INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap011 The Efficient Market Hypothesis.ppt

CHAPTER11,TheEfficientMarketHypothesis,11-2,MauriceKendall(1953)foundnopredictablepatterninstockprices.Pricesareaslikelytogoupastogodownonanyparticularday.Howdoweexplainrandomstockpricechanges?,EfficientMarketHypothesis(EMH),11-3,EfficientMarketHypothesis(EMH),EMHsaysstockpricesalreadyreflectallavailableinformationAforecastaboutfavorablefutureperformanceleadstofavorablecurrentperformance,asmarketparticipantsrushtotradeonnewinformation.Result:Priceschangeuntilexpectedreturnsareexactlycommensuratewithrisk.,11-4,EfficientMarketHypothesis(EMH),Newinformationisunpredictable;ifitcouldbepredicted,thenthepredictionwouldbepartoftodaysinformation.Stockpricesthatchangeinresponsetonew(unpredictable)informationalsomustmoveunpredictably.Stockpricechangesfollowarandomwalk.,11-5,Figure11.1CumulativeAbnormalReturnsBeforeTakeoverAttempts:TargetCompanies,11-6,Figure11.2StockPriceReactiontoCNBCReports,11-7,Information:ThemostpreciouscommodityonWallStreetStrongcompetitionassurespricesreflectinformation.Information-gatheringismotivatedbydesireforhigherinvestmentreturns.Themarginalreturnonresearchactivitymaybesosmallthatonlymanagersofthelargestportfolioswillfindthemworthpursuing.,EMHandCompetition,11-8,WeakSemi-strongStrong,VersionsoftheEMH,11-9,TechnicalAnalysis-usingpricesandvolumeinformationtopredictfuturepricesSuccessdependsonasluggishresponseofstockpricestofundamentalsupply-and-demandfactors.WeakformefficiencyRelativestrengthResistancelevels,TypesofStockAnalysis,11-10,TypesofStockAnalysis,FundamentalAnalysis-usingeconomicandaccountinginformationtopredictstockpricesTrytofindfirmsthatarebetterthaneveryoneelsesestimate.Trytofindpoorlyrunfirmsthatarenotasbadasthemarketthinks.Semistrongformefficiencyandfundamentalanalysis,11-11,ActiveManagementAnexpensivestrategySuitableonlyforverylargeportfoliosPassiveManagement:NoattempttooutsmartthemarketAcceptEMHIndexFundsandETFsVerylowcosts,ActiveorPassiveManagement,11-12,Evenifthemarketisefficientaroleexistsforportfoliomanagement:DiversificationAppropriaterisklevelTaxconsiderations,MarketEfficiencygoodschemesremainprivate.LuckyEventIssue,AreMarketsEfficient?,11-17,Weak-FormTests,ReturnsovertheShortHorizonMomentum:GoodorbadrecentperformancecontinuesovershorttointermediatetimehorizonsReturnsoverLongHorizonsEpisodesofovershootingfollowedbycorrection,11-18,PredictorsofBroadMarketReturns,FamaandFrenchAggregatereturnsarehigherwithhigherdividendratiosCampbellandShillerEarningsyieldcanpredictmarketreturnsKeimandStambaughBondspreadscanpredictmarketreturns,11-19,P/EEffectSmallFirmEffect(JanuaryEffect)NeglectedFirmEffectandLiquidityEffectsBook-to-MarketRatiosPost-EarningsAnnouncementPriceDrift,SemistrongTests:Anomalies,11-20,Figure11.3AverageAnnualReturnfor10Size-BasedPortfolios,19262008,11-21,Figure11.4AverageReturnasaFunctionofBook-To-MarketRatio,19262008,11-22,Figure11.5CumulativeAbnormalReturnsinResponsetoEarningsAnnouncements,11-23,Strong-FormTests:InsideInformation,TheabilityofinsiderstotradeprofitabilityintheirownstockhasbeendocumentedinstudiesbyJaffe,Seyhun,Givoly,andPalmonSECrequiresallinsiderstoregistertheirtradingactivity,11-24,InterpretingtheAnomalies,Themostpuzzlinganomaliesareprice-earnings,small-firm,market-to-book,momentum,andlong-termreversal.FamaandFrencharguethattheseeffectscanbeexplainedbyriskpremiums.Lakonishok,Shleifer,andVishneyarguethattheseeffectsareevidenceofinefficientmarkets.,11-25,Figure11.6ReturnstoStylePortfolioasaPredictorofGDPGrowth,11-26,InterpretingtheEvidence,Anomaliesordatamining?Someanomalieshavedisappeared.Book-to-market,size,andmomentummayberealanomalies.,11-27,InterpretingtheEvidence,BubblesandmarketefficiencyPricesappeartodifferfromintrinsicvalues.RapidrunupfollowedbycrashBubblesaredifficulttopredictandexploit.,11-28,StockMarketAnalysts,Someanalystsmayaddvalue,but:DifficulttoseparateeffectsofnewinformationfromchangesininvestordemandFindingsmayleadtoinvestingstrategiesthataretooexpensivetoexploit,11-29,MutualFundPerformance,Theconventionalperformancebenchmarktodayisafour-factormodel,whichemploys:thethreeFama-Frenchfactors(thereturnonthemarketindex,andreturnstoportfoliosbasedonsizeandbook-to-marketratio)plusamomentumfactor(aportfolioconstructedbasedonprior-yearstockreturn).,11-30,Figure11.7EstimatesofIndividualMutualFundAlphas,1993-2007,11-31,Consistency,the“hothands”phenomenonCarhartweakevidenceofpersistencyBollenandBussesupportforperformancepersistenceovershorttimehorizonsBerkandGreenskilledmanagerswillattractnewfundsuntilthecostsofmanagingthoseextrafundsdrivealphasdowntozero.,MutualFundPerformance,11-32,Figure11.8Risk-adjustedperformanceinrankingquarterandfollowingquarter,11