财务会计理论(SCCOT)第四章有效证券市场.ppt

FinancialAccountingTheoryChapter4 EfficientSecuritiesMarkets 潘克勤pankq2005 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 Priortothe1950 sitwasgenerallybelievedthattheuseoffundamentalortechnicalapproachescould beatthemarket thoughtechnicalanalysishasalwaysbeenseenassomethingakintovoodoo Inthe1950 sand1960 sstudiesbegantoprovideevidenceagainstthisview 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 Beginningintheearly1980 s anumberofstudiesfoundthatthestocksofsmallfirmstypicallyoutperform onarisk adjustedbasis thestocksoflargefirms Thisiseventrueamongthelarge capitalizationstockswithintheS P500 Thesmaller butstilllarge stockstendtooutperformthereallylargeones The Incredible JanuaryEffect StockreturnsappeartobehigherinJanuarythaninothermonthsoftheyear ThismayberelatedtothesizeeffectsinceitismostlysmallfirmsthatoutperforminJanuary ItmayalsoberelatedtoendofyeartaxsellingSellingofsecurities usuallyatyearend torealizelossesinaportfolio whichcanbeusedtooffsetcapitalgainsandtherebyloweraninvestor staxliability TheP EEffect Ithasbeenfoundthatportfoliosof lowP E stocksgenerallyoutperformportfoliosof highP E stocks ThismayberelatedtothesizeeffectsincethereisahighcorrelationbetweenthestockpriceandtheP E ItmaybethatbuyinglowP Estocksisessentiallythesameasbuyingsmallcompanystocks TheDayoftheWeekEffect Basedondailystockpricesfrom1963to1985KeimfoundthatreturnsarehigheronFridaysandloweronMondaysthanshouldbeexpected ThisispartlyduetothefactthatMondayreturnsactuallyreflecttheentireFridayclosetoMondayclosetimeperiod weekendplusMonday ratherthanjustoneday Moreover afterthestockmarketcrashin1987 thiseffectdisappearedcompletelyandMondaybecamethebestperformingdayoftheweekbetween1989and1998 SummaryofTestsoftheEMH Weakformissupported sotechnicalanalysiscannotconsistentlyoutperformthemarket Semi strongformismostlysupported sofundamentalanalysiscannotconsistentlyoutperformthemarket Strongformisgenerallynotsupported Ifyouhavesecret insider information youCANuseittoearnexcessreturnsonaconsistentbasis Ultimately mostbelievethatthemarketisveryefficient thoughnotperfectlyefficient Itisunlikelythatanysystemofanalysiscouldconsistentlyandsignificantlybeatthemarket adjustedforcostsandrisk overthelongrun SummaryofTestsoftheEMH FundamentalanalysisEvaluationofacompany sstockbasedonanexaminationofthefirm sfinancialstatements TechnicalanalysisAttemptstopredictthemarketpriceofacompany sstockbasedonhistoricalpriceperformanceandoverallstockmarkettrends EfficientSecuritiesMarkets Definition Semi strongform Atalltimes Fullyreflect Allpubliclyavailableinformation ArelativeconceptEfficiencydefinedrelativetoastockofpubliclyavailableinformation AccountingImplicationsofSecuritiesMarketEfficiency W Beaver WhatShouldBetheFASB sObjectives JournalofAccountancy 1973 Fulldisclosure incl acc policiesAccountingpoliciesdonotmatter unlesscashfloweffects Na ve investorsprice protectedAccountantsincompetition AccountingImplicationsofSecuritiesMarketEfficiency 只要会计政策没有导致现金流量产生差别的后果 或对所采用的特定会计政策所形成的差别予以披露 以及投资者能获得足够的信息以致能够在不同的会计政策之间做出抉择的话 公司所采取的会计政策便不会影响证券的市价只要会计政策没有导致现金流量产生差别的后果 或对所采用的特定会计政策所形成的差别予以披露 以及投资者能获得足够的信息以致能够在不同的会计政策之间做出抉择的话 公司所采取的会计政策便不会影响证券的市价 AccountingImplicationsofSecuritiesMarketEfficiency 市场的有效性意味着公司不必过分考虑无知的投资者 即财务报表信息不必用过于简单的方式表达 以致任何人都能理解 会计人员正在与其他信息提供者相互竞争 如果会计人员不提供有用的成本效益的信息 会计的有用性职能会日益衰退而为其他信息渠道所取代 TheInformationofSharePrice ALogicalInconsistency FullyInformativeSharePricesMarketpricescollapseNoroleforaccountinginformationPartlyInformativeSharePricesNoisetradersInformationAsymmetry CAPM 证券市场是半强势有效的 财务会计信息披露应该能够影响公司股价 怎么影响 CAPM模型 CAPM 怎么来的 M CAPM 预期报酬之计算工具 Onlyfirm specificcomponentis j j是什么 公司股票相对于整个大盘的表现情况 公司面向市场大势的反应公司对于系统风险的反应公司特定风险对要求报酬的影响体现在哪里 投资人通过多元化投资 基本消除了个股特定风险 CAPM 会计信息怎么影响股票价格 从T年末时点看 某股票T期间的投资报酬率为 事后的 从年初时点看 某股票T期间的投资报酬率为 预期的 而 会计信息的作用 改变人们对于的认识 但是会计信息不可能改变 E Rmt 和Rf 是可以预期的 在不变的情况下 人们必然调整 CAPM 会计信息怎么影响股票价格 公式1的寓意是什么 寓意1 给定未来股价和股利变动 则 越大 目前股价变动越小 寓意2 给定 值 则预期未来股价和股利变动越大 则目前股价变动越大 CAPM 主要用途 1 清楚地指出 股票价格如何依赖于投资人对未来股价及股利的预测2 CAPM之市场模型及其作用 含义 某一证券收益有两部分构成 预期收益和未预期收益 j j RMt为预期部分 jt为未予期部分 3 收集某一证券N期的历史Rjt N期的RMt 就可以估计该证券的 值 并计算出所谓的 j CAPM 主要用途 4 计算出某一股票历史的 j和 j有什么用 假定公司长期的 j值不变 可以