1.13分析金融市场与金融机构_第六章.pptVIP

联合检验的问题 在检验各种投资策略时，你实际上是在对以下两种假设进行联合检验： 1、你已选择了正确的基准来衡量超额利润； 2、该市场相对于你在投资中所用的信息是有效的 效率市场的特征 专业投资者的投资业绩与个人投资者应该是无差异的 a href=/zxyjhyy/江西癫痫病医院哪家好/a a href=/jdz/江西癫痫病医院哪家好/a 因此，我们可以通过衡量专业投资者与一般投资者的投资表现来检验市场的效率。 同样，这里的检验也是联合检验。 效率市场假说的实证检验 在众多学者利用各种信息对股票收益可预测性进行检验的基础上，Campbell对此进行了总结。他发现，在股票收益可预测性检验的问题上，存在着下列几种共同的现象： （1）长期范围内的收益比短期范围内的收益更容易预测。 （2）可以相当准确地预测预期收益随时间的变动和波动率。  弱式效率市场假说的实证检验 弱式市场有效有两个特征： 一个是鞅过程 一个是技术分析的无效性 Slide #6-* Chapter Six THE THEORY OF EFFICIENT CAPITAL MARKETS Part II Principles of Financial Markets Chapter Outline Theory of Rational Expectations Efficient Markets Theory Theory of Rational Expectations Example: Suppose that when Joe travels when it is not rush hour, it takes average of 30 minutes for his trip to work. Sometimes it takes him 35 minutes, other times 25 minutes, but the a href=/江西最好的癫痫病医院/a a href=/江西最好的癫痫病医院/aaverage not-rush-hour driving time is 30 minutes. If ,however Joe leaves for wok during the rush hour ,it takes him ,on average, an additional 10minutes to wok. Given that his expectation are rational, what should Joe expect his driving time to be? Theory of Rational Expectations Rational expectation (RE) = expectation that is optimal forecast (best prediction of future) using all available information: i.e., RE ? Xe = Xof Rational expectation, although optimal prediction, may not be accurate 2 reasons expectation may not be rational 1. Not best prediction 2. Not use available information Implications: 1. Change in way variable moves, way expectations formed changes 2. Forecast errors on average = 0 and are not predictable Theory of Rational Expectations Rational expectations makes sense because is costly not to have optimal forecast Efficient Market Hypothesis: Rational Expectations Applied to Financial Markets Efficient Markets Hypothesis a href=/江西最好的癫痫病医院/a a href=/zxyjhyy/江西最好的癫痫病医院/a When financial markets are in equilibrium, prices of financial instruments reflect all readily available information