12-1
第 12章市场有效性
Market Efficiency
12-2
市场有效性
Market Efficiency
12.1 随机漫步与有效市场假定
12.2 有效市场假定对投资决策的影响
12.3 事例研究
12.4 市场有效吗
12-3
证券价格反映了全部已知信息吗?
Do security prices reflect information?
为什么要检查 市场有效性
Why look at market efficiency?
– 为了商业和公司财务 Implications for business
and corporate finance
– 为了投资 Implications for investment
有效市场假定
Efficient Market Hypothesis (EMH)
12-4
随机漫步 -股票价格是随机的
Random Walk - stock prices are random
– Actually submartingale
期望的价格在整个周期是正的 Expected price is
positive over time
正向变化和随机变化 Positive trend and random
about the trend
随机漫步和有效市场假定
Random Walk and the EMH
12-5
正向发展的随机漫步
Random Walk with Positive Trend
证券价格
Security Prices
时间 Time
12-6
为什么价格是随即变化的?
Why are price changes random?
价格反映了信息
Prices react to information
信息流是随机的
Flow of information is random
因此,价格变化是随机的
Therefore,price changes are random
随机价格变化
Random Price Changes
12-7
股票价格充分和现实反映了公开有效的信息
Stock prices fully and accurately reflect publicly
available information.
只要信息是有效的，市场参与者就会分析它
Once information becomes available,market
participants analyze it.
竞争使得价格反映了信息
Competition assures prices reflect information.
有效市场假定和竞争
EMH and Competition
12-8
弱 有效市场假定 Weak
半强 有效市场假定 Semi-strong
强 有效市场假定 Strong
有效市场假定的形式
Forms of the EMH
12-9
技术分析 –用价格和数量信息来预测将来的价格弱 有效市场假定 技术分析
Technical Analysis - using prices and volume information
to predict future prices.
– Weak form efficiency & technical analysis
基本面分析 – 用经济和会计信息来预测将来的价格半强 有效市场假定 基本面分析
Fundamental Analysis - using economic and accounting
information to predict stock prices.
– Semi strong form efficiency & fundamental analysis
股票分析的类型
Types of Stock Analysis
12-10
积极管理 Active Management
– 股票分析 Security analysis
– 及时 Timing
消极管理 Passive Management
– 买股票和持有 Buy and Hold
– 指数基金 Index Funds
积极和消极管理的启示
Implications of Efficiency for Active
or Passive Management
12-11
即使市场是有效率的仍存在着投资组合管理：
Even if the market is efficient a role exists for
portfolio management:
相应风险水平 Appropriate risk level
应税利益 Tax considerations
其它要考虑的方面 Other considerations
市场有效性和资产组合管理
Market Efficiency and Portfolio Management
12-12
事件研究
Event studies
专业管理业绩评估
Assessing performance of professional
managers
测试一些交易规则
Testing some trading rule
有效市场的实证测试
Empirical Tests of Market Efficiency
12-13
1,检查整个时期的价格和收益
Examine prices and returns over time
结构化的如何测试
How Tests Are Structured
12-14
期间收益
Returns Over Time
0 +t-t
公告日期
Announcement Date
12-15
2,调整 收益 以确定他们是否有异常情况。
Returns are adjusted to determine if they
are abnormal.
市场模型方法 Market Model approach
a,Rt = at + btRmt + et
(期望收益 Expected Return)
b,超额回报 Excess Return =
(实际 Actual – 期望 Expected)
et = Actual - (at + btRmt)
结构化的如何测试
How Tests Are Structured (cont’d)
12-16
2,调整 收益 以确定他们是否有异常情况
Returns are adjusted to determine if they
are abnormal.
