INVESTMENTS 投资学 博迪BODIE, KANE, MRCUSChap011 The Efficient Market Hypothesis.ppt

INVESTMENTS | BODIE, KANE, MARCUSCopyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 11The Efficient Market Hypothesis碍混搁元板磁砌串际疤掖凶磋熟要究愤巡氟恿聂彪噬辗绢巡旱表笺趟椽滚INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS | BODIE, KANE, MARCUS•Maurice Kendall (1953) found no predictable pattern in stock prices.•Prices are as likely to go up as to go down on any particular day.•How do we explain random stock price changes?Efficient Market Hypothesis (EMH)倦个缠致七贮叮脏亚粒罕阐桑椅荷骨僧硫耿肥彝融害始希茹实杀头氦餐喘INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis2INVESTMENTS | BODIE, KANE, MARCUSEfficient Market Hypothesis (EMH)•EMH says stock prices already reflect all available information•A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information.–Result: Prices change until expected returns are exactly commensurate with risk.猎舰铅另哈鹅扑套局硕幸蜕母待萎颗疚躲梯隋庆锣差燃裴氏象荐絮牧仗博INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis3INVESTMENTS | BODIE, KANE, MARCUSEfficient Market Hypothesis (EMH)•New information is unpredictable; if it could be predicted, then the prediction would be part of today’s information.•Stock prices that change in response to new (unpredictable) information also must move unpredictably.•Stock price changes follow a random walk.乳哩湖益狱省钵踞娠娄敏任逗宇德汐湍布坑霸养软咕溢彭酞剥儒尔铡长纫INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis4INVESTMENTS | BODIE, KANE, MARCUSFigure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies酚亨皑缉婿乖浑猴蜡豢舍寸慰慈娶码僵舍脖褪内华围旅泰蛆突有列葬拄渺INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis5INVESTMENTS | BODIE, KANE, MARCUSFigure 11.2 Stock Price Reaction to CNBC Reports率覆吨戏鲤校俊纵予桃裂饱腑赫亥蜜迪煽押腑剂孽埋慈姆写符均勘证嫉琢INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis6INVESTMENTS | BODIE, KANE, MARCUS•Information: The most precious commodity on Wall Street –Strong competition assures prices reflect information.–Information-gathering is motivated by desire for higher investment returns.–The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.EMH and Competition境吁具掩抛辅桩坡帮雹够帘粹者槐雪警呕执柴砍寿图崭融拔伏穿弯线桶寄INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis7INVESTMENTS | BODIE, KANE, MARCUS•Weak•Semi-strong•StrongVersions of the EMH同宛燃宽尾去瑞溜梧册读阅笆鸥疗炊踊役篇删复烃鲸脉基驭篡盖噶邪萎灸INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis8INVESTMENTS | BODIE, KANE, MARCUS•Technical Analysis - using prices and volume information to predict future prices–Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.–Weak form efficiency•Relative strength•Resistance levelsTypes of Stock Analysis才读阻恨辩满慎谤棕窒忙春彩赖禾脓牙渣宅晕烁奥豆渭襟樊肤英呼辉骏孔INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis9INVESTMENTS | BODIE, KANE, MARCUSTypes of Stock Analysis•Fundamental Analysis - using economic and accounting information to predict stock prices–Try to find firms that are better than everyone else’s estimate.–Try to find poorly run firms that are not as bad as the market thinks.–Semi strong form efficiency and fundamental analysis钙导驻膀涛蟹遍措尸悠磺御脉胎衙耻疑电低技铱零草治挝庸洱检谋雪键绷INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis10INVESTMENTS | BODIE, KANE, MARCUS•Active Management–An expensive strategy–Suitable only for very large portfolios•Passive Management: No attempt to outsmart the market–Accept EMH–Index Funds and ETFs–Very low costsActive or Passive Management坎扣擅食胸批装异斩涣蔑麦戳国傻瞩花剪毫移燕磷侣辛激氮酸以绦幕点瀑INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis11INVESTMENTS | BODIE, KANE, MARCUSEven if the market is efficient a role exists for portfolio management:•Diversification•Appropriate risk level•Tax considerationsMarket Efficiency & Portfolio Management溶术尹咆倔捻矿篱聂韶豺纲搁惰炎含达诸索美脑晚伐娥冲胃昌喷璃栓嘘完INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis12INVESTMENTS | BODIE, KANE, MARCUSResource Allocation•If markets were inefficient, resources would be systematically misallocated.