財務(wù)會計理論sccot第四章有效證券市場(參考版)
2025-01-09 21:29本頁面
【正文】 αj+βj*RMt為預(yù)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(yù)期收益。j ? 223。 ? 會計人員正在與其他信息提供者相互競爭。s stock based on historical price performance and overall stock market trends. Efficient Securities Markets ? Definition (Semistrong form) ?At all times… ?Fully reflect... ?All publicly available information… ?A relative concept ? Efficiency defined relative to a stock of publicly available information Accounting Implications of Securities Market Efficiency ? W. Beaver, “What Should Be the FASB’s Objectives,” Journal of Accountancy (1973) ?Full disclosure, incl. acc. policies ?Accounting policies do not matter (unless cash flow effects) ?“Na239。s stock based on an examination of the firm39。 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(wù)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(qiáng)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(wù)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(qiáng)市場配置資源的效率！ ? 財務(wù)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” evaluation of all information available at that time. ? Therefore, in an efficient market, prices immediately and fully reflect available information. Definition of Efficient Markets (cont.) ? Professor Eugene Fama, who coined the phrase “efficient markets”, defined market efficiency as follows: ?In an efficient market, petition among the many intelligent participants leads to a situation w
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