投资学Chap01.ppt

Magnitude Issue Only managers of large portfolios can earn enough trading profits to make the exploitation of minor mispricing worth the effort. Selection Bias Issue Only unsuccessful investment schemes are made public; good schemes remain private. Lucky Event Issue Are Markets Efficient? 11-* Weak-Form Tests Returns over the Short Horizon - serial correlation of stock returns coefficient small Momentum: Good or bad recent performance continues over short to intermediate time horizons portfolios of the best performing stocks Returns over Long Horizons Episodes of overshooting followed by correction negative serial correlation in the performance of the aggregate market reversal effect: base V.S. subsequent period 11-* Predictors of Broad Market Returns Fama and French Aggregate returns are higher with higher dividend price ratios Campbell and Shiller Earnings yield can predict market returns Keim and Stambaugh Bond spreads can predict market returns 11-* P/E Effect Small Firm Effect (January Effect) Neglected Firm Effect and Liquidity Effects Book-to-Market Ratios Post-Earnings Announcement Price Drift Semistrong Tests: Anomalies 11-* Figure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 – 2008 11-* Figure 11.4 Average Return as a Function of Book-To-Market Ratio, 1926–2008 11-* Figure 11.5 Cumulative Abnormal Returns in Response to Earnings Announcements 11-* Strong-Form Tests: Inside Information The ability of insiders to trade profitability in their own stock has been documented in studies by Jaffe, Seyhun, Givoly, and Palmon SEC requires all insiders to register their trading activity 11-* Interpreting the Anomalies The most puzzling anomalies are price-earnings, small-firm, market-to-book, momentum, and long-term reversal. Fama and French argue that these effects can be explained by risk premiums. Lakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets. 11-* Figure 11.6 Returns to Style Portfolio