米什金货币金融学(商学院版)第7章课件PPT文档格式.ppt

米什金货币金融学(商学院版)第7章课件PPT文档格式.ppt

《米什金货币金融学(商学院版)第7章课件PPT文档格式.ppt》由会员分享，可在线阅读，更多相关《米什金货币金融学(商学院版)第7章课件PPT文档格式.ppt（20页珍藏版）》请在冰豆网上搜索。

Copyright2010PearsonAddison-Wesley.Allrightsreserved.Chapter7TheStockMarket,theTheoryofRationalExpectations,andtheEfficientMarketHypothesisCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-27.1ComputingthePriceofCommonStockBasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlowsCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-37.1.1One-PeriodValuationModelCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-47.1.2GeneralizedDividendValuationModelCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-57.1.3GordonGrowthModelCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-67.2HowtheMarketSetsPricesPlayersinthemarket,biddingagainstoneanother,establishthemarketprice.ThepriceissetbythebuyerwillingtopaythehighestpriceThemarketpricewillbesetbythebuyerwhocantakebestadvantageoftheassetSuperiorinformationaboutanassetcanincreaseitsvaluebyreducingitsperceivedriskCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-7HowtheMarketSetsPricesInformationisimportantforindividualstovalueeachasset.Whennewinformationisreleasedaboutafirm,expectationsandpriceschange.Marketparticipantsconstantlyreceiveinformationandrevisetheirexpectations,sostockpriceschangefrequently.Copyright2010PearsonAddison-Wesley.Allrightsreserved.7-87.3TheoryofRationalExpectationsAdaptiveExpectationsExpectationsareformedfrompastexperienceonly.Changesinexpectationswilloccurslowlyovertimeasdatachanges.However,peopleusemorethanjustpastdatatoformtheirexpectationsandsometimeschangetheirexpectationsquickly.Copyright2010PearsonAddison-Wesley.Allrightsreserved.7-9RationalExpectationsRationalexpectation=expectationthatisoptimalforecast（bestpredictionoffuture）usingallavailableinformation:

@#@Rationalexpectation,althoughoptimalprediction,maynotbeaccurate.IttakestoomuchefforttomaketheexpectationthebestguesspossibleBestguesswillnotbeaccuratebecausepredictorisunawareofsomerelevantinformationCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-10FormalStatementoftheTheoryCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-11Implications1.Ifthereisachangeinthewayavariablemoves,thewayinwhichexpectationsofthevariableareformedwillchangeaswell2.Theforecasterrorsofexpectationswill,onaverage,bezeroandcannotbepredictedaheadoftime.Copyright2010PearsonAddison-Wesley.Allrightsreserved.7-127.4EfficientMarkets:

@#@ApplicationofRationalExpectationsCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-13EfficientMarkets（contd）Atthebeginningoftheperiod,weknowPtandC.Pt+1isunknownandwemustformanexpectationofit.TheexpectedreturnthenisExpectationsoffuturepricesareequaltooptimalforecastsusingallcurrentlyavailableinformationsoSupplyandDemandanalysisstatesRewillequaltheequilibriumreturnR*,soRof=R*Copyright2010PearsonAddison-Wesley.Allrightsreserved.7-14EfficientMarketsCurrentpricesinafinancialmarketwillbesetsothattheoptimalforecastofasecuritysreturnusingallavailableinformationequalsthesecuritysequilibriumreturnInanefficientmarket,asecurityspricefullyreflectsallavailableinformationCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-15RationaleEfficientMarketholdsevenifareuninformed,irrationalparticipantsinmarketCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-16StrongerVersionoftheEMHAddtheconditionthatanefficientmarketisoneinwhichpricesreflectthetruefundamentalvalueofthesecurities.Thus,inanefficientmarket,allpricesarealwayscorrectandreflectmarketfundamentals.Implications:

@#@1.Oneinvestmentisasgoodasanyother.2.Asecurityspricereflectsallavailableinformationabouttheintrinsicvalueofthesecurity.3.Securitypricescanbeusedtomakecorrectdecisionsaboutwhetheraspecificinvestmentisworthmaking.Copyright2010PearsonAddison-Wesley.Allrightsreserved.7-17EvidenceonEfficientMarketsHypothesisFavorableEvidence1.Investmentanalystsandmutualfundsdontbeatthemarket2.Stockpricesreflectpubliclyavailableinformation:

@#@anticipatedannouncementsdontaffectstockprice3.Stockpricesandexchangeratesclosetorandomwalk4.TechnicalanalysisdoesnotoutperformmarketCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-18UnfavorableEvidence1.Small-firmeffect:

@#@smallfirmshaveabnormallyhighreturns2.Januaryeffect:

@#@highreturnsinJanuary3.Marketoverreaction4.Excessivevolatility5.Meanreversion6.NewinformationisnotalwaysimmediatelyincorporatedintostockpricesOverviewReasonablestartingpointbutnotwholestoryCopyright2010PearsonAddison-Wesley.Allrightsreserved.7-19ApplicationInvestingintheStockMarketRecommendationsfrominvestmentadvisorscannothe