金融学（第四版）课件：Market Efficiency

MarketEfficiency

2HowExpectedRatesofReturnAffectthePricesofStocks&BondsStocksandbondsaretwomajor,long-termfinancialinstrumentsstocksrepresentownershipofpartoftheissuingfirmbondsrepresentdebtoftheissuerAportfoliousuallyconsistsofmanyfinancialinstrumentsgainsfromdiversification3HowExpectedRatesofReturnAffectthePricesofStocks&BondsDiversificationistheallocationofsurplusfundstoavarietyoffinancialinstruments“don’tputallofyoureggsinonebasket”aslongasreturnsamongfinancialinstrumentsarenotperfectlycorrelated,thentheriskorfluctuationofacombinationofassetswithagivenexpectedreturnwillbelessthantheriskforanyoneassetwiththesameexpectedreturn4StocksThesizeofashareholder’sownershippositiondependsonthenumberofstocksharesownedandissuedThevalueofeachsharedependsontheprevailingpriceofthefirm’sstockSo,whatdeterminesthepricepershare?5StocksAshareofstockrepresentsaclaimontheearningsofthefirmsomeoftheseearningsaresharedthroughdividendsIngeneral,ascurrentandexpectedfutureearningsrise,stockpricesrisetheoppositealsoholdstrue6StocksThereisoftenapositivecorrelationbetweenthegrowthofrealnationalincomeandstockpricesinagrowingeconomy,sales,productionandincomesareexpandingthisimpliesthattheexpectedearningsoffirmswillberising7StocksTheexpectedreturnonastock(overayear)istheexpecteddividendplustheexpectedchangeinthepriceofthestockalldividedbythesharepriceatthetimeofpurchase8ExampleSupposethatyoupaid$50ashareforyourstockItisexpectedtopayadividendof$1pershareandyouexpectthepricetoriseto$53bytheendoftheyearTheexpectedreturnis(1+3)/50=0.08or8%9TheExpectedReturnto

OwningStock10BondsTheexpectedreturnofanewly-issuedbondisthecurrentinterestrate(the“couponrate”)Theexpectedrateofreturnonpreviously-issuedbondsisthecouponrateplustheexpectedpercentagechangeinthebond’spriceoverthecourseoftheyear11TheExpectedReturnonBonds12ExampleSupposeyoupurchaseda$1,000newly-issued30-yearbondwitha6%couponrateOneyearafterthebondisissued,themarketinterestratefallsto4%thepriceofthebondwillriseto$1,339.67Theexpectedreturnonthebondisthecouponrateplustheexpectedpercentagecapitalgain13ExampleTheexpectedpercentagecapitalgainis($1,339.67-$1,000)/$1,000=34%Thecouponrateis6%Thus,theexpectedreturnfromthebondis6%+34%=40%14AnotherExample:Stocks&BondsBondscurrentinterestrate=6%expectedcapitalgain=0Stocksexpectedreturn=8%typicalprice=$50pershareexpecteddividend=$4pershare15AnotherExample:Stocks&BondsAssumethatstocksandbondshavethesamedegreeofliquidityAssumethatstocksareriskierthanbondsportfoliomanagersmustbecompensated2%fortheadditionalrisksofowningstockstheywillbeindifferentbetweenanexpectedreturnonbondsof6%andanexpectedreturnonstocksof8%16AnotherExample:Stocks&Bonds17AnotherExample:Stocks&BondsSupposetheFedpursuesanexpansionarymonetarypolicyinterestratesfallto4%theriskadjustedreturnonbondsalsofallsfrom6%to4%Stockpriceswillriseanincreaseindemandforstockduetohigherrelativerisk-adjustedreturnanincreaseinthedemandforstockduetohigherexpectedfutureearningsoffirms18AnotherExample:Stocks&BondsThepriceofstockwillhavetorisesothattheexpectedreturnonstocksis2%higherthantheexpectedreturnonbondsthepricewillhavetorisefrom$50to$66.67Afterthisadjustment,therisk-adjustedreturnonstockswillbeequaltotherisk-adjustedreturnonbondsdifferencesinreturnsreflectdifferencesonlyinrisk(andliquidity)19PriceExpectationsPriceexpectations=f

