财务会计理论(SCCOT)-第四章-有效证券市场.ppt

1、Financial Accounting Theory Chapter 4：Efficient Securities Markets,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,Definition of Efficient Markets,An efficient capital market is a market that is efficient in pro

2、cessing information.We are talking about an“informationally efficient”market,as opposed to a“transactionally efficient”market.In other words,we mean that the market quickly and correctly adjusts to new information.In an informationally efficient market,the prices of securities observed at any time a

3、re based on“correct”evaluation of all information available at that time.Therefore,in an efficient market,prices immediately and fully reflect available information.,Definition of Efficient Markets(cont.),Professor Eugene Fama,who coined the phrase“efficient markets”,defined market efficiency as fol

4、lows:In an efficient market,competition among the many intelligent participants leads to a situation where,at any point in time,actual prices of individual securities already reflect the effects of information based both on events that have already occurred and on events which,as of now,the market e

5、xpects to take place in the future.In other words,in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value.,History,Prior to the 1950s it was generally believed that the use of fundamental or technical approaches could“beat the market”

6、(though technical analysis has always been seen as something akin to voodoo).In the 1950s and 1960s studies began to provide evidence against this view.In particular,researchers found that stock price changes(not prices themselves)followed a“random walk.”They also found that stock prices reacted to

7、new information almost instantly,not gradually as had been believed.,The Efficient Markets Hypothesis,The Efficient Markets Hypothesis(EMH)is made up of three progressively stronger forms:Weak FormSemi-strong FormStrong Form,The EMH Graphically,In this diagram,the circles represent the amount of inf

8、ormation that each form of the EMH includes.Note that the weak form covers the least amount of information,and the strong form covers all information.Also note that each successive form includes the previous ones.,All historical prices and returns,All public information,All information,public and pr

9、ivate,The Weak Form,The weak form of the EMH says that past prices,volume,and other market statistics provide no information that can be used to predict future prices.If stock price changes are random,then past prices cannot be used to forecast future prices.Price changes should be random because it

10、 is information that drives these changes,and information arrives randomly.Prices should change very quickly and to the correct level when new information arrives(see next slide).This form of the EMH,if correct,repudiates technical analysis.Most research supports the notion that the markets are weak

11、 form efficient.,The Semi-strong Form,The semi-strong form says that prices fully reflect all publicly available information and expectations about the future.This suggests that prices adjust very rapidly to new information,and that old information cannot be used to earn superior returns.The semi-st

12、rong form,if correct,repudiates fundamental analysis.Most studies find that the markets are reasonably efficient in this sense,but the evidence is somewhat mixed.,The Strong Form,The strong form says that prices fully reflect all information,whether publicly available or not.Even the knowledge of ma

13、terial,non-public information cannot be used to earn superior results.Most studies have found that the markets are not efficient in this sense.,Anomalies,Anomalies are unexplained empirical results that contradict the EMH:The Size effect.The“Incredible”January Effect.P/E Effect.Day of the Week(Monda

14、y Effect).,The Size Effect,Beginning in the early 1980s,a number of studies found that the stocks of small firms typically outperform(on a risk-adjusted basis)the stocks of large firms.This is even true among the large-capitalization stocks within the S&P 500.The smaller(but still large)stocks tend

15、to outperform the really large ones.,The“Incredible”January Effect,Stock returns appear to be higher in January than in other months of the year.This may be related to the size effect since it is mostly small firms that outperform in January.It may also be related to end of year tax sellingSelling o

16、f securities,usually at year end,to realize losses in a portfolio,which can be used to offset capital gains and thereby lower an investors tax liability.,The P/E Effect,It has been found that portfolios of“low P/E”stocks generally outperform portfolios of“high P/E”stocks.This may be related to the size effect since there is a high correlation between the stock price and the P/E.It may be that buying low P/E stocks is essentially the same as buying small company stocks.,The Day of the Week Effect