风险价值.pptVIP

* * I find that it is worth pointing out to students that it does not matter if you sell the shares at $30 or just hold, (ignoring taxes). It’s a good way to reinforce earlier discussions about opportunity cost. * * * * The share price movement depicted here controls for other information effects including any expected price changes; it only shows the price reaction to the specific news release at t = 0 (depicting this in a diagram is conceptually straightforward; achieving this in practice is another matter—but see the notes on the previous slide). The date t = 0 is the event or announcement date. This could be an earnings announcement date, for example. Alternatively, it could be a specific point in calendar time when a portfolio strategy is revised (eg the start of a 12-month investment holding period). If it refers to something like an earnings announcement date, the normal practice is to measure time in “event time”, so that t = 0 refers to the announcement date for all observations (regardless of when these occur in calendar time) and to line up dates relative to t = 0. In an actual event study, the researcher normally measures reaction in terms of (abnormal) returns; this approach is exactly analogous the idea illustrated in the diagram in terms of prices. In the diagram shown here, there are two types of inefficiency illustrated (for both good and bad news). The first is underreaction. This occurs at the time of the announcement and immediately afterwards (where the dashed red and blue lines take some time to reach the solid red and blue lines). In this case there is also overreaction, indicated by the fact that the dashed red and blue lines then overshoot the efficient reaction shown by the solid lines. Underreaction might occur without any subsequent overreaction, in which case the dashed lines would simply move towards and merge in with the solid lines after a period of adjustment. Similarly, overreaction might occur without any initial underrea