股票与投资分析Chap008.docx

Chapter08-TheEfficientMarketHypothesis

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Chapter08

TheEfficientMarketHypothesis

Thecorrelationcoefficientshouldbezero.Ifitwerenotzero,thenonecouldusereturnsfromoneperiodtopredictreturnsinlaterperiodsandthereforeearnabnormalprofits.

Thephrasewouldbecorrectifitweremodifiedtosay“expectedriskadjustedreturns.”Securitiesallhavethesameriskadjustedexpectedreturnifpricedfairly;however,actualresultscananddovary.Unknowneventscausecertainsecuritiestooutperformothers.Thisisnotknowninadvance,soexpectationsaresetbyknowninformation.

Overthelonghaul,thereisanexpectedupwarddriftinstockpricesbasedontheirfairexpectedratesofreturn.Thefairexpectedreturnoveranysingledayisverysmall(e.g.,12%peryearisonlyabout0.03%perday),sothatonanydaythepriceisvirtuallyequallylikelytoriseorfall.However,overlongerperiods,thesmallexpecteddailyreturnscumulate,andupwardmovesareindeedmorelikelythandownwardones.

No,thisisnotaviolationoftheEMH.Microsoft’scontinuinglargeprofitsdonotimplythatstockmarketinvestorswhopurchasedMicrosoftsharesafteritssuccessalreadywasevidentwouldhaveearnedahighreturnontheirinvestments.

No.Thenotionofrandomwalknaturallyexpectstheretobesomepeoplewhobeatthemarketandsomepeoplewhodonot.Theinformationprovided,however,failstoconsidertheriskoftheinvestment.Higherriskinvestmentsshouldhavehigherreturns.Aspresented,itispossibletobelievehimwithoutviolatingtheEMH.

b.Thisisthedefinitionofanefficientmarket.

d.Itisnotpossibletoofferahigher