财务会计理论SCCOT第四章有效证券市场PPT课件

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1、 Financial Accounting Theory Chapter 4Chapter 4：Efficient Securities MarketsEfficient Securities Markets潘克勤潘克勤潘克勤潘克勤本章的结构本章的结构有效性有效性有效性有效性的含义的含义的含义的含义财务报财务报财务报财务报告含义告含义告含义告含义CAPMCAPM模型模型模型模型信息不对称信息不对称信息不对称信息不对称/内内内内部交易、逆向部交易、逆向部交易、逆向部交易、逆向选择选择选择选择充分充分充分充分披露披露披露披露本章的目的本章的目的l l1 1、证券市场是半强势有效的！、证券市场是半强

2、势有效的！、证券市场是半强势有效的！、证券市场是半强势有效的！证券市场上每一种证券价格反映了已经公开的证券市场上每一种证券价格反映了已经公开的证券市场上每一种证券价格反映了已经公开的证券市场上每一种证券价格反映了已经公开的所有信息所有信息所有信息所有信息此时，证券价格就是内在价值吗？此时，证券价格就是内在价值吗？此时，证券价格就是内在价值吗？此时，证券价格就是内在价值吗？否！除非没有内部信息！否！除非没有内部信息！否！除非没有内部信息！否！除非没有内部信息！l l2 2、财务会计的用武之地、财务会计的用武之地、财务会计的用武之地、财务会计的用武之地充分披露，让证券价格接近内在价值，增强市充分披

3、露，让证券价格接近内在价值，增强市充分披露，让证券价格接近内在价值，增强市充分披露，让证券价格接近内在价值，增强市场配置资源的效率！场配置资源的效率！场配置资源的效率！场配置资源的效率！l l3 3、财务会计面临挑战、财务会计面临挑战、财务会计面临挑战、财务会计面临挑战其他信息渠道其他信息渠道其他信息渠道其他信息渠道 Definition of Efficient Markets lAn efficient capital market is a market that is efficient in processing information.lWe are talking about a

4、n“informationally efficient”market,as opposed to a“transactionally efficient”market.In other words,we mean that the market quickly and correctly adjusts to new information.lIn an informationally efficient market,the prices of securities observed at any time are based on“correct”evaluation of all inf

5、ormation available at that time.lTherefore,in an efficient market,prices immediately and fully reflect available information.Definition of Efficient Markets(cont.)lProfessor Eugene Fama,who coined the phrase“efficient markets”,defined market efficiency as follows:In an efficient market,competition a

6、mong the In an efficient market,competition among the many intelligent participants leads to a situation many intelligent participants leads to a situation where,at any point in time,actual prices of individual where,at any point in time,actual prices of individual securities already reflect the eff

7、ects of information securities already reflect the effects of information based both on events that have already occurred and based both on events that have already occurred and on events which,as of now,the market expects to on events which,as of now,the market expects to take place in the future.t

8、ake place in the future.In other words,in an efficient market at any point in In other words,in an efficient market at any point in time the actual price of a security will be a good time the actual price of a security will be a good estimate of its intrinsic value.estimate of its intrinsic value.Hi

9、storylPrior to the 1950s it was generally believed that the use of fundamental or technical approaches could“beat the market”(though technical analysis has always been seen as something akin to voodoo).lIn the 1950s and 1960s studies began to provide evidence against this view.lIn particular,researc

10、hers found that stock price changes(not prices themselves)followed a“random walk.”lThey also found that stock prices reacted to new information almost instantly,not gradually as had been believed.The Efficient Markets Hypothesis lThe Efficient Markets Hypothesis(EMH)is made up of three progressively

11、 stronger forms:Weak FormSemi-strong FormStrong FormThe EMH GraphicallylIn this diagram,the circles represent the amount of information that each form of the EMH includes.lNote that the weak form covers the least amount of information,and the strong form covers all information.lAlso note that each s

12、uccessive form includes the previous ones.All historical prices and returnsAll public informationAll information,public and privateThe Weak Forml lThe weak form of the EMH says that past prices,volume,and The weak form of the EMH says that past prices,volume,and other market statistics provide no in

13、formation that can be used other market statistics provide no information that can be used to predict future prices.to predict future prices.l lIf If stock pricestock price changes are random,then changes are random,then past pricespast prices cannot be cannot be used to forecast future prices.used

14、to forecast future prices.l lPrice changes should be random because it is information that Price changes should be random because it is information that drives these changes,and drives these changes,and information arrives randomlyinformation arrives randomly.l lPrices should change very quickly and

15、 to the correct level when Prices should change very quickly and to the correct level when new information arrives(see next slide).new information arrives(see next slide).l lThis form of the EMH,if correct,This form of the EMH,if correct,repudiates technical analysisrepudiates technical analysis.l l

