财务会计理论(SCCOT) 第四章 有效证券市场.pptVIP

Financial Accounting Theory Chapter 4：Efficient Securities Markets 潘克勤 pankq2005@126.com 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 Definition of Efficient Markets An efficient capital market is a market that is efficient in processing information. We are talking about an “informationally efficient” market, as opposed to a “transactionally efficient” market. In other words, we mean that the market quickly and correctly adjusts to new information. In an informationally efficient market, the prices of securities observed at any time are based on “correct” evaluation of all information available at that time. Therefore, in an efficient market, prices immediately and fully reflect available information. Definition of Efficient Markets (cont.) Professor Eugene Fama, who coined the phrase “efficient markets”, defined market efficiency as follows: In an efficient market, competition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events that have already occurred and on events which, as of now, the market expects to take place in the future. In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value. History Prior to the 1950’s it was generally believed that the use of fundamental or technical approaches could “beat the market” (though technical analysis has always been seen as something akin to voodoo). In the 1950’s and 1960’s studies began to provide evidence against this view. In particular, researchers found that stock price changes (not prices themselves) followed a “random walk.” They also found that stock prices reacted to new information almost instantly, not gradually as had been believed. The Efficient Markets Hypothesis The Eff