北京大學實證金融學講義1概念有效市場假說.ppt

1、,實證金融分析,趙留彥,概念：有效市場,北京大學經(jīng)濟學院 ,Kendall 的早期分析,經(jīng)濟周期分析中，一些經(jīng)濟變量能夠很好地預測經(jīng)濟的上漲與衰退 股價反應了公司的經(jīng)營業(yè)績，是否存在一些變量預測其漲跌？ Kendall(1953)奇怪地發(fā)現(xiàn)，沒有！ 股價隨機變動：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 ve

2、ry hard to 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 s

3、ome information 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 bec

4、ause they dont 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 value

5、s. The market can better assess what a stock or a bond is worth than any individual trader.” Andrei Shleifer,有效市場下股價應該是隨機的嗎,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 valu

6、e. Simth (1968),有效市場下股價應該是隨機的嗎,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)

7、is very unlikely. If 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隨機性,Law of iterated expectations,One cannot use limited information to predict the forecast error one would make if one has superior information For stock price,

8、有效市場三種類型 1,市場有效：證券價格精確反映了所有可以獲得的信息 弱勢有效：證券價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、過去的價格 技術(shù)分析無效,有效市場三種類型 2,半強有效：價格精確反映了所有的公開可獲得的所有信息 過去的價格、公司生產(chǎn)的基本數(shù)據(jù)、公司管理的質(zhì)量、財務報表、專利持有、利潤預測 基本面分析無效,有效市場三種類型 3,強勢有效：價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,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)分析是指尋找價格變化規(guī)律、預測價格變化模式的方法 使用歷史價格移動平均方法

9、、波浪理論 投資者情緒指數(shù)情緒調(diào)查 學術(shù)界一般相信有效市場假說意味著技術(shù)分析無用,弱式有效檢驗方法,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)價格變動表現(xiàn)為隨機游動，則 誤差項 不存在序列相關(guān)。pt為對數(shù)價格。 所以我們可以對誤差項 是否序列相關(guān)進 行檢驗。 的序列相關(guān)函數(shù)被定義為,構(gòu)造BoxPierce Q統(tǒng)計量 這樣，檢驗序列相關(guān)性問題轉(zhuǎn)化為檢驗統(tǒng)計量Q是否顯著。,弱式有效檢驗方法,2、串檢驗（游程檢驗run test） 構(gòu)造三種“串”，檢驗相關(guān)性。 3、濾波法則 給出一個股票買賣的“濾波”，即比階段最低點上升時買入，比階段最高點下

10、降時即賣出，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)驗證據(jù),關(guān)于美國股市的經(jīng)驗證據(jù)傾向于認為弱勢有效市場成立 有的檢驗能夠否認弱勢有效市場，但與交易成本相比，無效的程度相當小 大量的濾波規(guī)則、價量規(guī)則、移動平均規(guī)則以及其他技術(shù)分析方法一般不能獲取盈利機會。 然而，日歷效應卻提出了挑戰(zhàn),S&Pt 與S&Pt1,弱式有效檢驗：經(jīng)驗證據(jù),“Early studies indicated that technical trading strategies were profitable in foreign exchange markets and futures markets, bu

11、t not in stock markets before the 1980s. Modern studies 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 tr

12、ading strategies, while 24 studies obtained negative results. Ten studies indicated mixed results.,弱式有效檢驗：經(jīng)驗證據(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.,

13、 data snooping ex 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）,半強式有效檢驗：經(jīng)驗證據(jù),High Volume Premium,新信息到達與股價變動,有效市場假說認為股價應該反映當前所有能夠獲得的信息 有趣的經(jīng)驗問題是：股價如何對新信息的到達作出調(diào)整？ 事件研究方法是檢驗某一事件對股價影響的常用方法,新信息到達與股價變動,新信息到達與股價變動,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金下期一般未