113分析金融市场与金融机构_第六章

Slide#6-1ChapterSixTHETHEORYOFEFFICIENTCAPITALMARKETSPartIIPrinciplesofFinancialMarketsSlide#6-2ChapterOutlineTheoryofRationalExpectationsEfficientMarketsTheorySlide#6-3TheoryofRationalExpectationsExample:SupposethatwhenJoetravelswhenitisnotrushhour,ittakesaverageof30minutesforhistriptowork.Sometimesittakeshim35minutes,othertimes25minutes,buttheahref=江西最好的癫痫病医院/aahref=江西最好的癫痫病医院/aaveragenot-rush-hourdrivingtimeis30minutes.If,howeverJoeleavesforwokduringtherushhour,ittakeshim,onaverage,anadditional10minutestowok.Giventhathisexpectationarerational,whatshouldJoeexpecthisdrivingtimetobe?Slide#6-4TheoryofRationalExpectationsRationalexpectation(RE)=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:i.e.,REXe=XofRationalexpectation,althoughoptimalprediction,maynotbeaccurate2reasonsexpectationmaynotberational1.Notbestprediction2.NotuseavailableinformationSlide#6-5Implications:1.Changeinwayvariablemoves,wayexpectationsformedchanges2.Forecasterrorsonaverage=0andarenotpredictableTheoryofRationalExpectationsRationalexpectationsmakessensebecauseiscostlynottohaveoptimalforecastSlide#6-6EfficientMarketHypothesis:RationalExpectationsAppliedtoFinancialMarketsEfficientMarketsHypothesisahref=江西最好的癫痫病医院/aahref=江西最好的癫痫病医院/aWhenfinancialmarketsareinequilibrium,pricesoffinancialinstrumentsreflectallreadilyavailableinformationExpectationsinthefinancialmarketsareequaltooptimalforecastsusingallavailableinformationSlide#6-7EfficientMarketsTheorytt1tPCPPRETtte1tePCPPRETSlide#6-8EfficientMarketsTheoryRationalExpectationsimplies:Pet+1=Poft+1RETe=RETof(1)MarketequilibriumRETe=RET*(2)Put(1)and(2)together:EfficientMarketsTheoryRETof=RET*Slide#6-9EfficientMarketsTheoryCurrentpricesinafinancialmarketwillbesetsothattheoptimalforecastofasecurity’sreturnusingallavailableinformationequalsthesecurity’sequilibriumreturn.Asecurity’spricefullyreflectsallavailableinformationinanefficientmarket.Slide#6-10WhyEfficientMarketsTheorymakessenseIfRETofRET*Pt,RETofIfRETofRET*Pt,RETofuntilRETof=RET*1.Allunexploitedprofitopportunitieseliminated2.EfficientMarketsholdsevenifareuninformed,irrationalparticipantsinmarketahref=南昌癫痫病医院哪家好/aahref=南昌癫痫病医院哪家好/aEfficientMarketsTheorySlide#6-11EfficientMarketHypothesisStrongerVersionofEfficientMarketHypothesisTheorythatpricesofallfinancialinstruments:—Reflectoptimalforecastoffinancialinstrument—ReflecttruefundamentalvalueoftheinstrumentSlide#6-12EfficientMarketHypothesis:RationalExpectationsAppliedtoFinancialMarketsMarketFundamentalsFactorshavedirecteffectonfutureincomestreamsofinstruments,including:—Valueoftheassets—ExpectedincomestreamsofthoseassetsonwhichfinancialinstrumentsrepresentclaimsSlide#6-13EvidenceonEfficientMarketsTheoryFavorableEvidence1.Investmentanalystsandmutualfundsdon'tbeatthemarket2.Stockpricesreflectpubliclyavailableinfo:anticipatedannouncementsdon'taffectstockprice3.Stockpricesandexchangeratesclosetorandomwalk.IfpredictionsofΔPbig,RETofRET*predictionsofΔPsmall4.TechnicalanalysisdoesnotoutperformmarketSlide#6-14UnfavorableEvidence1.Small-firmeffect:smallfirmshaveabnormallyhighreturns2.Januaryeffect:highreturnsinJanuary3.Marketoverreaction4.Excessivevolatility5.MeanreversionOverviewReasonablestartingpointbutnotwholestoryEvidenceonEfficientMarketsTheorySlide#6-15ImplicationsforInvesting1.Publishedreportsoffinancialanalystsnotveryvaluable2.Shouldbeskepticalofhottips3.Stockpricesmayfallongoodnews4.Prescriptionforinvestor1.Shouldn'ttrytooutguessmarket2.Therefore,buyandhold3.Diversifywithno-loadmutualfundSlide#6-16ImplicationsforInvestingEvidenceonRationalExpectationsinOtherMarkets1.Bondmarketsappearefficient2.EvidencewithsurveydataismixedSkepticismaboutqualityofdata3.Followingimplicationissupported:changeinwayvariablemoves,wayexpectationsareformedchangesSlide#6-17THEEND!Slide#6-18第九章效率市场假说Slide#6-19马尔基尔的定义如果一个资本市场在确定证券价格时充分、正确地反映了所有的相关信息，这个资本市场就是有效的。正式地说，该市场被称为相对于某个信息集是有效的…如果将该信息披露给所有参与者时证券价格不受影响的话。更进一步说，相对于某个信息集有效…意味着根据（该信息集）进行交易不可能赚取经济利润.ahref=南昌癫痫病医院哪家好/aahref=南昌癫痫病医院哪家好/aSlide#6-20弱式效率市场假说指当前证券价格已经充分反映了全部能从市场交易数据中获得的信息，这些信息包括过去的价格、成交量、未平仓合约等，所以弱式效率市场意味着根据历史交易资料进行交易是无法获取经济利润的。这实际上等同宣判技术分析无法击败市场。Slide#6-21半强式效率市场假说所有的公开信息都已经反映在证券价格中。这些公开信息包括证券价格、成交量、会计资料、竞争公司的经营情况、整个国民经济资料以及与公司价值有关的所有公开信息等。半强式效率市场意味着根据所有公开信息进行的分析，包括技术分析和基础分析都无法击败市场，即取得经济利润。Slide#6-22强式效率市场假说指所有的信息都反映在股票价格中。这些信息不仅包括公开信息，还包括各种私人信息，即内幕消息。强式效率市场意味着所有的分析都无法击败市场。Slide#6-23效率市场假说的假定投资者是理性的，因而可以理性地评估证券的价值。虽然部分投资者是非理性的，但他们的交易是随机的，这些交易会相互抵消，因此不会影响价格。虽然非理性投资者的交易行为具有相关性,但理性套利者的套利行为可以消除这些非理性投资者对价格的影响。Slide#6-24效率市场的必要条件存在大量的证券，以便每种证券都有“本质上相似”的替代证券，这些替代证券不但在价格上不能与被替代品一样同时被高估或低估，而且在数量上要足以将被替代品的价格拉回到其内在价值的水平。允许卖空。存在以利润最大化为目标的理性套利者，他们可以根据现有信息对证券价值形成合理判断。不存在交易成本和税收。Slide#6-25效率市场假说与证券分析业只要收集和分析信息的边际成本不为零，资本市场就不可能达到完美有效的地步。收集和处理信息的成本越低、交易成本越低、市场参与者对同样信息所反映的证券价值的认同度越高，市场的效率程度就