0_20110330_Asset_Pricing_Model英文资料.pdf

Asset Pricing ModelsAsset Pricing Models Yi-Tsung Lee 1 Asset Pricing Models From Efficient Market Hypothesis to CAPM TTradiding S Strategy Alternative Pricing ModelsAlternative Pricing Models 2 1. From Efficient Market Hypothesis to CAPM 1) What is EMH? 2)2) ThThe i implilicatition o f EMHf EMH 3)) CAPM 4) Practical Problems and Limitations 5) A5) Arbitbitrage P Priiciing Th Theory 3 What is EMH? AAn e ffifficiientt cap ititall mar kket it is one iin which stock pprices instantaneouslyy and fully reflect all available information 4 Modern Version of the EMH • If we define the intrinsic value of a firm as the present value of its future payoffs ∞ Et (Dt +i |δ) Vt ∑ i ii 11 ++ ((11 rr)) • ThThen, operatitionalllly, ththe EMHEMH iis oftften iintterprettedd tto mean price reflects a stocks intrinsic value ((P V , ∀t ) tt tt 5 “The Price is Right” How do market prices reflect all information? Milton Friedman ((born Julyy 31,, 1912)) 米尔顿·弗里德曼——身为经济学家的古典自由主义者 Different opinions cancel out ArbitrageArbitrage 6 Different types of effic