财务会计理论(SCCOT)-第四章-有效证券市场.ppt

财务会计理论(SCCOT)-第四章-有效证券市场.ppt

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FinancialAccountingTheoryChapter4：

EfficientSecuritiesMarkets,潘克勤,本章的结构,本章的目的,1、证券市场是半强势有效的！

证券市场上每一种证券价格反映了已经公开的所有信息此时，证券价格就是内在价值吗？

否！

除非没有内部信息！

2、财务会计的用武之地充分披露，让证券价格接近内在价值，增强市场配置资源的效率！

3、财务会计面临挑战其他信息渠道,DefinitionofEfficientMarkets,Anefficientcapitalmarketisamarketthatisefficientinprocessinginformation.Wearetalkingaboutan“informationallyefficient”market,asopposedtoa“transactionallyefficient”market.Inotherwords,wemeanthatthemarketquicklyandcorrectlyadjuststonewinformation.Inaninformationallyefficientmarket,thepricesofsecuritiesobservedatanytimearebasedon“correct”evaluationofallinformationavailableatthattime.Therefore,inanefficientmarket,pricesimmediatelyandfullyreflectavailableinformation.,DefinitionofEfficientMarkets（cont.）,ProfessorEugeneFama,whocoinedthephrase“efficientmarkets”,definedmarketefficiencyasfollows:

Inanefficientmarket,competitionamongthemanyintelligentparticipantsleadstoasituationwhere,atanypointintime,actualpricesofindividualsecuritiesalreadyreflecttheeffectsofinformationbasedbothoneventsthathavealreadyoccurredandoneventswhich,asofnow,themarketexpectstotakeplaceinthefuture.Inotherwords,inanefficientmarketatanypointintimetheactualpriceofasecuritywillbeagoodestimateofitsintrinsicvalue.,History,Priortothe1950sitwasgenerallybelievedthattheuseoffundamentalortechnicalapproachescould“beatthemarket”（thoughtechnicalanalysishasalwaysbeenseenassomethingakintovoodoo）.Inthe1950sand1960sstudiesbegantoprovideevidenceagainstthisview.Inparticular,researchersfoundthatstockpricechanges（notpricesthemselves）followeda“randomwalk.”Theyalsofoundthatstockpricesreactedtonewinformationalmostinstantly,notgraduallyashadbeenbelieved.,TheEfficientMarketsHypothesis,TheEfficientMarketsHypothesis（EMH）ismadeupofthreeprogressivelystrongerforms:

WeakFormSemi-strongFormStrongForm,TheEMHGraphically,Inthisdiagram,thecirclesrepresenttheamountofinformationthateachformoftheEMHincludes.Notethattheweakformcoverstheleastamountofinformation,andthestrongformcoversallinformation.Alsonotethateachsuccessiveformincludesthepreviousones.,Allhistoricalpricesandreturns,Allpublicinformation,Allinformation,publicandprivate,TheWeakForm,TheweakformoftheEMHsaysthatpastprices,volume,andothermarketstatisticsprovidenoinformationthatcanbeusedtopredictfutureprices.Ifstockpricechangesarerandom,thenpastpricescannotbeusedtoforecastfutureprices.Pricechangesshouldberandombecauseitisinformationthatdrivesthesechanges,andinformationarrivesrandomly.Pricesshouldchangeveryquicklyandtothecorrectlevelwhennewinformationarrives（seenextslide）.ThisformoftheEMH,ifcorrect,repudiatestechnicalanalysis.Mostresearchsupportsthenotionthatthemarketsareweakformefficient.,TheSemi-strongForm,Thesemi-strongformsaysthatpricesfullyreflectallpubliclyavailableinformationandexpectationsaboutthefuture.Thissuggeststhatpricesadjustveryrapidlytonewinformation,andthatoldinformationcannotbeusedtoearnsuperiorreturns.Thesemi-strongform,ifcorrect,repudiatesfundamentalanalysis.Moststudiesfindthatthemarketsarereasonablyefficientinthissense,buttheevidenceissomewhatmixed.,TheStrongForm,Thestrongformsaysthatpricesfullyreflectallinformation,whetherpubliclyavailableornot.Eventheknowledgeofmaterial,non-publicinformationcannotbeusedtoearnsuperiorresults.Moststudieshavefoundthatthemarketsarenotefficientinthissense.,Anomalies,AnomaliesareunexplainedempiricalresultsthatcontradicttheEMH:

