第三章_有效资本市场理论.ppt

* Stock prices following a random walk is not the same thing as stock prices having random returns. * * * * * * * Click on the chart, Excel will recalculate the series of random numbers automatically. You never know what you’ll see, but it’s kind of a fun game to make up projections of the stock price in the 26th period. * * * * * * * * * * * The authoritative and entertaining book about speculative bubbles is “Extraordinary Popular Delusion and the Madness of Crowds” by John Mackay * * * 反对市场有效的观点 1987年股市的崩盘 在周一市场跌落20%到25%，但是那周末坏消息公布很少。 时间异常收益 一年中一月的收益率最高。 Turn of the month 每周星期一的收益尤其低（平均收益为