财务会计理论第四章有效证券市场
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In the 1950’s and 1960’s studies began to provide evidence against this view.
In particular, researchers found that stock price changes (not prices themselves) followed a “random walk.”
Therefore, in an efficient market, prices immediately and fully reflect available information.
Definition of Efficient Markets (cont.)
Professor Eugene Fama, who coined the phrase “efficient markets”, defined market efficiency as follows:
In an informationally efficient market, the prices of securities observed at any time are based on “correct” evaluation of all information available at that time.
"In an efficient market, competition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events that have already occurred and on events which, as of now, the market expects to take place in the future.
They also found that stock prices reacted to new information almost instantly, not gradually as had been believed.
The Efficient Markets Hypothesis
The Efficient Markets Hypothesis (EMH) is made up of three progressively stronger forms: Weak Form Semi-strong Form Strong Form
Also note that each successive form includes the previous ones.
•All historical prices and returns
•All information, public and private
•All public information
In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value."
History
Prior to the 1950’s it was generally believed that the use of fundamental or technical approaches could “beat the market” (though technical analysis has always been seen as something akin to voodoo).
财务会计理论第四章有 效证券市场
2020年7月22日星期三
本章的结构
•有效 性
•的含 义
•财务 报告含
义
•CAPM •模型
•信息不对称/ 内部交易、逆
向选择
•充分 •披露
本章的目的
1、证券市场是半强势有效的！ 证券市场上每一种证券价格反映了已经公开的 所有信息 此时，证券价格就是内在价值吗？ 否！除非没有内部信息！
We are talking about an “informationally efficient” market, as opposed to a “transactionally efficient” market. In other words, we mean that the market quickly and correctly adjusts to new information.
The Weak Form
The weak form of the EMH says that past prices, volume, and other market statistics provide no information that can be used to predict future prices.
The EMH Graphically
百度文库
In this diagram, the circles represent the amount of information that each form of the EMH includes.
Note that the weak form covers the least amount of information, and the strong form covers all information.
2、财务会计的用武之地 充分披露，让证券价格接近内在价值，增强市 场配置资源的效率！
3、财务会计面临挑战 其他信息渠道
Definition of Efficient Markets
An efficient capital market is a market that is efficient in processing information.
In particular, researchers found that stock price changes (not prices themselves) followed a “random walk.”
Therefore, in an efficient market, prices immediately and fully reflect available information.
Definition of Efficient Markets (cont.)
Professor Eugene Fama, who coined the phrase “efficient markets”, defined market efficiency as follows:
In an informationally efficient market, the prices of securities observed at any time are based on “correct” evaluation of all information available at that time.
"In an efficient market, competition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events that have already occurred and on events which, as of now, the market expects to take place in the future.
They also found that stock prices reacted to new information almost instantly, not gradually as had been believed.
The Efficient Markets Hypothesis
The Efficient Markets Hypothesis (EMH) is made up of three progressively stronger forms: Weak Form Semi-strong Form Strong Form
Also note that each successive form includes the previous ones.
•All historical prices and returns
•All information, public and private
•All public information
In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value."
History
Prior to the 1950’s it was generally believed that the use of fundamental or technical approaches could “beat the market” (though technical analysis has always been seen as something akin to voodoo).
财务会计理论第四章有 效证券市场
2020年7月22日星期三
本章的结构
•有效 性
•的含 义
•财务 报告含
义
•CAPM •模型
•信息不对称/ 内部交易、逆
向选择
•充分 •披露
本章的目的
1、证券市场是半强势有效的！ 证券市场上每一种证券价格反映了已经公开的 所有信息 此时，证券价格就是内在价值吗？ 否！除非没有内部信息！
We are talking about an “informationally efficient” market, as opposed to a “transactionally efficient” market. In other words, we mean that the market quickly and correctly adjusts to new information.
The Weak Form
The weak form of the EMH says that past prices, volume, and other market statistics provide no information that can be used to predict future prices.
The EMH Graphically
百度文库
In this diagram, the circles represent the amount of information that each form of the EMH includes.
Note that the weak form covers the least amount of information, and the strong form covers all information.
2、财务会计的用武之地 充分披露，让证券价格接近内在价值，增强市 场配置资源的效率！
3、财务会计面临挑战 其他信息渠道
Definition of Efficient Markets
An efficient capital market is a market that is efficient in processing information.