Idea Transcript
Part II : PORTFOLIO THEORY o Risk and Return o Efficient Diversification o CAPM and APT
o Efficient Markets o Behavioral Finance and Technical Analysis
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Efficient Markets
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Random Walk and the EMH • Random Walk : Stock price changes are random and unpredictable. – Actually submartingale • Expected return is positive over time • Positive trend and random around the trend Security Prices
Time BUS403_Investments_Prof. Chung
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EMH and Competition • The hypothesis that stock prices fully reflect all available information about them. – fully => instantaneously, costlessly, fairly, accurately – Once information becomes available, market participants analyze it. – Competition assures that prices reflect information. BUS403_Investments_Prof. Chung
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Figure 8-1 Cumulative Abnormal Returns Surrounding Takeover Attempts
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Figure 8.2 Stock Price Reaction to CNBC Reports
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Versions of the EMH • Weak-form EMH : stock prices already reflect all information contained in the history of past trading. (past prices, trading volume, etc.) • Semistrong-form : stock prices reflect all publicly available information. (fundamental data on firm’s product line, quality of management, earning forecasts, etc.) • Strong-form : stock prices reflect all relevant information, even inside information.
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정보의 범위
시장의 효율성
내부정보
강형
공개정보
준강형
과거정보
약형
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Implications of the EMH • Technical Analysis - using prices and volume information to search for recurring and predictable patterns in future stock prices. – Useful in Weak form inefficient market – The key to successful technical analysis is a sluggish response of stock prices to fundamental supply-and-demand factors. – Chartists BUS403_Investments_Prof. Chung
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Implications of the EMH (cont’d) • Fundamental Analysis - using economic and accounting information to predict stock prices. – Useful in Semistrong form inefficient market – Earnings, dividends, quality of management, firm’s standing in the industry, prospects for the industry as a whole – Discovery of a good firm does not help an investor if the rest of the market also knows those firms are good. The trick is not to identify a good firm, but to find firms that are better than everyone else’s estimate. BUS403_Investments_Prof. Chung
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Active or Passive Management • Active Management – Security analysis – Timing
• Passive Management – Index Funds – Buy and Hold
• A hybrid strategy – Maintains a passive core and augments its position with one or more actively managed portfolios BUS403_Investments_Prof. Chung
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Weak-Form Test: Ret. predictability • Could speculators find trends in stock returns that would enable them to make abnormal profits? • Returns over short horizons – Positive Serial correlation: positive returns followed by positive returns (Momentum effect)
• Returns over long horizons – Pronounced negative correlation (Reversal effect) – ‘fad hypothesis’ : positive short-horizon serial correlation caused by overshooting and negative long-horizon serial correlation by correction. – Contrarian investment strategy BUS403_Investments_Prof. Chung
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Semistrong-Form Tests: Anomalies • To see whether publicly available information beyond the trading history of a security can be used to improve investment performance • PER effect – Consistent abnormal returns on low PER firms
• Small Firm Effect (SF in January Effect) – Consistent higher average annual returns on small firms; Occurs virtually entirely in January – Neglected Firm effect (less info higher risk higher returns); liquidity effect(less liquid require higher risk premium) BUS403_Investments_Prof. Chung
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Returns in Excess of Risk-Free Rate and in Excess of the SML for size-based portfolios
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Semistrong-Form Tests (cont’d) • Book to Market Ratios – Consistent abnormal returns on high B/M ratio firms
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Semistrong-Form Tests (cont’d) • Post-Earnings Announcement Drift – Large abnormal return on the earnings announcement day (+ for + surprise firms, for – surprise firms) – Appears to adjust to the earnings information only gradually even after the earnings announcement
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Cumulative ARs in Response to Earnings Announcements
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Explanations of Anomalies
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Information Processing • Forecasting Errors – Too much weights given to recent experience (memory bias)
• Overconfidence – People tend to overestimate their ability.
• Conservatism – Too slow in updating their beliefs in response to new information; price will fully reflect new information only gradually
• Sample Size Neglect & Representativeness BUS403_Investments_Prof. Chung
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Behavioral Biases • Framing
– Decisions seem to be affected by how choices are framed.
• Mental Accounting
– A specific form of framing in which people segregate certain decisions
• Regret Avoidance
– Investors have more regret when that decision was more unconventional.
• Prospect Theory
– Utility depends not on the level of wealth, but on changes in wealth from current levels – ‘loss aversion’ in stead of ‘risk aversion’ BUS403_Investments_Prof. Chung
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Cumulative ARs in Response to Earnings Announcements
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Behavioral Biases • Mental Accounting 어렵고 힘들어도 애들 계란은 안 깬 다 [중앙일보] 2009년4월23일 - 올 주식형 460억 빠져나갔지만 어린 이 펀드엔 976억원 들어와
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Figure 9.1 Prospect Theory
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Technical Analysis ㅇ 기술적 분석: 매매시점 판단 (market timing) ㅇ 다우이론(Dow theory) - 가설: 증권시장의 움직임에는 일정한 흐름이 있다 - 주식시장 움직임을 단기변동(일일변동, Daily fluctuation), 중기추세(secondary trend, 수주~수개월), 장 기추세(major trend, 1년 이상)로 구분
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Technical Analysis ㅇ 지지선(support line) vs. 저항선(resistance line)
주가 저항선 지지선
시간
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Technical Analysis ㅇ 도표에 의한 분석 - 선도표(Line Chart) - 봉도표(Bar Chart) - 양초도표(Candle Chart) - 점수도표(P&F Chart, Point and Figure) 고가 종가
시가
시가
종가 저가 < 봉도표 >
< 양초도표 >
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Technical Analysis ㅇ 이동평균선 분석 - 이동평균(Moving average): 일일변동을 제거하고 장기적/ 안정적 가격추세를 얻고자 할 때 - 내재가치로 회귀하려는 주가의 속성을 이용 - 5일, 10일(초단기); 20일(단기); 60일(중기); 120일(장기)
단기
중기
장기
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