財(cái)務(wù)會(huì)計(jì)理論(SCCOT)第四章有效證券市場(chǎng).ppt

Financial Accounting Theory Chapter 4：Efficient Securities Markets,潘克勤 pankq2005,本章的結(jié)構(gòu),本章的目的,1、證券市場(chǎng)是半強(qiáng)勢(shì)有效的！ 證券市場(chǎng)上每一種證券價(jià)格反映了已經(jīng)公開(kāi)的所有信息 此時(shí)，證券價(jià)格就是內(nèi)在價(jià)值嗎？ 否！除非沒(méi)有內(nèi)部信息！ 2、財(cái)務(wù)會(huì)計(jì)的用武之地 充分披露，讓證券價(jià)格接近內(nèi)在價(jià)值，增強(qiáng)市場(chǎng)配置資源的效率！ 3、財(cái)務(wù)會(huì)計(jì)面臨挑戰(zhàn) 其他信息渠道,Definition of Efficient Markets,An efficient capital market is a market that is efficient in processing information. We are talking about an “informationally efficient” market, as opposed to a “transactionally efficient” market. In other words, we mean that the market quickly and correctly adjusts to new information. In an informationally efficient market, the prices of securities observed at any time are based on “correct” evaluation of all information available at that time. Therefore, in an efficient market, prices immediately and fully reflect available information.,Definition of Efficient Markets (cont.),Professor Eugene Fama, who coined the phrase “efficient markets”, defined market efficiency as follows: “In an efficient market, competition among the many intelligent participants leads to a situation where, at any point in time, actual prices of individual securities already reflect the effects of information based both on events that have already occurred and on events which, as of now, the market expects to take place in the future. In other words, in an efficient market at any point in time the actual price of a security will be a good estimate of its intrinsic value.“,History,Prior to the 1950s it was generally believed that the use of fundamental or technical approaches could “beat the market” (though technical analysis has always been seen as something akin to voodoo). In the 1950s and 1960s studies began to provide evidence against this view. In particular, researchers found that stock price changes (not prices themselves) followed a “random walk.” They also found that stock prices reacted to new information almost instantly, not gradually as had been believed.,The Efficient Markets Hypothesis,The Efficient Markets Hypothesis (EMH) is made up of three progressively stronger forms: Weak Form Semi-strong Form Strong Form,The EMH Graphically,In this diagram, the circles represent the amount of information that each form of the EMH includes. Note that the weak form covers the least amount of information, and the strong form covers all information. Also note that each successive form includes the previous ones.,All historical prices and returns,All public information,All information, public and private,The Weak Form,The weak form of the EMH says that past prices, volume, and other market statistics provide no information that can be used to predict future prices. If stock price changes are random, then past prices cannot be used to forecast future prices. Price changes should be random because it is information that drives these changes, and information arrives randomly. Prices should change very quickly and to the correct level when new information arrives (see next slide). This form of the EMH, if correct, repudiates technical analysis. Most research supports the notion that the markets are weak form efficient.,The Semi-strong Form,The semi-strong form says that prices fully reflect all publicly available information and expectations about the future. This suggests that prices adjust very rapidly to new information, and that old information cannot be used to earn superior returns. The semi-strong form, if correct, repudiates fundamental analysis. Most studies find that the markets are reasonably efficient in this sense, but the evidence is somewhat mixed.,The Strong Form,The strong form says that prices fully reflect all information, whether publicly available or not. Even the knowledge of material, non-public information cannot be used to earn superior results. Most studies have found that the markets are not efficient in this sense.,Anomalies,Anomalies are unexplained empirical results that contradict the EMH: The Size effect. The “Incredible” January Effect. P/E Effect. Day of the Week (Monday Effect).,The Size Effect,Beginning in the early 1980s, a number of studies found that the stocks of small firms typically outperform (on a risk-adjusted basis) the stocks of large firms. This is even true among the large-capitalization stocks within the S&P 500. The smaller (but still large) stocks tend to outperform the really large ones.,The “Incredible” January Effect,Stock returns appear to be higher in January than in other months of the year. This may be related to the size effect since it is mostly small firms that outperform in January. It may also be related to end of year tax selling Selling of securities, usually at year end, to realize losses in a portfolio, which can be used to offset capital gains and thereby lower an investors tax liability.,The P/E Effect,It has been found that portfolios of “l(fā)ow P/E” stocks