光华财务管理讲义Lecture08

13-0Chapter13Efficient Capital Markets13-113.2 A Description of Efficient Capital Markets An efficient capital market is one in which stock prices fully reflect available information called the efficient market hypothesis(EMH).The EMH has implications for investors and firms.Since information is reflected in security prices quickly,knowing information when it is released does an investor no good.Firms should expect to receive the fair value for securities that they sell.Firms cannot profit from fooling investors in an efficient market.Trying to“pick”stocks based on public information is a waste of time.All stocks offer you the fair rate of return based on their risk.13-2Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before(-)and after(+)announcementEfficient market response to“good news”Overreaction to“good news”with reversionDelayed response to“good news”13-3Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before(-)and after(+)announcementEfficient market response to“bad news”Overreaction to“bad news”with reversionDelayed response to“bad news”13-413.3 The Different Types of Efficiency Weak Form Security prices reflect all information found in past prices and volume.Semi-Strong Form Security prices reflect all publicly available information.Strong Form Security prices reflect all informationpublic and private.13-5Weak Form Market Efficiency Security prices reflect all information found in past prices and volume.If the weak form of market efficiency holds,then technical analysis is of no value.Often weak-form efficiency is represented asPt=Pt-1+Expected return+random error t Since stock prices only respond to new information,which by definition arrives randomly,stock prices are said to follow a random walk.13-6Why Technical Analysis FailsStock PriceTimeInvestor behavior tends to eliminate any profit opportunity associated with stock price patterns.If it were possible to make big money simply by finding“the pattern”in the stock price movements,everyone would do it and the profits would be competed away.SellSellBuyBuy13-7Semi-Strong Form Market Efficiency Security Prices reflect all publicly available information.Publicly available information includes:Historical price and volume information Published accounting statements.Information found in annual reports.Information in newspaper articles,comments by analysts,etc.13-8Strong Form Market Efficiency Security Prices reflect all informationpublic and private.Strong form efficiency incorporates weak and semi-strong form efficiency.Strong form efficiency says that anything pertinent to the stock and known to at least one investor is already incorporated into the securitys price.13-9Relationship among Three Different Information SetsAll informationrelevant to a stockInformation setof publicly availableinformationInformationset ofpast prices13-10Some Common Misconceptions Much of the criticism of the EMH has been based on a misunderstanding of the hypothesis says and does not say.13-11What the EMH Does and Does NOT Say Investors can throw darts to select stocks.This is almost,but not quite,true.An investor must still decide how risky a portfolio he wants based on risk aversion and the level of expected return.Prices are random or uncaused.Prices reflect information.The price CHANGE is driven by new information,which by definition arrives randomly.Therefore,financial managers cannot“time”stock and bond sales.13-1213.4 The EvidenceThe record on the EMH is extensive,and in large measure it is reassuring to advocates of the efficiency of markets.Studies fall into three broad categories:Are changes in stock prices random?Are there profitable“trading rules”?Event studies:does the market quickly and accurately respond to new information?The record of professionally managed investment firms.Is there such a thing as stock picking ability?13-13Are Changes in Stock Prices Random?Can we really tell?Many psychologists and statisticians believe that most people want to see patterns even when faced with pure randomness.People claiming to