悉尼大学资本市场与公司财务课件Lecture9.ppt

Do stock prices on the ASX react rapidly to large trades? (cont) Aitken and Frino (1996) studied 4,554 block buy orders and 4,554 block sell orders between 1 July 1991 and 30 June 1993 The average size of block: buy orders = $339,637 sell orders = $355,423 There are large upward and downward movements following block buy and sell orders, respectively FIGURE 10.6 Is the ASX semi-strong-form efficient? There is some evidence to suggest that the ASX is semi-strong-form efficient: In most cases, the information contained in earnings announcements is reflected in share prices within 30 minutes One possible exception is good news from small companies – it takes more time for this information to be reflected in prices It takes no more than three trades for the information conveyed by large trades to be impounded Is the ASX strong-form efficient? Historically, in Australia there have been convictions for illegal, profitable insider trading If a market is strong-form efficient, it should not be possible to profit from ‘insider trading’ Fund managers, also, arguably have access to more timely, accurate information than the general public Nevertheless, fund managers do not make abnormal returns (Sawicki, 2000) Therefore the ASX is likely to be semi-strong-form efficient Evidence against the Efficient Markets Hypothesis – A final word Although most studies have concluded that the ASX is at least semi-strong form efficient, a substantial body of academic literature suggests otherwise These studies are based on repeated patterns, or ‘seasonal’ behaviour, in stock price movements These existence of these ‘anomalies’ is contrary to the weak-form version of the Efficient Markets Hypothesis Anomalies uncovered in the Australian market include: Prices tend to rise at the end of the day (the ‘day-end effect’) Prices tend to fall on Tuesdays (the ‘day-of-the-week effect’) Prices tend to rise in January (the ‘January effect’) Returns on small sto