市场模型方法 Market Model approach
c,收益期的累积超额回报,
Cumulate the excess returns over time:
0 +t-t
结构化的如何测试
How Tests Are Structured (cont’d)
12-17
规模问题 Magnitude Issue
选择偏见问题 Selection Bias Issue
幸运事件问题 Lucky Event Issue
可能的模式偏差
Possible Model Misspecification
在检查结果中遇到的问题
Issues in Examining the Results
12-18
技术分析 Technical Analysis
– 短期收益 Short horizon
– 长期收益 Long horizon
基本面分析 Fundamental Analysis
存在异常 Anomalies Exist
事实显示了什么？
What Does the Evidence Show?
12-19
小公司效应（一月份效应）
Small Firm Effect (January Effect)
忽视公司效应 Neglected Firm
市场价值 -帐面价值比
Market to Book Ratios
盈利宣布后价格漂移趋势
Post-Earnings Announcement Drift
市场异常
Anomalies
12-20
市场异常解释
Explanations of Anomalies
也许是风险溢价 May be risk premiums
对行为解释
Behavioral Explanations
– 预测错位 Forecasting errors
– 过度自信 Overconfidence
– 回避悔恨 Regret avoidance
– 框定和心理帐户
Framing and mental accounting
12-21
一些证据表明 专业经理人有些有优异的业绩一些则落后与市场 。
Some evidence of persistent positive and
negative performance.
可能的基准收益测量误差
Potential measurement error for benchmark
returns.
– 类型变化 Style changes
– 也许风险溢价 May be risk premiums
明星现象 Superstar phenomenon
共同基金与专业经理人业绩
Mutual Fund and
Professional Manager Performance
12-22
小结统计研究表明,股票价格似乎遵循随机漫步的变化方式,
不存在可以让投资者利用的,明显的,可预测的模式 。 这些发现目前被当作是市场有效性的证据,也就是说,市场价格已经反映了全部当前已知的信息 。 只有新的信息能使价格移动,并且该信息是好消息或坏消息的可能性是相等的 。
Statistical research has shown that to a close
approximation stock prices seem to follow a random walk
with no discernible predictable patterns that investors
can exploit,Such findings are now taken to be evidence
of market efficiency,that is,evidence that market
prices reflect all currently available information.
Only new information will move stock prices,and this
information is equally likely to be good news or bad
news.
12-23
小结市场参与者要区别有效市场假定的三种形式 。 弱有效假定认为从过去的股价得出的信息已经在股价中得到了反映,半强有效假定认为所有公开的有关信息已在股价中得到了反映,强有效假定 （ 通常被认为是极端的 ） 则认为包括内幕消息在内的所有 信息全部都在股价中得到了反映 。 Market participants
distinguish among three forms of the efficient market
hypothesis,The weak form asserts that all information
to be derived from past stock prices already
is reflected in stock prices,The semistrong form
claims that all publicly available information is
already reflected,The strong form,which generally is
acknowledged to be extreme,asserts that all
information,including insider information,is
reflected in prices.
12-24
小结技术分析着眼于对股价模式和市场中买卖压力的代表物的分析。基本面的分析集中于公司基本价值的决定因素，诸如当前的盈利能力和发展前景等。由于这两种类型的分析都是建立在公共信息基础之上的，当市场有效运作时，二者均不会产生额外利润。
Technical analysis focuses on stock price patterns
and on proxies for buy or sell pressure in the
market,Fundamental analysis focuses on the
determinants of the underlying value of the firm,
such as current profitability and growth prospects,
Because both types of analysis are based on public
information,neither should generate excess profits
if markets are operating efficiently.
12-25
小结有效市场假定的支持者们经常提倡被动投资策略而反对主动的策略。被动投资策略是买入并持有由一个包含广泛的市场指数的样本股，他们不在市场研究以及频繁地买入卖出股票上消耗资源。被动策略可以被裁剪以适应个体投资者的要求。
Proponents of the efficient market hypothesis often
advocate passive as opposed to active investment
strategies,The policy of passive investors is to buy
and hold a broad- based market index,They expend
resources neither on market research nor on frequent
purchase and sale of stocks,Passive strategies may be
tailored to meet individual investor requirements.
