财务会计理论(SCCOT)-第四章-有效证券市场.ppt

财务会计理论(SCCOT)-第四章-有效证券市场.ppt

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FinancialAccountingTheoryChapter4：

EfficientSecuritiesMarkets,潘克勤,本章的结构,本章的目的,1、证券市场是半强势有效的！

证券市场上每一种证券价格反映了已经公开的所有信息此时，证券价格就是内在价值吗？

否！

除非没有内部信息！

2、财务会计的用武之地充分披露，让证券价格接近内在价值，增强市场配置资源的效率！

3、财务会计面临挑战其他信息渠道,DefinitionofEfficientMarkets,Anefficientcapitalmarketisamarketthatisefficientinprocessinginformation.Wearetalkingaboutan“informationallyefficient”market,asopposedtoa“transactionallyefficient”market.Inotherwords,wemeanthatthemarketquicklyandcorrectlyadjuststonewinformation.Inaninformationallyefficientmarket,thepricesofsecuritiesobservedatanytimearebasedon“correct”evaluationofallinformationavailableatthattime.Therefore,inanefficientmarket,pricesimmediatelyandfullyreflectavailableinformation.,DefinitionofEfficientMarkets（cont.）,ProfessorEugeneFama,whocoinedthephrase“efficientmarkets”,definedmarketefficiencyasfollows:

Inanefficientmarket,competitionamongthemanyintelligentparticipantsleadstoasituationwhere,atanypointintime,actualpricesofindividualsecuritiesalreadyreflecttheeffectsofinformationbasedbothoneventsthathavealreadyoccurredandoneventswhich,asofnow,themarketexpectstotakeplaceinthefuture.Inotherwords,inanefficientmarketatanypointintimetheactualpriceofasecuritywillbeagoodestimateofitsintrinsicvalue.,History,Priortothe1950sitwasgenerallybelievedthattheuseoffundamentalortechnicalapproachescould“beatthemarket”（thoughtechnicalanalysishasalwaysbeenseenassomethingakintovoodoo）.Inthe1950sand1960sstudiesbegantoprovideevidenceagainstthisview.Inparticular,researchersfoundthatstockpricechanges（notpricesthemselves）followeda“randomwalk.”Theyalsofoundthatstockpricesreactedtonewinformationalmostinstantly,notgraduallyashadbeenbelieved.,TheEfficientMarketsHypothesis,TheEfficientMarketsHypothesis（EMH）ismadeupofthreeprogressivelystrongerforms:

WeakFormSemi-strongFormStrongForm,TheEMHGraphically,Inthisdiagram,thecirclesrepresenttheamountofinformationthateachformoftheEMHincludes.Notethattheweakformcoverstheleastamountofinformation,andthestrongformcoversallinformation.Alsonotethateachsuccessiveformincludesthepreviousones.,Allhistoricalpricesandreturns,Allpublicinformation,Allinformation,publicandprivate,TheWeakForm,TheweakformoftheEMHsaysthatpastprices,volume,andothermarketstatisticsprovidenoinformationthatcanbeusedtopredictfutureprices.Ifstockpricechangesarerandom,thenpastpricescannotbeusedtoforecastfutureprices.Pricechangesshouldberandombecauseitisinformationthatdrivesthesechanges,andinformationarrivesrandomly.Pricesshouldchangeveryquicklyandtothecorrectlevelwhennewinformationarrives（seenextslide）.ThisformoftheEMH,ifcorrect,repudiatestechnicalanalysis.Mostresearchsupportsthenotionthatthemarketsareweakformefficient.,TheSemi-strongForm,Thesemi-strongformsaysthatpricesfullyreflectallpubliclyavailableinformationandexpectationsaboutthefuture.Thissuggeststhatpricesadjustveryrapidlytonewinformation,andthatoldinformationcannotbeusedtoearnsuperiorreturns.Thesemi-strongform,ifcorrect,repudiatesfundamentalanalysis.Moststudiesfindthatthemarketsarereasonablyefficientinthissense,buttheevidenceissomewhatmixed.,TheStrongForm,Thestrongformsaysthatpricesfullyreflectallinformation,whetherpubliclyavailableornot.Eventheknowledgeofmaterial,non-publicinformationcannotbeusedtoearnsuperiorresults.Moststudieshavefoundthatthemarketsarenotefficientinthissense.,Anomalies,AnomaliesareunexplainedempiricalresultsthatcontradicttheEMH:

TheSizeeffect.The“Incredible”JanuaryEffect.P/EEffect.DayoftheWeek（MondayEffect）.,TheSizeEffect,Beginningintheearly1980s,anumberofstudiesfoundthatthestocksofsmallfirmstypicallyoutperform（onarisk-adjustedbasis）thestocksoflargefirms.Thisiseventrueamongthelarge-capitalizationstockswithintheS&P500.Thesmaller（butstilllarge）stockstendtooutperformthereallylargeones.,The“Incredible”JanuaryEffect,StockreturnsappeartobehigherinJanuarythaninothermonthsoftheyear.ThismayberelatedtothesizeeffectsinceitismostlysmallfirmsthatoutperforminJanuary.ItmayalsoberelatedtoendofyeartaxsellingSellingofsecurities,usuallyatyearend,torealizelossesinaportfolio,whichcanbeusedtooffsetcapitalgainsandtherebyloweraninvestorstaxliability.,TheP/EEffect,Ithasbeenfoundthatportfoliosof“lowP/E”stocksgenerallyoutperformportfoliosof“highP/E”stocks.ThismayberelatedtothesizeeffectsincethereisahighcorrelationbetweenthestockpriceandtheP/E.ItmaybethatbuyinglowP/Estocksisessentiallythesameasbuyingsmallcompanystocks.,TheDayoftheWeekEffect