米什金貨幣金融學(商學院版)第7章課件

Chapter7TheStockMarket,theTheoryofRationalExpectations,

andtheEfficientMarketHypothesisChapter7TheStockMarket,the7.1ComputingthePriceofCommonStockBasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlows7.1ComputingthePriceofCom7.1.1One-PeriodValuationModel7.1.1One-PeriodValuationMod7.1.2GeneralizedDividendValuationModel7.1.2GeneralizedDividendVal7.1.3GordonGrowthModel7.1.3GordonGrowthModel7.2HowtheMarketSetsPricesPlayersinthemarket,biddingagainstoneanother,establishthemarketprice.ThepriceissetbythebuyerwillingtopaythehighestpriceThemarketpricewillbesetbythebuyerwhocantakebestadvantageoftheassetSuperiorinformationaboutanassetcanincreaseitsvaluebyreducingitsperceivedrisk7.2HowtheMarketSetsPricesHowtheMarketSetsPricesInformationisimportantforindividualstovalueeachasset.Whennewinformationisreleasedaboutafirm,expectationsandpriceschange.Marketparticipantsconstantlyreceiveinformationandrevisetheirexpectations,sostockpriceschangefrequently.HowtheMarketSetsPricesInfo7.3TheoryofRationalExpectationsAdaptiveExpectationsExpectationsareformedfrompastexperienceonly.Changesinexpectationswilloccurslowlyovertimeasdatachanges.However,peopleusemorethanjustpastdatatoformtheirexpectationsandsometimeschangetheirexpectationsquickly.7.3TheoryofRationalExpecta

RationalExpectations

Rationalexpectation=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:

Rationalexpectation,althoughoptimalprediction,maynotbeaccurate.IttakestoomuchefforttomaketheexpectationthebestguesspossibleBestguesswillnotbeaccuratebecausepredictorisunawareofsomerelevantinformation

RationalExpectations

RationFormalStatementoftheTheoryFormalStatementoftheTheoryImplications1.Ifthereisachangeinthewayavariablemoves,thewayinwhichexpectationsofthevariableareformedwillchangeaswell2.Theforecasterrorsofexpectationswill,onaverage,bezeroandcannotbepredictedaheadoftime.Implications1.Ifthereisac7.4EfficientMarkets:ApplicationofRationalExpectations7.4EfficientMarkets:ApplicaEfficientMarkets(cont’d)Atthebeginningoftheperiod,weknowPtandC.Pt+1isunknownandwemustformanexpectationofit.TheexpectedreturnthenisExpectationsoffuturepricesareequaltooptimalforecastsusingallcurrentlyavailableinformationsoSupplyandDemandanalysisstatesRe

willequaltheequilibriumreturnR*,soRof=R*EfficientMarkets(cont’d)AttEfficientMarketsCurrentpricesinafinancialmarketwillbesetsothattheoptimalforecastofasecurity’sreturnusingallavailableinformationequalsthesecurity’sequilibriumreturnInanefficientmarket,asecurity’spricefullyreflectsallavailableinformationEfficientMarketsCurrentpriceRationaleEfficientMarketholdsevenifareuninformed,irrationalparticipantsin marketRationaleEfficientMarketholdStrongerVersionoftheEMHAddtheconditionthatanefficientmarketisoneinwhichpricesreflectthetruefundamentalvalueofthesecurities.Thus,inanefficientmarket,allpricesarealwayscorrectandreflectmarketfundamentals.Implications:1.Oneinvestmentisasgoodasanyother.2.Asecurity’spricereflectsallavailableinformationabouttheintrinsicvalueofthesecurity.3.Securitypricescanbeusedtomakecorrectdecisionsaboutwhetheraspecificinvestmentisworthmaking.StrongerVersionoftheEMHAddEvidenceonEfficientMarketsHypothesisFavorableEvidence1. Investmentanalystsandmutualfundsdon’tbeatthemarket2. Stockpricesreflectpubliclyavailableinformation:anticipatedannouncementsdon’taffectstockprice3. Stockpricesandexchangeratesclosetorandomwalk4. TechnicalanalysisdoesnotoutperformmarketEvidenceonEfficientMarketsUnfavorableEvidence1. Small-firmeffect:smallfirmshaveabnormallyhighreturns2. Januaryeffect:highreturnsinJanuary3. Marketoverreaction4. Excessivevolatility5. Meanreversion6. NewinformationisnotalwaysimmediatelyincorporatedintostockpricesOverviewReasonablestartingpointbutnotwholestoryUnfavorableEvidence1. Small-fApplicationInvestingintheStockMarketRecommendationsfrominvestmentadvisorscannothelpusoutperformthemarketAhottipisprobablyinformationalreadycontainedinthepriceofthestockStockpricesrespondtoannouncementsonlywhentheinformationisnewandunexpectedA“buyandhold”strategyisthemostsensiblestrategyforthesmallinvestorApplicationInvestingintheS7.5BehavioralFinanceItappliesconceptsfromothersocialsciencestounderstandthebehaviorofsecuritiesprices.Thela