1、 Financial Accounting Theory Chapter 4：Efficient Securities Markets潘克勤pankq2005126.本章的構(gòu)造有效性的含義財務(wù)報告含義CAPM模型信息不對稱/內(nèi)部買賣、逆向選擇充分披露.本章的目的1、證券市場是半強勢有效的！證券市場上每一種證券價錢反映了曾經(jīng)公開的一切信息此時，證券價錢就是內(nèi)在價值嗎？否！除非沒有內(nèi)部信息！2、財務(wù)會計的用武之地充分披露，讓證券價錢接近內(nèi)在價值，加強市場配置資源的效率！3、財務(wù)會計面臨挑戰(zhàn)其他信息渠道. Definition of Efficient Markets An efficient ca

2、pital market is a market that is efficient in processing information.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.In an informationally efficient

3、market, the prices of securities observed at any time are based on “correct evaluation of all information available at that time.Therefore, in an efficient market, prices immediately and fully reflect available information.Definition of Efficient Markets (cont.)Professor Eugene Fama, who coined the

4、phrase “efficient markets, defined market efficiency as follows: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 ha

5、ve already occurred and on events which, as of now, the market expects to take place in the future. 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. .HistoryPrior to the 1950s it was generally believed that the

6、 use of fundamental or technical approaches could “beat the market (though technical analysis has always been seen as something akin to voodoo).In the 1950s and 1960s studies began to provide evidence against this view.In particular, researchers found that stock price changes (not prices themselves)

7、 followed a “random walk.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 FormSemi-strong FormStrong Form.The

8、 EMH GraphicallyIn 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.Also note that each successive form includes the previous ones.All historical

9、 prices and returnsAll public informationAll information, public and private.The Weak FormThe 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.If stock price changes are random, then past prices cannot be

10、 used to forecast future prices.Price changes should be random because it is information that drives these changes, and information arrives randomly.Prices should change very quickly and to the correct level when new information arrives (see next slide).This form of the EMH, if correct, repudiates t

11、echnical analysis.Most research supports the notion that the markets are weak form efficient.The Semi-strong FormThe semi-strong form says that prices fully reflect all publicly available information and expectations about the future.This suggests that prices adjust very rapidly to new information,

12、and that old information cannot be used to earn superior returns.The semi-strong form, if correct, repudiates fundamental analysis.Most studies find that the markets are reasonably efficient in this sense, but the evidence is somewhat mixed.The Strong FormThe strong form says that prices fully refle

13、ct all information, whether publicly available or not.Even the knowledge of material, non-public information cannot be used to earn superior results.Most studies have found that the markets are not efficient in this sense.AnomaliesAnomalies are unexplained empirical results that contradict the EMH:T

14、he Size effect.The “Incredible January Effect.P/E Effect.Day of the Week (Monday Effect).The Size EffectBeginning in the early 1980s, a number of studies found that the stocks of small firms typically outperform (on a risk-adjusted basis) the stocks of large firms.This is even true among the large-c

15、apitalization stocks within the S&P 500. The smaller (but still large) stocks tend to outperform the really large ones.The “Incredible January EffectStock returns appear to be higher in January than in other months of the year.This may be related to the size effect since it is mostly small firms tha

16、t outperform in January.It may also be related to end of year tax sellingSelling of securities, usually at year end, to realize losses in a portfolio, which can be used to offset capital gains and thereby lower an investors tax liability.The P/E EffectIt has been found that portfolios of “l(fā)ow P/E st

17、ocks generally outperform portfolios of “high P/E stocks.This may be related to the size effect since there is a high correlation between the stock price and the P/E.It may be that buying low P/E stocks is essentially the same as buying small company stocks.The Day of the Week EffectBased on daily s

18、tock prices from 1963 to 1985 Keim found that returns are higher on Fridays and lower on Mondays than should be expected.This is partly due to the fact that Monday returns actually reflect the entire Friday close to Monday close time period (weekend plus Monday), rather than just one day.Moreover, a

19、fter the stock market crash in 1987, this effect disappeared completely and Monday became the best performing day of the week between 1989 and 1998.Summary of Tests of the EMHWeak form is supported, so technical analysis cannot consistently outperform the market.Semi-strong form is mostly supported

