财务会计理论(SCCOT)第四章有效证券市场

FinancialAccountingTheoryChapter4：EfficientSecuritiesMarkets潘克勤[e-mail]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！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DefinitionofEfficientMarketsAnefficientcapitalmarketisamarketthatisefficientinprocessinginformation.Wearetalkingaboutan“informationallyefficient”market,asopposedtoa“transactionallyefficient”market.Inotherwords,wemeanthatthemarketquicklyandcorrectlyadjuststonewinformation.Inaninformationallyefficientmarket,thepricesofsecuritiesobservedatanytimearebasedon“correct”evaluationofallinformationavailableatthattime.Therefore,inanefficientmarket,pricesimmediatelyandfullyreflectavailableinformation.DefinitionofEfficientMarkets(cont.)ProfessorEugeneFama,whocoinedthephrase“efficientmarkets”,definedmarketefficiencyasfollows:Inanefficientmarket,competitionamongthemanyintelligentparticipantsleadstoasituationwhere,atanypointintime,actualpricesofindividualsecuritiesalreadyreflecttheeffectsofinformationbasedbothoneventsthathavealreadyoccurredandoneventswhich,asofnow,themarketexpectstotakeplaceinthefuture.Inotherwords,inanefficientmarketatanypointintimetheactualpriceofasecuritywillbeagoodestimateofitsintrinsicvalue.HistoryPriortothe1950’sitwasgenerallybelievedthattheuseoffundamentalortechnicalapproachescould“beatthemarket”(thoughtechnicalanalysishasalwaysbeenseenassomethingakintovoodoo).Inthe1950’sand1960’sstudiesbegantoprovideevidenceagainstthisview.Inparticular,researchersfoundthatstockpricechanges(notpricesthemselves)followeda“randomwalk.”Theyalsofoundthatstockpricesreactedtonewinformationalmostinstantly,notgraduallyashadbeenbelieved.TheEfficientMarketsHypothesisTheEfficientMarketsHypothesis(EMH)ismadeupofthreeprogressivelystrongerforms:WeakFormSemi-strongFormStrongFormTheEMHGraphicallyInthisdiagram,thecirclesrepresenttheamountofinformationthateachformoftheEMHincludes.Notethattheweakformcoverstheleastamountofinformation,andthestrongformcoversallinformation.Alsonotethateachsuccessiveformincludesthepreviousones.StrongFormSemi-StrongWeakFormAllhistoricalpricesandreturnsAllpublicinformationAllinformation,publicandprivateTheWeakFormTheweakformoftheEMHsaysthatpastprices,volume,andothermarketstatisticsprovidenoinformationthatcanbeusedtopredictfutureprices.Ifstockpricechangesarerandom,thenpastpricescannotbeusedtoforecastfutureprices.Pricechangesshouldberandombecauseitisinformationthatdrivesthesechanges,andinformationarrivesrandomly.Pricesshouldchangeveryquicklyandtothecorrectlevelwhennewinformationarrives(seenextslide).ThisformoftheEMH,ifcorrect,repudiatestechnicalanalysis.Mostresearchsupportsthenotionthatthemarketsareweakformefficient.TheSemi-strongFormThesemi-strongformsaysthatpricesfullyreflectallpubliclyavailableinformationandexpectationsaboutthefuture.Thissuggeststhatpricesadjustveryrapidlytonewinformation,andthatoldinformationcannotbeusedtoearnsuperiorreturns.Thesemi-strongform,ifcorrect,repudiatesfundamentalanalysis.Moststudiesfindthatthemarketsarereasonablyefficientinthissense,buttheevidenceissomewhatmixed.TheStrongFormThestrongformsaysthatpricesfullyreflectallinformation,whetherpubliclyavailableornot.Eventheknowledgeofmaterial,non-publicinformationcannotbeusedtoearnsuperiorresults.Moststudieshavefoundthatthemarketsarenotefficientinthissense.AnomaliesAnomaliesareunexplainedempiricalresultsthatcontradicttheEMH:TheSizeeffect.The“Incredible”JanuaryEffect.P/EEffect.DayoftheWeek(MondayEffect).TheSizeEffectBeginningintheearly1980’s,anumberofstudiesfoundthatthestocksofsmallfirmstypicallyoutperform(onarisk-adjustedbasis)thestocksoflargefirms.Thisiseventrueamongthelarge-capitalizationstockswithintheS&P500.Thesmaller(butstilllarge)stockstendtooutperformthereallylargeones.The“Incredible”JanuaryEffectStockreturnsappeartobehigherinJanuarythaninothermonthsoftheyear.ThismayberelatedtothesizeeffectsinceitismostlysmallfirmsthatoutperforminJanuary.ItmayalsoberelatedtoendofyeartaxsellingSellingofsecurities,usuallyatyearend,torealizelossesinaportfolio,whichcanbeusedtooffsetcapitalgainsandtherebyloweraninvestor’staxliability.TheP/EEffectIthasbeenfoundthatportfoliosof“lowP/E”stocksgenerallyoutperformportfoliosof“highP/E”stocks.ThismayberelatedtothesizeeffectsincethereisahighcorrelationbetweenthestockpriceandtheP/E.ItmaybethatbuyinglowP/Estocksisessentiallythesameasbuyingsmallcompanystocks.TheDayoftheWeekEffectBasedondailystockpricesfrom1963to1985KeimfoundthatreturnsarehigheronFridaysandloweronMondaysthanshouldbeexpected.ThisispartlyduetothefactthatMondayreturnsactuallyreflecttheentireFridayclosetoMondayclosetimeperiod(weekendplusMonday),ratherthanjustoneday.Moreover,afterthestockmarketcrashin1987,thiseffectdisappearedcompletelyandMondaybecamethebestperformingdayoftheweekbetween1989and1998.SummaryofTestsoftheEMHWeakformissupported,sotechnicalanalysiscannotconsistentlyoutperformthemarket.Semi-strongformismostlysupported,sofundamentalanalysiscannotc