–Firm with overvalued securities can raise capital too cheaply.–Firm with undervalued securities may have to pass up profitable opportunities because cost of capital is too high.–Efficient market ≠ perfect foresight market 扰陶载迟烤逞蹬辣瓤诗小搏即扣骨配喧冯劫韵拾益寓去裳挛窜众钾轰柑君INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis13INVESTMENTS | BODIE, KANE, MARCUS•Empirical financial research enables us to assess the impact of a particular event on a firm’s stock price.•The abnormal return due to the event is the difference between the stock’s actual return and a proxy for the stock’s return in the absence of the event.Event Studies厦滩奋选辣逻悼富橇皱榨缺自络敬徊畜钟忌尧颂厨都漫奎瘩密辨鸵汾订食INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis14INVESTMENTS | BODIE, KANE, MARCUSReturns are adjusted to determine if they are abnormal.Market Model approach:a. rt = a + brmt + et(Expected Return)b. Excess Return = (Actual - Expected)et = rt - (a + brMt)How Tests Are Structured雍液距职铭蔽轴扳赐灸呈吮训详狗邑畜濒链赦苞居钦桅南冕袒词轻怜硬崭INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis15INVESTMENTS | BODIE, KANE, MARCUS•Magnitude Issue–Only managers of large portfolios can earn enough trading profits to make the exploitation of minor mispricing worth the effort.•Selection Bias Issue–Only unsuccessful investment schemes are made public; good schemes remain private.•Lucky Event IssueAre Markets Efficient?乘拴涩忽堰经帛呛铃烘捅乙钨肩瓮许矮连俞榔棺薛渣救朝摊猿明钳激行得INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis16INVESTMENTS | BODIE, KANE, MARCUSWeak-Form Tests•Returns over the Short Horizon–Momentum: Good or bad recent performance continues over short to intermediate time horizons•Returns over Long Horizons–Episodes of overshooting followed by correction艺代掏跨简陌巾褥刽授芜语纫佩灸清镣噶胰腾嘻靴死情判绪岩炔驶奖辙盔INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis17INVESTMENTS | BODIE, KANE, MARCUSPredictors of Broad Market Returns•Fama and French–Aggregate returns are higher with higher dividend ratios•Campbell and Shiller–Earnings yield can predict market returns•Keim and Stambaugh–Bond spreads can predict market returns魂恬群侦顶鸯叙祷臻蛤凄遇摇俗吃双泅析儒豆啤挽遂眷郸拱卵沮禹字敲蛙INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis18INVESTMENTS | BODIE, KANE, MARCUS•P/E Effect•Small Firm Effect (January Effect)•Neglected Firm Effect and Liquidity Effects•Book-to-Market Ratios•Post-Earnings Announcement Price DriftSemistrong Tests: Anomalies惧滚扯说腮徽炸恭婶粒佳师女办驮舜猾聋扑条俊判胳祟区肘遭拣脖岿阁猫INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis19INVESTMENTS | BODIE, KANE, MARCUSFigure 11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 – 2008憨豁珊貌队山织彦鲁胳驱蛔县悠酬讼耐弓朋肪陵拍薄喻捷茫梳没锈哎开茨INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis20INVESTMENTS | BODIE, KANE, MARCUSFigure 11.4 Average Return as a Function of Book-To-Market Ratio, 1926–2008爷闲遭肛蚌侩迈抨厅鄙嫁杨贮碱噎湛睡捧该拜留拌笺仰抖狡侧炒见砒磕腕INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis21INVESTMENTS | BODIE, KANE, MARCUSFigure 11.5 Cumulative Abnormal Returns in Response to Earnings Announcements枝醇拒屏智着扫墓登售弦孩晨歉穴骇董细怯庞漱赁诉品梁宵太呈溪弗本捏INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis22INVESTMENTS | BODIE, KANE, MARCUSStrong-Form Tests: Inside Information•The ability of insiders to trade profitability in their own stock has been documented in studies by Jaffe, Seyhun, Givoly, and Palmon•SEC requires all insiders to register their trading activity钓盒缓授耀朱驰角瘟姓患茎绷孪嘉昧弥拈捆毡缺迟痘景雾烩涅丘拼满邪慌INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis23INVESTMENTS | BODIE, KANE, MARCUSInterpreting the AnomaliesThe most puzzling anomalies are price-earnings, small-firm, market-to-book, momentum, and long-term reversal.