12-26
小结事件研究通过利用非常规股票收益,可被用于评价特定事件的经济影响 。 这类 研究通常显示,在公开宣布之前存在着一些内幕消息向市场参与者泄露的情况 。 因此,内幕人员似乎确实能够在一定程度上利用这种获取信息的便利来盈利 。
Event studies are used to evaluate the economic impact
of events of interest,using abnormal stock returns.
Such studies usually show that there is some leakage
of inside information to some market participants
before the public announcement date,Therefore,
insiders do seem to be able to exploit their access to
information to at least a limited extent.
12-27
小结技术分析的经验研究并没有为其能够产生较好的交易利润这一假设提供证据 。 这个结论的一个著名的例外是,建立在短期势头基础上的策略比中期策略显然更成功 。
Empirical studies of technical analysis do
not generally support the hypothesis that such
analysis can generate superior trading profits.
One notable exception to this conclusion is the
apparent success of momentum-based strategies
over intermediate-term horizons.
12-28
小结一些关于基本面分析的异常现象被揭示出来，其中包括市盈率效应、小公司 1月份效应、被忽略公司效应、盈利宣布后的价格趋势、颠倒效应以及账面 -市场价值比效应。这些异常现象代表了市场的无效或是难以理解的风险溢价，这一切仍在争论中。
Several anomalies regarding fundamental analysis have been
uncovered,These include the P/E effect,the small-firm-in-January
effect,the neglected-firm effect,post–earnings- announcement price
drift,the reversal effect,and the book-to-market effect,Whether
these anomalies represent market inefficiency or poorly understood
risk premium is still a matter of debate.
12-29
小结总之，专业经营的基金业绩记录对,专业人员可以一直击败市场,这一观点的可信度几乎不起作用
。 By and large,the performance record of
professionally managed funds lends little
credence to claims that most professionals can
consistently beat the market.
第 12章市场有效性
Market Efficiency
12-2
市场有效性
Market Efficiency
12.1 随机漫步与有效市场假定
12.2 有效市场假定对投资决策的影响
12.3 事例研究
12.4 市场有效吗
12-3
证券价格反映了全部已知信息吗?
Do security prices reflect information?
为什么要检查 市场有效性
Why look at market efficiency?
– 为了商业和公司财务 Implications for business
and corporate finance
– 为了投资 Implications for investment
有效市场假定
Efficient Market Hypothesis (EMH)
12-4
随机漫步 -股票价格是随机的
Random Walk - stock prices are random
– Actually submartingale
期望的价格在整个周期是正的 Expected price is
positive over time
正向变化和随机变化 Positive trend and random
about the trend
随机漫步和有效市场假定
Random Walk and the EMH
12-5
正向发展的随机漫步
Random Walk with Positive Trend
证券价格
Security Prices
时间 Time
12-6
为什么价格是随即变化的?
Why are price changes random?
价格反映了信息
Prices react to information
信息流是随机的
Flow of information is random
因此,价格变化是随机的
Therefore,price changes are random
随机价格变化
Random Price Changes
12-7
股票价格充分和现实反映了公开有效的信息
Stock prices fully and accurately reflect publicly
available information.
只要信息是有效的，市场参与者就会分析它
Once information becomes available,market
participants analyze it.
竞争使得价格反映了信息
Competition assures prices reflect information.
有效市场假定和竞争
EMH and Competition
12-8
弱 有效市场假定 Weak
半强 有效市场假定 Semi-strong
强 有效市场假定 Strong
有效市场假定的形式
Forms of the EMH
12-9
技术分析 –用价格和数量信息来预测将来的价格弱 有效市场假定 技术分析
Technical Analysis - using prices and volume information
to predict future prices.
– Weak form efficiency & technical analysis
基本面分析 – 用经济和会计信息来预测将来的价格半强 有效市场假定 基本面分析
Fundamental Analysis - using economic and accounting
information to predict stock prices.