see patterns in stock price movements are probably seeing optical illusions.A matter of degree Even if we can spot patterns,we need to have returns that beat our transactions costs.Random stock price changes support weak-form efficiency.13-14What Pattern Do You See?Randomly Selected Numbers00.20.40.60.811.2135791113151719212325Double-click on this Excel chart to see a different random series.With different patterns,you may believe that you can predict the next value in the serieseven though you know it is random.13-15Are Changes in Stock Prices Random?No evidence that stock returns are positively serially correlated high returns today do not predict high returns tomorrow No evidence of reversals high returns today do not predict low returns tomorrow A variety of searches for simple statistical patterns in stock prices reject the existence of such patterns This evidence supports the weak form EMH13-16Event Studies:How Tests Are Structured Event Studies are one type of test of the semi-strong form of market efficiency.This form of the EMH implies that prices should reflect all publicly available information.To test this,event studies examine prices and returns over timeparticularly around the arrival of new information.Test for evidence of under reaction,overreaction,early reaction,delayed reaction around the event.13-17How Tests Are Structured(cont.)Returns are adjusted to determine if they are abnormal by taking into account what the rest of the market did that day.The Abnormal Return on a given stock for a particular day can be calculated by subtracting the markets return on the same day(RM)from the actual return(R)on the stock for that day:AR=R RM The abnormal return can be calculated using the Market Model approach:AR=R (a+bRM)13-18Event Studies:Dividend OmissionsCumulative Abnormal Returns for Companies Announcing Dividend Omissions0.1460.108-0.720.032-0.244-0.483-3.619-5.015-5.411-5.183-4.898-4.563-4.747-4.685-4.49-6-5-4-3-2-101-8-6-4-202468Days relative to announcement of dividend omissionCumulative abnormal returns(%)Efficient market response to“bad news”S.H.Szewczyk,G.P.Tsetsekos,and Z.Santout“Do Dividend Omissions Signal Future Earnings or Past Earnings?”Journal of Investing(Spring 1997)13-19Event Study Results Over the years,event study methodology has been applied to a large number of events including:Dividend increases and decreases Earnings announcements Mergers Capital Spending New Issues of Stock Sudden CEO deaths The studies generally support the view that the market is semistrong-form efficient.13-20Event Studies:Summary Some evidence suggests that markets may even have some foresight into the future-news tends to leak out in advance of public announcements.Additional evidence on market efficiency orange juice futures prices predict the weather in Orlando better than the U.S.Weather Bureaus forecast!13-21-0.020.000.020.040.060.080.100.120.14-123-112-101-90-79-68-57-46-35-24-13-292031425364第一大股东未变第一大股东变更所有股权转让记录13-22Issues in Examining the Results Magnitude Issue Selection Bias Issue Lucky Event Issue Possible Model Misspecification13-23The Record of Mutual Funds If the market is semistrong-form efficient,then no matter what publicly available information mutual-fund managers rely on to pick stocks,their average returns should be the same as those of the average investor in the market as a whole.We can test efficiency by comparing the performance of professionally managed mutual funds with the performance of a market index.13-24The Record of Mutual FundsAnnual Return Performance of Different Types of U.S.Mutual Funds Relative to a Broad-Based Market Index(1963-1998)-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%All fundsSmall-companygrowthfundsOther-aggressivegrowthfundsGrowthfundsIncomefundsGrowth andincomefundsMaximumcapitalgainsfundsSectorfunds Annual Return PerformanceTaken from Lubos Pastor and Robert F.Stambaugh,“Evaluating and Investing in Equity Mutual Funds,”unpublished paper,Graduate School of Business,University of Chicago(March 2000).13-25Mutual Fund Performance