–Fama and French argue that these effects can be explained by risk premiums.–Lakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets.融佳凑走垒肢歌娱谆绦冯延总复三臼鱼仔诛驳胸或姿伸坚中岭奉详攀疥成INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis24INVESTMENTS | BODIE, KANE, MARCUSFigure 11.6 Returns to Style Portfolio as a Predictor of GDP Growth 盒刮下挟剐速狞判叭喻膀皑暖伪悔婴鸟俏汞胞翌葫醋检工厉影榔漠舟禽眼INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis25INVESTMENTS | BODIE, KANE, MARCUSInterpreting the Evidence•Anomalies or data mining?–Some anomalies have disappeared.–Book-to-market, size, and momentum may be real anomalies.容崔晶候盔膊千柱漾展符独脸砖菲径宗纪棉涟卧批炊惺发宪套擂瞄副嘲恕INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis26INVESTMENTS | BODIE, KANE, MARCUSInterpreting the Evidence•Bubbles and market efficiency–Prices appear to differ from intrinsic values.–Rapid run up followed by crash–Bubbles are difficult to predict and exploit.祁根拖卤拈棉链傅坑员孺牌罐走鹿迟乙考膀酸炮戴抽富讫显盒宽混泰描凸INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis27INVESTMENTS | BODIE, KANE, MARCUSStock Market Analysts•Some analysts may add value, but:–Difficult to separate effects of new information from changes in investor demand–Findings may lead to investing strategies that are too expensive to exploit缩霄绪敢讯叁荣妓龄堤乱铰底暗蒂逢域共准螺虾蹋悠丰霉赎裙媳粕隙札糠INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis28INVESTMENTS | BODIE, KANE, MARCUSMutual Fund Performance•The conventional performance benchmark today is a four-factor model, which employs:–the three Fama-French factors (the return on the market index, and returns to portfolios based on size and book-to-market ratio) –plus a momentum factor (a portfolio constructed based on prior-year stock return).憋磋慨矛剐舜锌洛烤腕智钝肠稍鸥天犹抓皇剂弦弄亲径芝奄剐慧氏丝镍驱INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis29INVESTMENTS | BODIE, KANE, MARCUSFigure 11.7 Estimates of Individual Mutual Fund Alphas, 1993 - 2007象悸饺满捌橙咬毕唐窍垃婆睹筷锡疡赵尖湖釉囚丘莉钨虏全京沁鉴伏编发INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis30INVESTMENTS | BODIE, KANE, MARCUS•Consistency, the “hot hands” phenomenon–Carhart – weak evidence of persistency–Bollen and Busse – support for performance persistence over short time horizons–Berk and Green – skilled managers will attract new funds until the costs of managing those extra funds drive alphas down to zero.Mutual Fund Performance品每土逛模砸配准汝贾句灭洲究绪镊俗话可耀睁瓤乏第煮竟桔绅蛙僵嘱载INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis31INVESTMENTS | BODIE, KANE, MARCUSFigure 11.8 Risk-adjusted performance in ranking quarter and following quarter凝漾另毡盏忍窗树盆绝聘屁丈犁宠丹注写共翻植江妆妥灼拼琵惫犁剥辣嘲INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis32INVESTMENTS | BODIE, KANE, MARCUSSo, Are Markets Efficient?•The performance of professional managers is broadly consistent with market efficiency.•Most managers do not do better than the passive strategy.•There are, however, some notable superstars:–Peter Lynch, Warren Buffett, John Templeton, George Soros匙陋臼肆欠琢允虫田芜辐蘑籽型侗烷嘲睬哇褂偷杉班近驶恢郎之呈错傻非INVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market HypothesisINVESTMENTS 投资学 （博迪BODIE, KANE, MRCUS）Chap011 The Efficient Market Hypothesis33。