米什金货币金融学(商学院版)第7章课件

Chapter7,TheStockMarket,theTheoryofRationalExpectations,andtheEfficientMarketHypothesis,7.1ComputingthePriceofCommonStock,BasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlows,7.1.1One-PeriodValuationModel,7.1.2GeneralizedDividendValuationModel,7.1.3GordonGrowthModel,7.2HowtheMarketSetsPrices,Playersinthemarket,biddingagainstoneanother,establishthemarketprice.ThepriceissetbythebuyerwillingtopaythehighestpriceThemarketpricewillbesetbythebuyerwhocantakebestadvantageoftheassetSuperiorinformationaboutanassetcanincreaseitsvaluebyreducingitsperceivedrisk,HowtheMarketSetsPrices,Informationisimportantforindividualstovalueeachasset.Whennewinformationisreleasedaboutafirm,expectationsandpriceschange.Marketparticipantsconstantlyreceiveinformationandrevisetheirexpectations,sostockpriceschangefrequently.,7.3TheoryofRationalExpectations,AdaptiveExpectationsExpectationsareformedfrompastexperienceonly.Changesinexpectationswilloccurslowlyovertimeasdatachanges.However,peopleusemorethanjustpastdatatoformtheirexpectationsandsometimeschangetheirexpectationsquickly.,RationalExpectations,Rationalexpectation=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:Rationalexpectation,althoughoptimalprediction,maynotbeaccurate.IttakestoomuchefforttomaketheexpectationthebestguesspossibleBestguesswillnotbeaccuratebecausepredictorisunawareofsomerelevantinformation,FormalStatementoftheTheory,Implications,1.Ifthereisachangeinthewayavariablemoves,thewayinwhichexpectationsofthevariableareformedwillchangeaswell2.Theforecasterrorsofexpectationswill,onaverage,bezeroandcannotbepredictedaheadoftime.,7.4EfficientMarkets:ApplicationofRationalExpectations,EfficientMarkets(contd),Atthebeginningoftheperiod,weknowPtandC.Pt+1isunknownandwemustformanexpectationofit.TheexpectedreturnthenisExpectationsoffuturepricesareequaltooptimalforecastsusingallcurrentlyavailableinformationsoSupplyandDemandanalysisstatesRewillequaltheequilibriumreturnR*,soRof=R*,EfficientMarkets,CurrentpricesinafinancialmarketwillbesetsothattheoptimalforecastofasecuritysreturnusingallavailableinformationequalsthesecuritysequilibriumreturnInanefficientmarket,asecurityspricefullyreflectsallavailableinformation,Rationale,EfficientMarketholdsevenifareuninformed,irrationalparticipantsinmarket,StrongerVersionoftheEMH,Addtheconditionthatanefficientmarketisoneinwhichpricesreflectthetruefundamentalvalueofthesecurities.Thus,inanefficientmarket,allpricesarealwayscorrectandreflectmarketfundamentals.Implications:1.Oneinvestmentisasgoodasanyother.2.Asecurityspricereflectsallavailableinformationabouttheintrinsicvalueofthesecurity.3.Securitypricescanbeusedtomakecorrectdecisionsaboutwhetheraspecificinvestmentisworthmaking.,EvidenceonEfficientMarketsHypothesis,FavorableEvidence1.Investmentanalystsandmutualfundsdontbeatthemarket2.Stockpricesreflectpubliclyavailableinformation:anticipatedannouncementsdontaffectstockprice3.Stockpricesandexchangeratesclosetorandomwalk4.Technicalanalysisdoesnotoutperformmarket,UnfavorableEvidence,1.Small-firmeffect:smallfirmshaveabnormallyhighreturns2.Januaryeffect:highreturnsinJanuary3.Marketoverreaction4.Excessivevolatility5.Meanreversion6.NewinformationisnotalwaysimmediatelyincorporatedintostockpricesOverviewReasonablestartingpointbutnotwholestory,ApplicationInvestingintheStockMarket,RecommendationsfrominvestmentadvisorscannothelpusoutperformthemarketAhottipisprobablyinformationalreadycontainedinthepriceofthestockStockpricesrespondtoannouncementsonlywhentheinformationisnewandunexpectedA“buyandhold”strategyisthemostsensiblestrategyforthesmallinvestor,7.5BehavioralFinance,Itappliesconceptsfromothersocialsciencestounderstandthebehaviorofsecuritiesprices.Thelac