If there is such a thing as stock picking“ability”,should observe performance persistence good funds one period should perform better than average in subsequent periods.Evidence indicates that this is not true.13-26I feel that the fund administrators provide investors nothing that they could not gain by throwing darts and hitting random stocks.13-27 Do I really believe what I have been saying?I would like to believe otherwise.But a respect for evidence compels me to incline toward the hypothesis that most portfolio decisionmakers should go out of business,take up plumbing,teach Greek,or help produce the annual GNP by serving as corporate executives.Even if this advice to drop dead is good advice,it obviously is not counsel that will be eagerly followed.Paul Samuelson 13-28I have become increasingly convinced that the past records of mutual fund managers are essentially worthless in predicting future success.The few examples of consistently superior performance occur no more frequently than can be expected by chance.(Random Walk,p.442)13-29The creation of the first index fund by John Bogle was the equivalent of the invention of the wheel and the alphabet.Paul Samuelson 13-30Who Needs a Money Manager?Index funds are cheap,easy-and theyre changing the way Americans invest “The major reason is that managers fees are as much as seven times what most big index funds charge to invest your money.”Business Week,1999 13-31What about the Bill Millers of the mutual fund world?The Legg Mason Value Trust manager has beaten the market in each of the past 12 years-an astonishing feat.Of course,Miller and other fund managers have managed to outpace the market over the long haul.There are investing geniuses out there who can beat the market.But its tough to know them in advance,and its still tough to know them after 10 years.Consider the case of David Baker.13-32David Baker managed the 44 Wall Street fund,one of the hottest funds of the 1970s,racking up 36%a year on average over the decade.Predictably,the money poured into the fund.From 1980 to March 1988,Bakers fund lost 22%a year on average,and Baker left the fund.13-33“The strategy for CIC?13-344.虽然大部分基金经理业绩平庸，但哈佛、耶鲁、普林斯顿等名校的基金都长期业绩出众，这些学校基金的基金经理取得长期高回报的主要原因是什么？（A）他们远离华尔街，不受干扰（B）他们个人不贪图钱财，敬业、刻苦，因而成效卓著（C）他们奉行长线投资（D）他们在传统投资渠道外，又投了对冲基金（E）都不是13-355.长期以来，不少有名的石油地质教授及科学家不断撰文，从科学上论证人类不必担心能源问题，石油不会紧缺，这是为何？在资产管理行业，投资对冲基金或私募股权基金不如投共同基金，投资共同基金不如投指数基金，这一事实并不难发现。但某些金融教授会撰文论证，对冲基金“胜过”共同基金，并用“多元回归”等复杂推理找出了对冲基金“高额回报”的“关键因素”。这又是为何？（A）教授关在象牙塔，不知道外面的情况（B）教授对新能源估计过于乐观（C）教授拿到的数据有偏差（D）教授学问深，他们不会弄错的（E）都不是13-36The Strong Form of the EMH One group of studies of strong-form market efficiency investigates insider trading.A number of studies support the view that insider trading is abnormally profitable.Thus,strong-form efficiency does not seem to be substantiated by the evidence.13-37Views Contrary to Market Efficiency Stock Market Crash of 1987 The market dropped between 20 percent and 25 percent on a Monday following a weekend during which little surprising information was released.Temporal Anomalies Turn of the year,Returns are particularly high in January Turn of the month Turn of the week.Returns are particularly low(on average negative)on Mondays Speculative Bubbles Sometimes a crowd of investors can behave as a single squirrel.13-38 郁金香郁金香-4吨小麦吨小麦 -4条牛条牛-8只猪只猪-12只羊只羊 13-39 终于，腐败像汹涌的洪水淹没一切；贪婪徐徐卷来，像阴霾的雾霭弥漫，遮蔽日光。政客和民族斗士纷纷沉溺于股市，贵族夫人和仆役领班一样分得红利，法官当上了掮客，主教啃食起庶民，君主为了几个便士玩弄手中的纸牌；不列颠帝国陷入钱币的污秽之中。-蒲柏 “我能计算出天体的运行轨迹，却难以预料到人们如此疯狂”。13-40 重组神话 “最狂牛股”深深宝10天翻一番*ST长控 浪莎集团借壳上市 7.18元飙升到了最高的85元，升10.8倍 锦州六陆 东北证券借壳上市 股价升8倍，最高价达74.88元13-41*ST金泰 向新恒基控股集团定向增发80亿股置换其地产业务，变身成京城地产大鳄，股价出现了A股市场上“最疯狂”的一幕，创出连续43个涨停板的新纪录，股价从3.26元升到最高的26.58元，升715.33%。13-4213-43Behavior finance 行为金融学 Overconfident 过度交易 损失厌恶 后悔厌恶13-44Behavior finance 行为金融学 herding13-45 死了都不卖,不给我翻倍不痛快,我们散户只有这样才不被打败,死了都不卖,不涨到心慌不痛快,投资中国心永在 把股票当成是投资才买来,一涨一跌都不会害怕掉下来,不理会大盘是看好或看坏,只要你翻倍我才卖,我不听别人安排,凭感觉就买入赚钱就会很愉快,享受现在别一套牢就怕受失败,许多奇迹中国股市永远存在。13-46 基金经理是干什么的？是用别人的钱来为自己练手艺的 13-47Value investing?中国船舶 20-300 2006年6月30日的前十大股东，基金丰和、基金通乾、易方达积极成长、信诚四季红、景顺长城内需增长、广发 小盘和基金银丰7只基金持有该股。