投资学精要8.pptVIP

Chapter 8 Market Efficiency and Behavioral Finance 有效市场 何谓有效市场 有效市场通常指的是每一种证券的价格都等于其内在价值的市场，在有效市场上，每一种证券都被公平定价，以当时的市场价格简单地买入或卖出，并不能使投资者实现任何无风险套利的利润。 有效市场假说的三种形式 弱式有效市场 价格反应过去的历史信息 随机游走：股价变化是随机的，不可预测 半强式有效市场 价格反应公开可用信息 强式有效市场 价格反应与一种股票相关的所有信息 Random Walks and The Efficient Market Hypothesis随机漫步和有效市场假设 In 1953 Kendall found that stock prices seemed to evolve randomly. Random Walk 随机漫步: 股票价格的变动方向是不可预测的,随机的。 Stock prices already reflect all available information. 价格反映已知信息。 This notion is referred to as the Efficient Market Hypothesis (EMH) 有效市场假说 Three forms of EMH Concept Check a. Suppose you observed that high-level managers make superior returns on investments in their company’s stock. Would this be a violation of weak-form market efficiency? Would it be a violation of strong-form market efficiency? b. If the weak form of the efficient market hypothesis is valid, must the strong form also hold? Conversely, does strong-form efficiency imply weak-form efficiency? Concept Check a. Suppose you observed that high-level managers make superior returns on investments in their company’s stock. Would this be a violation of weak-form market efficiency? Would it be a violation of strong-form market efficiency?高管高回报，违背强有效 b. If the weak form of the efficient market hypothesis is valid, must the strong form also hold? 不 Conversely, does strong-form efficiency imply weak-form efficiency? 是 Implications of The EMH 1.Technical Analysis 技术分析 指利用价格及成交量等方面的历史资料,来判断股市大势或个别股票价格的未来变动方向及程度的各种分析方法的统称。 2.Fundamental Analysis 基本面分析 以判断金融市场未来走势为目标，对经济和政治数据的透彻分析。 主要包括：（1）宏观经济状况。 （2）利率水平。 （3）通货膨胀。 （4）企业素质。 （5）政治因素。 Exercise 2. Which of the following most appears to contradict the proposition that the stock market is weakly efficient? Explain. a. Over 25% of mutual funds outperform the market on average. b. Insiders earn abnormal trading profits. c. Every January, the stock market earns abnormal returns. 2. c. This is a predictable pattern in returns which should not occur if the weak