金融市场及金融机构 第六章.pptVIP

Chapter Six THE THEORY OF EFFICIENT CAPITAL MARKETS Chapter Outline Theory of Rational Expectations Efficient Markets Theory Theory of Rational Expectations Example: Suppose that when Joe travels when it is not rush hour, it takes average of 30 minutes for his trip to work. Sometimes it takes him 35 minutes, other times 25 minutes, but the average not-rush-hour driving time is 30 minutes. If ,however Joe leaves for wok during the rush hour ,it takes him ,on average, an additional 10minutes to wok. Given that his expectation are rational, what should Joe expect his driving time to be? Theory of Rational Expectations Rational expectation (RE) = expectation that is optimal forecast (best prediction of future) using all available information: i.e., RE ? Xe = Xof Theory of Rational Expectations Implications: 1. Change in way variable moves, way expectations formed changes 2. Forecast errors on average = 0 and are not predictable Efficient Market Hypothesis: Rational Expectations Applied to Financial Markets Efficient Markets Hypothesis When financial markets are in equilibrium, prices of financial instruments reflect all readily available information Efficient Markets Theory Efficient Markets Theory Rational Expectations implies: Pet+1 = Poft+1 ? RETe = RETof (1) Market equilibrium RETe = RET* (2) Put (1) and (2) together: Efficient Markets Theory RETof = RET* Efficient Markets Theory Current prices in a financial market will be set so that the optimal forecast of a security’s return using all available information equals the security’s equilibrium return. A security’s price fully reflects all available information in an efficient market. Efficient Markets Theory Why Efficient Markets Theory makes sense If RETof RET* ? Pt ?, RETof ? If RETof RET* ? Pt ?, RETof ? until RETof = RET* 1. All unexploited profit opportunities eliminated 2. Efficient Markets holds even if are uninformed, irrational participants in market Efficient Market Hypothesis Stronger Ver