博迪投资学第九版课件

INVESTMENTS

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BODIE,

KANE,

MARCUSCopyright

©

2011

by

The

McGraw-

Hill

Companies,

Inc.

All

rMcGraw-

Hill/

IrwinCHAPTER

11The

EfficientMarketHypothesis

MauriceKendall

(1953)

found

nopredictable

pattern

in

stock

prices.

Prices

are

as

likely

to

go

up

as

to

godown

onanyparticular

day.

How

do

we

explain

random

stock

pricechanges?INVESTMENTS

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BODIE,

KANE,

MARCUSEfficient

Market

Hypothesis

(EMH)11-2Efficient

Market

Hypothesis

(EMH)INVESTMENTS

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EMH

says

stock

prices

already

reflect

allavailable

information

A

forecast

about

favorable

future

performance

leads

to

favorable

current

performance,

as

market

participants

rushto

trade

on

new

information.–

Result:

Prices

change

until

expected

returnsare

exactly

commensurate

with

risk.11-3Efficient

Market

Hypothesis

(EMH)INVESTMENTS

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New

information

is

unpredictable;

if

itcould

bepredicted,

then

the

predictionwould

be

part

of

today’s

information.

Stock

prices

that

change

in

response

tonew

(unpredictable)

information

also

mustmoveunpredictably.Stock

price

changes

follow

a

random

walk.11-4Figure

11.1

Cumulative

Abnormal

ReturnsBefore

Takeover

Attempts:

Target

Companies11-5INVESTMENTS

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11.2

Stock

Price

Reaction

to

CNBCReports11-6INVESTMENTS

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Information:

The

most

precious

commodityon

Wall

StreetStrong

competition

assures

prices

reflectinformation.Information-gathering

is

motivated

bydesire

for

higher

investment

returns.The

marginal

return

on

research

activitymay

be

so

small

that

only

managers

ofthe

largest

portfolios

will

find

them

worthpursuing.INVESTMENTS

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and

Competition11-7WeakSemi-strongStrongINVESTMENTS

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of

the

EMH11-8

Technical

Analysis

-

using

prices

andvolume

information

to

predict

future

pricesSuccess

depends

on

a

sluggishresponse

of

stock

prices

tofundamental

supply-and-demandfactors.Weak

form

efficiencyRelative

strengthResistance

levelsINVESTMENTS

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KANE,

MARCUSTypes

of

Stock

Analysis11-9Types

of

Stock

AnalysisINVESTMENTS

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Fundamental

Analysis

-

using

economic

andaccounting

information

to

predict

stock

pricesTry

to

find

firms

that

are

better

than

everyoneelse’s

estimate.Try

to

find

poorly

run

firms

that

are

not

as

badas

the

market

thinks.Semi

strong

form

efficiencyandfundamental

analysis11-10Active

ManagementAn

expensive

strategySuitable

only

for

very

large

portfolios

Passive

Management:

No

attempt

tooutsmart

the

marketAccept

EMHIndex

Funds

and

ETFsVery

low

costsINVESTMENTS

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or

Passive

Management11-11Even

if

the

market

is

efficient

a

roleexists

for

portfolio

management:DiversificationAppropriate

risk

levelTax

considerationsINVESTMENTS

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Efficiency

&Portfolio

Management11-12Resource

AllocationINVESTMENTS

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If

markets

were

inefficient,

resourceswould

be

systematically

misallocated.Firm

with

overvalued

securities

can

raisecapital

too

cheaply.Firm

with

undervalued

securities

may

have

topass

up

profitable

opportunities

because

costof

capital

is

too

high.Efficient

market

≠

perfect

foresight

market11-13

Empirical

financial

research

enables

us

toassess

the

impact

of

a

particular

event

ona

firm’s

stock

price.