2006年9月30日，前十大流通股东仅留下基金丰和、基金通乾、易方达积极成长三 只基金。2006年底，基金丰和、基金通乾及三季度进仓的基金久嘉和银华优质、基金泰和继 续持有中国船舶，易方达积极成长出局。2007年第一季度仅基金丰和、基金通乾、基金泰和三只封闭式基金留守中国船舶，开放 式基金无一只跨季持有 2007年6月30日，持有近一年基金通乾终于退出，南方的多只基 金和博时精选基金开始连续两个季度持有中国船舶，但仓位都有一定幅度降低。近一年的前十大流通股东，只有基金丰和自始至终持有该股，开放式基金 竟无一只连续持有超过三个季度。13-48 2007年10月15日，中邮创业基金旗下的中邮优选基金以215.47%净值增长率在所有开放 式基金中排名第一 交易频繁是中邮优选的典型特征 2006年9月28日成立，从9月29日开始建仓，截至11月1日基金持仓比达到60%以上 自11月1日开始中邮优选进 入高频率交易期，到2007年3月30日，其累计交易量与基金资产净值平均值达到606%，折合 年周转率为1450%。从2007年初截至2007年6月底，此基金换手率也高达358.02%，折合年周 转率超过600%。13-49从2006年9月29日到2007年3月 6日，买卖股票中市值与净值比超过5%的股票有17只，其中交易频繁的超过一半。中国联通(600050)是被中邮优选多次交易股票之一。从2006年10月到2007年3月初，中 邮优选共交易18笔，其中买入8笔，卖出10笔。从2006年10月17日到11月16日，基金买入中国联通，持有市值与基金净值比为5.67%，仅一个交易日后，即11月20日，基金开始卖出从2007年2月27日，基金对中国联通开始空仓，而第二天，即2月28日又 开始买入。在西飞国际、上海机电的交易更为频繁，从2006年10月17日到2007年1月下旬，西 飞国际估计共交易52笔，买入30笔，卖出22笔；从2006年12月18日到2007年3月初，上海机 电被交易48笔，其中买入26笔，卖出22笔。上海医药、振 华港机、中信证券等公司高位资产配置类个股，基金经常会第一天买入，第二天就卖出。13-50 What does it look like now?What does it look like now?13-51 巴菲特减持中石油 7月12日首度减持中石油H股，巴菲特数次实施对中石油H股的减持，使其持有中石油的股权由减持前的13.35到0%。套现均价约为13.47港元 但在此之后，中石油的股价一路飙升，截至上周四收市已达18.92港元。少赚128亿港元!2000年买进中石油H股时，当时中石油H股的股价只有1.10港元，他以1.10港元到1.20港元之间的价格买进了11.09亿股中石油H股；随后又以1.61港元至1.67港元不等的价格增持8.58亿股中石油H股。13-52 Is Warrent Buffet a counter-example to EMH?13-53“我只做我完全明白的事。我只做我完全明白的事。”“在别人贪婪时恐惧，在别人恐惧时贪婪。在别人贪婪时恐惧，在别人恐惧时贪婪。”“从不购买价格并不明显低于公司价值的股票。”“不能承受股价下跌的人就不应该炒股。”“对于大多数投资者而言，重要的不是他知道什么，而是清醒地知道自己不知道什么。如果你不愿意拥有一家股票10年，那就不要考虑拥有它十分钟。”13-54“当我和查尔斯买下一种股票时，我们头脑中既没有考虑到出手的时间也没有考虑过出手的价位。”“可口可乐在1890年时整个公司大约值2000美元今天它的市值为500亿美元。如某个人在1890年时买该公司股票时，有人可能会对他说：“我们将会有两次世界大战，会有1907年的大崩盘。是不是最好等一等？”我们不能犯这个错误。”13-55 Does trading strategy work?13-56Top 100 traders for 2007 1)John Paulson,New York,Paulson&Co.Estimated 2007 Income:$3 billion+2)Phil Falcone,New York,Harbinger Capital Partners Estimated Income:$1.5$2 billion 3)Jim Simons,New York,Renaissance Technologies Corp.Estimated Income:$1.5$2 billion 4)Steve Cohen,Connecticut,SAC Capital Advisors Estimated Income:$1$1.5 billion5)Ken Griffin,Chicago,Citadel Investment Group Estimated Income:$1$1.5 billion.13-57Top 100 traders for 2007 “我越来越相信，美国经济最强大的力量在于它的弹性：那种化解混乱并且复苏的能力。它发挥作用的方式和步伐常常让人根本无法预测，更不用说去操控它了。”格林斯潘,动荡年代,2007年9月 “根据我所有的经验，我没有遇到任何值得一提的事故。我在整个海上生涯中只见过一次遇险的船只。我从未见过失事船只，从未处于失事的危险中，也从未陷入任何有可能演化为灾难的险境。”EJ史密斯,泰坦尼克号船长,1907年 13-5813.5 Implications for Corporate Finance Because information is reflected in security prices quickly,investors should only expect to obtain a normal rate of return.Awareness of information when it is released does an investor little good.The price adjusts before the investor has time to act on it.Firms should expect to receive the fair value for securities that they sell.Fair means that the price they receive for the securities they issue is the present value.Thus,valuable financing opportunities that arise from fooling investors are unavailable in efficient markets.13-5913.5 Implications for Corporate FinanceThe EMH has three implications for corporate finance:The price of a companys stock cannot be affected by a change in accounting.Financial managers cannot“time”issues of stocks and bonds using publicly available information.A firm can sell as many shares of stocks or bonds as it desires without depressing prices.1.There is conflicting empirical evidence on all three points.13-60Why Doesnt Everybody Believe the EMH?There are optical illusions,mirages,and apparent patterns in charts of stock market returns.The truth is less interesting.Many investment professionals would be unemployed if everyone believed in efficient markets.There is some evidence against market efficiency:Seasonality Small versus Large stocks Value versus growth stocks The tests of market efficiency are weak.13-6113.6 Summary and Conclusions An efficient market incorporates information in security prices.There are three forms of the EMH:Weak-Form EMHSecurity prices reflect past price data.Semistrong-Form EMHSecurity prices reflect publicly available information.Strong-Form EMHSecurity prices reflect all information.There is abundant evidence for the first two forms of the EMH.