第05章资本市场有效性.ppt

* Stock prices following a random walk is not the same thing as stock prices having random returns. * * 弱型有效性 是指过去价格的所有信息都包括在现行市场价格之中。 半强型有效性 是指现行市场价格反映全部公开的，可得到的信息。 掌握内部信息的人员可以获得超正常报酬。 强型有效性 是指市场价格反映所有公开的或未公开的信息。 内部人员也无法获取超正常利润。 * 有效资本市场类型 弱型有效性 股票市场价格和交易量过去的信息已经包含在当前股票价格中，不能根据这些已经过去的信息来预测股票未来的价格趋势。 由于股票价格只会对将来出现的新信息作出反映，而将来信息的到来是随机的，因此股票价格的变化是随机的（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 weak-form efficiency is represented as Pt = Pt-1 + Expected return + random errort. * 半强型有效性 Security Prices reflect all publicly available information.（如果资本市场上股票价格充分反映了所有公开信息，那么这一资本市场就达到了半强型有效性） Publicly available information includes: Historical price and volume information Published accounting statements. Information found in annual reports. * 强型有效性 Security prices reflect all information—public and private.（在强型有效市场上，公司股票价格充分反映了所有信息，包括所有的公开信息和内幕信息） 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 semi-strong form efficiency. * Relationship among Three Different Information Sets * Informationset ofpast prices Information setof publicly availableinformation All informationrelevant to a stock EMH的经验证据 弱型有效市场的经验证据: 股价不存在时序相关性 半强型有效市场的经验证据: 事件研究(event study)的成果 对基金业绩表现的研究: 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. 强型有效市场的经验证据: 调查内幕交易是否获得超额收益: Illegal insider trading refers to trading a security based on a nonpublic information about the security. Insider trading（内部交易） is the trading of a corporations stock or other securities by corporate insiders such as officers, directors, or holders of more than ten percent of the firms shares. * Event Studies: Dividend Omissions * Efficient market re