Mishkin 米什金 货币银行学 课件6.ppt

,Chapter7,TheStockMarket,TheTheoryofRationalExpectations,andtheEfficientMarketHypothesis,2,EssentialCharacteristicsofCommonStock,CommonstockorequityaresharesinafirmsownershipAlargenumberofsharesareoutstanding.Lowpricetomakerelativelysmallinvestments.StockholderismerelyaresidualclaimantLimitedliabilityStockholderscanreplacemanagerswhoaredoingabadjob.,3,4,(1),ComputingthePriceofCommonStock,BasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlowsOne-PeriodValuationModel,5,GeneralizedDividendValuationModel,Sincelasttermoftheequationissmall,Equation2canbewrittenas,(3),(2),6,GordonGrowthModel,Assumingdividendgrowthisconstant,Equation3canbewrittenasAssumingthegrowthrateislessthantherequiredreturnonequity,Equation4canbewrittenas,(5),(4),7,DeterminingtheRequiredRateofReturntoValueStocks,CapitalAssetPricingModel(CAPM)UsedtoestimatetherequiredreturnonpubliclytradedstockAssumesthattheonlyrelevantriskissystematic(market)riskUsesbetatomeasureriskratherthanstandarddeviationofreturnsRj=Rf+j(RmRf),8,DeterminingtheRequiredRateofReturntoValueStocks,CapitalAssetPricingModel(CAPM)Estimatingtherisk-freerateandthemarketriskpremiumProxyforrisk-freerateistheyieldonnewlyissuedTreasurybondsThemarketriskpremium,or(Rm-Rf),canbeestimatedusingalong-termaverageofhistoricaldata.,9,DeterminingtheRequiredRateofReturntoValueStocks,EstimatingthefirmsbetaBetameasuressystematicriskReflectshowsensitiveindividualstocksreturnsarerelativetotheoverallmarketExample:betaof1.2indicatesthatthestocksreturnis20%morevolatilethantheoverallmarketInvestorcanlookupbetainavarietyofsourcessuchasValueLineComputedbyregressingstocksreturnsonreturnsofthemarket,usuallyrepresentedbytheS&P500indexorotherproxy,10,StockMarketEfficiencyHypothesis,FormsofefficiencyWeak-formefficiencySecuritypricesreflectallhistoricalpriceandvolumeinformationImplication:investorscannotearnabnormalreturnsbasedonpastpricemovementsSemistrong-formefficiencySecuritypricesreflectallpublicinformationStrong-formefficiencySecuritypricesreflectallinformation,11,TestsStockMarketEfficiency,TestsoftheEfficientMarketHypothesis(EMH)Testofweak-formSearchesfornon-randompatternsinpricesCannotfinddependenciesthatcanovercometransactioncostsTestofsemistrong-formEventstudiesGeneralsupportforsemi-strongefficiencyTestofstrong-formInsiderscanearnexcessreturnsStrong-formefficiencydoesntappeartohold,12,TheoryofRationalExpectations,Adaptiveexpectations:expectationsareformedfrompastexperienceonly,andchangesinexpectationswilloccurslowlyovertimeaspastdatachange.Rationalexpectation(RE)=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:i.e.,REXe=XofTworeasonsexpectationmaynotberational1.Notbestprediction2.NotusingavailableinformationRationalexpectation,althoughoptimalprediction,maynotbeaccurateRationalexpectationsmakessensebecauseiscostlynottohaveoptimalforecastImplications:1.Changeinwayvariablemoves,wayexpectationsareformedchanges2.ForecasterrorsonaverageXXe=0,andarenotpredictable,13,EfficientMarketsHypothesis,Pt+1Pt+CRET=PtPet+1Pt+CRETe=PtRationalExpectationsimplies:Pet+1=Poft+1RETe=RETof(1)MarketequilibriumRETe=RET*(2)Put(1)and(2)together:EfficientMarketsHypothesisRETof=RET*WhytheEfficientMarketsHypothesismakessenseIfRETofRET*Pt,RETofIfRETofR*predictionsofPsmall4.TechnicalanalysisdoesnotoutperformmarketandartboardexperimentofanorangutannamedJolyn,EvidenceonEfficientMarketsHypothesis,15,EvidenceonEfficientMarketsHypothesis,UnfavorableEvidence1.Small-firmeffect:smallfirmshaveabnormallyhighreturns2.Januaryeffect:highreturnsinJanuary3.Marketoverreactionthestockpricemayovershoot4.Excessivevolatility5.Meanreversion6.NewinformationisnotalwaysimmediatelyincorporatedintostockpricesOverviewReasonablestartingpointbutnotwholestory,16,FactorsthatAffectStockPrices,Market-relatedfactorsHerdeffectNoisetradingTradingbyuninformedinvestorspushesstockpriceawayfromfundamentalvalueMarketmakerspreadsTrendsTechnicalanalysisChartsandpatterns,17,FactorsthatAffectStockPrices,EconomicfactorsInterestratesMostofthelargeststockmarketdeclinesoccurredwheninterestratesincreasedsubstantiallyMarketsrisein1990s:lowinterestratesExchangeratesForeigninvestorspurchaseU.S.stockswhendollarisweakStockpricesofU.S.companiesalsoaffectedbyexchangerates,18,InvestinginStocksFortheLongRun,19,InvestinginStocksFortheLongRun,ProfessorJeremySiegeloftheUniversityofPennsylvaniasWhartonSchoolwroteabooktitledStocksfortheLongRuninvestinginstocksisriskyonlyifyouholdthemforashorttime.Butifyoubuythemandholdthemforlongenough,theyreallyarenotveryrisky.,20,InvestinginStocksFortheLongRun,21,ImplicationsforInvesting,1.Publishedreportsoffinancialanalystsnotveryvaluable2.Shouldbeskepticalofhottips3.Stockpricesmayfallongoodnews4.Prescriptionforinvestor1.Shouldnttrytooutguessmarket2.Therefore,buyandhold3.Diversifywithno-loadmutualfundEvidenceonRationalExpectationsinOtherMarkets1.BondmarketsappearefficientEvidencewithsurveydataismixedskepticismaboutqualityofdatathereislittleincentiveforparticipantstotellthetruthFollowingimplicationissupported:ifthereisachangeinthewayavariablemoves,therewillbeachangeinthewayexpectationsofthisvariableareformedaswell,22,TheStockMarketsRoleintheEconomy,Thestockmarketplaysacrucialroleineverymoderncapitalisteconomy.Thepricesdeterminedtheretellusthemarketvalueofcompanies,whichdeterminestheallocationofresources.Firmswithahighstockmarketvaluearetheonesinvestorsprize,sotheyhaveaneasiertimegarneringtheresourcestheyneedtogrow.Incontrast,firmswhosestockvalueislowhavedifficultyfinancingtheiroperations,23,TheStockMarketsRoleintheEconomy