part ii : portfolio theory -...
TRANSCRIPT
BUS403_Investments_Prof. Chung 0
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 : Stock price changes are random and unpredictable.
– Actually submartingale
• Expected return is positive over time
• Positive trend and random around the trend
Random Walk and the EMH
Security Prices
Time
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• 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.
EMH and Competition
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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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• 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.
Versions of the EMH
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정보의 범위 시장의 효율성
과거정보
내부정보
공개정보
약형
준강형
강형
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• 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
Implications of the EMH
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• 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.
Implications of the EMH (cont’d)
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• 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
Active or Passive Management
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• 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
Weak-Form Test: Ret. predictability
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• 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)
Semistrong-Form Tests: Anomalies
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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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• Book to Market Ratios – Consistent abnormal returns on high B/M
ratio firms
Semistrong-Form Tests (cont’d)
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• 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
Semistrong-Form Tests (cont’d)
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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
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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’
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Cumulative ARs in Response to Earnings Announcements
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Behavioral Biases
• Mental Accounting
어렵고 힘들어도 애들 계란은 안 깬다 [중앙일보] 2009년4월23일 - 올 주식형 460억 빠져나갔지만 어린이 펀드엔 976억원 들어와
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Figure 9.1 Prospect Theory
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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), 장기추세(major trend, 1년 이상)로 구분
Technical Analysis
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ㅇ 지지선(support line) vs. 저항선(resistance line)
시간
주가
지지선
저항선
Technical Analysis
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ㅇ 도표에 의한 분석
- 선도표(Line Chart)
- 봉도표(Bar Chart)
- 양초도표(Candle Chart)
- 점수도표(P&F Chart, Point and Figure)
< 양초도표 > < 봉도표 >
시가
종가 시가
종가
저가
고가
Technical Analysis
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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)
Technical Analysis
<Golden Cross> <Dead Cross> <대세상승> <대세하락>
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