货币金融学（第十三版）课件 英文第7章 股票市场、理性预期理论和有效市场假说

TheEconomicsofMoney,Banking,andFinancialMarketsThirteenthEditionChapter7TheStockMarket,theTheoryofRationalExpectations,andtheEfficientMarketHypothesisCopyright©2022,2019,2016PearsonEducation,Inc.AllRightsReservedPreviewInthischapter,weexaminethetheoryofrationalexpectations.Whenthistheoryisappliedtofinancialmarkets,theoutcomeistheefficientmarkethypothesis,whichhassomegeneralimplicationsforhowmarketsinothersecuritiesbesidesstocksoperate.LearningObjectives(1of2)7.1Calculatethepriceofcommonstock.7.2Recognizetheimpactofnewinformationonstockprices.7.3Compareandcontrastadaptiveandrationalexpectations.7.4Explainwhyarbitrageopportunitiesimplythattheefficientmarkethypothesisholds.LearningObjectives(2of2)7.5Identifyandexplaintheimplicationsoftheefficientmarkethypothesisforfinancialmarkets.7.6Summarizethereasonswhybehavioralfinancesuggestionsthattheefficientmarkethypothesismaynothold.ComputingthePriceofCommonStock(1of3)TheOne-PeriodValuationModel:thecurrentpriceofthestockthedividendpaidattheendofyear1therequiredreturnoninvestmentinequitythesalepriceofthestockattheendofthefirstperiodComputingthePriceofCommonStock(2of3)TheGeneralizedDividendValuationModel:ThevalueofstocktodayisthepresentvalueofallfuturecashflowsIfisfarinthefuture,itwillnotaffectThepriceofthestockisdeterminedonlybythepresentvalueofthefuturedividendstreamComputingthePriceofCommonStock(3of3)TheGordonGrowthModel:themostrecentdividendpaidg=theexpectedconstantgrowthrateindividendstherequiredreturnonaninvestmentinequityDividendsareassumedtocontinuegrowingataconstantrateforeverThegrowthrateisassumedtobelessthantherequiredreturnonequityHowtheMarketSetsStockPrices(1of2)Thepriceissetbythebuyerwillingtopaythehighestprice.Themarketpricewillbesetbythebuyerwhocantakebestadvantageoftheasset.Superiorinformationaboutanassetcanincreaseitsvaluebyreducingitsperceivedrisk.HowtheMarketSetsStockPrices(2of2)Informationisimportantforindividualstovalueeachasset.Whennewinformationisreleasedaboutafirm,expectationsandpriceschange.Marketparticipantsconstantlyreceiveinformationandrevisetheirexpectations,sostockpriceschangefrequently.Application:MonetaryPolicyandStockPrices(1of2)Monetarypolicycanaffectstockpricesintwoways.First,whentheFedlowersinterestrates,thereturnonbonds(analternativeassettostocks)declines,andinvestorsarelikelytoacceptalowerrequiredrateofreturnonaninvestmentinequity.TheresultingdeclinelowersthedenominatorintheGordongrowthmodel(Equation5)andraisesstockprices.Application:MonetaryPolicyandStockPrices(2of2)Furthermore,aloweringofinterestratesislikelytostimulatetheeconomy,sothegrowthrateindividends,g,islikelytobesomewhathigher.ThisriseingalsocausesthedenominatorinEquation5todecrease,whichalsoleadstoariseinstockprices.Application:TheCoronavirusStockMarketCrashof2020ThespreadofthecoronavirusinFebruary2020triggeredastockmarketcrashinwhichtheDowJonesIndustrialAveragefellfromapeakof29,551onFebruary12to18,561onMarch20,adeclineof37%.Thecombinationofexpectationsofalowerdividendgrowthrate(g)andahigherrequiredreturnoninvestmentinequityledtooneofthesteepeststockmarketdeclinesinU.S.history.TheTheoryofRationalExpectations(1of2)Adaptiveexpectations:Expectationsareformedfrompastexperienceonly.Changesinexpectationswilloccurslowlyovertimeasdatachanges.However,peopleusemorethanjustpastdatatoformtheirexpectationsandsometimeschangetheirexpectationsquickly.TheTheoryofRationalExpectations(2of2)Expectationswillbeidenticaltooptimalforecastsusingallavailableinformation.Eventhougharationalexpectationequalstheoptimalforecastusingallavailableinformation,apredictionbasedonitmaynotalwaysbeperfectlyaccurate.Ittakestoomuchefforttomaketheirexpectationthebestguesspossible.Thebestguesswillnotbeaccuratebecausethepredictorisunawareofsomerelevantinformation.FormalStatementoftheTheoryexpectationofthevariablethatisbeingforecastoptimalforecastusingallavailableinformationRationaleBehindtheTheoryTheincentivesforequatingexpectationswithoptimalforecastsareespeciallystronginfinancialmarkets.Inthesemarkets,peoplewithbetterforecastsofthefuturegetrich.Theapplicationofthetheoryofrationalexpectationstofinancialmarkets(whereitiscalledtheefficientmarkethypothesisorthetheoryofefficientcapitalmarkets)isthusparticularlyuseful.ImplicationsoftheTheoryIfthereisachangeinthewayavariablemoves,thewayinwhichexpectationsofthevariableareformedwillchangeaswell.Changesintheconductofmonetarypolicy(e.g.,targetthefederalfundsrate)Theforecasterrorsofexpectationswill,onaverage,bezeroandcannotbepredictedaheadoftime.TheEfficientMarketHypothesis:RationalExpectationsinFinancialMarkets(1of3)RecallTherateofreturnfromholdingasecurityequalsthesumofthecapitalgainonthesecurity,plusanycashpaymentsdividedbytheinitialpurchasepriceofthesecurity.R=therateofreturnonthesecuritypriceofthesecurityattimet+1,theendoftheholdingperiodpriceofthesecurityattimet,thebeginningoftheholdingperiodC=cashpayment(couponordividend)madeduringtheholdingperiodTheEfficientMarketHypothesis:RationalExpectationsinFinancialMarkets(2of3)Atthebeginningoftheperiod,weknowandC.isunknownandwemustformanexpectationofit.TheexpectedreturnthenisExpectationsoffuturepricesareequaltooptimalforecastsusingallcurrentlyavailableinformationsoSupplyandDemandanalysisstateswillequaltheequilibriumreturnTheEfficientMarketHypothesis:RationalExpectationsinFinancialMarkets(3of3)Currentpricesinafinancialmarketwillbesetsothattheoptimalforecastofasecurity’sreturnusingallavailableinformationequalsthesecurity’sequilibriumreturn.Inanefficientmarket,asecurity’spricefullyreflectsallavailableinformation.RationaleBehindtheHypothesisuntilInanefficientmarket,allunexploitedprofitopportunitieswillbeeliminatedGlobal:ShouldForeignExchangeRatesFollowaRandomWalk?Althoughtheefficientmarkethypothesisisusuallyappliedtothestockmarket,itcanalsobeusedtoshowthatforeignexchangeratesgenerallyfollowarandomwalk.Therandom-walkbehaviorofexchangeratesisevidencedbythedata.HowValuableArePublishedReportsbyInvestmentAdvisors?Informationinnewspapersandinthepublishedreportsofinvestmentadvisersisreadilyavailabletomanymarketparticipantsandisalreadyreflectedinmarketprices.Actingonthisinformationwillnotyieldabnormallyhighreturns,onaverage.Theempiricalevidenceforthemostpartconfirmsthatrecommendationsfrominvestmentadviserscannothelpusoutperformthegeneralmarket.EfficientMarketPrescriptionfortheInvestorRecommendationsfrominvestmentadvisorscannothelpusoutperformthemarket.Ahottipisprobablyinformationalreadycontainedinthepriceofthestock.Stockpricesrespondtoannouncementsonlywhentheinformationisnewandunexpected.A“buyandhold”strategyisthemostsensiblestrategyforthesmallinvestor.Application:WhatDoStockMarketCrashesTellUsAbouttheEfficientMarketHypothesisandtheEfficiencyofFinancialMarkets?Nothinginefficientmarketstheoryrulesoutlargechangesinstockprices.Alargechangeinstockpricescanresultfromnewinformationthatproducesadramaticdeclineinoptimalforecastsofthefuturevaluationoffirms.However,economistsarehardpressedtofindfundamentalchangesintheeconomythatwouldhavecausedtheBlackMondayandtechcrashes.Onelessonfromthesecrashesisthatfactorsotherthanmarketfundamentalsmayhaveaneffectonassetprices.WhytheEfficientMarketHypothesisDoesNotImplyThatFinancialMarketsAreEfficientSomefinancialeconomistsbelieveallpricesarealwayscorrectandreflectmarketfundamentals(itemsthathaveadirectimpactonfutureincomestreamsofthesecurities)andsofinancialmarketsareefficient.However,pricesinmarketslikethestockmarketareunpredictable.Thi