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1、,实证金融分析,赵留彦,概念：有效市场,北京大学经济学院 ,Kendall 的早期分析,经济周期分析中，一些经济变量能够很好地预测经济的上涨与衰退 股价反应了公司的经营业绩，是否存在一些变量预测其涨跌？ Kendall(1953)奇怪地发现，没有！ 股价随机变动：无论前段业绩如何，下一日涨跌的可能性基本一样,有效市场,“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,有效市场,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,有效市场,“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,有效市场下股价应该是随机的吗,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),有效市场下股价应该是随机的吗,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),迭代期望法则与股价随机性,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、有效市场三种类型 1,市场有效：证券价格精确反映了所有可以获得的信息 弱势有效：证券价格精确反映了过去的市场交易数据所含有的所有信息 例如交易量、过去的价格 技术分析无效,有效市场三种类型 2,半强有效：价格精确反映了所有的公开可获得的所有信息 过去的价格、公司生产的基本数据、公司管理的质量、财务报表、专利持有、利润预测 基本面分析无效,有效市场三种类型 3,强势有效：价格精确反映了所有人所知的所有信息 包括公开信息和内部信息 内部信息无效,有效市场三种类型,弱式有效检验,弱势有效市场意味着技术分析不能获得超额收益 技术分析是指寻找价格变化规律、预测价格变化模式的方法 使用历史价格移动平均方法
9、、波浪理论 投资者情绪指数情绪调查 学术界一般相信有效市场假说意味着技术分析无用,弱式有效检验方法,1、序列相关分析 自相关即以前的收益率能影响现在的收益率，则技术分析有用，弱式有效不能成立,如果资产价格变动表现为随机游动，则 误差项 不存在序列相关。pt为对数价格。 所以我们可以对误差项 是否序列相关进 行检验。 的序列相关函数被定义为,构造BoxPierce Q统计量 这样，检验序列相关性问题转化为检验统计量Q是否显著。,弱式有效检验方法,2、串检验（游程检验run test） 构造三种“串”，检验相关性。 3、滤波法则 给出一个股票买卖的“滤波”，即比阶段最低点上升时买入，比阶段最高点下
10、降时即卖出，观察是否比买入并持有策略有更高的收益率。,弱式有效：经验证据,关于美国股市的经验证据倾向于认为弱势有效市场成立 有的检验能够否认弱势有效市场，但与交易成本相比，无效的程度相当小 大量的滤波规则、价量规则、移动平均规则以及其他技术分析方法一般不能获取盈利机会。 然而，日历效应却提出了挑战,S&Pt 与S&Pt1,弱式有效检验：经验证据,“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.,弱式有效检验：经验证据,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.”,大小股票收益差异（一月）,半强式有效检验：经验证据,High Volume Premium,新信息到达与股价变动,有效市场假说认为股价应该反映当前所有能够获得的信息 有趣的经验问题是：股价如何对新信息的到达作出调整？ 事件研究方法是检验某一事件对股价影响的常用方法,新信息到达与股价变动,新信息到达与股价变动,盈余公告发布后的累积超额收益（CAR）,基金的业绩,股票基金：扣除交易成本后，总体上，积极型基金业绩不如指数（消极型）基金 本期业绩好于股指的积极型基金下期一般未必如此 债券基金：总体上，债券型基金业绩不如消极的固定收益指数 本期业绩好于固定收益指数的债券基金下期一般未必如此,Peter Lynch & Magellan Fund 基金业绩,分析的底线,有效市场假说是描述金融市场的有用框架 如同其他经济学模型一样，有效市场假说并非现实的完美描述。 问市场是否有效可能并没有意义，更为要的是 市场有效程度如何？ 市场如何对新信息作出反应？ 存在偏离时，价格如何向基本面回归？,