– Semi strong form efficiency & fundamental analysis
股票分析的类型
Types of Stock Analysis
12-10
积极管理 Active Management
– 股票分析 Security analysis
– 及时 Timing
消极管理 Passive Management
– 买股票和持有 Buy and Hold
– 指数基金 Index Funds
积极和消极管理的启示
Implications of Efficiency for Active
or Passive Management
12-11
即使市场是有效率的仍存在着投资组合管理：
Even if the market is efficient a role exists for
portfolio management:
相应风险水平 Appropriate risk level
应税利益 Tax considerations
其它要考虑的方面 Other considerations
市场有效性和资产组合管理
Market Efficiency and Portfolio Management
12-12
事件研究
Event studies
专业管理业绩评估
Assessing performance of professional
managers
测试一些交易规则
Testing some trading rule
有效市场的实证测试
Empirical Tests of Market Efficiency
12-13
1,检查整个时期的价格和收益
Examine prices and returns over time
结构化的如何测试
How Tests Are Structured
12-14
期间收益
Returns Over Time
0 +t-t
公告日期
Announcement Date
12-15
2,调整 收益 以确定他们是否有异常情况。
Returns are adjusted to determine if they
are abnormal.
市场模型方法 Market Model approach
a,Rt = at + btRmt + et
(期望收益 Expected Return)
b,超额回报 Excess Return =
(实际 Actual – 期望 Expected)
et = Actual - (at + btRmt)
结构化的如何测试
How Tests Are Structured (cont’d)
12-16
2,调整 收益 以确定他们是否有异常情况
Returns are adjusted to determine if they
are abnormal.
市场模型方法 Market Model approach
c,收益期的累积超额回报,
Cumulate the excess returns over time:
0 +t-t
结构化的如何测试
How Tests Are Structured (cont’d)
12-17
规模问题 Magnitude Issue
选择偏见问题 Selection Bias Issue
幸运事件问题 Lucky Event Issue
可能的模式偏差
Possible Model Misspecification
在检查结果中遇到的问题
Issues in Examining the Results
12-18
技术分析 Technical Analysis
– 短期收益 Short horizon
– 长期收益 Long horizon
基本面分析 Fundamental Analysis
存在异常 Anomalies Exist
事实显示了什么？
What Does the Evidence Show?
12-19
小公司效应（一月份效应）
Small Firm Effect (January Effect)
忽视公司效应 Neglected Firm
市场价值 -帐面价值比
Market to Book Ratios
盈利宣布后价格漂移趋势
Post-Earnings Announcement Drift
市场异常
Anomalies
12-20
市场异常解释
Explanations of Anomalies
也许是风险溢价 May be risk premiums
对行为解释
Behavioral Explanations
– 预测错位 Forecasting errors
– 过度自信 Overconfidence
– 回避悔恨 Regret avoidance
– 框定和心理帐户
Framing and mental accounting
12-21
一些证据表明 专业经理人有些有优异的业绩一些则落后与市场 。
Some evidence of persistent positive and
negative performance.
可能的基准收益测量误差
Potential measurement error for benchmark
returns.
– 类型变化 Style changes
– 也许风险溢价 May be risk premiums
明星现象 Superstar phenomenon
共同基金与专业经理人业绩
Mutual Fund and
Professional Manager Performance
12-22
小结统计研究表明,股票价格似乎遵循随机漫步的变化方式,
不存在可以让投资者利用的,明显的,可预测的模式 。 这些发现目前被当作是市场有效性的证据,也就是说,市场价格已经反映了全部当前已知的信息 。 只有新的信息能使价格移动,并且该信息是好消息或坏消息的可能性是相等的 。
Statistical research has shown that to a close
approximation stock prices seem to follow a random walk
with no discernible predictable patterns that investors
can exploit,Such findings are now taken to be evidence
of market efficiency,that is,evidence that market
prices reflect all currently available information.
