米什金货币金融学(商学院版)第7章课件.ppt
- 文档编号:18744661
- 上传时间:2023-10-26
- 格式:PPT
- 页数:20
- 大小:382KB
米什金货币金融学(商学院版)第7章课件.ppt
《米什金货币金融学(商学院版)第7章课件.ppt》由会员分享,可在线阅读,更多相关《米什金货币金融学(商学院版)第7章课件.ppt(20页珍藏版)》请在冰点文库上搜索。
Chapter7,TheStockMarket,theTheoryofRationalExpectations,andtheEfficientMarketHypothesis,7.1ComputingthePriceofCommonStock,BasicPrincipleofFinanceValueofInvestment=PresentValueofFutureCashFlows,7.1.1One-PeriodValuationModel,7.1.2GeneralizedDividendValuationModel,7.1.3GordonGrowthModel,7.2HowtheMarketSetsPrices,Playersinthemarket,biddingagainstoneanother,establishthemarketprice.ThepriceissetbythebuyerwillingtopaythehighestpriceThemarketpricewillbesetbythebuyerwhocantakebestadvantageoftheassetSuperiorinformationaboutanassetcanincreaseitsvaluebyreducingitsperceivedrisk,HowtheMarketSetsPrices,Informationisimportantforindividualstovalueeachasset.Whennewinformationisreleasedaboutafirm,expectationsandpriceschange.Marketparticipantsconstantlyreceiveinformationandrevisetheirexpectations,sostockpriceschangefrequently.,7.3TheoryofRationalExpectations,AdaptiveExpectationsExpectationsareformedfrompastexperienceonly.Changesinexpectationswilloccurslowlyovertimeasdatachanges.However,peopleusemorethanjustpastdatatoformtheirexpectationsandsometimeschangetheirexpectationsquickly.,RationalExpectations,Rationalexpectation=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:
Rationalexpectation,althoughoptimalprediction,maynotbeaccurate.IttakestoomuchefforttomaketheexpectationthebestguesspossibleBestguesswillnotbeaccuratebecausepredictorisunawareofsomerelevantinformation,FormalStatementoftheTheory,Implications,1.Ifthereisachangeinthewayavariablemoves,thewayinwhichexpectationsofthevariableareformedwillchangeaswell2.Theforecasterrorsofexpectationswill,onaverage,bezeroandcannotbepredictedaheadoftime.,7.4EfficientMarkets:
ApplicationofRationalExpectations,EfficientMarkets(contd),Atthebeginningoftheperiod,weknowPtandC.Pt+1isunknownandwemustformanexpectationofit.TheexpectedreturnthenisExpectationsoffuturepricesareequaltooptimalforecastsusingallcurrentlyavailableinformationsoSupplyandDemandanalysisstatesRewillequaltheequilibriumreturnR*,soRof=R*,EfficientMarkets,CurrentpricesinafinancialmarketwillbesetsothattheoptimalforecastofasecuritysreturnusingallavailableinformationequalsthesecuritysequilibriumreturnInanefficientmarket,asecurityspricefullyreflectsallavailableinformation,Rationale,EfficientMarketholdsevenifareuninformed,irrationalparticipantsinmarket,StrongerVersionoftheEMH,Addtheconditionthatanefficientmarketisoneinwhichpricesreflectthetruefundamentalvalueofthesecurities.Thus,inanefficientmarket,allpricesarealwayscorrectandreflectmarketfundamentals.Implications:
1.Oneinvestmentisasgoodasanyother.2.Asecurityspricereflectsallavailableinformationabouttheintrinsicvalueofthesecurity.3.Securitypricescanbeusedtomakecorrectdecisionsaboutwhetheraspecificinvestmentisworthmaking.,EvidenceonEfficientMarketsHypothesis,FavorableEvidence1.Investmentanalystsandmutualfundsdontbeatthemarket2.Stockpricesreflectpubliclyavailableinformation:
anticipatedannouncementsdontaffectstockprice3.Stockpricesandexchangeratesclosetorandomwalk4.Technicalanalysisdoesnotoutperformmarket,UnfavorableEvidence,1.Small-firmeffect:
smallfirmshaveabnormallyhighreturns2.Januaryeffect:
highreturnsinJanuary3.Marketoverreaction4.Excessivevolatility5.Meanreversion6.NewinformationisnotalwaysimmediatelyincorporatedintostockpricesOverviewReasonablestartingpointbutnotwholestory,ApplicationInvestingintheStockMarket,RecommendationsfrominvestmentadvisorscannothelpusoutperformthemarketAhottipisprobablyinformationalreadycontainedinthepriceofthestockStockpricesrespondtoannouncementsonlywhentheinformationisnewandunexpectedA“buyandhold”strategyisthemostsensiblestrategyforthesmallinvestor,7.5BehavioralFinance,Itappliesconceptsfromothersocialsciencestounderstandthebehaviorofsecuritiesprices.Thelackofshortselling(causingover-pricedstocks)maybeexplainedbylossaversionThelargetradingvolumemaybeexplainedbyinvestoroverconfidenceStockmarketbubblesmaybeexplainedbyoverconfidenceandsocialcontagion,
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 米什金 货币 金融学 商学院 课件