chap011有效市場假說-文庫吧資料
2025-05-22 21:58本頁面
【正文】 smallfirm, markettobook, momentum, and longterm 、小公司、賬面 /市值比，動量和長期反向效應(yīng) – Fama and French argue that these effects can be explained by risk 險溢價所解釋 – Lakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets.另外一些學(xué)者認為這些異象是市場并不是那么有效的證據(jù) INVESTMENTS | BODIE, KANE, MARCUS 1125 Figure Returns to Style Portfolio as a Predictor of GDP Growth 國民生產(chǎn)總值增長作為預(yù)測因子下的投資組合收益 INVESTMENTS | BODIE, KANE, MARCUS 1126 Interpreting the Evidence 如何理解這些實證研究的結(jié)果？ ? Anomalies or data mining?市場異象或者只是數(shù)據(jù)挖掘 – Some anomalies have 些異象已經(jīng)消失了 – Booktomarket, size, and momentum may be real 、動量、賬面 /市值比確實還存在，被當(dāng)做系統(tǒng)性風(fēng)險溢價的證據(jù)，但是目前還沒用太多令人信服的解釋 INVESTMENTS | BODIE, KANE, MARCUS 1127 Interpreting the Evidence 如何理解這些實證研究的結(jié)果？ ? Bubbles and market efficiency泡沫與市場有效性 –Prices appear to differ from intrinsic –Rapid run up followed by crash快速上漲的結(jié)局都是崩潰 –Bubbles are difficult to predict and INVESTMENTS | BODIE, KANE, MARCUS 1128 Stock Market Analysts 股票市場的分析師 ? Some analysts may add value, but:有些分析師能夠糾正定價錯誤，增加價值，然而： – Difficult to separate effects of new information from changes in investor demand難以確定究竟是真的有效，或僅僅是推薦股票這種信息改變了投資者的需求？ – Findings may lead to investing strategies that are too expensive to exploit研究結(jié)果的代價是否過高以至于沒有價值？ INVESTMENTS | BODIE, KANE, MARCUS 1129 Mutual Fund Performance 共同基金的表現(xiàn) ? The conventional performance benchmark today is a fourfactor model, which employs:傳統(tǒng)的業(yè)績基準可以看做是一個四因素模型 – the three FamaFrench factors (the return on the market index, and returns to portfolios based on size and booktomarket ratio) 包含三個法犸 法蘭奇因素：指數(shù)收益， SMB、 HML因子 – SmallMinusBig, HighMinusLow因子 – plus a momentum factor (a portfolio constructed based on prioryear stock return).加上一個動量因子，即由前一年股票收益率（從高到低排列，選取最優(yōu)的幾十家組成組合）構(gòu)建的投資組合 INVESTMENTS | BODIE, KANE, MARCUS 1130 Figure Estimates of Individual Mutual Fund Alphas, 1993 – 2021利用期望收益四因子模型計算所得的共同基金的阿爾法值 INVESTMENTS | BODIE, KANE, MARCUS 1131 ? Consistency, the “hot hands” phenomen
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