generally outperform portfolios of “high P/E” stocks. This may be related to the size effect since there is a high correlation between the stock price and the P/E. It may be that buying low P/E stocks is essentially the same as buying small company stocks.,The Day of the Week Effect,Based on daily stock prices from 1963 to 1985 Keim found that returns are higher on Fridays and lower on Mondays than should be expected. This is partly due to the fact that Monday returns actually reflect the entire Friday close to Monday close time period (weekend plus Monday), rather than just one day. Moreover, after the stock market crash in 1987, this effect disappeared completely and Monday became the best performing day of the week between 1989 and 1998.,Summary of Tests of the EMH,Weak form is supported, so technical analysis cannot consistently outperform the market. Semi-strong form is mostly supported , so fundamental analysis cannot consistently outperform the market. Strong form is generally not supported. If you have secret (“insider”) information, you CAN use it to earn excess returns on a consistent basis. Ultimately, most believe that the market is very efficient, though not perfectly efficient. It is unlikely that any system of analysis could consistently and significantly beat the market (adjusted for costs and risk) over the long run.,Summary of Tests of the EMH,Fundamental analysis Evaluation of a companys stock based on an examination of the firms financial statements. Technical analysis Attempts to predict the market price of a companys stock based on historical price performance and overall stock market trends.,Efficient Securities Markets,Definition (Semi-strong form) At all times Fully reflect. All publicly available information A relative concept Efficiency defined relative to a stock of publicly available information,Accounting Implications of Securities Market Efficiency,W. Beaver, “What Should Be the FASBs Objectives,” Journal of Accountancy (1973) Full disclosure, incl. acc. policies Accounting policies do not matter (unless cash flow effects) “Nave” investors price-protected Accountants in competition,Accounting Implications of Securities Market Efficiency,只要會(huì)計(jì)政策沒(méi)有導(dǎo)致現(xiàn)金流量產(chǎn)生差別的后果，或?qū)λ捎玫奶囟〞?huì)計(jì)政策所形成的差別予以披露，以及投資者能獲得足夠的信息以致能夠在不同的會(huì)計(jì)政策之間做出抉擇的話(huà)，公司所采取的會(huì)計(jì)政策便不會(huì)影響證券的市價(jià) 只要會(huì)計(jì)政策沒(méi)有導(dǎo)致現(xiàn)金流量產(chǎn)生差別的后果，或?qū)λ捎玫奶囟〞?huì)計(jì)政策所形成的差別予以披露，以及投資者能獲得足夠的信息以致能夠在不同的會(huì)計(jì)政策之間做出抉擇的話(huà)，公司所采取的會(huì)計(jì)政策便不會(huì)影響證券的市價(jià),Accounting Implications of Securities Market Efficiency,市場(chǎng)的有效性意味著公司不必過(guò)分考慮無(wú)知的投資者，即財(cái)務(wù)報(bào)表信息不必用過(guò)于簡(jiǎn)單的方式表達(dá)，以致任何人都能理解。 會(huì)計(jì)人員正在與其他信息提供者相互競(jìng)爭(zhēng)。如果會(huì)計(jì)人員不提供有用的成本效益的信息，會(huì)計(jì)的有用性職能會(huì)日益衰退而為其他信息渠道所取代,The Information of Share Price: A Logical Inconsistency,Fully Informative Share Prices Market prices collapse No role for accounting information Partly Informative Share Prices Noise traders Information Asymmetry,CAPM,證券市場(chǎng)是半強(qiáng)勢(shì)有效的財(cái)務(wù)會(huì)計(jì)信息披露應(yīng)該能夠影響公司股價(jià)怎么影響？ CAPM模型！,CAPM：怎么來(lái)的？,M,CAPM：預(yù)期報(bào)酬之計(jì)算工具,Only firm-specific component is j j是什么？ 公司股票相對(duì)于整個(gè)大盤(pán)的表現(xiàn)情況！ 公司面向市場(chǎng)大勢(shì)的反應(yīng) 公司對(duì)于系統(tǒng)風(fēng)險(xiǎn)的反應(yīng) 公司特定風(fēng)險(xiǎn)對(duì)要求報(bào)酬的影響體現(xiàn)在哪里？ 投資人通過(guò)多元化投資，基本消除了個(gè)股特定風(fēng)險(xiǎn),CAPM：會(huì)計(jì)信息怎么影響股票價(jià)格？,從T年末時(shí)點(diǎn)看，某股票T期間的投資報(bào)酬率為（事后的）,從年初時(shí)點(diǎn)看，某股票T期間的投資報(bào)酬率為（預(yù)期的）,而：,會(huì)計(jì)信息的作用：改變?nèi)藗儗?duì)于 的認(rèn)識(shí)；但是會(huì)計(jì)信息不可能改變、E（Rmt）和Rf,是可以預(yù)期的,在 不變的情況下，人們必然調(diào)整,CAPM：會(huì)計(jì)信息怎么影響股票價(jià)格？,公式1的寓意是什么？,寓意1：給定未來(lái)股價(jià)和股利變動(dòng)，則 越大，目前股價(jià)變動(dòng)越小,寓意2：給定 值，則預(yù)期未來(lái)股價(jià)和股利變動(dòng)越大，則目前股價(jià)變動(dòng)越大,CAPM：主要用途,1、清楚地指出，股票價(jià)格如何依賴(lài)于投資人對(duì)未來(lái)股價(jià)及股利的預(yù)測(cè) 2、CAPM之市場(chǎng)模型及其作用,含義：某一證券收益有兩部分構(gòu)成：預(yù)期收益和未預(yù)期收益。j+j*RMt為預(yù)期部分，jt為未予期部分,3、收集某一證券N期的歷史Rjt ，N期的RMt，就可以估計(jì)該證券的值，并計(jì)算出所謂的j,CAPM：主要用途,4、計(jì)算出某一股票歷史的j和j有什么用？ 假定公司長(zhǎng)期的j值不變，可以用來(lái)計(jì)算在新的市場(chǎng)條件下（E(RMt），未來(lái)該股票的預(yù)期收益。 未來(lái)真正實(shí)現(xiàn)的收益，與上述預(yù)期收益之差額，即為jt，稱(chēng)之為非正常收益（Abnormal Return）,Information Asymmetry and Role of Financial Reporting,The Adverse Selection Problem Inside information Insider trading Security Prices Do Not Reflect Fundamental Value Misallocation of scarce capital All Share Prices Suffer (cost of capital) Investors cannot distinguish good from bad thin markets, as investors withdraw,Information Asymmetry and Role of Financial Reporting,Analogy With Used Car Market Akerloff (1970), lemons In Extreme Cases, Market Collapses, or Does Not Develop in the First Place Control Adverse Selection by Means of Full Disclosure,An Example of Full Disclosure,Management Discussion and Analysis Forward-looking orientation Concept of information system is implicit More relevant than historical cost-based financial statements. Less reliable? Reasonably consistent with decision theory,THE END !,