博迪(第七版)投资学课件 第十一章

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表11.1 Performance of Mutual Funds Based on Three-Index Model
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图11.8 Persistence of Mutual Fund Performance
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表11.2 Two-Way Table of Managers Classified by Risk-Adjusted Returns over
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图11.6 Returns to Style Portfolio as a Predictor of GDP Growth
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11.4.6 实证解释(续)
Anomalies or Data Mining 异象公布后即消失
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11.5 共同基金和分析业绩
分散化与风险水平Appropriate risk level 税收考虑Tax considerations 其他考虑Other considerations
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11.3 事件研究Event Studies
以实证研究来评估某一特定事件对公司股票 价格的影响
方法：确定非正常收益，即公司股票的实际 收益与没有事件发生时的潜在收益之差。
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11.4 市场是有效的吗？
11.4.1 争论点
规模问题Magnitude Issue 选择偏见问题Selection Bias Issue 幸运事件Lucky Event Issue
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11.4.2 弱式有效检验Weak-Form Tests
短期收益Returns over the Short Horizon 动量Momentum
Potential measurement error for benchmark returns Style changes May be risk premiums
高手现象Hot hands phenomenon
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图 11.7 Estimates of Individual Mutual Fund Alphas, 1972 - 1991
Campbell and Shiller Earnings yield can predict market returns
Keim and Stambaugh Bond spreads can predict market returns
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11.4.4 半强式检验：市场异象 Semistrong Tests: Anomalies
P/E Effect Small Firm Effect (January Effect) Neglected Firm Effect and Liquidity Effects Book-to-Market Ratios Post-Earnings Announcement Price Drift
SEC requires all insiders to register their trading activity
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11.4.6实证解释Interpreting the Evidence
Risk Premiums or market inefficiencies— disagreement here
考虑内幕交易之可能，一般用累积非常规收 益
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如何检验
进行收益调整，以确定是否异常
市场模型方法： a. rt = at + brmt + et
(Expected Return) b. Excess Return =
(Actual - Expected) et = rt - (a + brMt)
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图11.5 Cumulative Abnormal Returns in Response to Earnings Announcements
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11.4.5 强式有效检验：内幕信息 Strong-Form Tests: Inside Information
The ability of insiders to trade profitability in their own stock has been documented in studies by Jaffe, Seyhun, Givoly, and Palmon
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图11.3 Average Annual Return for 10 Size-Based Portfolios, 1926 – 2006
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图11.4 Average Return as a Function of Book-To-Market Ratio, 1926–2006
长期收益Returns over Long Horizons
反转reversal
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11.4.3Predictors of Broad Market Returns
Fama and French Aggregate returns are higher with higher dividend ratios
投资学 第11章
有效市场假定
Efficient Market Hypothesis (EMH)
是否证券价格已经反映了所有的信息？ 有效市场假说 Kendall(1953):股价是随机变化的
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11.1随机漫步与有效市场假定
Random walk
研究市场效率问题的意义： 对公司金融的启示 对投资的启示
11.5.1 股票市场分析专家Stock Market Analysts Do Analysts Add Value
Mixed evidence Ambiguity in results
2019Mutual Fund Performance
Some evidence of persistent positive and negative performance
Successive Intervals
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本章小结
股价随机漫步 有效市场假说的三种形式 技术与基本分析的有效性问题 被动策略 事件研究 异象研究 专业人员绩效研究
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Weak form efficiency & technical analysis 11.2.2 基本分析Fundamental Analysis - 以经济和会计信息来预测证券价格
Semi strong form efficiency & fundamental analysis
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图11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies
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图11.2 Stock Price Reaction to CNBC Reports
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11.1.1 有效性与竞争 （EMH and Competition）
Fama and French argue that these effects can be explained as manifestations of risk stocks with higher betas
Lakonishok, Shleifer, and Vishney argue that these effects are evidence of inefficient markets
股票价格充分、准确地反映了所有可得的信 息
一旦市场上有新信息出现，所有参与者将分 析该信息
市场参与者间的竞争将保证价格反映信息
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11.1.2 有效市场假定的形式
Weak Semi-strong Strong
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11.2 有效市场假定的含义
11.2.1 技术分析Technical Analysis - 以历史价、量来预测将来价格
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11.2.3 主动与被动的投资管理
主动管理Active Management Security analysis Timing
被动管理Passive Management Buy and Hold Index Funds
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11.2.4 市场有效性与投资管理
即使市场是有效性的，投资管理仍有用武之地：