Chap011 The Efficient Market Hypothesis 《投资学》第九版教材.pptVIP

CHAPTER 11;Maurice Kendall (1953) found no predictable pattern in stock prices. Prices are as likely to go up as to go down on any particular day. How do we explain random stock price changes? ;Efficient Market Hypothesis (EMH);Efficient Market Hypothesis (EMH);Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies;Weak Semi-strong Strong;Technical Analysis - using prices and volume information to predict future prices Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors. Weak form efficiency Relative strength Resistance levels;Types of Stock Analysis;Active Management An expensive strategy Suitable only for very large portfolios Passive Management: No attempt to outsmart the market Accept EMH Index Funds and ETFs Very low costs;Even if the market is efficient a role exists for portfolio management: Diversification Appropriate risk level Tax considerations;Resource Allocation;Empirical financial research enables us to assess the impact of a particular event on a firm’s stock price. The abnormal return due to the event is the difference between the stock’s actual return and a proxy for the stock’s return in the absence of the event. ;Returns are adjusted to determine if they are abnormal. Market Model approach: a. rt = a + brmt + et (Expected Return) b. Excess Return = (Actual - Expected) et = rt - (a + brMt);Magnitude Issue Only managers of large portfolios can earn enough trading profits to make the exploitation of minor mispricing worth the effort. Selection Bias Issue Only unsuccessful investment schemes are made public; good schemes remain private. Lucky Event Issue;Weak-Form Tests;Predictors of Broad Market Returns;P/E Effect Small Firm Effect (January Effect) Neglected Firm Effect and Liquidity Effects Book-to-Market Ratios Post-Earnings Announcement Price Drift ;Figure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 – 2008;Figure 11.4 Average Return as a Function