Chapter-008--INVESTMENT

McGraw-Hill/Irwin©2007TheMcGraw-HillCompanies,Inc.,AllRightsReserved.EfficientMarkets&TheBehavioralCritiqueCHAPTER88-2EfficientMarketHypothesis(EMH)Dosecuritypricesreflectinformation?Whylookatmarketefficiency–Implicationsforbusinessandcorporatefinance–Implicationsforinvestment8-3RandomWalk-stockpricesarerandomExpectedpriceispositiveovertimePositivetrendandrandomaboutthetrendRandomWalkandtheEMH8-4SecurityPricesTimeRandomWalkwithPositiveTrend8-5Whyarepricechangesrandom?–Pricesreacttoinformation–Flowofinformationisrandom–Therefore,pricechangesarerandomRandomPriceChanges8-6EMHandCompetitionStockpricesfullyandaccuratelyreflectpubliclyavailableinformationOnceinformationbecomesavailable,marketparticipantsanalyzeitCompetitionassurespricesreflectinformation8-7Figure8-1CumulativeAbnormalReturnsSurroundingTakeoverAttempts8-8Figure8-2ReturnsFollowingEarningsAnnouncements8-9FormsoftheEMHWeakSemi-strongStrongInformation:historicalInformationpubliclyavailableInformationinsideInformation8-10例：杭萧钢构（天价合同）2月12日开始突然爆发，股价连续3个涨停。·2月15日，第一次复牌后又是连续3个涨停。·2月27日，杭萧钢构开始停牌，停半个月。·3月13日，杭萧钢构再次公告确认签订344亿合同。当天股票复牌后，又是连续4个涨停。·3月19日，上证所对杭萧钢构实行停牌处理。至此，杭萧钢构10个交易日股价飙升至10.75元，累计涨幅159%。到5月25日，收盘价达29.85元。8-11TypesofStockAnalysisTechnicalAnalysis-usingpricesandvolumeinformationtopredictfutureprices–Weakformefficiency&technicalanalysisFundamentalAnalysis-usingeconomicandaccountinginformationtopredictstockprices–Semistrongformefficiency&fundamentalanalysis8-12ActiveManagement–Securityanalysis–TimingPassiveManagement–BuyandHold–IndexFundsImplicationsofEfficiencyforActiveorPassiveManagement8-13EvenifthemarketisefficientaroleexistsforportfoliomanagementAppropriaterisklevelTaxconsiderationsOtherconsiderationsMarketEfficiencyandPortfolioManagement8-14EventstudiesAssessingperformanceofprofessionalmanagersTestingsometradingruleEmpiricalTestsofMarketEfficiency8-15MagnitudeIssueSelectionBiasIssueLuckyEventIssueIssuesinExaminingtheResults8-16TestsofWeakFormReturnsovershorthorizons–Veryshorttimehorizonssmallmagnitudeofpositivetrends–3-12monthsomeevidenceofpositivemomentumReturnsoverlonghorizons–pronouncednegativecorrelationEvidenceonReversals8-17SmallFirmEffect(JanuaryEffect)NeglectedFirmMarkettoBookRatiosPost-EarningsAnnouncementDriftHigherLevelCorrelationinSecurityPricesTestsofSemi-strongForm:Anomalies8-18Figure8-3TheSizeEffectfrom1926to20198-19Figure8-4AverageRateofReturnasaFunctionofBooktoMarket8-20Figure8-5CumulativeAbnormalReturnsinResponsetoEarningsAnnouncements8-21ImplicationsofTestResultsRiskPremiumsormarketinefficienciesAnomaliesordataminingBehavioralInterpretation–Inefficienciesexist–Causedbyhumanbehavior8-22TheBehavioralCritiqueInformationProcessingBehavioralBiasesLimitstoArbitrage8-23InformationProcessingForecastingerrorsOverconfidenceConservatismSamplesizeneglectandrepresentativeness8-24BehavioralBiasesFramingMentalaccountingRegretavoidance8-25LimitstoArbitrageFundamentalriskImplementationcostsModelrisks8-26MutualFundandProfessionalManagerPerformanceSomeevidenceofpersistentpositiveandnegativeperformancePotentialmeasurementerrorforbenchmarkreturns–Stylechanges–MayberiskpremiumsSuperstars8-27Figure8-6EstimatesofIndividualMutualFundAlphas8-28Figure8-7PersistenceofMutualFundPerformance