Only new information will move stock prices,and this
information is equally likely to be good news or bad
news.
12-23
小结市场参与者要区别有效市场假定的三种形式 。 弱有效假定认为从过去的股价得出的信息已经在股价中得到了反映,半强有效假定认为所有公开的有关信息已在股价中得到了反映,强有效假定 （ 通常被认为是极端的 ） 则认为包括内幕消息在内的所有 信息全部都在股价中得到了反映 。 Market participants
distinguish among three forms of the efficient market
hypothesis,The weak form asserts that all information
to be derived from past stock prices already
is reflected in stock prices,The semistrong form
claims that all publicly available information is
already reflected,The strong form,which generally is
acknowledged to be extreme,asserts that all
information,including insider information,is
reflected in prices.
12-24
小结技术分析着眼于对股价模式和市场中买卖压力的代表物的分析。基本面的分析集中于公司基本价值的决定因素，诸如当前的盈利能力和发展前景等。由于这两种类型的分析都是建立在公共信息基础之上的，当市场有效运作时，二者均不会产生额外利润。
Technical analysis focuses on stock price patterns
and on proxies for buy or sell pressure in the
market,Fundamental analysis focuses on the
determinants of the underlying value of the firm,
such as current profitability and growth prospects,
Because both types of analysis are based on public
information,neither should generate excess profits
if markets are operating efficiently.
12-25
小结有效市场假定的支持者们经常提倡被动投资策略而反对主动的策略。被动投资策略是买入并持有由一个包含广泛的市场指数的样本股，他们不在市场研究以及频繁地买入卖出股票上消耗资源。被动策略可以被裁剪以适应个体投资者的要求。
Proponents of the efficient market hypothesis often
advocate passive as opposed to active investment
strategies,The policy of passive investors is to buy
and hold a broad- based market index,They expend
resources neither on market research nor on frequent
purchase and sale of stocks,Passive strategies may be
tailored to meet individual investor requirements.
12-26
小结事件研究通过利用非常规股票收益,可被用于评价特定事件的经济影响 。 这类 研究通常显示,在公开宣布之前存在着一些内幕消息向市场参与者泄露的情况 。 因此,内幕人员似乎确实能够在一定程度上利用这种获取信息的便利来盈利 。
Event studies are used to evaluate the economic impact
of events of interest,using abnormal stock returns.
Such studies usually show that there is some leakage
of inside information to some market participants
before the public announcement date,Therefore,
insiders do seem to be able to exploit their access to
information to at least a limited extent.
12-27
小结技术分析的经验研究并没有为其能够产生较好的交易利润这一假设提供证据 。 这个结论的一个著名的例外是,建立在短期势头基础上的策略比中期策略显然更成功 。
Empirical studies of technical analysis do
not generally support the hypothesis that such
analysis can generate superior trading profits.
One notable exception to this conclusion is the
apparent success of momentum-based strategies
over intermediate-term horizons.
12-28
小结一些关于基本面分析的异常现象被揭示出来，其中包括市盈率效应、小公司 1月份效应、被忽略公司效应、盈利宣布后的价格趋势、颠倒效应以及账面 -市场价值比效应。这些异常现象代表了市场的无效或是难以理解的风险溢价，这一切仍在争论中。
Several anomalies regarding fundamental analysis have been
uncovered,These include the P/E effect,the small-firm-in-January
effect,the neglected-firm effect,post–earnings- announcement price
drift,the reversal effect,and the book-to-market effect,Whether
these anomalies represent market inefficiency or poorly understood
risk premium is still a matter of debate.
12-29
小结总之，专业经营的基金业绩记录对,专业人员可以一直击败市场,这一观点的可信度几乎不起作用
。 By and large,the performance record of
professionally managed funds lends little
credence to claims that most professionals can
consistently beat the market.
