博迪投资学第八版课件Chap011.pptVIP

CHAPTER 11 The Efficient Market Hypothesis 11-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Do security prices reflect information ? Why look at market efficiency? Implications for business and corporate finance Implications for investment Efficient Market Hypothesis (EMH) Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies Figure 11.2 Stock Price Reaction to CNBC Reports Stock prices fully and accurately reflect publicly available information Once information becomes available, market participants analyze it Competition assures prices reflect information EMH and Competition Weak Semi-strong Strong Versions of the EMH Technical Analysis - using prices and volume information to predict future prices Weak form efficiency technical analysis Fundamental Analysis - using economic and accounting information to predict stock prices Semi strong form efficiency fundamental analysis Types of Stock Analysis Active Management Security analysis Timing Passive Management Buy and Hold Index Funds Active or Passive Management Even if the market is efficient a role exists for portfolio management: Appropriate risk level Tax considerations Other considerations Market Efficiency Portfolio Management Empirical financial research that enables an observer to assess the impact of a particular event on a firm’s stock price Abnormal return due to the event is estimated as the difference between the stock’s actual return and a proxy for the stock’s return in the absence of the event Event Studies Returns are adjusted to determine if they are abnormal Market Model approach a. rt = at + brmt + et (Expected Return) b. Excess Return = (Actual - Expected) et = rt - (a + brMt) How Tests Are Structured Magnitude Issue Selection Bias Issue Lucky Event Issue Are Markets Efficient Weak-Form Tests Returns over the Short Horizon Momentum Returns over Long Horizons Pre