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【PPT精品课件】货币金融学7版英文课件--7-大学课件20.pptx

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该【【PPT精品课件】货币金融学7版英文课件--7-大学课件20 】是由【小屁孩】上传分享，文档一共【9】页，该文档可以免费在线阅读，需要了解更多关于【【PPT精品课件】货币金融学7版英文课件--7-大学课件20 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。Chapter7TheStockMarket,TheTheoryofRationalExpectations,andtheEfficientMarketsHypothesis?2005PearsonEducationCanadaInc.(1)monStockBasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlowsOne-PeriodValuationModel2?,Equation2canbewrittenas(3)(2)3?,Equation3canbewrittenasAssumingthegrowthrateislessthantherequiredreturnonequity,Equation4canbewrittenas(5)(4)4?(RE)=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:.,RE? Xe=Xof2reasonsexpectationmaynotberational ,althoughoptimalprediction,urateRationalexpectationsmakessensebecauseiscostlynottohaveoptimalforecastImplications:1. Changeinwayvariablemoves,wayexpectationsareformedchanges2. Forecasterrorsonaverage=0andarenotpredictable5?+1–Pt+C RET= Pt Pet+1–Pt+C RETe= PtRationalExpectationsimplies: Pet+1=Poft+1?RETe=RETof (1)Marketequilibrium RETe=RET* (2)Put(1)and(2)together:EfficientMarketsHypothesis RETof=RET*WhytheEfficientMarketsHypothesismakessense IfRETof>RET*?Pt?,RETof? IfRETof<RET*?Pt?,RETof? untilRETof=RET*1. Allunexploitedprofitopportunitieseliminated2. EfficientMarketholdsevenifareuninformed,irrationalparticipantsin market6?. Investmentanalystsandmutualfundsdon’tbeatthemarket2. Stockpricesreflectpubliclyavailableinformation:anticipatedannouncementsdon’taffectstockprice3. Stockpricesandexchangeratesclosetorandomwalk Ifpredictionsof?Pbig,Rof>R*?predictionsof?Psmall4. TechnicalanalysisdoesnotoutperformmarketUnfavorableEvidence1. Small-firmeffect:smallfirmshaveabnormallyhighreturns2. Januaryeffect:highreturnsinJanuary3. Marketoverreaction4. Excessivevolatility5. Meanreversion6. NewinformationisnotalwaysimmediatelyincorporatedintostockpricesOverviewReasonablestartingpointbutnotwholestory7?. Publishedreportsoffinancialanalystsnotveryvaluable2. Shouldbeskepticalofhottips3. Stockpricesmayfallongoodnews4. Prescriptionforinvestor1. Shouldn’ttrytooutguessmarket2. Therefore,buyandhold3. Diversifywithno-loadmutualfundEvidenceonRationalExpectationsinOtherMarkets1. Bondmarketsappearefficient2. Evidencewithsurveydataismixed Skepticismaboutqualityofdata3. Followingimplicationissupported:changeinwayvariablemoves,wayexpectationsareformedchanges8?

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