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Lecture 4 – Market Efficiency
ID4246M Business Finance
Dr V G Fitzsimons
University of Bradford
讲座4 — 市场效率
ID4246M 商业理财
Dr V G Fitzsimons
布拉德福德大学
In this lecture
在本讲座中
What is efficiency?
效率是什么
The value of an efficient market
一个有效市场的价值
Random walks
随机游走
Weak-form efficiency
弱式效率
Semi-strong form efficiency
半强式效率
Strong-form efficiency
强式效率
Behavioural finance
行为融资
What is meant by efficiency?
效率是什么意思？
•In an efficient capital market, security (for example shares) prices rationally reflect available information
在一个有效的资本市场，安全性（例如股票）价格合理反映信息
•If new information is revealed about a firm, it will be incorporated into the share price rapidly and rationally, with respect to the direction of the share price movement and the size of that movement
有关一家公司如果有新的信息被披露，它将被纳入股价迅速，合理，股价运动的方向和那场运动的大小
•No trader will be presented with an opportunity for making a return on a share greater than a fair return for the riskiness associated with that share, except by chance
没有商人会回报的份额大于与该股份相关的风险程度获得公平回报的机会，除了偶然
•Stock market efficiency does not mean that investors have perfect powers of prediction
股票市场效率并不意味着投资者有完善的权力预测
•The current share price level is an unbiased estimate of its true economic value based on the information revealed
当前股价水平的无偏估计其真正的经济价值的基础上透露出的信息
Efficiency?
效率？
•Market efficiency does not mean that share prices are equal to true value at every point in time
市场效率并不意味着股票价格等于真正的价值在每一个时间点
•Errors that are made in pricing shares are unbiased; price deviations from true value are random
股票定价上的错误是公正的；来自真正价值的价格偏差是随机的
•There is an equal chance of our being too pessimistic at £3 as being too optimistic
有一个平等的机会，我们太悲观了3英镑过于乐观
•Prices are set by the forces of supply and demand
价格是由供给和需求的力量
•Hundreds of analysts and thousands of traders
数百名分析师和数千名贸易商
•Example: BMW announces a prototype electric car
例如：宝马宣布了电动车原型
What efficiency does not mean
效率不意味着什么
•Prices do not depart from true economic value
价格不脱离真实经济价值
•You will not come across an investor beating the market in any single time period
你不会遇到任何一个时间段的投资者战胜市场
•No investor following a particular investment strategy will beat the market in the long term
没有一个特定的投资策略的投资者会在长期战胜市场
Types of efficiency
效率类型
•1 Operational efficiency
运营效率
•2 Allocational efficiency
分配效率
•3 Pricing efficiency
定价效率
http://www.ukassignment.org/lxszy/
New information (an electric car announcement by BMW) and alternative stock market reactions – efficient and inefficient
新消息（BMW公司发布的电动汽车）和备选股票市场反应——有效和无效
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