《投资分析与组合管理 Frank K. Reilly》ch05.pptVIP

Lecture Presentation Software to accompanyInvestment Analysis and Portfolio ManagementSeventh Editionby Frank K. Reilly Keith C. Brown Chapter 5Efficient Capital Markets Questions to be answered: What is meant by the concept that capital markets are efficient? Why should capital markets be efficient? What are the specific factors that contribute to an efficient market? Given the overall efficient market hypothesis, what are the three sub-hypotheses and what are the implications of each? Chapter 5Efficient Capital Markets How do you test the weak-form efficient market hypothesis (EMH) and what are the results of the tests? How do you test the semistrong-form EMH and what are the test results? How do you test the strong-form EMH and what are the test results? For each set of tests, which results support the hypothesis and which results indicate an anomaly related to the hypothesis? Chapter 5Efficient Capital Markets What are the implications of the results for Technical analysis? Fundamental analysis? Portfolio managers with superior analysts? Portfolio managers with inferior analysts? What is the evidence related to the EMH for markets in foreign countries? Efficient Capital Markets In an efficient capital market, security prices adjust rapidly to the arrival of new information, therefore the current prices of securities reflect all information about the security Whether markets are efficient has been extensively researched and remains controversial Why Should Capital MarketsBe Efficient? The premises of an efficient market A large number of competing profit-maximizing participants analyze and value securities, each independently of the others New information regarding securities comes to the market in a random fashion Profit-maximizing investors adjust security prices rapidly to reflect the effect of new information Conclusion: the expected returns implicit in the current price of a security should reflect its risk AlternativeEfficient Market Hypotheses