全套美国投资哲学,过千张pdf版ppttechanal

AswathDamodaran1ChartingandTechnicalAnalysisAswathDamodaranAswathDamodaran2TheRandomWalkHypothesisCurrentNextperiodStockpriceisanunbiasedestimateofthevalueofthestock.InformationPriceAssessmentImplicationsforInvestorsNoapproachormodelwillallowustoidentifyunderorovervaluedassets.Newinformationcomesoutaboutthefirm.Allinformationaboutthefirmispubliclyavailableandtradedon.Thepricechangesinaccordancewiththeinformation.Ifitcontainsgood(bad)news,relativetoexpectations,thestockpricewillincrease(decrease).Reflectingthe50/50chanceofthenewsbeinggoodorbad,thereisanequalprobabilityofapriceincreaseandapricedecrease.MarketExpectationsInvestorsformunbiasedexpectationsaboutthefutureSinceexpectationsareunbiased,thereisa50%chanceofgoodorbadnews.AswathDamodaran3TheBasisforPricePatterns1.Investorsarenotalwaysrationalinthewaytheysetexpectations.Theseirrationalitiesmayleadtoexpectationsbeingsettoolowforsomeassetsatsometimesandtoohighforotherassetsatothertimes.Thus,thenextpieceofinformationismorelikelytocontaingoodnewsforthefirstassetandbadnewsforthesecond.2.Pricechangesthemselvesmayprovideinformationtomarkets.Thus,thefactthatastockhasgoneupstronglythelastfourdaysmaybeviewedasgoodnewsbyinvestors,makingitmorelikelythatthepricewillgouptodaythendown.AswathDamodaran4TheEmpiricalEvidenceonPricePatternsQInvestorshaveusedpricechartsandpricepatternsastoolsforpredictingfuturepricemovementsforaslongastherehavebeenfinancialmarkets.QThefirststudiesofmarketefficiencyfocusedontherelationshipbetweenpricechangesovertime,toseeifinfactsuchpredictionswerefeasible.QEvidencecanbeclassifiedintotwoclasses•studiesthatfocusonshort-term(intraday,dailyandweeklypricemovements)pricebehaviorandresearchthatexamineslong-term(annualandfive-yearreturns)pricemovements.AswathDamodaran5I.SerialcorrelationQSerialcorrelationmeasuresthecorrelationbetweenpricechangesinconsecutivetimeperiodsQMeasureofhowmuchpricechangeinanyperioddependsuponpricechangeoverpriortimeperiod.0:implythatpricechangesinconsecutivetimeperiodsareuncorrelatedwitheachother0:evidenceofpricemomentuminmarkets0:EvidenceofpricereversalsAswathDamodaran6SerialCorrelationandExcessReturnsQFromviewpointofinvestmentstrategy,serialcorrelationscanbeexploitedtoearnexcessreturns.•Apositiveserialcorrelationwouldbeexploitedbyastrategyofbuyingafterperiodswithpositivereturnsandsellingafterperiodswithnegativereturns.•Anegativeserialcorrelationwouldsuggestastrategyofbuyingafterperiodswithnegativereturnsandsellingafterperiodswithpositivereturns.•Thecorrelationsmustbelargeenoughforinvestorstogenerateprofitstocovertransactionscosts.AswathDamodaran7SerialCorrelationinShort-periodReturnsAuthorDataVariablesTimeIntervalCorrelationKendall&Alexander(2819indices-UKprice1weeks0.1312weeks0.1344weeks0.006Moore(28)30companies-USlogprices1week-0.056Cootner(28)45companiesUSlogprices1week-0.047Fama(46)30companies-USlogprices1day0.0264days-0.0399days-0.053King(28)63companies-USlogprices1month0.018Niarchos(119)15companies-Greecelogprices1month0.036Praetz(128)16indiceslogprices1week0.00020companieslogprices1week-0.118Griffiths(73)5companies-UKprices9days-0.0261month0.011Jennergren(90)15companies-UKlogprices1day0.0682days-0.0705days-0.004Jennergren&Kosvold(91)30companies-Swedenlogprices1day0.1023days-0.0215days-0.016AswathDamodaran8SummaryofFindingsQSerialcorrelationsinmostmarketsissmall.Whiletheremaybestatisticalsignificanceassociatedwiththesecorrelations,itisunlikelythatthereisenoughcorrelationtogenerateexcessreturns.QTheserialcorrelationinshortperiodreturnsisalsoaffectedbypricemeasurementissuesandthemarketmicro-structurecharacteristics.QNon-tradinginsomeofthecomponentsoftheindexcancreateacarry-overeffectfromthepriortimeperiod,thiscanresultinpositiveserialcorrelationintheindexreturns.QThebid-askspreadcreatesabiasintheoppositedirection,iftransactionspricesareusedtocomputereturns,sincepriceshaveaequalchanceofendingupatthebidortheaskprice.Thebouncethatthisinducesinpriceswillresultinnegativeserialcorrelationsinreturns.Bid-AskSpread=-√2(SerialCovarianceinreturns)wheretheserialcovarianceinreturnsmeasuresthecovariancebetweenreturnchangesinconsecutivetimeperiods.AswathDamodaran9II.FilterRulesInafilterrule,aninvestorbuysaninvestmentifthepricerisesX%fromapreviouslowandholdstheinvestmentuntilthepricedropsX%fromaprevioushigh.Themagnitudeofthechange(X%)thattriggersthetradescanvaryfromfilterruletofilterrule.withsmallerchangesresultinginmoretransactionsperperiodandhighertransactionscosts.AswathDamodaran10IllustrationofFilterRuleBuySellUpX%DownX%PriceTimeAswathDamodaran11AssumptionsunderlyingstrategyQThisstrategyisbasedupontheassumptionthatpricechangesareseriallycorrelatedandthatthereispricemomentum,i.e.,stockswhichhavegoneupstronglyinthepastaremorelikelytokeepgoingupthangodown.QThefollowingtablesummarizesresultsfromastudyonreturns,beforeandaftertransactionscosts,onatradingstrategybaseduponfilterrulesrangingfrom0.5%to20%.(A0.5%ruleimpliesthatastockisboughtwhenitrises0.5%fromapreviouslowandsoldwhenitfalls0.5%fromapriorhigh.)AswathDamodaran12ReturnsonFilte