16、Most research supports the notion that the markets are weak Most research supports the notion that the markets are weak form efficient.form efficient.The Semi-strong FormlThe semi-strong form says that prices fully reflect all publicly available information and expectations about the future.lThis su

17、ggests that prices adjust very rapidly to new information,and that old information cannot be used to earn superior returns.lThe semi-strong form,if correct,repudiates fundamental analysis.lMost studies find that the markets are reasonably efficient in this sense,but the evidence is somewhat mixed.Th

18、e Strong FormlThe strong form says that prices fully reflect all information,whether publicly available or not.lEven the knowledge of material,non-public information cannot be used to earn superior results.lMost studies have found that the markets are not efficient in this sense.AnomalieslAnomalies

19、are unexplained empirical results that contradict the EMH:The Size effect.The“Incredible”January Effect.P/E Effect.Day of the Week(Monday Effect).The Size EffectlBeginning in the early 1980s,a number of studies found that the stocks of small firms typically outperform(on a risk-adjusted basis)the st

20、ocks of large firms.lThis is even true among the large-capitalization stocks within the S&P 500.The smaller(but still large)stocks tend to outperform the really large ones.The“Incredible”January EffectlStock returns appear to be higher in January than in other months of the year.lThis may be related

21、 to the size effect since it is mostly small firms that outperform in January.lIt may also be related to end of year tax sellingSelling of securities,usually at year end,to realize losses in a portfolio,which can be used to offset capital gains and thereby lower an investors tax liability.The P/E Ef

22、fectlIt has been found that portfolios of“low P/E”stocks generally outperform portfolios of“high P/E”stocks.lThis may be related to the size effect since there is a high correlation between the stock price and the P/E.lIt may be that buying low P/E stocks is essentially the same as buying small comp

23、any stocks.The Day of the Week EffectlBased on daily stock prices from 1963 to 1985 Keim found that returns are higher on Fridays and lower on Mondays than should be expected.lThis is partly due to the fact that Monday returns actually reflect the entire Friday close to Monday close time period(week

24、end plus Monday),rather than just one day.lMoreover,after the stock market crash in 1987,this effect disappeared completely and Monday became the best performing day of the week between 1989 and 1998.Summary of Tests of the EMHlWeak form is supported,so technical analysis cannot consistently outperf

25、orm the market.lSemi-strong form is mostly supported,so fundamental analysis cannot consistently outperform the market.lStrong form is generally not supported.If you have secret(“insider”)information,you CAN use it to earn excess returns on a consistent basis.lUltimately,most believe that the market

26、 is very efficient,though not perfectly efficient.It is unlikely that any system of analysis could consistently and significantly beat the market(adjusted for costs and risk)over the long run.Summary of Tests of the EMHl lFundamental analysisFundamental analysisEvaluation of a companys stock based o

27、n an examination of the firms financial statements.l lTechnical analysisTechnical analysisAttempts to predict the market price of a companys stock based on historical price performance and overall stock market trends.Efficient Securities Marketsl lDefinition(Semi-strong form)Definition(Semi-strong f

28、orm)At all timesAt all timesFully reflect.Fully reflect.All All publicly availablepublicly available information informationA relative conceptA relative conceptEfficiency defined relative to a stock of publicly Efficiency defined relative to a stock of publicly available informationavailable informa

29、tionAccounting Implications of Securities Market Efficiencyl lW.Beaver,“What Should Be the W.Beaver,“What Should Be the FASBsFASBs Objectives,”Objectives,”Journal of Accountancy Journal of Accountancy(1973)(1973)Full disclosure,incl.acc.policiesFull disclosure,incl.acc.policiesAccounting policies do

30、 not matter(unless cash flow Accounting policies do not matter(unless cash flow effects)effects)“Nave”investors price-protected“Nave”investors price-protectedAccountants in competitionAccountants in competitionAccounting Implications of Securities Market Efficiencyl l只要会计政策没有导致现金流量产生差别的后果，只要会计政策没有导致

31、现金流量产生差别的后果，只要会计政策没有导致现金流量产生差别的后果，只要会计政策没有导致现金流量产生差别的后果，或对所采用的特定会计政策所形成的差别予以披或对所采用的特定会计政策所形成的差别予以披或对所采用的特定会计政策所形成的差别予以披或对所采用的特定会计政策所形成的差别予以披露，以及投资者能获得足够的信息以致能够在不露，以及投资者能获得足够的信息以致能够在不露，以及投资者能获得足够的信息以致能够在不露，以及投资者能获得足够的信息以致能够在不同的会计政策之间做出抉择的话，公司所采取的同的会计政策之间做出抉择的话，公司所采取的同的会计政策之间做出抉择的话，公司所采取的同的会计政策之间做出抉择的