The

abnormal

return

due

to

the

event

isthe

difference

between

the

stock’sactual

returnand

a

proxy

for

the

stock’sreturn

in

the

absence

of

the

event.INVESTMENTS

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BODIE,

KANE,

MARCUSEvent

Studies11-14Returns

are

adjusted

to

determine

if

theyare

abnormal.Market

Model

approach:rt

=

a

+

brmt

+

et(Expected

Return)Excess

Return

= (Actual

-

Expected) et

=

rt

-

(a

+

brMt)INVESTMENTS

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Tests

Are

Structured11-15Magnitude

IssueOnly

managers

of

large

portfolios

canearn

enough

trading

profits

to

makethe

exploitation

of

minor

mispricingworth

the

effort.Selection

Bias

IssueOnlyunsuccessful

investmentschemes

are

made

public;

goodschemes

remain

private.Lucky

Event

IssueINVESTMENTS

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KANE,

MARCUSAreMarkets

Efficient?11-16Weak-Form

TestsINVESTMENTS

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KANE,

MARCUSReturns

over

the

Short

Horizon –

Momentum:

Good

or

bad

recentperformance

continues

over

shortto

intermediate

time

horizonsReturns

over

Long

Horizons–

Episodes

of

overshooting

followedby

correction11-17Predictors

of

Broad

Market

ReturnsINVESTMENTS

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and

FrenchAggregate

returns

are

higher

withhigher

dividend

ratiosCampbell

and

ShillerEarnings

yield

can

predict

marketreturnsKeim

and

StambaughBond

spreads

can

predict

marketreturns11-18P/E

EffectSmall

Firm

Effect

(January

Effect)

Neglected

Firm

Effect

and

LiquidityEffectsBook-to-Market

RatiosPost-Earnings

Announcement

Price

DriftINVESTMENTS

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Tests:

Anomalies11-19Figure

11.3

Average

Annual

Return

for

10Size-Based

Portfolios,

1926

–

200811-20INVESTMENTS

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11.4

Average

Return

as

a

Function

ofBook-To-Market

Ratio,

1926–200811-21INVESTMENTS

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11.5

Cumulative

Abnormal

Returnsin

Response

to

Earnings

Announcements11-22INVESTMENTS

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Tests:Inside

InformationINVESTMENTS

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The

ability

of

insiders

to

trade

profitabilitin

their

own

stock

has

been

documentedin

studies

by

Jaffe,

Seyhun,

Givoly,

andPalmon

SEC

requires

all

insiders

to

register

theirtrading

activity11-23Interpreting

the

AnomaliesINVESTMENTS

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BODIE,

KANE,

MARCUSThe

most

puzzling

anomalies

are

price-earnings,

small-firm,

market-to-book,momentum,

and

long-term

reversal.Fama

and

French

argue

that

theseeffects

can

be

explained

by

riskpremiums.Lakonishok,

Shleifer,

and

Vishneyargue

that

these

effects

are

evidenceof

inefficient

markets.11-24Figure

11.6

Returns

to

Style

Portfolio

as

aPredictor

of

GDP

Growth11-25INVESTMENTS

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BODIE,

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MARCUSInterpreting

the

EvidenceINVESTMENTS

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or

data

mining?Some

anomalies

have

disappeared.Book-to-market,

size,

andmomentum

may

be

real

anomalies.11-26Interpreting

the

EvidenceINVESTMENTS

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and

market

efficiency –

Prices

appear

to

differ

fromintrinsic

values.Rapid

run

up

followed

by

crashBubbles

are

difficult

to

predict

andexploit.11-27Stock

Market

AnalystsINVESTMENTS

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BODIE,

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MARCUSSome

analysts

may

add

value,

but:Difficult

to

separate

effects

of

newinformation

from

changes

in

investordemandFindings

may

lead

to

investingstrategies

that

are

too

expensive

toexploit11-28Mutual

Fund

PerformanceINVESTMENTS

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Theconventional

performance

benchmarktoday

is

a

four-factor

model,

which

employs:the

three

Fama-French

factors

(the

returnon

the

market

index,

and

returns

toportfolios

based

on

size

and

book-to-market

ratio)plus

a

momentum

factor

(a

portfolioconstructed

based

on

prior-year

stockreturn).11-29Figure

11.7

Estimates

of

Individual

MutualFundAlphas,1993-

200711-30INVESTMENTS

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Consistency,

the

“hot

hands”phenomenonC