北京大學(xué)實(shí)證金融學(xué)講義1概念有效市場假說

1、實(shí)證金融分析趙留彥概念：有效市場 北京大學(xué)經(jīng)濟(jì)學(xué)院 Kendall 的早期分析經(jīng)濟(jì)周期分析中，一些經(jīng)濟(jì)變量能夠很好地預(yù)測經(jīng)濟(jì)的上漲與衰退股價(jià)反應(yīng)了公司的經(jīng)營業(yè)績，是否存在一些變量預(yù)測其漲跌？Kendall(1953)奇怪地發(fā)現(xiàn)，沒有！股價(jià)隨機(jī)變動(dòng)：無論前段業(yè)績?nèi)绾?，下一日漲跌的可能性基本一樣有效市場“An inefficiency ought to be an exploitable opportunity. If there is nothing investors can properly exploit in a systematic way, then its very hard to

2、 say that information is not being properly incorporated into stock prices”. Richard Roll 有效市場A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Formally, the market is said to be efficient with respect to some informa

3、tion setif security prices would be unaffected by revealing the information to all participants. Moreover, efficiency with respect to an information set implies that it is impossible to make economic profits by trading on the basis of that information.“Financial markets are efficient because they do

4、nt allow investors to earn above average returns without taking above average risks”.Burton Malkiel Random walk down wall street有效市場“The efficient markets theory holds that the trading by investors in a free and competitive market drives security prices to their true fundamental values. The market c

5、an better assess what a stock or a bond is worth than any individual trader.” Andrei Shleifer 有效市場下股價(jià)應(yīng)該是隨機(jī)的嗎I suspect that even if the random walkers announced a perfect mathematic proof of randomness, I would go on believing that in the long run future earning influence present value.Simth (1968)有效

6、市場下股價(jià)應(yīng)該是隨機(jī)的嗎Because the price adjusts so rapidly as the information becomes available thus we would like to see randomness in the prices of successive transactions, rather than great continuity randomness means that a series of small upward movements (or small downward movements) is very unlikely. I

7、f the price is going to move up, it should move up all at once, rather than in a series of small.Black (1971)迭代期望法則與股價(jià)隨機(jī)性Law of iterated expectationsOne cannot use limited information to predict the forecast error one would make if one has superior informationFor stock price,有效市場三種類型 1市場有效：證券價(jià)格精確反映了

8、所有可以獲得的信息弱勢有效：證券價(jià)格精確反映了過去的市場交易數(shù)據(jù)所含有的所有信息例如交易量、過去的價(jià)格技術(shù)分析無效有效市場三種類型 2半強(qiáng)有效：價(jià)格精確反映了所有的公開可獲得的所有信息過去的價(jià)格、公司生產(chǎn)的基本數(shù)據(jù)、公司管理的質(zhì)量、財(cái)務(wù)報(bào)表、專利持有、利潤預(yù)測基本面分析無效有效市場三種類型 3強(qiáng)勢有效：價(jià)格精確反映了所有人所知的所有信息包括公開信息和內(nèi)部信息內(nèi)部信息無效有效市場三種類型弱式有效檢驗(yàn)弱勢有效市場意味著技術(shù)分析不能獲得超額收益技術(shù)分析是指尋找價(jià)格變化規(guī)律、預(yù)測價(jià)格變化模式的方法使用歷史價(jià)格移動(dòng)平均方法、波浪理論投資者情緒指數(shù)情緒調(diào)查學(xué)術(shù)界一般相信有效市場假說意味著技術(shù)分析無用弱式有

9、效檢驗(yàn)方法1、序列相關(guān)分析 自相關(guān)即以前的收益率能影響現(xiàn)在的收益率，則技術(shù)分析有用，弱式有效不能成立 如果資產(chǎn)價(jià)格變動(dòng)表現(xiàn)為隨機(jī)游動(dòng)，則 誤差項(xiàng) 不存在序列相關(guān)。pt為對(duì)數(shù)價(jià)格。 所以我們可以對(duì)誤差項(xiàng) 是否序列相關(guān)進(jìn) 行檢驗(yàn)。 的序列相關(guān)函數(shù)被定義為構(gòu)造BoxPierce Q統(tǒng)計(jì)量 這樣，檢驗(yàn)序列相關(guān)性問題轉(zhuǎn)化為檢驗(yàn)統(tǒng)計(jì)量Q是否顯著。弱式有效檢驗(yàn)方法2、串檢驗(yàn)（游程檢驗(yàn)run test） 構(gòu)造三種“串”，檢驗(yàn)相關(guān)性。3、濾波法則 給出一個(gè)股票買賣的“濾波”，即比階段最低點(diǎn)上升時(shí)買入，比階段最高點(diǎn)下降時(shí)即賣出，觀察是否比買入并持有策略有更高的收益率。弱式有效：經(jīng)驗(yàn)證據(jù) 關(guān)于美國股市的經(jīng)驗(yàn)證據(jù)傾向

10、于認(rèn)為弱勢有效市場成立有的檢驗(yàn)?zāi)軌蚍裾J(rèn)弱勢有效市場，但與交易成本相比，無效的程度相當(dāng)小大量的濾波規(guī)則、價(jià)量規(guī)則、移動(dòng)平均規(guī)則以及其他技術(shù)分析方法一般不能獲取盈利機(jī)會(huì)。然而，日歷效應(yīng)卻提出了挑戰(zhàn)S&Pt 與S&Pt1弱式有效檢驗(yàn)：經(jīng)驗(yàn)證據(jù)“Early studies indicated that technical trading strategies were profitable in foreign exchange markets and futures markets, but not in stock markets before the 1980s. Modern studies

11、indicated that technical trading strategies consistently generated economic profits in a variety of speculative markets at least until the early 1990s. Among a total of 92 modern studies, 58 studies found positive results regarding technical trading strategies, while 24 studies obtained negative res

12、ults. Ten studies indicated mixed results. 弱式有效檢驗(yàn)：經(jīng)驗(yàn)證據(jù)Despite the positive evidence on the profitability of technical trading strategies, it appears that most empirical studies are subject to various problems in their testing procedures. e.g., data snoopingex post selection of trading rules or search technologies difficulties in estimation of risk and transaction costs.”大小股票收益差異（一月）半強(qiáng)式有效檢驗(yàn)：經(jīng)驗(yàn)證據(jù)High Volume Premium新信息到達(dá)與股價(jià)變動(dòng)有效市場假說認(rèn)為股價(jià)應(yīng)該反映當(dāng)前所有能夠獲得的信息有趣的經(jīng)驗(yàn)問題是：股價(jià)如何對(duì)新信息的到達(dá)作出調(diào)整？事件研究方法是檢驗(yàn)?zāi)骋皇录?duì)股價(jià)影響的常用方法新信息到達(dá)與股價(jià)變動(dòng)新信息到達(dá)與股價(jià)變動(dòng)盈余公告發(fā)布后的累積超額收益（CAR）基金的業(yè)績股票基金：扣除交易成本后，總體上，積極型基金業(yè)績不如指數(shù)（消極型）基金本期業(yè)績好于股指的積極型基