资本市场与市场有效假说
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α: how much on average the share price changed when the market index was unchanged; β: how much extra the share price moved for each 1 percent change in the market index.
1
பைடு நூலகம்
Capital Markets: An Overview
Capital markets are the places where long-term finance links providers and demanders. Stock Exchanges: NYSE, LSE, AIM, NASDAQ…
– Average annual gain 1965 - 2003 • Berkshire: 22.2% • S&P with dividend: 10.4% • BH share price: $108,800 (7th Dec. 06) and $133,075 (9th Jan. 07)
Random Walk: one day‟s price change can not be predicted by looking at a previous day‟s price change. Security prices respond to news which is random. Kendall (1953) and Malkiel (1973)
• A large number of buyers and sellers;
• Transaction costs are not very high; • Cheap and ready access to up-to-date information.
2
Within an hour of the Challenger Space Shuttle crash in 1986 the market had pinpointed Morton Thiokol Inc., manufacturer of the infamous O-ring, as the culprit. The firm‟s one day decline of 12% was quick and permanent and corresponded to the subsequent losses in terms of legal liability, repair costs and lost future business. By contrast, the other firms involved in the Shuttle programme suffered only temporarily price setbacks that recovered for the most part by the end of trading on the day of the crash. It remains unclear exactly how the market received information about the O-ring problems before the enquiry and even be launched and concluded. Although there had been previous concerns by NASA regarding the seals on the Space Shuttles, this information was not publicly available. - Based on Maloney and Mulherin (2003)
“for the wings of a dove” “I‟d be a bum in the street with a tin cup if the markets were efficient”. - Warren Buffett
Anomalies - „Timing Effects‟, „Small firms‟
The benefits of an efficient market are:
it encourages share buying; it gives correct signals to company managers; it helps to allocate resources.
• Tests of trading rules: Arnold (2005), p.692-700
– – – – Simple price chart The filter approach The Dow theory Price (return) momentum
• It appears that throughout the world there are few patterns in week-to-week returns
Positive Information
£X
Neutral/no new Information
Negative Information
Random Walk
?
time Today The future
7
0 The past
How Share Prices Respond to New Information
12
Test of semi-strong form efficiency
• Look at the returns on the share in the months surrounding the announcement. • Calculate a measure of relative performance Abnormal return = actual return - expected return Expected return = α + β x return on market Relative return = share return - return on market index
3
Stock Market Efficiency
The decision-making of both investors and financial managers depends on the market efficiency.
Types of efficiency:
Operational efficiency: transaction costs to buyers and sellers Allocational efficiency: allocating funds to their most productive use Pricing efficiency: prices fully and fairly reflect all relevant information
4
Market efficiency is referred to as Informational Efficiency: In an efficient market security prices rationally reflect available information. New information is (a) rapidly and (b) rationally incorporated into share prices.
The primary market is where new issues of equity and debt are made, while the secondary market is for dealing in securities already in issue.
Stock markets are required to be efficient:
Each dot shows a pair of returns for MS on two successive days between March 1990 and May 2004.
8
Nikkei 500 (correlation = -.06)
DAX 30 (correlation = -.03)
Information flows
Positive - improving future prospects
Negative - worsening future prospects Neutral - no change in future prospects
6
Share price
capitalisation‟, „value investing‟ , „bubbles‟…
11
Announcement Date
39
Cumulative Abnormal Return (%)
34 29 24 19 14 9 4 -1 -6 -11 -16
Days Relative to annoncement date
14
• Goldman Sachs earned $15 million over night.
– Buy at 710.5p per share BP; – Sell at 716p overnight – Earn $15 million on 170 million shares
• Berkshire Hathaway outperforms market.
13
Strong-form efficiency:
All relevant information, including that which is privately held, is reflected in the share price.
Evidence: stock markets are strong-form inefficient. Insider dealing is trading on privileged information. It is profitable and illegal.
2. Capital Markets and Efficient Market Hypothesis
1. 2. 3. 4. 5. Overview of stock markets; Types of market efficiency; Levels (forms) of market efficiency; Examination of market efficiency Implications of market efficiency.
FTSE 100 (correlation = -.08)
S&P Composite (correlation = -.07)
9
• Statistical tests:
– Serial correlation test: e.g. Durbin-Watson Statistic – Runs test: e.g. Bradley (1968)
10
Semi-strong form efficiency:
Share prices fully reflect all the relevant, publicly available information. Evidence: substantially in support
Counter-Stories:
Fama (1970): Journal of Finance p.383-417
• Weak-form • semi-strong form • strong-form
5
Weak-form efficiency:
Share prices fully reflect all information contained in past price movements.
