财务会计理论(SCCOT)第四章有效证券市场ppt课件

1、 Financial Accounting Theory Chapter 4：Efficient Securities Markets潘克勤pankq2005126.本章的构造有效性的含义财务报告含义CAPM模型信息不对称/内部买卖、逆向选择充分披露.本章的目的1、证券市场是半强势有效的！证券市场上每一种证券价钱反映了曾经公开的一切信息此时，证券价钱就是内在价值吗？否！除非没有内部信息！2、财务会计的用武之地充分披露，让证券价钱接近内在价值，加强市场配置资源的效率！3、财务会计面临挑战其他信息渠道. Definition of Efficient Markets An efficient ca

2、pital market is a market that is efficient in processing information.We are talking about an “informationally efficient market, as opposed to a “transactionally efficient market. In other words, we mean that the market quickly and correctly adjusts to new information.In an informationally efficient

3、market, the prices of securities observed at any time are based on “correct evaluation of all information available at that time.Therefore, in an efficient market, prices immediately and fully reflect available information.Definition of Efficient Markets (cont.)Professor Eugene Fama, who coined the

4、phrase “efficient markets, defined market efficiency as follows:In an efficient market, competition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events that ha

5、ve already occurred and on events which, as of now, the market expects to take place in the future. In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value. .HistoryPrior to the 1950s it was generally believed that the

6、 use of fundamental or technical approaches could “beat the market (though technical analysis has always been seen as something akin to voodoo).In the 1950s and 1960s studies began to provide evidence against this view.In particular, researchers found that stock price changes (not prices themselves)

7、 followed a “random walk.They also found that stock prices reacted to new information almost instantly, not gradually as had been believed.The Efficient Markets Hypothesis The Efficient Markets Hypothesis (EMH) is made up of three progressively stronger forms:Weak FormSemi-strong FormStrong Form.The

8、 EMH GraphicallyIn this diagram, the circles represent the amount of information that each form of the EMH includes.Note that the weak form covers the least amount of information, and the strong form covers all information.Also note that each successive form includes the previous ones.All historical

9、 prices and returnsAll public informationAll information, public and private.The Weak FormThe weak form of the EMH says that past prices, volume, and other market statistics provide no information that can be used to predict future prices.If stock price changes are random, then past prices cannot be

10、 used to forecast future prices.Price changes should be random because it is information that drives these changes, and information arrives randomly.Prices should change very quickly and to the correct level when new information arrives (see next slide).This form of the EMH, if correct, repudiates t

11、echnical analysis.Most research supports the notion that the markets are weak form efficient.The Semi-strong FormThe semi-strong form says that prices fully reflect all publicly available information and expectations about the future.This suggests that prices adjust very rapidly to new information,

12、and that old information cannot be used to earn superior returns.The semi-strong form, if correct, repudiates fundamental analysis.Most studies find that the markets are reasonably efficient in this sense, but the evidence is somewhat mixed.The Strong FormThe strong form says that prices fully refle

13、ct all information, whether publicly available or not.Even the knowledge of material, non-public information cannot be used to earn superior results.Most studies have found that the markets are not efficient in this sense.AnomaliesAnomalies are unexplained empirical results that contradict the EMH:T

14、he Size effect.The “Incredible January Effect.P/E Effect.Day of the Week (Monday Effect).The Size EffectBeginning in the early 1980s, a number of studies found that the stocks of small firms typically outperform (on a risk-adjusted basis) the stocks of large firms.This is even true among the large-c

15、apitalization stocks within the S&P 500. The smaller (but still large) stocks tend to outperform the really large ones.The “Incredible January EffectStock returns appear to be higher in January than in other months of the year.This may be related to the size effect since it is mostly small firms tha

16、t outperform in January.It may also be related to end of year tax sellingSelling of securities, usually at year end, to realize losses in a portfolio, which can be used to offset capital gains and thereby lower an investors tax liability.The P/E EffectIt has been found that portfolios of “low P/E st

17、ocks generally outperform portfolios of “high P/E stocks.This may be related to the size effect since there is a high correlation between the stock price and the P/E.It may be that buying low P/E stocks is essentially the same as buying small company stocks.The Day of the Week EffectBased on daily s