32、话，公司所采取的会计政策便不会影响证券的市价会计政策便不会影响证券的市价会计政策便不会影响证券的市价会计政策便不会影响证券的市价l l只要会计政策没有导致现金流量产生差别的后果，只要会计政策没有导致现金流量产生差别的后果，只要会计政策没有导致现金流量产生差别的后果，只要会计政策没有导致现金流量产生差别的后果，或对所采用的特定会计政策所形成的差别予以披或对所采用的特定会计政策所形成的差别予以披或对所采用的特定会计政策所形成的差别予以披或对所采用的特定会计政策所形成的差别予以披露，以及投资者能获得足够的信息以致能够在不露，以及投资者能获得足够的信息以致能够在不露，以及投资者能获得足够的信息以致能够

33、在不露，以及投资者能获得足够的信息以致能够在不同的会计政策之间做出抉择的话，公司所采取的同的会计政策之间做出抉择的话，公司所采取的同的会计政策之间做出抉择的话，公司所采取的同的会计政策之间做出抉择的话，公司所采取的会计政策便不会影响证券的市价会计政策便不会影响证券的市价会计政策便不会影响证券的市价会计政策便不会影响证券的市价Accounting Implications of Securities Market Efficiencyl l市场的有效性意味着公司不必过分考虑无知的投市场的有效性意味着公司不必过分考虑无知的投市场的有效性意味着公司不必过分考虑无知的投市场的有效性意味着公司不必过分考

34、虑无知的投资者，即财务报表信息不必用过于简单的方式表资者，即财务报表信息不必用过于简单的方式表资者，即财务报表信息不必用过于简单的方式表资者，即财务报表信息不必用过于简单的方式表达，以致任何人都能理解。达，以致任何人都能理解。达，以致任何人都能理解。达，以致任何人都能理解。l l会计人员正在与其他信息提供者相互竞争。如果会计人员正在与其他信息提供者相互竞争。如果会计人员正在与其他信息提供者相互竞争。如果会计人员正在与其他信息提供者相互竞争。如果会计人员不提供有用的成本效益的信息，会计的会计人员不提供有用的成本效益的信息，会计的会计人员不提供有用的成本效益的信息，会计的会计人员不提供有用的成本效

35、益的信息，会计的有用性职能会日益衰退而为其他信息渠道所取代有用性职能会日益衰退而为其他信息渠道所取代有用性职能会日益衰退而为其他信息渠道所取代有用性职能会日益衰退而为其他信息渠道所取代The Information of Share Price:A Logical Inconsistencyl lFully Informative Share PricesFully Informative Share PricesMarket prices collapseMarket prices collapseNo role for accounting informationNo role for a

36、ccounting informationl lPartly Informative Share Prices Partly Informative Share Prices Noise tradersNoise tradersInformation AsymmetryInformation AsymmetryCAPMl l证券市场是半强势有效的证券市场是半强势有效的证券市场是半强势有效的证券市场是半强势有效的财务会计信息披露财务会计信息披露财务会计信息披露财务会计信息披露应该能够影响公司股价应该能够影响公司股价应该能够影响公司股价应该能够影响公司股价怎么影响？怎么影响？怎么影响？怎么影响？l

37、 lCAPMCAPM模型！模型！模型！模型！CAPM：怎么来的？MCAPM：预期报酬之计算工具Only firm-specific component isOnly firm-specific component is j jl l j j是什么？公司股票相对于整个大盘的表现情况！公司面向市场大势的反应公司对于系统风险的反应l l公司特定风险对要求报酬的影响体现在哪里？投资人通过多元化投资，基本消除了个股特定风险CAPM：会计信息怎么影响股票价格？从从从从T T年末时点看，某股票年末时点看，某股票年末时点看，某股票年末时点看，某股票T T期间的投资报酬率为（事后的）期间的投资报酬率为（事后的）

38、期间的投资报酬率为（事后的）期间的投资报酬率为（事后的）从年初时点看，某股票从年初时点看，某股票从年初时点看，某股票从年初时点看，某股票T T期间的投资报酬率为（预期的）期间的投资报酬率为（预期的）期间的投资报酬率为（预期的）期间的投资报酬率为（预期的）而：而：而：而：会计信息的作用：改变人们对于会计信息的作用：改变人们对于会计信息的作用：改变人们对于会计信息的作用：改变人们对于 的认识；但是会的认识；但是会的认识；但是会的认识；但是会计信息不可能改变计信息不可能改变计信息不可能改变计信息不可能改变、E E（R Rmtmt）和和和和R Rf f是可以预期的是可以预期的是可以预期的是可以预期的