1
பைடு நூலகம்
Capital Markets: An Overview
Capital markets are the places where long-term finance links providers and demanders. Stock Exchanges: NYSE, LSE, AIM, NASDAQ…
– Average annual gain 1965 - 2003 • Berkshire: 22.2% • S&P with dividend: 10.4% • BH share price: $108,800 (7th Dec. 06) and $133,075 (9th Jan. 07)
Random Walk: one day‟s price change can not be predicted by looking at a previous day‟s price change. Security prices respond to news which is random. Kendall (1953) and Malkiel (1973)
• A large number of buyers and sellers;
• Transaction costs are not very high; • Cheap and ready access to up-to-date information.
2
Within an hour of the Challenger Space Shuttle crash in 1986 the market had pinpointed Morton Thiokol Inc., manufacturer of the infamous O-ring, as the culprit. The firm‟s one day decline of 12% was quick and permanent and corresponded to the subsequent losses in terms of legal liability, repair costs and lost future business. By contrast, the other firms involved in the Shuttle programme suffered only temporarily price setbacks that recovered for the most part by the end of trading on the day of the crash. It remains unclear exactly how the market received information about the O-ring problems before the enquiry and even be launched and concluded. Although there had been previous concerns by NASA regarding the seals on the Space Shuttles, this information was not publicly available. - Based on Maloney and Mulherin (2003)
“for the wings of a dove” “I‟d be a bum in the street with a tin cup if the markets were efficient”. - Warren Buffett
Anomalies - „Timing Effects‟, „Small firms‟
The benefits of an efficient market are:
it encourages share buying; it gives correct signals to company managers; it helps to allocate resources.
• Tests of trading rules: Arnold (2005), p.692-700
– – – – Simple price chart The filter approach The Dow theory Price (return) momentum
• It appears that throughout the world there are few patterns in week-to-week returns
Positive Information
£X
Neutral/no new Information
Negative Information
Random Walk
?
time Today The future
7
0 The past
How Share Prices Respond to New Information
12
Test of semi-strong form efficiency
• Look at the returns on the share in the months surrounding the announcement. • Calculate a measure of relative performance Abnormal return = actual return - expected return Expected return = α + β x return on market Relative return = share return - return on market index
3
Stock Market Efficiency
The decision-making of both investors and financial managers depends on the market efficiency.
Types of efficiency:
Operational efficiency: transaction costs to buyers and sellers Allocational efficiency: allocating funds to their most productive use Pricing efficiency: prices fully and fairly reflect all relevant information
4
Market efficiency is referred to as Informational Efficiency: In an efficient market security prices rationally reflect available information. New information is (a) rapidly and (b) rationally incorporated into share prices.
The primary market is where new issues of equity and debt are made, while the secondary market is for dealing in securities already in issue.
Stock markets are required to be efficient:
Each dot shows a pair of returns for MS on two successive days between March 1990 and May 2004.
8
Nikkei 500 (correlation = -.06)
DAX 30 (correlation = -.03)
Information flows
Positive - improving future prospects
Negative - worsening future prospects Neutral - no change in future prospects
6
Share price
capitalisation‟, „value investing‟ , „bubbles‟…
11
Announcement Date
39
Cumulative Abnormal Return (%)
34 29 24 19 14 9 4 -1 -6 -11 -16
Days Relative to annoncement date
14
• Goldman Sachs earned $15 million over night.
– Buy at 710.5p per share BP; – Sell at 716p overnight – Earn $15 million on 170 million shares
• Berkshire Hathaway outperforms market.
13
Strong-form efficiency:
All relevant information, including that which is privately held, is reflected in the share price.
Evidence: stock markets are strong-form inefficient. Insider dealing is trading on privileged information. It is profitable and illegal.
2. Capital Markets and Efficient Market Hypothesis
1. 2. 3. 4. 5. Overview of stock markets; Types of market efficiency; Levels (forms) of market efficiency; Examination of market efficiency Implications of market efficiency.
FTSE 100 (correlation = -.08)
S&P Composite (correlation = -.07)
9
• Statistical tests:
– Serial correlation test: e.g. Durbin-Watson Statistic – Runs test: e.g. Bradley (1968)
10
Semi-strong form efficiency:
Share prices fully reflect all the relevant, publicly available information. Evidence: substantially in support
Counter-Stories:
Fama (1970): Journal of Finance p.383-417
• Weak-form • semi-strong form • strong-form
5
Weak-form efficiency:
Share prices fully reflect all information contained in past price movements.