20、, so fundamental analysis cannot consistently outperform the market.Strong form is generally not supported. If you have secret (“insider) information, you CAN use it to earn excess returns on a consistent basis.Ultimately, most believe that the market is very efficient, though not perfectly efficien

21、t. It is unlikely that any system of analysis could consistently and significantly beat the market (adjusted for costs and risk) over the long run.Summary of Tests of the EMHFundamental analysisEvaluation of a companys stock based on an examination of the firms financial statements.Technical analysi

22、sAttempts to predict the market price of a companys stock based on historical price performance and overall stock market trends.Efficient Securities MarketsDefinition (Semi-strong form)At all timesFully reflect.All publicly available informationA relative conceptEfficiency defined relative to a stoc

23、k of publicly available information.Accounting Implications of Securities Market EfficiencyW. Beaver, “What Should Be the FASBs Objectives, Journal of Accountancy (1973)Full disclosure, incl. acc. policiesAccounting policies do not matter (unless cash flow effects)“Nave investors price-protectedAcco

24、untants in competition.Accounting Implications of Securities Market Efficiency只需會計政策沒有導(dǎo)致現(xiàn)金流量產(chǎn)生差別的后果，或?qū)λ捎玫奶囟〞嬚咚鶚?gòu)成的差別予以披露，以及投資者能獲得足夠的信息以致可以在不同的會計政策之間做出抉擇的話，公司所采取的會計政策便不會影響證券的市價只需會計政策沒有導(dǎo)致現(xiàn)金流量產(chǎn)生差別的后果，或?qū)λ捎玫奶囟〞嬚咚鶚?gòu)成的差別予以披露，以及投資者能獲得足夠的信息以致可以在不同的會計政策之間做出抉擇的話，公司所采取的會計政策便不會影響證券的市價.Accounting Implications

25、 of Securities Market Efficiency市場的有效性意味著公司不用過分思索無知的投資者，即財務(wù)報表信息不用用過于簡單的方式表達(dá)，以致任何人都能了解。會計人員正在與其他信息提供者相互競爭。假設(shè)會計人員不提供有用的本錢效益的信息，會計的有用性職能會日益衰退而為其他信息渠道所取代.The Information of Share Price: A Logical InconsistencyFully Informative Share PricesMarket prices collapseNo role for accounting informationPartly In

26、formative Share Prices Noise tradersInformation Asymmetry.CAPM證券市場是半強勢有效的財務(wù)會計信息披露應(yīng)該可以影響公司股價怎樣影響？CAPM模型！.CAPM：怎樣來的？M.CAPM：預(yù)期報酬之計算工具Only firm-specific component is jj是什么？公司股票相對于整個大盤的表現(xiàn)情況！公司面向市場大勢的反響公司對于系統(tǒng)風(fēng)險的反響公司特定風(fēng)險對要求報酬的影響表達(dá)在哪里？投資人經(jīng)過多元化投資，根本消除了個股特定風(fēng)險.CAPM：會計信息怎樣影響股票價錢？從T年末時點看，某股票T期間的投資報酬率為事后的從年初時點看，某

27、股票T期間的投資報酬率為預(yù)期的而：會計信息的作用：改動人們對于 的認(rèn)識；但是會計信息不能夠改動、ERmt和Rf是可以預(yù)期的 在 不變的情況下，人們必然調(diào)整.CAPM：會計信息怎樣影響股票價錢？公式1的寓意是什么？寓意1：給定未來股價和股利變動，那么 越大，目前股價變動越小寓意2：給定 值，那么預(yù)期未來股價和股利變動越大，那么目前股價變動越大.CAPM：主要用途1、清楚地指出，股票價錢如何依賴于投資人對未來股價及股利的預(yù)測2、CAPM之市場模型及其作用 含義：某一證券收益有兩部分構(gòu)成：預(yù)期收益和未預(yù)期收益。j+j*RMt為預(yù)期部分，jt為未予期部分 3、搜集某一證券N期的歷史Rjt ，N期的RMt，就可以估計該證券的值，并計算出所謂的j.CAPM：主要用途4、計算出某一股票歷史的j和j有什么用？假定公司長期的j值不變，可以用來計算在新的市