【PPT精品课件】货币金融学7版英文课件--7-大学课件20

Chapter7TheStockMarket,TheTheoryofRationalExpectations,andtheEfficientMarketsHypothesis©2005PearsonEducationCanadaInc.©2005PearsonEducationCanadaInc.7-2110(1)(1)eeDivPPkk(1)ComputingthePriceofCommonStock•BasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlows•One-PeriodValuationModel©2005PearsonEducationCanadaInc.7-3GeneralizedDividendValuationModel•Sincelasttermoftheequationissmall,Equation2canbewrittenas12012(1)(1)(1)(1)nnnneeeeDPDDPkkkk01(1)ttteDPk(3)(2)©2005PearsonEducationCanadaInc.7-4GordonGrowthModel•Assumingdividendgrowthisconstant,Equation3canbewrittenas•Assumingthegrowthrateislessthantherequiredreturnonequity,Equation4canbewrittenas12000012(1)(1)(1)(1)(1)(1)eeeDgDgDgPkkk010(1)()()eeDgDPkgkg(5)(4)©2005PearsonEducationCanadaInc.7-5TheoryofRationalExpectationsRationalexpectation(RE)=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:i.e.,REXe=Xof2reasonsexpectationmaynotberational1.Notbestprediction2.NotusingavailableinformationRationalexpectation,althoughoptimalprediction,maynotbeaccurateRationalexpectationsmakessensebecauseiscostlynottohaveoptimalforecastImplications:1.Changeinwayvariablemoves,wayexpectationsareformedchanges2.Forecasterrorsonaverage=0andarenotpredictable©2005PearsonEducationCanadaInc.7-6EfficientMarketsHypothesisPt+1–Pt+CRET=PtPet+1–Pt+CRETe=PtRationalExpectationsimplies:Pet+1=Poft+1RETe=RETof(1)MarketequilibriumRETe=RET*(2)Put(1)and(2)together:EfficientMarketsHypothesisRETof=RET*WhytheEfficientMarketsHypothesismakessenseIfRETofRET*Pt,RETofIfRETofRET*Pt,RETofuntilRETof=RET*1.Allunexploitedprofitopportunitieseliminated2.EfficientMarketholdsevenifareuninformed,irrationalparticipantsinmarket©2005PearsonEducationCanadaInc.7-7EvidenceonEfficientMarketsHypothesisFavorableEvidence1.Investmentanalystsandmutualfundsdon’tbeatthemarket2.Stockpricesreflectpubliclyavailableinformation:anticipatedannouncementsdon’taffectstockprice3.StockpricesandexchangeratesclosetorandomwalkIfpredictionsofPbig,RofR*predictionsofPsmall4.TechnicalanalysisdoesnotoutperformmarketUnfavorableEvidence1.Small-firmeffect:smallfirmshaveabnormallyhighreturns2.Januaryeffect:highreturnsinJanuary3.Marketoverreaction4.Excessivevolatility5.Meanreversion6.NewinformationisnotalwaysimmediatelyincorporatedintostockpricesOverviewReasonablestartingpointbutnotwholestory©2005PearsonEducationCanadaInc.7-8ImplicationsforInvesting1.Publishedreportsoffinancialanalystsnotveryvaluable2.Shouldbeskepticalofhottips3.Stockpricesmayfallongoodnews4.Prescriptionforinvestor1.Shouldn’ttrytooutguessmarket2.Therefore,buyandhold3.Diversifywithno-loadmutualfundEvidenceonRationalExpectationsinOtherMarkets1.Bondmarketsappearefficient2.EvidencewithsurveydataismixedSkepticismaboutqualityofdata3.Followingimplicationissupported:changeinwayvariablemoves,wayexpectationsareformedchanges