投資學第11章有效市場假定是否證券價格已經反映了所有的信息？有效市場假說Kendall(1953):股價是隨機變化的EfficientMarketHypothesis(EMH)2023/2/32Random

walk研究市場效率問題的意義：對公司金融的啟示對投資的啟示11.1隨機漫步與有效市場假定2023/2/33圖11.1CumulativeAbnormalReturnsBeforeTakeoverAttempts:TargetCompanies2023/2/34圖11.2StockPriceReactiontoCNBCReports2023/2/35股票價格充分、準確地反映了所有可得的信息一旦市場上有新信息出現，所有參與者將分析該信息市場參與者間的競爭將保證價格反映信息11.1.1有效性與競爭

（EMHandCompetition）2023/2/36WeakSemi-strongStrong11.1.2有效市場假定的形式2023/2/3711.2.1技術分析TechnicalAnalysis-以歷史價、量來預測將來價格Weakformefficiency&technicalanalysis11.2.2基本分析FundamentalAnalysis-以經濟和會計信息來預測證券價格Semistrongformefficiency&fundamentalanalysis11.2有效市場假定的含義2023/2/38主動管理ActiveManagementSecurityanalysisTiming被動管理PassiveManagementBuyandHoldIndexFunds11.2.3主動與被動的投資管理2023/2/39即使市場是有效性的，投資管理仍有用武之地：分散化與風險水平Appropriaterisklevel稅收考慮Taxconsiderations其他考慮Otherconsiderations11.2.4市場有效性與投資管理2023/2/310以實證研究來評估某一特定事件對公司股票價格的影響方法：確定非正常收益，即公司股票的實際收益與沒有事件發生時的潛在收益之差。考慮內幕交易之可能，一般用累積非常規收益11.3事件研究EventStudies2023/2/311進行收益調整，以確定是否異常市場模型方法：a.rt=at+brmt+et

(ExpectedReturn)b.ExcessReturn=

(Actual-Expected)

et=rt

-(a

+brMt)如何檢驗2023/2/31211.4.1爭論點規模問題MagnitudeIssue選擇偏見問題SelectionBiasIssue幸運事件LuckyEventIssue11.4市場是有效的嗎？2023/2/31311.4.2弱式有效檢驗Weak-FormTests短期收益ReturnsovertheShortHorizon動量Momentum長期收益ReturnsoverLongHorizons反轉reversal2023/2/31411.4.3PredictorsofBroadMarketReturnsFamaandFrenchAggregatereturnsarehigherwithhigherdividendratiosCampbellandShillerEarningsyieldcanpredictmarketreturnsKeimandStambaughBondspreadscanpredictmarketreturns2023/2/315P/EEffectSmallFirmEffect(JanuaryEffect)NeglectedFirmEffectandLiquidityEffectsBook-to-MarketRatiosPost-EarningsAnnouncementPriceDrift11.4.4半強式檢驗：市場異象

SemistrongTests:Anomalies2023/2/316圖11.3AverageAnnualReturnfor10Size-BasedPortfolios,1926–20062023/2/317圖11.4AverageReturnasaFunctionof

Book-To-MarketRatio,

1926–20062023/2/318圖11.5CumulativeAbnormalReturnsinResponsetoEarningsAnnouncements2023/2/31911.4.5強式有效檢驗：內幕信息

Strong-FormTests:InsideInformationTheabilityofinsiderstotradeprofitabilityintheirownstockhasbeendocumentedinstudiesbyJaffe,Seyhun,Givoly,andPalmonSECrequiresallinsiderstoregistertheirtradingactivity2023/2/32011.4.6實證解釋InterpretingtheEvidenceRiskPremiumsormarketinefficiencies—disagreementhereFamaandFrencharguethattheseeffectscanbeexplainedasmanifestationsofriskstockswithhigherbetasLakonishok,Shleifer,andVishneyarguethattheseeffectsareevidenceofinefficientmarkets2023/2/321圖11.6ReturnstoStylePortfolioasaPredictorofGDPGrowth2023/2/32211.4.6實證解釋(續)AnomaliesorDataMining異象公布后即消失2023/2/32311.5共同基金和分析業績

11.5.1

股票市場分析專家StockMarketAnalystsDoAnalystsAddValueMixedevidenceAmbiguityinresults2023/2/324SomeevidenceofpersistentpositiveandnegativeperformancePotentialmeasurementerrorforbenchmarkreturnsStylechangesMayberiskpremiums高手現象Hothandsphenomenon11.5.2共同基金表現

MutualFundPerformance2023/2/325圖11.7EstimatesofIndividualMutualFundAlphas,1972-19912023/2/326表11.1PerformanceofMutualFundsBasedonThree-IndexModel2023/2/327圖11.8PersistenceofMutualFundPerformance2023/2/