39、在在在在 不变的情况下，人们必然调整不变的情况下，人们必然调整不变的情况下，人们必然调整不变的情况下，人们必然调整CAPM：会计信息怎么影响股票价格？公式公式公式公式1 1的寓意是什么？的寓意是什么？的寓意是什么？的寓意是什么？寓意寓意寓意寓意1 1：给定未来股价和股利变动，则：给定未来股价和股利变动，则：给定未来股价和股利变动，则：给定未来股价和股利变动，则 越大，目前越大，目前越大，目前越大，目前股价变动越小股价变动越小股价变动越小股价变动越小寓意寓意寓意寓意2 2：给定：给定：给定：给定 值，则预期未来股价和股利变动越值，则预期未来股价和股利变动越值，则预期未来股价和股利变动越值，则预期

40、未来股价和股利变动越大，则目前股价变动越大大，则目前股价变动越大大，则目前股价变动越大大，则目前股价变动越大CAPM：主要用途l l1 1、清楚地指出，股票价格如何依赖于投资人对未、清楚地指出，股票价格如何依赖于投资人对未、清楚地指出，股票价格如何依赖于投资人对未、清楚地指出，股票价格如何依赖于投资人对未来股价及股利的预测来股价及股利的预测来股价及股利的预测来股价及股利的预测l l2 2、CAPMCAPM之市场模型及其作用之市场模型及其作用之市场模型及其作用之市场模型及其作用 含义：含义：含义：含义：某一证券收益有两部分构成：预期收益和某一证券收益有两部分构成：预期收益和某一证券收益有两部分构

41、成：预期收益和某一证券收益有两部分构成：预期收益和未预期收益。未预期收益。未预期收益。未预期收益。j j+j j*R RMtMt为预期部分，为预期部分，为预期部分，为预期部分，jt jt为未予期部为未予期部为未予期部为未予期部分分分分 l l3 3、收集某一证券、收集某一证券、收集某一证券、收集某一证券NN期的历史期的历史期的历史期的历史R Rjt jt ，NN期的期的期的期的R RMtMt，就可，就可，就可，就可以估计该证券的以估计该证券的以估计该证券的以估计该证券的 值，并计算出所谓的值，并计算出所谓的值，并计算出所谓的值，并计算出所谓的 j jCAPM：主要用途l l4 4、计算出某一股

42、票历史的、计算出某一股票历史的、计算出某一股票历史的、计算出某一股票历史的 j j和和和和 j j有什么用？有什么用？有什么用？有什么用？假定公司长期的假定公司长期的假定公司长期的假定公司长期的 j j值不变，可以用来计算在新值不变，可以用来计算在新值不变，可以用来计算在新值不变，可以用来计算在新的市场条件下（的市场条件下（的市场条件下（的市场条件下（E(RE(RMtMt），未来该股票的预期），未来该股票的预期），未来该股票的预期），未来该股票的预期收益。收益。收益。收益。未来真正实现的收益，与上述预期收益之差额，未来真正实现的收益，与上述预期收益之差额，未来真正实现的收益，与上述预期收益之差

43、额，未来真正实现的收益，与上述预期收益之差额，即为即为即为即为jt jt，称之为非正常收益（称之为非正常收益（称之为非正常收益（称之为非正常收益（Abnormal ReturnAbnormal Return）Information Asymmetry and Role of Financial Reportingl lThe Adverse Selection ProblemThe Adverse Selection ProblemInside informationInside informationInsider tradingInsider tradingl lSecurity Pric

44、es Do Not Reflect Fundamental ValueSecurity Prices Do Not Reflect Fundamental ValueMisallocation of scarce capitalMisallocation of scarce capitall lAllAll Share Prices Suffer(cost of capital)Share Prices Suffer(cost of capital)Investors cannot distinguish good from badInvestors cannot distinguish go

45、od from badthin markets,as investors withdrawthin markets,as investors withdrawInformation Asymmetry and Role of Financial Reportingl lAnalogy With Used Car MarketAnalogy With Used Car MarketAkerloffAkerloff(1970),lemons(1970),lemonsl lIn Extreme Cases,Market Collapses,or Does Not In Extreme Cases,M

46、arket Collapses,or Does Not Develop in the First PlaceDevelop in the First Placel lControlControl Adverse Selection by Means of Adverse Selection by Means of Full DisclosureFull Disclosure公开信息内部信息内部信息内部信息内部信息有效证券市场有效证券市场有效证券市场有效证券市场 财务会计的角色财务会计的角色财务会计的角色财务会计的角色 公司的内在价值公司的内在价值公司的内在价值公司的内在价值 An Exampl

47、e of Full Disclosurel lManagement Discussion and AnalysisManagement Discussion and AnalysisForward-looking orientationForward-looking orientationConcept of information system is implicitConcept of information system is implicitMore relevant than historical cost-based financial More relevant than historical cost-based financial statements.Less reliable?statements.Less reliable?Reasonably consistent with decision theoryReasonably consistent with decision theoryTHE END!