(currentandpastprices,expectedchangesinnationalincome,expectedchangesinproductioncosts)Theformationofexpectationsisbothbackwardandforwardlookingexpectationsformedbylookingbackarecalledadaptiveexpectationsweightedmeasureofpastyearsrecentyearsaremoreheavilyweightedthanearlieryears20PriceExpectationsExpectationsformedbylookingbothbackwardandforwardarecalledrationalexpectationsmakeuseofallavailableinformation21Adaptive&RationalExpectations22TheoryofRationalExpectationsThetheoryofrationalexpectationsstatesthatexpectationsoffinancialpriceswillonaveragebeequaltotheoptimalforecasttheoptimalforecastisthebestguesspossiblearrivedatbyusingalloftheavailableinformationbothfromthepastandaboutthefuture23TheoryofRationalExpectationsEvenifaforecastisrational,thereisnoguaranteethatitwillbeaccuratethereisadegreeofrandomnessinfinancialmarketsusefulinformationmaybemissingButtheforecasterrorwillbeonaverageequaltozeroinanygiventimeperiod,itisimpossibletopredictwhattheforecasterrorwillbe24TheoryofRationalExpectationsItiscostlyforparticipantsnottomakeuseofallavailableinformationinformingpriceexpectationsAsnewinformationbecomesavailable,marketparticipantsshouldadjustexpectationsaccordingly25TheEfficientMarketsHypothesisTheefficientmarketshypothesissuggeststhat,whenfinancialmarketsareinequilibrium,thepricesoffinancialinstrumentsreflectallreadilyavailableinformationthisbuildsonthetheoryofrationalexpectations26TheEfficientMarketsHypothesisThus,returnsreflectonlydifferencesinriskandliquidityInanefficientmarket,theoptimalforecastofasecurity’spricewillbeequaltotheequilibriumprice27ExampleSupposethatashareofstockhasanequilibriumreturnof10%afteradjustingforliquidityandriskThedollarreturninagivenperiodoftime(expressedasapercentage)is28ExampleAssumethatcompanyAannouncesnewprofitnumbersthatraisetheexpectedpriceofthestockattheendoftheperiodIftheriskandliquidityofthestockhavenotchanged,thecurrentpriceofthestockwillrisesothattheexpectedreturnwillremain10%notethatcurrentpricesadjustwhennewinformationbecomesavailablethatchangescurrentexpectationsaboutfutureprices29TheEfficientMarketsHypothesisAstrongerversionoftheefficientmarketshypothesisholdsthatthepricesofallfinancialinstrumentsreflectthetruefundamentalvalueoftheinstrumentsthesepricesreflectallavailableinformationtheinformationisaccurate,complete,understoodbyall,andreflectsthemarketfundamentals30TheEfficientMarketsHypothesisMarketfundamentalsarefactorsthathaveadirecteffectonfutureincomestreamsofinstrumentstheseincludethevalueoftheassetsandtheexpectedincomestreamsofthoseassetsonwhichthefinancialinstrumentsrepresentclaims31TheEfficientMarketsHypothesisSomerun-upsandcollapsesofstockorbondpricesdonotseemtoberelatedtomarketfundamentalsJapaninthelate1980stheU.S.inthelate1990sItmayberationaltobuystockatahighpriceifyoubelievethattherewillbeotherswillingtopayinflatedpricesthe“greaterfool”theory32SummaryofMajorPointsLong-terminterestratesaredeterminedbycurrentandexpectedshort-terminterestratespresentshort-termratesaredeterminedbynationalincome,themoneysupply,andinflationaryexpectationsexpectedshort-termratesaredeterminedbyexpectationsofthosesamevariables33SummaryofMajorPointsIfreturnstovariousfinancialassetsarenotperfectlycorrelated,holdingaportfolioofdiversifiedassetsreducesriskforanygivenexpectedreturnorincreasesexpectedreturnforanygivenlevelofriskinvestorsgenerallyoptforaportfolioofvariousfinancialinstrumentswithdifferentrisksandreturns34SummaryofMajorPointsPricesoflong-termfinancialinstrumentssuchasstocksandbondschangeascurrentandfutureexpectedearningschangeifinterestratesfallorrise,pricesofpreviouslyissuedbondsriseorfall,respectivelyifcurrentandexpectedfutureearningsrise,stockpricesalsorise(andviceversa)itistheexpectedreturnonbondsandstockthatdeterminetheirprices35SummaryofMajorPointsMarketparticipantscompareexpectedratesofreturnforvariousfinancialinstrumentsandselectacombinationofthosewiththehighestexpectedreturnconsistentwithvaryingdegreesofriskandliquidityonly36SummaryofMajorPointsAdaptiveexpectationsareformedbylookingatcurrentandpastpricesRationalexpectationsareformedbylookingatpastpricesandallcurrentlyavailableinformationabouttheeconomythatmayaffectpricesexpectationswillbeequaltooptimalforecastsorthebestguessespossiblebasedonallavailableinformation37SummaryofMajorPointsTheefficientmarketshypothesissaysthat,whenfinancialmarketsareinequilibrium,thepricesofallfinancialinstrumentsreflectallreadilyavailableinformationtheration