最新investments 投资学 （博迪bodie, kane, marcuschap011 the efficient market hypothesis(共34张ppt课件).pptx

INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 11The Efficient Market Hypothesis第一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Maurice Kendall (1953) found no predictable pattern in stock prices. Prices are as likely to go up as to go down on any particular day. How do we explain random stock price changes?Efficient Market Hypothesis (EMH)11-2第二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSEfficient Market Hypothesis (EMH) EMH says stock prices already reflect all available information A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information. Result: Prices change until expected returns are exactly commensurate with risk.11-3第三页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSEfficient Market Hypothesis (EMH) New information is unpredictable; if it could be predicted, then the prediction would be part of todays information. Stock prices that change in response to new (unpredictable) information also must move unpredictably. Stock price changes follow a random walk.11-4第四页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies11-5第五页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.2 Stock Price Reaction to CNBC Reports11-6第六页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Information: The most precious commodity on Wall Street Strong competition assures prices reflect information. Information-gathering is motivated by desire for higher investment returns. The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.EMH and Competition11-7第七页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Weak Semi-strong StrongVersions of the EMH11-8第八页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Technical Analysis - using prices and volume information to predict future prices Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.Weak form efficiency Relative strength Resistance levelsTypes of Stock Analysis11-9第九页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSTypes of Stock Analysis Fundamental Analysis - using economic and accounting information to predict stock prices Try to find firms that are better than everyone elses estimate. Try to find poorly run firms that are not as bad as the market thinks. Semi strong form efficiency and fundamental analysis11-10第十页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Active Management An expensive strategy Suitable only for very large portfolios Passive Management: No attempt to outsmart the market Accept EMH Index Funds and ETFs Very low costsActive or Passive Management11-11第十一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSEven if the market is efficient a role exists for portfolio management:DiversificationAppropriate risk levelTax considerationsMarket Efficiency & Portfolio Management11-12第十二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSResource Allocation If markets were inefficient, resources would be systematically misallocated. Firm with overvalued securities can raise capital too cheaply. Firm with undervalued securities may have to pass up profitable opportunities because cost of capital is too high. Efficient market perfect foresight market 11-13第十三页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Empirical financial research enables us to assess the impact of a particular event on a firms stock price. The abnormal return due to the event is the difference between the stocks actual return and a proxy for the stocks return in the absence of the event.Event Studies11-14第十四页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSReturns are adjusted to determine if they are abnormal.Market Model approach:a. rt = a + brmt + et(Expected Return)b. Excess Return = (Actual - Expected)et = rt - (a + brMt)How Tests Are Structured11-15第十五页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Magnitude Issue Only managers of large portfolios can earn enough trading profits to make the exploitation of minor mispricing worth the effort. Selection Bias Issue Only unsuccessful investment schemes are made public; good schemes remain private. Lucky Event IssueAre Markets Efficient?11-16第十六页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSWeak-Form Tests Returns over the Short HorizonMomentum: Good or bad recent performance continues over short to intermediate time horizons Returns over Long Horizons Episodes of overshooting followed by correction11-17第十七页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSPredictors of Broad Market Returns Fama and French Aggregate returns are higher with higher dividend ratios Campbell and Shiller Earnings yield can predict market returns Keim and Stambaugh Bond spreads can predict market returns11-18第十八页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS P/E Effect Small Firm Effect (January Effect) Neglected Firm Effect and Liquidity Effects Book-to-Market Ratios Post-Earnings Announcement Price DriftSemistrong Tests: Anomalies11-19第十九页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 200811-20第二十页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.4 Average Return as a Function of Book-To-Market Ratio, 1926200811-21第二十一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.5 Cumulative Abnormal Returns in Response to Earnings Announcements11-22第二十二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSStrong-Form Tests: Inside Information The ability of insiders to trade profitability in their own stock has been documented in studies by Jaffe, Seyhun, Givoly, and Palmon SEC requires all insiders to register their trading activity11-23第二十三页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSInterpreting the AnomaliesThe most puzzling anomalies are price-earnings, small-firm, market-to-book, momentum, and long-term reversal. Fama and French argue that these effects can be explained by risk premiums. Lakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets.11-24第二十四页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.6 Returns to Style Portfolio as a Predictor of GDP Growth 11-25第二十五页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSInterpreting the Evidence Anomalies or data mining?Some anomalies have disappeared.Book-to-market, size, and momentum may be real anomalies.11-26第二十六页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSInterpreting the Evidence Bubbles and market efficiencyPrices appear to differ from intrinsic values. Rapid run up followed by crashBubbles are difficult to predict and exploit.11-27第二十七页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSStock Market Analysts Some analysts may add value, but: Difficult to separate effects of new information from changes in investor demand Findings may lead to investing strategies that are too expensive to exploit11-28第二十八页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSMutual Fund Performance The conventional performance benchmark today is a four-factor model, which employs: the three Fama-French factors (the return on the market index, and returns to portfolios based on size and book-to-market ratio) plus a momentum factor (a portfolio constructed based on prior-year stock return).11-29第二十九页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.7 Estimates of Individual Mutual Fund Alphas, 1993 - 200711-30第三十页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUS Consistency, the “hot hands” phenomenon Carhart weak evidence of persistency Bollen and Busse support for performance persistence over short time horizons Berk and Green skilled managers will attract new funds until the costs of managing those extra funds drive alphas down to zero.Mutual Fund Performance11-31第三十一页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSFigure 11.8 Risk-adjusted performance in ranking quarter and following quarter11-32第三十二页，共三十四页。INVESTMENTS | BODIE, KANE, MARCUSSo, Are Markets Efficient? The performance of professional managers is broadly consistent with market efficiency. Most managers do not do better than the passive strategy. There are, however, some notable superstars: Peter Lynch, Warren Buffett, John Templeton, George Soros11-33第三十三页，共三十四页。内容(nirng)总结CHAPTER 11。Keim and Stambaugh。Semistrong Tests: Anomalies。Interpreting the Evidence。11-33第三十四页，共三十四页。