財(cái)務(wù)會計(jì)理論sccot第四章有效證券市場-展示頁
2025-01-15 21:29本頁面
【正文】 rives (see next slide). ? This form of the EMH, if correct, repudiates technical analysis. ? Most research supports the notion that the markets are weak form efficient. The Semistrong Form ? The semistrong form says that prices fully reflect all publicly available information and expectations about the future. ? This suggests that prices adjust very rapidly to new information, and that old information cannot be used to earn superior returns. ? The semistrong form, if correct, repudiates fundamental analysis. ? Most studies find that the markets are reasonably efficient in this sense, but the evidence is somewhat mixed. The Strong Form ? The strong form says that prices fully reflect all information, whether publicly available or not. ? Even the knowledge of material, nonpublic information cannot be used to earn superior results. ? Most studies have found that the markets are not efficient in this sense. Anomalies ? Anomalies are unexplained empirical results that contradict the EMH: ?The Size effect. ?The “Incredible” January Effect. ?P/E Effect. ?Day of the Week (Monday Effect). The Size Effect ? Beginning in the early 1980’s, a number of studies found that the stocks of small firms typically outperform (on a riskadjusted basis) the stocks of large firms. ? This is even true among the largecapitalization stocks within the Samp。P 500. The smaller (but still large) stocks tend to outperform the really large ones. The “Incredible” January Effect ? Stock returns appear to be higher in January than in other months of the year. ? This may be related to the size effect since it is mostly small firms that outperform in January. ? It may also be related to end of year tax selling ?Selling of securities, usually at year end, to realize losses in a portfolio, which can be used to offset capital gains and thereby lower an investor’s tax liability. The P/E Effect ? It has been found that portfolios of “l(fā)ow P/E” stocks generally outperform portfoli
環(huán)評公示相關(guān)推薦
鄂ICP備17016276號-1