Chap011有效市场假说.pptVIP

* * * * 11-* Consistency, the “hot hands” phenomenon共同基金业绩的一致性，一直都是一个烫手的话题 Carhart – weak evidence of persistency较弱的证据，而且成本大过收益 Bollen and Busse – support for performance persistence over short time horizons较短的期限内有一致性 Berk and Green – skilled managers will attract new funds until the costs of managing those extra funds drive alphas down to zero.高明的基金经理会吸引更多资金直至费用越来越高最后投资的阿尔法收益消失 Mutual Fund Performance共同基金的表现 11-* Figure 11.8 Risk-adjusted performance in ranking quarter and following quarter根据季度和下季度风险调整后的排名：两个季度的对比 可以看出微弱的一致性：强的还会强，弱的也还是弱，但是差距变小很多几乎不可见了。 11-* So, Are Markets Efficient?那么市场是有效的吗？ The performance of professional managers is broadly consistent with market efficiency.然而职业基金经理的表现却和市场有效假说是一致的 Most managers do not do better than the passive strategy.大多数经理无法打败被动策略 There are, however, some notable superstars:然而著名的投资明星有： Peter Lynch, Warren Buffett, John Templeton, George Soros彼得林奇、沃伦巴菲特、约翰·邓普顿、乔治索罗斯 * * * * * * * * * * * * * * * * * * * * * * * * * * * * * INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 11 The Efficient Market Hypothesis 有效市场假说 11-* Maurice Kendall (1953) found no predictable pattern in stock prices.股票价格中没有可预测的模式 Prices are as likely to go up as to go down on any particular day.任一一天中上涨和下跌的可能性都相同 How do we explain random stock price changes?如何解释股票的随机变动？ 难道市场价格是没有任何意义的吗？ Efficient Market Hypothesis (EMH)有效市场假说 11-* Efficient Market Hypothesis (EMH)有效市场假说 EMH says stock prices already reflect all available information有效市场假说任务股票的市场价格已经反映了所有可用的信息 A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information.未来的好消息一定会使投资者蜂拥而至造成现在股价上涨 Result: Prices change until expected returns are exactly commensurate with risk.结果就造成了股票价格的变换模式只能是：获得的收益是不可预期风险的补偿，其余的收益都会被套利活动拿走 11-* Efficient Market Hypothesis (EMH)有效市场假说 New information is unpredictable; if