ch10EFFICIENT CAPITAL MARKETS(投资学,赖利)概要1.pptVIP

Copyright ? 1999 by Harcourt Brace Company All rights reserved Chapter 10 EFFICIENT CAPITAL MARKETS Chapter 10 Questions What do we mean when we say that capital markets are efficient? Why should capital markets be efficient? What factors contribute to an efficient market? Given the overall efficient market hypothesis (EMH), what are the three subhypotheses and what are the implications of each of them? Chapter 10 Questions How does one test the three efficient market subhypotheses, and what are the results of the tests? For each set of tests, which results support the EMH and which indicate an anomaly related to the hypothesis? What are the implications of the results for stock strategies and portfolio managers? What is the evidence related to the EMH for markets in foreign countries? Efficient Capital Markets In an efficient capital market, security prices adjust rapidly to the arrival of new information, therefore the current prices reflect all information about the security Whether markets are efficient has been extensively researched and remains controversial Why does it matter? If prices do fully reflect all current information, it would not be worth an investor’s time to use information to find undervalued securities. If prices do NOT fully reflect information, FIND AND USE THAT INFORMATION, and perhaps you will be able to make a killing in the market. Investing and Market Efficiency Would stock selection amount to throwing darts at a wall in an efficient market? Hardly! Risk still matters. We would still want to research the risk-return properties of securities. Why Should Capital Markets Be Efficient? What would be the ingredients of an “informationally” efficient market? A large number of profit-maximizing participants analyze and value securities New information regarding securities comes to the market in a random fashion Profit-maximizing investors adjust security prices rapidly to reflect the effect of new information Price adjustments are u