodes of overshooting followed by correction短期反應(yīng)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(yù)測者 ? Fama and French – Aggregate returns are higher with higher dividend ratios較高的股息收益率會(huì)帶來較高的回報(bào) ? Campbell and Shiller – Earnings yield can predict market returns盈利率能夠預(yù)測市場收益 ? Keim and Stambaugh – Bond spreads can predict market returns債券價(jià)差能夠預(yù)測市場收益 INVESTMENTS | BODIE, KANE, MARCUS 1119 ? P/E Effect市盈率效應(yīng) ? Small Firm Effect (January Effect)小公司的 1月效應(yīng) ? Neglected Firm Effect and Liquidity Effects被忽略的公司效應(yīng)、流動(dòng)性效應(yīng) ? BooktoMarket Ratios凈市率 ? PostEarnings Announcement Price Drift盈余公告后的價(jià)格漂移 Semistrong Tests: Anomalies 半強(qiáng)式檢驗(yàn)：市場異象 INVESTMENTS | BODIE, KANE, MARCUS 1120 Figure Average Annual Return for 10 SizeBased Portfolios, 1926 – 2021十家不同規(guī)模組合的平均年收益 INVESTMENTS | BODIE, KANE, MARCUS 1121 Figure Average Return as a Function of BookToMarket Ratio, 1926–2021 按賬面 /市值比大小分組后的平均收益 INVESTMENTS | BODIE, KANE, MARCUS 1122 Figure Cumulative Abnormal Returns in Response to Earnings Announcements 累積日常收益對盈利宣布的反應(yīng) INVESTMENTS | BODIE, KANE, MARCUS 1123 StrongForm Tests: Inside Information 強(qiáng)式有效檢驗(yàn)：內(nèi)幕消息 ? The ability of insiders to trade profitability in their own stock has been documented in studies by Jaffe, Seyhun, Givoly, and Palmon內(nèi)部人員利用內(nèi)幕消息交易本公司股票獲得異常收益并不少見 ? SEC requires all insiders to register their trading activity美國證券會(huì)要求所有內(nèi)部人員注冊他們的交易活動(dòng) INVESTMENTS | BODIE, KANE, MARCUS 1124 Interpreting the Anomalies 市場異象的解釋 The most puzzling anomalies are priceearnings,
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