第七章效率市场
第七章 效率市场
Maurice Kendall, The analysis of economic time series part I: Prices Journal of the Royal statistical society 96, 1953 He could identify no predictable patterns in stock prices
Maurice Kendall, The analysis of economic time series, Part I: Prices, Journal of the Royal statistical society 96, 1953. – He could identify no predictable patterns in stock prices
投资者和分析师之间的竞争导致市场的 有效性 有效市场假设对于投资政策的启示 有效市场的实证结果
投资者和分析师之间的竞争导致市场的 有效性 有效市场假设对于投资政策的启示 有效市场的实证结果
1. Why are not stock prices predictable? 例子:假设存在一个准确的模型,预测 股票价格三天后将从20元/服涨至23元/股 所有知道该模型的投资者 不知道该模型的投资者
1. Why are not stock prices predictable? 例子：假设存在一个准确的模型，预测 股票价格三天后将从20元/股涨至23元/股 – 所有知道该模型的投资者 – 不知道该模型的投资者
The forecast of a future price increase will lead instead to an immediate price increase the stock price will immediately reflect the good news implicit in the models forecast
The forecast of a future price increase will lead instead to an immediate price increase the stock price will immediately reflect the good news implicit in the model’s forecast