清华大学五道口金融学院 实证金融Lecture_2_EMH.pdf

《实证金融》 市场有效的统计检验 周皓 清华大学五道口金融学院 Monte Dei Paschi • Most did a good job in summarizing the facts: – Too-big-to-fail (3rd largest) – Over paid acquisition (Banca Antonveneta) – Disastrous derivatives deals (wrong way exposure) – Delayed or failed capital raising ( corruption) – Weak capital regulation, indecisive intervention – LTRO: holding to much Italian sovereign bond – Fundamental: European crisis, economic recession – etc…… 周皓 《实证金融》有效市场检验 2 Monte Dei Paschi • But, if I were CBRC Chairman, want to know: • 1. Failure from European banking regulation – ECB Initial Charter, country based, EBA, ESRB, ECB New Charter (trend in US, UK) – (FT article is inadequate or perhaps wrong) • 2. Are there similar issues in China’s banks? – Shadow banking, trust, local govern vehicle, … – Specific examples in bank or security sectors? 周皓 《实证金融》有效市场检验 3 Outline • Random Walk and Variance Ratio Test • Empirical Finding in EMH Test • Fama 1970 (selective coverage) • Fama 1991 (selective coverage) 周皓 《实证金融》有效市场检验 4 1. EMH, RW1-2-3, VR Test • “Prices fully reflect available information” • Not predictable [ − ] = 0 +1 • Given modeling assumption (“risk-neutrality”), statistical tests on Random Walks • B/C joint hypothesis, predictability doesn’t necessarily mean rejection of EHM • From Fama 1970 to Fama 1991, more asset pricing model tests 周皓 《实证金融》有效市场检验 5 From Martingale to Random Walk • Martingale: [