米什金货币金融学(商学院版)第7章课件

Copyright©2010PearsonAddison-Wesley.Allrightsreserved.Chapter7TheStockMarket,theTheoryofRationalExpectations,andtheEfficientMarketHypothesisCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-27.1ComputingthePriceofCommonStock•BasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlowsCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-37.1.1One-PeriodValuationModel110011(1)(1)=thecurrentpriceofthestock=thedividendpaidattheendofyear1=therequiredreturnoninvestmentinequity=thesalepriceofthestockattheendoftheeeeDivPPkkPDivkPfirstperiodCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-47.1.2GeneralizedDividendValuationModel12012001Thevalueofstocktodayisthepresentvalueofallfuturecashflows...(1)(1)(1)(1)Ifisfarinthefuture,itwillnotaffect(1)ThepriceofthennnneeeenttteDPDDPkkkkPPDPkstockisdeterminedonlybythepresentvalueofthefuturedividendstreamCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-57.1.3GordonGrowthModelP0D0(1g)(keg)D1(keg)D0=themostrecentdividendpaidg=theexpectedconstantgrowthrateindividendske=therequiredreturnonaninvestmentinequityDividendsareassumedtocontinuegrowingataconstantrateforeverThegrowthrateisassumedtobelessthantherequiredreturnonequityCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-67.2HowtheMarketSetsPrices•Playersinthemarket,biddingagainstoneanother,establishthemarketprice.•Thepriceissetbythebuyerwillingtopaythehighestprice•Themarketpricewillbesetbythebuyerwhocantakebestadvantageoftheasset•SuperiorinformationaboutanassetcanincreaseitsvaluebyreducingitsperceivedriskCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-7HowtheMarketSetsPrices•Informationisimportantforindividualstovalueeachasset.•Whennewinformationisreleasedaboutafirm,expectationsandpriceschange.•Marketparticipantsconstantlyreceiveinformationandrevisetheirexpectations,sostockpriceschangefrequently.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.7-87.3TheoryofRationalExpectations•AdaptiveExpectations•Expectationsareformedfrompastexperienceonly.•Changesinexpectationswilloccurslowlyovertimeasdatachanges.•However,peopleusemorethanjustpastdatatoformtheirexpectationsandsometimeschangetheirexpectationsquickly.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.7-9RationalExpectationsRationalexpectation=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:Rationalexpectation,althoughoptimalprediction,maynotbeaccurate.–Ittakestoomuchefforttomaketheexpectationthebestguesspossible–BestguesswillnotbeaccuratebecausepredictorisunawareofsomerelevantinformationCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-10FormalStatementoftheTheoryexpectationofthevariablethatisbeingforecast=optimalforecastusingallavailableinformationeofeofXXXXCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-11Implications•1.Ifthereisachangeinthewayavariablemoves,thewayinwhichexpectationsofthevariableareformedwillchangeaswell•2.Theforecasterrorsofexpectationswill,onaverage,bezeroandcannotbepredictedaheadoftime.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.7-127.4EfficientMarkets:ApplicationofRationalExpectations1RecallTherateofreturnfromholdingasecurityequalsthesumofthecapitalgainonthesecurity,plusanycashpaymentsdividedbytheinitialpurchasepriceofthesecurity.=thertttPPCRPR1ateofreturnonthesecurity=priceofthesecurityattime+1,theendoftheholdingperiod=priceofthesecurityattime,thebeginningoftheholdingperiod=cashpayment(couponttPtPtCordividend)madeduringtheholdingperiodCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-13EfficientMarkets(cont’d)Atthebeginningoftheperiod,weknowPtandC.Pt+1isunknownandwemustformanexpectationofit.TheexpectedreturnthenisExpectationsoffuturepricesareequaltooptimalforecastsusingallcurrentlyavailableinformationsoSupplyandDemandanalysisstatesRewillequaltheequilibriumreturnR*,soRof=R*ttetePCPPR1ofeoftetRRPP11Copyright©2010PearsonAddison-Wesley.Allrightsreserved.7-14EfficientMarkets•Currentpricesinafinancialmarketwillbesetsothattheoptimalforecastofasecurity’sreturnusingallavailableinformationequalsthesecurity’sequilibriumreturn•Inanefficientmarket,asecurity’spricefullyreflectsallavailableinformationCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-15RationaleRofR*PtRofRofR*PtRofuntilRofR*Inanefficientmarket,allunexploitedprofitopportunitieswillbeeliminatedEfficientMarketholdsevenifareuninformed,irrationalparticipantsinmarketCopyright©2010PearsonAddison-Wesley.Allrightsreserved.7-16StrongerVersionoftheEMH•Addtheconditionthatanefficientmarketisoneinwhichpricesreflectthetruefundamentalvalueofthesecurities.•Thus,inanefficientmarket,allpricesarealwayscorrectandreflectmarketfundamentals.•Implications:•1.Oneinvestmentisasgoodasanyother.•2.Asecurity’spricereflectsallavailableinformationabouttheintrinsicvalueofthesecurity.•3.Securitypricescanbeusedtomakecorrectdecisionsaboutwhetheraspecificinvestmentisworthmaking.Copyright©2010PearsonAddison-Wesley.Allrightsreserved.7-17EvidenceonEfficientMarketsHypoth