TheSizeeffect.The“Incredible”JanuaryEffect.P/EEffect.DayoftheWeek（MondayEffect）.,TheSizeEffect,Beginningintheearly1980s,anumberofstudiesfoundthatthestocksofsmallfirmstypicallyoutperform（onarisk-adjustedbasis）thestocksoflargefirms.Thisiseventrueamongthelarge-capitalizationstockswithintheS&P500.Thesmaller（butstilllarge）stockstendtooutperformthereallylargeones.,The“Incredible”JanuaryEffect,StockreturnsappeartobehigherinJanuarythaninothermonthsoftheyear.ThismayberelatedtothesizeeffectsinceitismostlysmallfirmsthatoutperforminJanuary.ItmayalsoberelatedtoendofyeartaxsellingSellingofsecurities,usuallyatyearend,torealizelossesinaportfolio,whichcanbeusedtooffsetcapitalgainsandtherebyloweraninvestorstaxliability.,TheP/EEffect,Ithasbeenfoundthatportfoliosof“lowP/E”stocksgenerallyoutperformportfoliosof“highP/E”stocks.ThismayberelatedtothesizeeffectsincethereisahighcorrelationbetweenthestockpriceandtheP/E.ItmaybethatbuyinglowP/Estocksisessentiallythesameasbuyingsmallcompanystocks.,TheDayoftheWeekEffect,Basedondailystockpricesfrom1963to1985KeimfoundthatreturnsarehigheronFridaysandloweronMondaysthanshouldbeexpected.ThisispartlyduetothefactthatMondayreturnsactuallyreflecttheentireFridayclosetoMondayclosetimeperiod（weekendplusMonday）,ratherthanjustoneday.Moreover,afterthestockmarketcrashin1987,thiseffectdisappearedcompletelyandMondaybecamethebestperformingdayoftheweekbetween1989and1998.,SummaryofTestsoftheEMH,Weakformissupported,sotechnicalanalysiscannotconsistentlyoutperformthemarket.Semi-strongformismostlysupported,sofundamentalanalysiscannotconsistentlyoutperformthemarket.Strongformisgenerallynotsupported.Ifyouhavesecret（“insider”）information,youCANuseittoearnexcessreturnsonaconsistentbasis.Ultimately,mostbelievethatthemarketisveryefficient,thoughnotperfectlyefficient.Itisunlikelythatanysystemofanalysiscouldconsistentlyandsignificantlybeatthemarket（adjustedforcostsandrisk）overthelongrun.,SummaryofTestsoftheEMH,FundamentalanalysisEvaluationofacompanysstockbasedonanexaminationofthefirmsfinancialstatements.TechnicalanalysisAttemptstopredictthemarketpriceofacompanysstockbasedonhistoricalpriceperformanceandoverallstockmarkettrends.,EfficientSecuritiesMarkets,Definition（Semi-strongform）AtalltimesFullyreflect.AllpubliclyavailableinformationArelativeconceptEfficiencydefinedrelativetoastockofpubliclyavailableinformation,AccountingImplicationsofSecuritiesMarketEfficiency,W.Beaver,“WhatShouldBetheFASBsObjectives,”JournalofAccountancy（1973）Fulldisclosure,incl.acc.policiesAccountingpoliciesdonotmatter（unlesscashfloweffects）“Nave”investorsprice-protectedAccountantsincompetition,AccountingImplicationsofSecuritiesMarketEfficiency,只要会计政策没有导致现金流量产生差别的后果，或对所采用的特定会计政策所形成的差别予以披露，以及投资者能获得足够的信息以致能够在不同的会计政策之间做出抉择的话，公司所采取的会计政策便不会影响证券的市价只要会计政策没有导致现金流量产生差别的后果，或对所采用的特定会计政策所形成的差别予以披露，以及投资者能获得足够的信息以致能够在不同的会计政策之间做出抉择的话，公司所采取的会计政策便不会影响证券的市价,AccountingImplicationsofSecuritiesMarketEfficiency,市场的有效性意味着公司不必过分考虑无知的投资者，即财务报表信息不必用过于简单的方式表达，以致任何人都能理解。

