1、Financial Accounting Theory Chapter 4：Efficient Securities Markets,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,Definition of Efficient Markets,An efficient capital market is a market that is efficient in pro
2、cessing 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 a
3、re 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 fol
4、lows: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 e
5、xpects 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”
6、(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
7、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 FormSemi-strong FormStrong Form,The EMH Graphically,In this diagram,the circles represent the amount of inf
8、ormation 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 pr
9、ivate,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
10、 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
11、 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-st
12、rong 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 ma
13、terial,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(Monda
14、y 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
15、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 sellingSelling o
16、f 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“low P/E”stocks generally outperform portfolios of“high P/E”stocks.This may be related to the s
17、ize 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 low
18、er 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 beca
19、me 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 gener
20、ally 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 ma
21、rket(adjusted for costs and risk)over the long run.,Summary of Tests of the EMH,Fundamental analysisEvaluation of a companys stock based on an examination of the firms financial statements.Technical analysisAttempts to predict the market price of a companys stock based on historical price performanc
22、e and overall stock market trends.,Efficient Securities Markets,Definition(Semi-strong form)At all timesFully reflect.All publicly available informationA relative conceptEfficiency defined relative to a stock of publicly available information,Accounting Implications of Securities Market Efficiency,W
23、.Beaver,“What Should Be the FASBs Objectives,”Journal of Accountancy(1973)Full disclosure,incl.acc.policiesAccounting policies do not matter(unless cash flow effects)“Nave”investors price-protectedAccountants in competition,Accounting Implications of Securities Market Efficiency,只要会计政策没有导致现金流量产生差别的后
24、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,Accounting Implications of Securities Market Efficiency,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
25、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,The Information of Share Price:A Logical Inconsistency,Fully Informative Share PricesMarket prices collapseNo role for accounting informationPartly Informative Share Prices Noise tradersInformation Asymmetry,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？
26、CAPM模型！,CAPM：怎么来的？,M,CAPM：预期报酬之计算工具,Only firm-specific component is jj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：
27、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(RM
28、t），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（Abnormal Return）,Information Asymmetry and Role of Financial Reporting,The Adverse Selection ProblemInside informationInsider tradingSecurity Prices Do Not Reflect Fundamental ValueMisallocation of scarce capitalAll Share Prices Suffer(cost of capital
29、)Investors cannot distinguish good from badthin markets,as investors withdraw,Information Asymmetry and Role of Financial Reporting,Analogy With Used Car MarketAkerloff(1970),lemonsIn Extreme Cases,Market Collapses,or Does Not Develop in the First PlaceControl Adverse Selection by Means of Full Disclosure,An Example of Full Disclosure,Management Discussion and AnalysisForward-looking orientationConcept of information system is implicitMore relevant than historical cost-based financial statements.Less reliable?Reasonably consistent with decision theory,THE END!,
