投資學(xué)第11章有效市場(chǎng)假定

投資學(xué)第11章有效市場(chǎng)假定是否證券價(jià)格已經(jīng)反映了所有的信息？有效市場(chǎng)假說Kendall(1953):股價(jià)是隨機(jī)變化的EfficientMarketHypothesis(EMH)2023/2/32Random

walk研究市場(chǎng)效率問題的意義：對(duì)公司金融的啟示對(duì)投資的啟示11.1隨機(jī)漫步與有效市場(chǎng)假定2023/2/33圖11.1CumulativeAbnormalReturnsBeforeTakeoverAttempts:TargetCompanies2023/2/34圖11.2StockPriceReactiontoCNBCReports2023/2/35股票價(jià)格充分、準(zhǔn)確地反映了所有可得的信息一旦市場(chǎng)上有新信息出現(xiàn)，所有參與者將分析該信息市場(chǎng)參與者間的競(jìng)爭(zhēng)將保證價(jià)格反映信息11.1.1有效性與競(jìng)爭(zhēng)

（EMHandCompetition）2023/2/36WeakSemi-strongStrong11.1.2有效市場(chǎng)假定的形式2023/2/3711.2.1技術(shù)分析TechnicalAnalysis-以歷史價(jià)、量來預(yù)測(cè)將來價(jià)格Weakformefficiency&technicalanalysis11.2.2基本分析FundamentalAnalysis-以經(jīng)濟(jì)和會(huì)計(jì)信息來預(yù)測(cè)證券價(jià)格Semistrongformefficiency&fundamentalanalysis11.2有效市場(chǎng)假定的含義2023/2/38主動(dòng)管理ActiveManagementSecurityanalysisTiming被動(dòng)管理PassiveManagementBuyandHoldIndexFunds11.2.3主動(dòng)與被動(dòng)的投資管理2023/2/39即使市場(chǎng)是有效性的，投資管理仍有用武之地：分散化與風(fēng)險(xiǎn)水平Appropriaterisklevel稅收考慮Taxconsiderations其他考慮Otherconsiderations11.2.4市場(chǎng)有效性與投資管理2023/2/310以實(shí)證研究來評(píng)估某一特定事件對(duì)公司股票價(jià)格的影響方法：確定非正常收益，即公司股票的實(shí)際收益與沒有事件發(fā)生時(shí)的潛在收益之差?？紤]內(nèi)幕交易之可能，一般用累積非常規(guī)收益11.3事件研究EventStudies2023/2/311進(jìn)行收益調(diào)整，以確定是否異常市場(chǎng)模型方法：a.rt=at+brmt+et

(ExpectedReturn)b.ExcessReturn=

(Actual-Expected)

et=rt

-(a

+brMt)如何檢驗(yàn)2023/2/31211.4.1爭(zhēng)論點(diǎn)規(guī)模問題MagnitudeIssue選擇偏見問題SelectionBiasIssue幸運(yùn)事件LuckyEventIssue11.4市場(chǎng)是有效的嗎？2023/2/31311.4.2弱式有效檢驗(yàn)Weak-FormTests短期收益ReturnsovertheShortHorizon動(dòng)量Momentum長(zhǎng)期收益ReturnsoverLongHorizons反轉(zhuǎn)reversal2023/2/31411.4.3PredictorsofBroadMarketReturnsFamaandFrenchAggregatereturnsarehigherwithhigherdividendratiosCampbellandShillerEarningsyieldcanpredictmarketreturnsKeimandStambaughBondspreadscanpredictmarketreturns2023/2/315P/EEffectSmallFirmEffect(JanuaryEffect)NeglectedFirmEffectandLiquidityEffectsBook-to-MarketRatiosPost-EarningsAnnouncementPriceDrift11.4.4半強(qiáng)式檢驗(yàn)：市場(chǎng)異象

SemistrongTests:Anomalies2023/2/316圖11.3AverageAnnualReturnfor10Size-BasedPortfolios,1926–20062023/2/317圖11.4AverageReturnasaFunctionof

Book-To-MarketRatio,

1926–20062023/2/318圖11.5CumulativeAbnormalReturnsinResponsetoEarningsAnnouncements2023/2/31911.4.5強(qiáng)式有效檢驗(yàn)：內(nèi)幕信息

Strong-FormTests:InsideInformationTheabilityofinsiderstotradeprofitabilityintheirownstockhasbeendocumentedinstudiesbyJaffe,Seyhun,Givoly,andPalmonSECrequiresallinsiderstoregistertheirtradingactivity2023/2/32011.4.6實(shí)證解釋InterpretingtheEvidenceRiskPremiumsormarketinefficiencies—disagreementhereFamaandFrencharguethattheseeffectscanbeexplainedasmanifestationsofriskstockswithhigherbetasLakonishok,Shleifer,andVishneyarguethattheseeffectsareevidenceofinefficientmarkets2023/2/321圖11.6ReturnstoStylePortfolioasaPredictorofGDPGrowth2023/2/32211.4.6實(shí)證解釋(續(xù))AnomaliesorDataMining異象公布后即消失2023/2/32311.5共同基金和分析業(yè)績(jī)

11.5.1

股票市場(chǎng)分析專家StockMarketAnalystsDoAnalystsAddValueMixedevidenceAmbiguityinresults2023/2/324SomeevidenceofpersistentpositiveandnegativeperformancePotentialmeasurementerrorforbenchmarkreturnsStylechangesMayberiskpremiums高手現(xiàn)象Hothandsphenomenon11.5.2共同基金表現(xiàn)

MutualFundPerformance2023/2/325圖11.7EstimatesofIndividualMutualFundAlphas,1972-19912023/2/326表11.1PerformanceofMutualFundsBasedonThree-IndexModel2023/2/327圖11.8PersistenceofMutualFundPerformance2023/2/