INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap011 The Efficient Market Hypothesis.ppt

* * * * Consistency, the “hot hands” phenomenon Carhart – weak evidence of persistency Bollen and Busse – support for performance persistence over short time horizons Berk and Green – skilled managers will attract new funds until the costs of managing those extra funds drive alphas down to zero. Mutual Fund Performance Figure 11.8 Risk-adjusted performance in ranking quarter and following quarter So, Are Markets Efficient? The performance of professional managers is broadly consistent with market efficiency. Most managers do not do better than the passive strategy. There are, however, some notable superstars: Peter Lynch, Warren Buffett, John Templeton, George Soros * * * * * * * * * * * * * * * * * * * * * * * * * * * * * INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 11 The Efficient Market Hypothesis Maurice Kendall (1953) found no predictable pattern in stock prices. Prices are as likely to go up as to go down on any particular day. How do we explain random stock price changes? Efficient Market Hypothesis (EMH) Efficient Market Hypothesis (EMH) EMH says stock prices already reflect all available information A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information. Result: Prices change until expected returns are exactly commensurate with risk. Efficient Market Hypothesis (EMH) New information is unpredictable; if it could be predicted, then the prediction would be part of today’s information. Stock prices that change in response to new (unpredictable) information also must move unpredictably. Stock price changes follow a random walk. Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies Figure 11.2 Stock Price Reaction to CNBC Reports Information: The most precious commodity on Wall Street Strong competition assures prices refl