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Strong-form tests
强势测试
•It is possible to trade shares on the basis of information not in the public domain and make abnormal profits
可以买卖股票的信息的基础上，而不是在公共领域，使非经常性损益
•Trading on inside knowledge is thought to be a ‘bad thing’
交易里面的知识被认为是一个'坏事'
•Insider dealing is considered to be, besides dealing for oneself either counselling or procuring another individual to deal in the securities or communicating knowledge to any other person, while being aware that he or she (or someone else) will deal in those securities
内幕交易被认为是，除了处理自己要么怂使或促致另一人买卖证券向任何其他人士或通信知识，同时意识到，他或她（或其他人）会处理这些证券
•The term ‘insider’http://www.ukassignment.org/dxygassignment covers anyone with sensitive information, not just a company director or employee
术语“内幕”涉及敏感信息的人，不只是一个公司的董事或雇员
•Raise the level of information disclosure
提高信息披露水平
•Prohibit certain individuals from dealing in the company’s shares for crucial time periods
禁止某些个人的关键时刻期间买卖本公司股份
Behavioural finance
行为金融
•Behavioural finance proponents argue that investors frequently make systematic errors and these errors can push the prices of shares away from fundamental value for considerable periods
行为金融的支持者争辩说，投资者经常使系统错误，这些错误可以推股份的价格相当长的时间远离基本价值
•Behavioural finance models offer plausible reasoning for the phenomena we observe in the pattern of share prices
行为金融模型提供了合情推理的现象，我们观察到股价的格局
•They offer persuasive explanations for the outperformance of PER,high dividend yield and low book-to-market ratio shares as well as the poor performance of ‘glamour’shares
他们提供了有说服力的解释，以及跑赢大市的市盈率，高股息收益率和低市净率的市场比例股表现不佳“魅力”股票
•They also shed light on both return reversal and momentum effects, stock market bubbles and irrational pessimism
他们还揭示阐明返回反转和动量效应，股市泡沫和非理性的悲观情绪
The three lines of defence for EMH
有效市场假说的三道防线
1 Investors are rational and hence value securities rationally
投资者是理性的，因此价值理性的证券
2 Even if some investors are not rational, their irrationally inspired trades of securities are random and therefore the effects of their irrational actions cancel each other out without moving prices away from their efficient level
即使一些投资者不理性，非理性的启发证券行业是随机的，因此他们不理性的行为的影响相互抵消价格不动，远离他们的效率水平
3 If the majority of investors are irrational in similar ways and therefore have a tendency to push security values away from the efficient level this will be countered by rational arbitrageurs who eliminate the influence of the irrational traders on prices
如果广大投资者以类似的方式是不合理的，因此有一种倾向，推动安全值从效率水平，这将是反驳理性的套利者消除不合理的贸易商对价格的影响
Arbitrage
套利
•Arbitrage is the act of exploiting price differences on the same security or similar securities by simultaneously selling the overpriced security and buying the underpriced security
套利是利用相同的安全性或类似的证券价格差异的行为，同时销售价格过高的安全性和购买被低估的安全
•Perfect arbitrage: a profit without any risk at all (and even without money)
完美的套利：所有利润没有任何风险（甚至没有钱）
•To be effective the arbitrageur needs to be able to purchase or sell a close-substitute security
要有效套利者需要能够购买或出售密切替代安全
•For example you discover that Unilever’s shares are undervalued
例如，你发现联合利华的股价被低估
•The risk of other fundamental factors influencing the shares of Unilever and P&G
其他基本因素影响的风险联合利华和宝洁股份
•The risk that the irrational investors push irrationality to new heights
风险，非理性的投资者推到新的高度的非理性
•‘Risk arbitrage’ and risk-free arbitrage
风险套利和无风险套利
Some cognitive errors made by investors
•The combination of limited arbitrage and investor sentiment pushing the market leads to inefficient pricing
•Both elements are necessary
•Overconfidence
•Representativenes
•Conservatism
•Narrow framing
•Ambiguity aversion
•Positive feedback and extrapolative expectations
•Regret
•Confirmation bias
•Cognitive dissonance
•Availability bias
•Miscalculation of probabilities
•Anchoring
Misconceptions about the efficient market hypothesis
1 Any share portfolio will perform as well as or better than a special trading rule designed to outperform the market
2 There should be fewer price fluctuations
3 Only a minority of investors are actively trading, most are passive, therefore efficiency cannot be achieved
Implications of the EMH for investors
1 For the vast majority of people public information cannot be used to earn abnormal returns
2 Investors need to press for a greater volume of timely information
3 The perception of a fair game market could be improved by more constraints and deterrents placed on insider dealers
Implications of the EMH for companies
公司EMH的启示
1 Focus on substance, not on short-term appearance
注重物质，而不是短期的外观
2 The timing of security issues does not have to be fine-tuned
安全性问题的时序不必进行微调不动
3 Large quantities of new shares can be sold without moving the price
大量新股可以不动价格出售
4 Signals from price movements should be taken seriously
从价格变动的信号应该认真对待
Concluding comments
结论意见
•Sophisticated stock markets are substantially efficient
先进的股票市场大幅有效率
•Question the assumption that all investors respond in a similar manner to the same risk and return factors and that these can be easily identified
问题的假设，所有投资者以类似的方式响应相同的风险和返回因素，这些可以很容易地确定
•One way of ‘outperforming’ the market might be to select shares the attributes of which you dislike less than the other investors
方法之一“跑赢”市场可能选择股票的属性，你不喜欢小于其他投资者
•Another way is through luck
另一种方式是靠运气
•Possessing superior analytical skills
拥有卓越的分析能力
•Through the discovery of a trading rule which works
通过发现的交易规则
•To be quicker than anyone else
要比谁更快
•To become an insider
要成为内幕
Lecture review
讲座回顾
•Strong-form efficiency
强式效率
•Insider dealing
内幕交易
•Behavioural finance studies
行为金融研究
•Implications of the EMH for investors
对投资者的有效市场假说的影响
•Implications of the EMH for companies
为企业的有效市场假说的影响
Sources
来源
Arnold, Glen (2005) Corporate Financial Management. (3rd ed., FT Prentice Hall) Ch.14.
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