投资学第11章有效市场假定

投资学第11章有效市场假定是否证券价格已经反映了所有的信息？有效市场假说Kendall(1953):股价是随机变化的EfficientMarketHypothesis(EMH)2023/2/32Random

walk研究市场效率问题的意义：对公司金融的启示对投资的启示11.1随机漫步与有效市场假定2023/2/33图11.1CumulativeAbnormalReturnsBeforeTakeoverAttempts:TargetCompanies2023/2/34图11.2StockPriceReactiontoCNBCReports2023/2/35股票价格充分、准确地反映了所有可得的信息一旦市场上有新信息出现，所有参与者将分析该信息市场参与者间的竞争将保证价格反映信息11.1.1有效性与竞争

（EMHandCompetition）2023/2/36WeakSemi-strongStrong11.1.2有效市场假定的形式2023/2/3711.2.1技术分析TechnicalAnalysis-以历史价、量来预测将来价格Weakformefficiency&technicalanalysis11.2.2基本分析FundamentalAnalysis-以经济和会计信息来预测证券价格Semistrongformefficiency&fundamentalanalysis11.2有效市场假定的含义2023/2/38主动管理ActiveManagementSecurityanalysisTiming被动管理PassiveManagementBuyandHoldIndexFunds11.2.3主动与被动的投资管理2023/2/39即使市场是有效性的，投资管理仍有用武之地：分散化与风险水平Appropriaterisklevel税收考虑Taxconsiderations其他考虑Otherconsiderations11.2.4市场有效性与投资管理2023/2/310以实证研究来评估某一特定事件对公司股票价格的影响方法：确定非正常收益，即公司股票的实际收益与没有事件发生时的潜在收益之差。考虑内幕交易之可能，一般用累积非常规收益11.3事件研究EventStudies2023/2/311进行收益调整，以确定是否异常市场模型方法：a.rt=at+brmt+et

(ExpectedReturn)b.ExcessReturn=

(Actual-Expected)

et=rt

-(a

+brMt)如何检验2023/2/31211.4.1争论点规模问题MagnitudeIssue选择偏见问题SelectionBiasIssue幸运事件LuckyEventIssue11.4市场是有效的吗？2023/2/31311.4.2弱式有效检验Weak-FormTests短期收益ReturnsovertheShortHorizon动量Momentum长期收益ReturnsoverLongHorizons反转reversal2023/2/31411.4.3PredictorsofBroadMarketReturnsFamaandFrenchAggregatereturnsarehigherwithhigherdividendratiosCampbellandShillerEarningsyieldcanpredictmarketreturnsKeimandStambaughBondspreadscanpredictmarketreturns2023/2/315P/EEffectSmallFirmEffect(JanuaryEffect)NeglectedFirmEffectandLiquidityEffectsBook-to-MarketRatiosPost-EarningsAnnouncementPriceDrift11.4.4半强式检验：市场异象

SemistrongTests:Anomalies2023/2/316图11.3AverageAnnualReturnfor10Size-BasedPortfolios,1926–20062023/2/317图11.4AverageReturnasaFunctionof

Book-To-MarketRatio,

1926–20062023/2/318图11.5CumulativeAbnormalReturnsinResponsetoEarningsAnnouncements2023/2/31911.4.5强式有效检验：内幕信息

Strong-FormTests:InsideInformationTheabilityofinsiderstotradeprofitabilityintheirownstockhasbeendocumentedinstudiesbyJaffe,Seyhun,Givoly,andPalmonSECrequiresallinsiderstoregistertheirtradingactivity2023/2/32011.4.6实证解释InterpretingtheEvidenceRiskPremiumsormarketinefficiencies—disagreementhereFamaandFrencharguethattheseeffectscanbeexplainedasmanifestationsofriskstockswithhigherbetasLakonishok,Shleifer,andVishneyarguethattheseeffectsareevidenceofinefficientmarkets2023/2/321图11.6ReturnstoStylePortfolioasaPredictorofGDPGrowth2023/2/32211.4.6实证解释(续)AnomaliesorDataMining异象公布后即消失2023/2/32311.5共同基金和分析业绩

11.5.1

股票市场分析专家StockMarketAnalystsDoAnalystsAddValueMixedevidenceAmbiguityinresults2023/2/324SomeevidenceofpersistentpositiveandnegativeperformancePotentialmeasurementerrorforbenchmarkreturnsStylechangesMayberiskpremiums高手现象Hothandsphenomenon11.5.2共同基金表现

MutualFundPerformance2023/2/325图11.7EstimatesofIndividualMutualFundAlphas,1972-19912023/2/326表11.1PerformanceofMutualFundsBasedonThree-IndexModel2023/2/327图11.8PersistenceofMutualFundPerformance2023/2/