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1、CHAPTER 11,The Efficient Market Hypothesis 有效市场假说,11-2,Maurice Kendall (1953) found no predictable pattern in stock prices.股票价格中没有可预测的模式 Prices are as likely to go up as to go down on any particular day.任一一天中上涨和下跌的可能性都相同 How do we explain random stock price changes?如何解释股票的随机变动？ 难道市场价格是没有任何意义的吗？,Effi
2、cient Market Hypothesis (EMH)有效市场假说,11-3,Efficient Market Hypothesis (EMH)有效市场假说,EMH says stock prices already reflect all available information有效市场假说任务股票的市场价格已经反映了所有可用的信息 A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on ne
3、w information.未来的好消息一定会使投资者蜂拥而至造成现在股价上涨 Result: Prices change until expected returns are exactly commensurate with risk.结果就造成了股票价格的变换模式只能是：获得的收益是不可预期风险的补偿，其余的收益都会被套利活动拿走,11-5,Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies目标公司接管前累计的异常收益：只是宣布消息的那天会有异常变动,11-6,Figure
4、11.2 Stock Price Reaction to CNBC Reports市场价格对CNBC报道的反应,11-7,Information: The most precious commodity on Wall Street 信息是华尔街最宝贵的商品 Strong competition assures prices reflect information.强有力的竞争保证股票价格能够反映有效信息 Information-gathering is motivated by desire for higher investment returns.信息收集是由追求更高投资收益所驱动的 T
5、he marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.竞争太激烈以至于额外收益太低，只有大规模的基金管理人才会有动机去做研究分析等,EMH and Competition有效市场假说与竞争,11-8,Weak弱式假说认为市场的股票历史价格、成交量等市场公开信息已经无用，都已反映在目前的股票价格里； Semi-strong半强式假说任何公司财务信息、预期、以及一切公开可得的信息都已无用，反映
6、在当前股票价格里； Strong强式假说认为任何信息都已反映在股票价格信息里，包括内幕消息,Versions of the EMH有效市场假说的不同版本,11-9,Technical Analysis - using prices and volume information to predict future prices技术分析是利用股票价格、成交量等信息预测未来价格走势 Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.这类分析成功的关键因素是股价
7、本身对供求因素反应迟钝，有投机空间； Weak form efficiency弱式有效 Relative strength相对强势的方法：情绪指标 Resistance levels阻力水平：均线指标 在弱式有效假说下，技术分析无效,Types of Stock Analysis股票分析的类型,11-10,Types of Stock Analysis股票分析的类型,Fundamental Analysis - using economic and accounting information to predict stock prices基本面分析利用经济或财务信息来预测价格未来走势 Try
8、 to find firms that are better than everyone elses estimate.试图寻找被低估的公司 Try to find poorly run firms that are not as bad as the market thinks.试图寻找不像市场想象的那么差的公司 Semi strong form efficiency and fundamental analysis在半强式假说下基本面分析无效,11-11,Active Management积极管理 An expensive strategy比较贵的策略 Suitable only for
9、very large portfolios只适合于非常大的组合 Passive Management: No attempt to outsmart the market被动管理不试图超越市场表现 Accept EMH接受市场有效假说 Index Funds and ETFs指数基金和交易所基金 Very low costs成本费用低,Active or Passive Management积极与被动管理,11-12,Even if the market is efficient a role exists for portfolio management:即使在完全有效的市场中理性管理还是必
10、要的 Diversification分散化投资 Appropriate risk level适当的风险水平 Tax considerations避税策略的考虑,Market Efficiency good schemes remain private.只有失败的投资计划才会公布于众，杰出的投资计划总是非常重要并被仔细保管的商业秘密 Lucky Event Issue幸运事件问题：好运气和好技术可以产生同样的结果，如何甄别好的投资绩效背后的原因？,Are Markets Efficient?市场是有效的吗？,11-17,Weak-Form Tests弱式有效检验,Returns over the
11、 Short Horizon短期收益有正相关特征 Momentum: Good or bad recent performance continues over short to intermediate time horizons动量效应：在短期内股票的上涨或下跌趋势延续不改 Returns over Long Horizons长期收益有负相关特征 Episodes of overshooting followed by correction短期反应过度长期有修正趋势,11-18,Predictors of Broad Market Returns主要市场收益的预测者,Fama and Fr
12、ench Aggregate returns are higher with higher dividend ratios较高的股息收益率会带来较高的回报 Campbell and Shiller Earnings yield can predict market returns盈利率能够预测市场收益 Keim and Stambaugh Bond spreads can predict market returns债券价差能够预测市场收益,11-19,P/E Effect市盈率效应 Small Firm Effect (January Effect)小公司的1月效应 Neglected Fi
13、rm Effect and Liquidity Effects被忽略的公司效应、流动性效应 Book-to-Market Ratios净市率 Post-Earnings Announcement Price Drift盈余公告后的价格漂移,Semistrong Tests: Anomalies半强式检验：市场异象,11-20,Figure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 2008十家不同规模组合的平均年收益,11-21,Figure 11.4 Average Return as a Function o
14、f Book-To-Market Ratio, 19262008按账面/市值比大小分组后的平均收益,11-22,Figure 11.5 Cumulative Abnormal Returns in Response to Earnings Announcements累积日常收益对盈利宣布的反应,11-23,Strong-Form Tests: Inside Information强式有效检验：内幕消息,The ability of insiders to trade profitability in their own stock has been documented in studies
15、by Jaffe, Seyhun, Givoly, and Palmon内部人员利用内幕消息交易本公司股票获得异常收益并不少见 SEC requires all insiders to register their trading activity美国证券会要求所有内部人员注册他们的交易活动,11-24,Interpreting the Anomalies市场异象的解释,The most puzzling anomalies are price-earnings, small-firm, market-to-book, momentum, and long-term reversal.最为困扰
16、的异象是市盈率、小公司、账面/市值比，动量和长期反向效应 Fama and French argue that these effects can be explained by risk premiums.这些异象能被风险溢价所解释 Lakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets.另外一些学者认为这些异象是市场并不是那么有效的证据,11-25,Figure 11.6 Returns to Style Portfolio as a Predictor of GDP Growth 国民生产总值增长作为预测因子下的投资组合收益,11-26,Interpreting the Evidence如何理解这些实证研究的结果？,Anomalies or data mining?市场异象或者只是数据挖掘 Some anomalies have disappeared.一些异象已经消失了 Book-to-market, size, and momentum may