会计人员正在与其他信息提供者相互竞争。

如果会计人员不提供有用的成本效益的信息，会计的有用性职能会日益衰退而为其他信息渠道所取代,TheInformationofSharePrice:

ALogicalInconsistency,FullyInformativeSharePricesMarketpricescollapseNoroleforaccountinginformationPartlyInformativeSharePricesNoisetradersInformationAsymmetry,CAPM,证券市场是半强势有效的财务会计信息披露应该能够影响公司股价怎么影响？

CAPM模型！

CAPM：

怎么来的？

M,CAPM：

预期报酬之计算工具,Onlyfirm-specificcomponentisjj是什么？

公司股票相对于整个大盘的表现情况！

公司面向市场大势的反应公司对于系统风险的反应公司特定风险对要求报酬的影响体现在哪里？

投资人通过多元化投资，基本消除了个股特定风险,CAPM：

会计信息怎么影响股票价格？

从T年末时点看，某股票T期间的投资报酬率为（事后的）,从年初时点看，某股票T期间的投资报酬率为（预期的）,而：

会计信息的作用：

改变人们对于的认识；但是会计信息不可能改变、E（Rmt）和Rf,是可以预期的,在不变的情况下，人们必然调整,CAPM：

会计信息怎么影响股票价格？

公式1的寓意是什么？

寓意1：

给定未来股价和股利变动，则越大，目前股价变动越小,寓意2：

给定值，则预期未来股价和股利变动越大，则目前股价变动越大,CAPM：

主要用途,1、清楚地指出，股票价格如何依赖于投资人对未来股价及股利的预测2、CAPM之市场模型及其作用,含义：

某一证券收益有两部分构成：

预期收益和未预期收益。

j+j*RMt为预期部分，jt为未予期部分,3、收集某一证券N期的历史Rjt，N期的RMt，就可以估计该证券的值，并计算出所谓的j,CAPM：

主要用途,4、计算出某一股票历史的j和j有什么用？

假定公司长期的j值不变，可以用来计算在新的市场条件下（E（RMt），未来该股票的预期收益。

未来真正实现的收益，与上述预期收益之差额，即为jt，称之为非正常收益（AbnormalReturn）,InformationAsymmetryandRoleofFinancialReporting,TheAdverseSelectionProblemInsideinformationInsidertradingSecurityPricesDoNotReflectFundamentalValueMisallocationofscarcecapitalAllSharePricesSuffer（costofcapital）Investorscannotdistinguishgoodfrombadthinmarkets,asinvestorswithdraw,InformationAsymmetryandRoleofFinancialReporting,AnalogyWithUsedCarMarketAkerloff（1970）,lemonsInExtremeCases,MarketCollapses,orDoesNotDevelopintheFirstPlaceControlAdverseSelectionbyMeansofFullDisclosure,AnExampleofFullDisclosure,ManagementDiscussionandAnalysisForward-lookingorientationConceptofinformationsystemisimplicitMorerelevantthanhistoricalcost-basedfinancialstatements.Lessreliable?

Reasonablyconsistentwithdecisiontheory,THEEND!