公司理财（英文版·第3版）斯蒂芬·A·罗斯-Chap013.pptVIP

Over the years, event study methodology has been applied to a large number of events including: Dividend increases and decreases Earnings announcements Mergers Capital Spending New Issues of Stock The studies generally support the view that the market is semistrong form efficient. Studies suggest that markets may even have some foresight into the future, i.e., news tends to leak out in advance of public announcements. If the market is semistrong form efficient, then no matter what publicly available information mutual fund managers rely on to pick stocks, their average returns should be the same as those of the average investor in the market as a whole. We can test efficiency by comparing the performance of professionally managed mutual funds with the performance of a market index. Taken from Lubos Pastor and Robert F. Stambaugh, “Mutual Fund Performance and Seemingly Unrelated Assets,” Journal of Financial Exonomics, 63 (2002). Since mutual funds have generally underperformed the market, their performance is consistent with the semi-strong and weak forms of efficiency One group of studies of strong form market efficiency investigates insider trading. A number of studies support the view that insider trading is abnormally profitable. Thus, strong form efficiency does not seem to be substantiated by the evidence. Rationality People are not always rational. Many investors fail to diversify, trade too much, and seem to try to maximize taxes by selling winners and holding losers. Independent Deviations from Rationality Psychologists argue that people deviate from rationality in predictable ways: Representativeness: drawing conclusions from too little data This can lead to bubbles in security prices. Conservativism: people are too slow in adjusting their beliefs to new information. Security prices seem to respond too slowly to earnings surprises. Arbitrage Suppose that your superior, rational, analysis shows that company ABC is overpriced. Arbitrage would suggest tha