Chap011有效市场假说.ppt

INVESTMENTS | BODIE, KANE, MARCUS 11-* Maurice Kendall (1953) found no predictable pattern in stock prices.股票价格中没有可预测的模式 Prices are as likely to go up as to go down on any particular day.任一一天中上涨和下跌的可能性都相同 How do we explain random stock price changes?如何解释股票的随机变动？ 难道市场价格是没有任何意义的吗？ Efficient Market Hypothesis (EMH)有效市场假说 11-* Efficient Market Hypothesis (EMH)有效市场假说 EMH says stock prices already reflect all available information有效市场假说任务股票的市场价格已经反映了所有可用的信息 A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information.未来的好消息一定会使投资者蜂拥而至造成现在股价上涨 Result: Prices change until expected returns are exactly commensurate with risk.结果就造成了股票价格的变换模式只能是：获得的收益是不可预期风险的补偿，其余的收益都会被套利活动拿走 11-* Efficient Market Hypothesis (EMH)有效市场假说 New information is unpredictable; if it could be predicted, then the prediction would be part of today’s information.新的信息是不可预测的，如果是可预测的信息马上就会带来股价变动从而成为了今天的信息 Stock prices that change in response to new (unpredictable) information also must move unpredictably.因此，第二天的股票价格变动一定反应了今天所无法预知的信息，因为今天每一点每一滴能够预知和使用的信息都会反映在今天的价格变动中 Stock price changes follow a random walk.这种完全没有办法预测的未来运动模式成为随机漫步 11-* Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies目标公司接管前累计的异常收益：只是宣布消息的那天会有异常变动 11-* Figure 11.2 Stock Price Reaction to CNBC Reports市场价格对CNBC报道的反应 11-* Information: The most precious commodity on Wall Street 信息是华尔街最宝贵的商品 Strong competition assures prices reflect information.强有力的竞争保证股票价格能够反映有效信息 Information-gathering is motivated by desire for higher investment returns.信息收集是由追求更高投资收益所驱动的 The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.竞争太激烈以至于额外收益太低，只有大规模的基金管理人才会有动机去做研究分析等 EMH and Competition有效市场假说与竞争 11-* Weak弱式假说认为市场的股票历史价格、成交量等市场公开信息已经无用，都已反映在目前的股票价格里； Semi-strong半强式假说任何公司财务信息、预期、以及一切公开可得的信息都已无用，反映在当前股票价格里； Strong强式假说认为任何信息都已反映在股票价格信息里，包括内幕消息 Versions of the EMH有效市场假说的不同