投资学第八章 .pptx

Chapter 8;课程纲要;巴契里耶的投机理论;巴契里耶的投机理论（2）;沃金的市场随机性研究;坎德尔的研究;由于理性投资者的存在，任何能够用来对股票价格作预测的信息已经反映在股票的价格中。 由于价格是公开可知的，这意味着已经反映价格的所谓“新信息”已经可知，则“新信息”就成为旧信息了。 若以已反应信息的价格来预测未来，等价于以旧信息作为决策依据，这种决策是无效的——得不到任何结论，即未来价格的结论什么可能都有，即价格是随机游走。;;罗伯兹等人的研究（1）;罗伯兹等人???研究（2）;萨缪尔森股价随机波动的研究;法马的有效市场理论;随机游走理论认为价格的运动不会遵循任何模式或趋势，过去的价格运动不能被用来预测未来的价格运动。The random walk theory asserts that price movements will not follow any patterns or trends and that past price movements cannot be used to predict future price movements. 随机游走理论：有效市场假说的组成部分，认为股票价格的运动是不可预测的。Random walk theory: One element of the efficient market theory. The thesis that stock price variations are not predictable. ;Random Walk with Positive Trend;Random Walk with Positive Trend;Why are price changes random? Prices react to information Flow of information is random Therefore, price changes are random;Efficient Market Hypothesis (EMH);Stock prices fully and accurately reflect publicly available information Once information becomes available, market participants analyze it Competition assures prices reflect information;信息集分类;;弱式有效市场假说（Weak） –认为所有的历史交易信息都已经反映在证券价格中。asserts that all past market prices and data are fully reflected in securities prices. technical analysis is of no use. 半强式有效市场假说（Semi-strong） –认为所有公开可得的信息都被包含在证券价格中。all publicly available information is fully reflected in securities prices. fundamental analysis is of no use. 强式有效市场假说（Strong） – 认为证券价格包含了所有相关信息??all information is fully reflected in securities prices. even insider information is of no use;Implications for business and corporate finance - Firms should expect to receive the fair value for securities that they sell. Firms cannot profit from fooling investors in an efficient market. Implications for investment ;Technical Analysis -Look backward Fundamental Analysis - using economic(economic activity \ industry performance) and accounting information (firm’s performance) to predict stock prices -Look forward;TECHNICAL ANAYSIS;若市场弱式有效，则技术分析是无用的（Technical Analysis -