财务会计理论(SCCOT)-第四章-有效证券市场PPT推荐.ppt
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财务会计理论(SCCOT)-第四章-有效证券市场PPT推荐.ppt
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FinancialAccountingTheoryChapter4:
@#@EfficientSecuritiesMarkets,潘克勤,本章的结构,本章的目的,1、证券市场是半强势有效的!
@#@证券市场上每一种证券价格反映了已经公开的所有信息此时,证券价格就是内在价值吗?
@#@否!
@#@除非没有内部信息!
@#@2、财务会计的用武之地充分披露,让证券价格接近内在价值,增强市场配置资源的效率!
@#@3、财务会计面临挑战其他信息渠道,DefinitionofEfficientMarkets,Anefficientcapitalmarketisamarketthatisefficientinprocessinginformation.Wearetalkingaboutan“informationallyefficient”market,asopposedtoa“transactionallyefficient”market.Inotherwords,wemeanthatthemarketquicklyandcorrectlyadjuststonewinformation.Inaninformationallyefficientmarket,thepricesofsecuritiesobservedatanytimearebasedon“correct”evaluationofallinformationavailableatthattime.Therefore,inanefficientmarket,pricesimmediatelyandfullyreflectavailableinformation.,DefinitionofEfficientMarkets(cont.),ProfessorEugeneFama,whocoinedthephrase“efficientmarkets”,definedmarketefficiencyasfollows:
@#@Inanefficientmarket,competitionamongthemanyintelligentparticipantsleadstoasituationwhere,atanypointintime,actualpricesofindividualsecuritiesalreadyreflecttheeffectsofinformationbasedbothoneventsthathavealreadyoccurredandoneventswhich,asofnow,themarketexpectstotakeplaceinthefuture.Inotherwords,inanefficientmarketatanypointintimetheactualpriceofasecuritywillbeagoodestimateofitsintrinsicvalue.,History,Priortothe1950sitwasgenerallybelievedthattheuseoffundamentalortechnicalapproachescould“beatthemarket”(thoughtechnicalanalysishasalwaysbeenseenassomethingakintovoodoo).Inthe1950sand1960sstudiesbegantoprovideevidenceagainstthisview.Inparticular,researchersfoundthatstockpricechanges(notpricesthemselves)followeda“randomwalk.”Theyalsofoundthatstockpricesreactedtonewinformationalmostinstantly,notgraduallyashadbeenbelieved.,TheEfficientMarketsHypothesis,TheEfficientMarketsHypothesis(EMH)ismadeupofthreeprogressivelystrongerforms:
@#@WeakFormSemi-strongFormStrongForm,TheEMHGraphically,Inthisdiagram,thecirclesrepresenttheamountofinformationthateachformoftheEMHincludes.Notethattheweakformcoverstheleastamountofinformation,andthestrongformcoversallinformation.Alsonotethateachsuccessiveformincludesthepreviousones.,Allhistoricalpricesandreturns,Allpublicinformation,Allinformation,publicandprivate,TheWeakForm,TheweakformoftheEMHsaysthatpastprices,volume,andothermarketstatisticsprovidenoinformationthatcanbeusedtopredictfutureprices.Ifstockpricechangesarerandom,thenpastpricescannotbeusedtoforecastfutureprices.Pricechangesshouldberandombecauseitisinformationthatdrivesthesechanges,andinformationarrivesrandomly.Pricesshouldchangeveryquicklyandtothecorrectlevelwhennewinformationarrives(seenextslide).ThisformoftheEMH,ifcorrect,repudiatestechnicalanalysis.Mostresearchsupportsthenotionthatthemarketsareweakformefficient.,TheSemi-strongForm,Thesemi-strongformsaysthatpricesfullyreflectallpubliclyavailableinformationandexpectationsaboutthefuture.Thissuggeststhatpricesadjustveryrapidlytonewinformation,andthatoldinformationcannotbeusedtoearnsuperiorreturns.Thesemi-strongform,ifcorrect,repudiatesfundamentalanalysis.Moststudiesfindthatthemarketsarereasonablyefficientinthissense,buttheevidenceissomewhatmixed.,TheStrongForm,Thestrongformsaysthatpricesfullyreflectallinformation,whetherpubliclyavailableornot.Eventheknowledgeofmaterial,non-publicinformationcannotbeusedtoearnsuperiorresults.Moststudieshavefoundthatthemarketsarenotefficientinthissense.,Anomalies,AnomaliesareunexplainedempiricalresultsthatcontradicttheEMH:
@#@TheSizeeffect.The“Incredible”JanuaryEffect.P/EEffect.DayoftheWeek(MondayEffect).,TheSizeEffect,Beginningintheearly1980s,anumberofstudiesfoundthatthestocksofsmallfirmstypicallyoutperform(onarisk-adjustedbasis)thestocksoflargefirms.Thisiseventrueamongthelarge-capitalizationstockswithintheS&@#@P500.Thesmaller(butstilllarge)stockstendtooutperformthereallylargeones.,The“Incredible”JanuaryEffect,StockreturnsappeartobehigherinJanuarythaninothermonthsoftheyear.ThismayberelatedtothesizeeffectsinceitismostlysmallfirmsthatoutperforminJanuary.ItmayalsoberelatedtoendofyeartaxsellingSellingofsecurities,usuallyatyearend,torealizelossesinaportfolio,whichcanbeusedtooffsetcapitalgainsandtherebyloweraninvestorstaxliability.,TheP/EEffect,Ithasbeenfoundthatportfoliosof“lowP/E”stocksgenerallyoutperformportfoliosof“highP/E”stocks.ThismayberelatedtothesizeeffectsincethereisahighcorrelationbetweenthestockpriceandtheP/E.ItmaybethatbuyinglowP/Estocksisessentiallythesameasbuyingsmallcompanystocks.,TheDayoftheWeekEffect
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