资本资产定价模型与有效市场假说.pptVIP

0 +t -t Announcement Date Stock Price Efficient reaction Overreaction Underreaction Prices around Announcement Date under EMH * 理性人的假定 如果有关于未来现金流的信息发生，投资者做出了正确的反应，由此而导致的股价的变动才可以用来反映其价值！ 如果没有关于未来现金流的信息发生，股价也变动了！?说明市场很可能是无效率！ 反应不足或者反应过度 * 有效市场的类别 Weak Form弱式有效 Security prices reflect all information found in past prices and volume. Semi-Strong Form半强有效 Security prices reflect all publicly available information. Strong Form强式有效 Security prices reflect all information—public and private. * 经典案例 浓缩橘子汁市场的价格 天气预报预测价格？ 价格预测天气？ * Example：Detecting Illegal Arms Trade investor knowledge countries under arms embargo events that suddenly increase or decrease conflict intensity If a weapon-making company is trading illegally, an event that increases the demand for arms may increase stock prices * * * * * Estimating the Value of Political Connections During 1995-1997, the Indonesian financial markets were occasionally hit by rumors about Suhartos health. companies affiliated with President Suhartos children( Bimantara and Citra Lamtoro Groups * * * * * eight countries that were under UN arms embargo in the period 1990-2005: Angola, Ethiopia, Liberia, Rwanda, Sierra Leone, Somalia, Sudan, and Yugoslavia. * 资产定价 * 风险 回顾：系统性风险与个体风险 资本资产定价模型：系统性风险如何度量及定价？ * 股票的风险：beta (b) 如果所有投资者都持有市场组合，那么此时度量一只股票风险程度的指标就是该股票的beta (b)值. 即每只股票收益率与市场组合收益之间的一种相关程度： * 估计 b Security Returns Return on market % Ri = a i + biRm + ei Slope = bi Characteristic Line * Estimates of b for Selected Stocks Stock Beta C-MAC Industries 1.85 Nortel Networks 1.61 Bank of Nova Scotia 0.83 Bombardier 0.71 Investors Group. 1.22 Maple Leaf Foods 0.83 Roger Communications 1.26 Canadian Utilities 0.50 TransCanada Pipeline 0.24 * The Formula for Beta Clearly, your estimate of beta will depend upon your choice of a proxy for the market portfolio. * Relationship between Risk and Expected Return (CAPM) Expected Return on the Market: Expected return on an individual security: Market Risk Premium This applies to indiv