北京大学实证金融学讲义概念有效市场假说.pptVIP

实证金融分析 Kendall 的早期分析 经济周期分析中，一些经济变量能够很好地预测经济的上涨与衰退 股价反应了公司的经营业绩，是否存在一些变量预测其涨跌？ Kendall(1953)奇怪地发现，没有！ 股价随机变动：无论前段业绩如何，下一日涨跌的可能性基本一样 有效市场 “An inefficiency ought to be an exploitable opportunity. If there is nothing investors can properly exploit in a systematic way, then it’s very hard to say that information is not being properly incorporated into stock prices”. Richard Roll 有效市场 A capital market is said to be efficient if it fully and correctly reflects all relevant information in determining security prices. Formally, the market is said to be efficient with respect to some information set…if security prices would be unaffected by revealing the information to all participants. Moreover, efficiency with respect to an information set implies that it is impossible to make economic profits by trading on the basis of that information. “Financial markets are efficient because they don’t allow investors to earn above average returns without taking above average risks”. Burton Malkiel Random walk down wall street 有效市场 “The efficient markets theory holds that the trading by investors in a free and competitive market drives security prices to their true ’fundamental’ values. The market can better assess what a stock or a bond is worth than any individual trader.” Andrei Shleifer 有效市场下股价应该是随机的吗 I suspect that even if the random walkers announced a perfect mathematic proof of randomness, I would go on believing that in the long run future earning influence present value. Simth (1968) 有效市场下股价应该是随机的吗 Because the price adjusts so rapidly as the information becomes available… thus we would like to see randomness in the prices of successive transactions, rather than great continuity… randomness means that a series of small upward movements (or small downward movements) is very unlikely. If the price is going to move up, it should move up all at once, rather than in a series of small. Black (1971) 迭代期望法则与股价随机性 Law of iterated expectations 有效市场三种类型 1 市场有效：证券价格精确反映了所有可以获得的信息 弱