資本市場有效性ppt課件-文庫吧資料
2025-05-18 13:23本頁面
【正文】 on it. – Past trading data contains no relevant information about future prices, . technical analysis is useless. – Analysis of financial statements such as ine statement and balance sheet will not reveal any relevant information about future prices. Financial analysts who try to identify mispriced stocks from financial statements is wasting time. – Fund managers who try to beat the market by selecting stocks would have an average return as the market. 39 對公司的啟示 ? Financing is usually a zero NPV transaction, firms should expect to receive the fair value for securities that they sell. – Fair means that the price they receive for the securities they issue is the present value. – The price of a pany’s stock cannot be affected by a change in accounting. – Thus, valuable financing opportunities that arise from fooling investors are unavailable in efficient markets. – Financial managers cannot ―time‖ issues of stocks and bonds using publicly available information. 三、 對資本市場有效性的質(zhì)疑 和挑戰(zhàn) ? 資本市場“異象” ? 行為金融學(xué)解釋 ? 分形市場與協(xié)同市場的觀點 40 資本市場“異象” ? 股票溢價之謎 – 股票溢價發(fā)生在美國，英國、日本、德國、瑞典和澳大利亞等發(fā)達(dá)國家，印度等新興國家的證券市場均存在顯著的股票溢價 。 ? 由于股票價格只會對將來出現(xiàn)的新信息作出反映 ， 而將來信息的到來是隨機的 ， 因此股票價格的變化是隨機的 （ random walk） . Movements in stock prices from day to day do not reflect any pattern. ? Best guess of future price is the current price plus the expected return on the stock. Often weakform efficiency is represented as Pt = Pt1 + Expected return + random errort. 31 半強型有效性 ? Security Prices reflect all publicly available information.（ 如果資本市場上股票價格充分反映了所有公開信息 ， 那么這一資本市場就達(dá)到了半強型有效性 ） ? Publicly available information includes: – Historical price and volume information – Published accounting statements. – Information found in annual reports. 32 強型有效性 ? Security prices reflect all information—public and private.（ 在強型有效市場上 ， 公司股票價格充分反映了所有信息 ， 包括所有的公開信息和內(nèi)幕信息 ） ? Strong form efficiency says that anything pertinent to the stock and known to at least one investor is already incorporated into the security’s price. ? Strong form efficiency incorporates weak and semistrong form efficiency. 33 Relationship among Three Different Information Sets 34 Information set of past prices Information set of publicly available information All information relevant to a stock EMH的經(jīng)驗證據(jù) ? 弱型有效市場的經(jīng)驗證據(jù) : – 股價不存在時序相關(guān)性 ? 半強型有效市場的經(jīng)驗證據(jù) : – 事件研究 (event study)的成果 – 對基金業(yè)績表現(xiàn)的研究 : Research has found that fund managers on average do not beat the market. It is really hard to find a fund manager who beats the market consistently. ? 強型有效市場的經(jīng)驗證據(jù)
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