18、tock prices from 1963 to 1985 Keim found that returns are higher on Fridays and lower on Mondays than should be expected.This is partly due to the fact that Monday returns actually reflect the entire Friday close to Monday close time period (weekend plus Monday), rather than just one day.Moreover, a

19、fter the stock market crash in 1987, this effect disappeared completely and Monday became the best performing day of the week between 1989 and 1998.Summary of Tests of the EMHWeak form is supported, so technical analysis cannot consistently outperform the market.Semi-strong form is mostly supported

20、, so fundamental analysis cannot consistently outperform the market.Strong form is generally not supported. If you have secret (“insider) information, you CAN use it to earn excess returns on a consistent basis.Ultimately, most believe that the market is very efficient, though not perfectly efficien

21、t. It is unlikely that any system of analysis could consistently and significantly beat the market (adjusted for costs and risk) over the long run.Summary of Tests of the EMHFundamental analysisEvaluation of a companys stock based on an examination of the firms financial statements.Technical analysi

22、sAttempts to predict the market price of a companys stock based on historical price performance and overall stock market trends.Efficient Securities MarketsDefinition (Semi-strong form)At all timesFully reflect.All publicly available informationA relative conceptEfficiency defined relative to a stoc

23、k of publicly available information.Accounting Implications of Securities Market EfficiencyW. Beaver, “What Should Be the FASBs Objectives, Journal of Accountancy (1973)Full disclosure, incl. acc. policiesAccounting policies do not matter (unless cash flow effects)“Nave investors price-protectedAcco

24、untants in competition.Accounting Implications of Securities Market Efficiency只需会计政策没有导致现金流量产生差别的后果，或对所采用的特定会计政策所构成的差别予以披露，以及投资者能获得足够的信息以致可以在不同的会计政策之间做出抉择的话，公司所采取的会计政策便不会影响证券的市价只需会计政策没有导致现金流量产生差别的后果，或对所采用的特定会计政策所构成的差别予以披露，以及投资者能获得足够的信息以致可以在不同的会计政策之间做出抉择的话，公司所采取的会计政策便不会影响证券的市价.Accounting Implications

25、 of Securities Market Efficiency市场的有效性意味着公司不用过分思索无知的投资者，即财务报表信息不用用过于简单的方式表达，以致任何人都能了解。会计人员正在与其他信息提供者相互竞争。假设会计人员不提供有用的本钱效益的信息，会计的有用性职能会日益衰退而为其他信息渠道所取代.The Information of Share Price: A Logical InconsistencyFully Informative Share PricesMarket prices collapseNo role for accounting informationPartly In

26、formative Share Prices Noise tradersInformation Asymmetry.CAPM证券市场是半强势有效的财务会计信息披露应该可以影响公司股价怎样影响？CAPM模型！.CAPM：怎样来的？M.CAPM：预期报酬之计算工具Only firm-specific component is jj是什么？公司股票相对于整个大盘的表现情况！公司面向市场大势的反响公司对于系统风险的反响公司特定风险对要求报酬的影响表达在哪里？投资人经过多元化投资，根本消除了个股特定风险.CAPM：会计信息怎样影响股票价钱？从T年末时点看，某股票T期间的投资报酬率为事后的从年初时点看，某

27、股票T期间的投资报酬率为预期的而：会计信息的作用：改动人们对于 的认识；但是会计信息不能够改动、ERmt和Rf是可以预期的 在 不变的情况下，人们必然调整.CAPM：会计信息怎样影响股票价钱？公式1的寓意是什么？寓意1：给定未来股价和股利变动，那么 越大，目前股价变动越小寓意2：给定 值，那么预期未来股价和股利变动越大，那么目前股价变动越大.CAPM：主要用途1、清楚地指出，股票价钱如何依赖于投资人对未来股价及股利的预测2、CAPM之市场模型及其作用 含义：某一证券收益有两部分构成：预期收益和未预期收益。j+j*RMt为预期部分，jt为未予期部分 3、搜集某一证券N期的历史Rjt ，N期的RMt，就可以估计该证券的值，并计算出所谓的j.CAPM：主要用途4、计算出某一股票历史的j和j有什么用？假定公司长期的j值不变，可以用来计算在新的市