国际经济模型.docx

Systematic risk causes by market variables such as changes in interest rates, changes in tax laws and variation in commodity prices.Non-Systematic Risk:is unique to the firm and cause due to an exploration success, an important discovery or a change of chief executive.An efficient market (EM) is defined as one in which the prices of all securities quickly and fully reflect all available information about the assets.The efficient market hypothesis (EMH)deals with informational efficiency, which measure of how quickly and accurately the market digest new information.The key to assessing market efficiency is the information. If some types of information are not fully reflected in prices or lags exist in the impoundment of information into prices, the market is less than perfectly efficient.Three different types:1.Weak –Form Efficiency: Information contained in the past series of prices of a security is reflected in the current market price2. Semi-Strong –Form: All publically available information is reflected in the security’s current market price.3. Strong-Form Efficiency: All information, whether public or private is reflected in the security’s current market priceDecision made:1. According to EMV (Expected Monetary Value): Max expected valueExpected Payoff MatrixStrategyState of NatureGood (PG=0.1)Average (PA=0.85)Poor (PP=0.05)Expected ValueFixed Deposit4%4%4%4%Stock12%9%-2%8.75%--MaxBond10%8%2%7.9%2. According to EOL (expected opportunity loss):每种情况下可能的最大收益率减去投资于这种决策的收益率/算期望/选最小（Loss Payoff Matrix）3. Laplace Equal Likelihood Principle when do not know the possibility of each nature:假设每种市场状况概率相等，算期望选最高4.Expected Value of Perfect Information: 每种情况下的最大收益算期望EVPI Computation MatrxState Good 12% * 0.1= 1.2% Average 9% * 0.85= 7.65% Poor 4% * 0.05= 0.2% Total 9.05% EVPI=期望-EMV下的最大payoff（9.05-8.75）a. Efficiency of Perfect Information：100(EVPI/(Expected Payoff))%b. Worth of obtaining the perfect information:总投资额*EVPI ( ab时，不购买信息Decision tree：起点-------EMV（期望）--------各概率下收益第