【视频】经济学：金融市场 06 市场有效性与过度波动性(Markets vs Volatility).docVIP

Lecture 6 - Efficient Markets vs. Excess Volatility Overview:Several theories in finance relate to stock price analysis and prediction. The efficient markets hypothesis states that stock prices for publicly-traded companies reflect all available information. Prices adjust to new information instantaneously, so it is impossible to beat the market. Furthermore, the random walk theory asserts that changes in stock prices arise only from unanticipated new information, and so it is impossible to predict the direction of stock prices. Using statistical tools, we can attempt to test the hypotheses and to predict future stock prices. These tests show that efficient markets theory is a half-truth: it is difficult but not impossible for some people to beat the market.Reading assignment:Robert Shiller, Irrational Exuberance, chapters 10 and 11David Swensen, Pioneering Portfolio Management, chapter 8 Jeremy Siegel, Stocks for the Long Run, chapters 3, 4, 5, 16, 17, and 18 Financial Markets: Lecture 6 Transcript February 01, 2008 Professor Robert Shiller: I want to talk today about the efficient markets hypothesis. Let me just first say, last lecture was about insurance and I was telling you about the theory of insurance and how it has evolved over the years and how it has produced some real benefits. Is that better? It says, Mike volume. I wanted to just tie this in--the advantages of insurance that we have to some big events that occurred and that will, I think, point out the strengths and weaknesses of our institutions. We had a terrible hurricane a couple of years ago in Los Angeles; Hurricane Katrina damaged the city of--Im sorry did I say Los Angeles? You have to stop me when I say things that are obviously wrong. My mind lapses sometimes--New Orleans--and Los Angeles doesnt have to worry about hurricanes as far as I know, unless theres some major change. In New Orleans there was a Hurricane Katrina; it broke the levies that were surrounding the city and cau