Lecture Financial markets - Lecture 6: Efficient markets and excess volatility. In this chapter, the following content will be discussed: Efficient Markets Hypothesis vs. Random walk, apparent inability of professionals to make money, Warren Buffet and David Swensen: What does their experience prove?
During the last decade, hedge funds have become one of the most important institutional
investors in global financial markets. Although their activities have been viewed critically by
regulators, politicians, and the public, this negative perspective is often based more on myth
than on thorough economic analysis and empirical facts. Most people lack the necessary
information and understanding of the role that hedge funds play in financial markets. Blaming
them for the financial crisis or other market turbulences is often based on specific conjectures
and not on rigorous research.
Bài giảng "Đầu tư chứng khoán - Chương 3: Cổ phiếu và định giá cổ phiếu" cung cấp cho người học các kiến thức: Khái niệm cổ phiếu, phân loại cổ phiếu, định giá cổ phiếu, lý thuyết về thị trường hiệu quả (EMH-Efficient Market Hypothesis). Mời các bạn cùng tham khảo nội dung chi tiết.
Chapter 11 - The efficient market hypothesis. We critically evaluate recent suggestions for “fundamental indexing” as a response to market errors in security valuation. We show that these strategies are nothing more than variations on the value-tilted portfolio strategies discussed earlier in the chapter.
In this chapter we explore the reasoning behind what may seem a surprising conclusion. We show how competition among analysts leads naturally to market efficiency, and we examine the implications of the efficient market hypothesis for investment policy. We also consider empirical evidence that supports and contradicts the notion of market efficiency.
Motivated by these issues, we study the comovements between the returns
on country-industry portfolios and country-style portfolios for 23 countries, 26
industries, and nine styles during 1980–2005. During this period, markets are
likely to have become more integrated at the world level through increased
capital and trade integration. Also, a number of regional developments have
likely integrated stockmarkets at a regional level.
In this chapter you will: Develop an understanding of the importance and nature of quality control checks, understand the data entry process and data entry alternatives, learn how surveys are tabulated and cross-tabulated, understand the concept of hypothesis development and how to text hypotheses.
Nội dung chính của chương 1 Lý thuyết thị trường hiệu quả nằm trong bài giảng tài chính hành vi nhằm bày về khái niệm thị trường hiệu quả (market efficiency), các mức độ của thị trường hiệu quả (forms of efficient market hypothesis) , sáu bài học của thị trường hiệu quả và phương pháp kiểm định giả thuyết thị trường hiệu quả.
In a “perfect world” environment with no taxes, no transaction costs and perfectly efficient financial markets, capital structure does not matter.
This is known as the Independence hypothesis: firm value is independent of capital structure.
For decades, researchers have been puzzled by three sets of empirical results associated
with the pricing of initial public o¤erings (IPOs). Besides the well-documented
underpricing puzzle and hot-issue market puzzle1, severe long-run underperformance of
IPOs is reported recently by Ritter (1991) and Loughran and Ritter (1995), suggesting
that market ine¢ciency may be even more pervasive than previously recognized. Thus, the
IPO market, albeit small in scale, has become a leading example of anomalies against the
e¢cient market hypothesis (Fama 1998)....
MARKETING HIGHER EDUCATION: APPLYING A CONSUMPTION VALUE MODEL TO COLLEGE CHOICE Chapter One develops this idea and implements tests of the hypothesis that school
effectiveness is an important determinant of residential choices among local-monopoly
school districts. I model a Tiebout-style housing market in which house prices ration
access to desirable schools, which may be desirable either because they are particularly
effective or because they enroll a desirable set of students.
Nội dung của chương 1 Lý thuyết về thị trường hiệu quả nằm trong bài giảng thị trường tài chính nhằm trình bày về khái niệm thị trường hiệu quả (market efficiency), các mức độ của thị trường hiệu quả (forms of efficient market hypothesis), sáu bài học của thị trường hiệu quả, các phương pháp kiểm định giả thuyết thị trường hiệu quả.
Long term interest rates play an important role in economics and Önance due
to their impact on real activity. Nevertheless, it is widely recognized that
forecasting their level is di¢ cult. In the same way, modelling their link to
monetary policy is not so easy even if this relationship appears crucial, as
emphasized by Goodfriend (1993) for the United States. Similarly the same
di¢ culty concerns the rational expectations hypothesis framework in which
most empirical analyses of the term structure of interest rates are conducted.
Using Fed funds futures rates to disentangle expected from unexpected policy actions,
this paper shows that interest rates’ response to the “surprise” component of Fed policy
is signiﬁcantly stronger than the response to the change in the target itself; in fact, rates’
response to the anticipated component of policy actions is minimal, consistent with the
efﬁcient markets hypothesis.
The US subprime turmoil that first emerged in August 2007 and morphed into an
international financial crisis following the bankruptcy of Lehman Brothers in September 2008
was a shock that affected output globally (BIS (2009)). Long before Lehman’s failure, fear of
counterparty defaults had disrupted interbank funding markets, including both secured and
unsecured money markets.
This section discusses the development of the contracting literature and contractual uses of accounting. It develops implications for relative abilities of earnings and cash flows to forecast future cash flows and for the times series properties of earnings and cash flows.
The modern economic theory of the firm views the firm as a set of contracts between a multitude of parties. The underlying hypothesis is that the firm's "contractual designs, both implicit and explicit, are created to minimize transactions costs between specialized factors of production" (Holmstrom and Tirole, 1989, p.
Chương 4 giúp người học tìm hiểu các kiến thức tổng quan về cổ phiếu như: Khái niệm cổ phiếu, phân loại cổ phiếu, định giá cổ phiếu, lý thuyết về thị trường hiệu quả (EMH-Efficient Market Hypothesis). Mời các bạn cùng tham khảo để nắm bắt các nội dung chi tiết.
Despite the success in controlling ináation, during the late 1990s-early 2000 international
capital markets witnessed large swings in stock prices generating concern among academics
and policy-makers about the impact of stock price movements on the real economy and the
broader consequences of ináation targeting. Kontonikas and Ioannidis (2005) show that an
ináation targeting regime with strong interest rate reaction to ináation should lead to lower
stock market volatility. On the other hand, the New Environment Hypothesis (NEH, see
An efﬁcient capital market is one in which security prices adjust rapidly to
the arrival of new information and, therefore, the current prices of securities
reﬂect all information about the security. What this means, in simple terms,
is that no investor should be able to employ readily available information
in order to predict stock price movements quickly enough so as to make a
proﬁt through trading shares.