市场非有效框架下资产定价理论及其应用

本文依据围绕有效市场假说的争论与金融资产定价理论发展的密切关系,以有效市场假说是否成立为线索,分析了资产定价理论发展的内在联系与发展脉络,并以行为金融资产定价理论与非均衡资产定价理论为代表,对市场非有效前提下金融资产的定价理论及其应用进行了分析。     

行为金融学(BF)对市场有效假说(EMH)假设的质疑

本文对行为金融学对市场有效假说假设提出质疑 ,认为其具有不合理性 ,并就此进行了探讨。     

资本市场分割的中国特例及其理论解释

中国的资本市场分割中．面向国外投资者的H股、B股价格低于面向国内投资者的A股股票价格．这与世界上其他有类似市场分割安排的国家的现象不同。中国的这种市场分割特例引起了众多研究者的兴趣。针对中国市场的特例．拥护有效市场假说和拥护行为金融的学者都提出了自己的观点。本文对这些观点进行了综述和点评，并指出：中国的资本市场分割特例说明资本市场并非总是有效的。     

论心理分析流派与中国股市有效性：从行为金融学说起

有效市场假说把实际决策过程抽象为一个理性投资者追求主观预期效用最大化，从而具有无法克服的缺陷。行为金融学的研究发现人们存在诸多的行为认知偏差，并广泛吸取心理学、社会学、人类学的成果重新解释金融市场上的异常现象，对标准金融理论体系形成巨大冲击。期望理论在行为金融学的确立中起着关键作用，笔者修正其价值函数，认为“面对收益时风险爱好，面对损失时风险厌恶”更符合股市庄家的效用基础，这可能是中国股市效率损失的根源。同时，对于非正式制度对股市效率的影响，行为金融学也有着非常广阔的运用前景。     

有关分形市场假说的理论认识

本文简要介绍了分形市场假说的理论背景,对比了有效市场假说和分形市场假说的区别与联系.在回顾了国内外对于分形市场假说的相关研究成果后,发现实证研究成果表明分形市场假说在全世界范围的各个资本市场内均成立.但目前为止还未有基于分形市场假说发展的资产定价工具.这也是未来进一步研究的重点.     

基于上海证券交易所股票样本的资本资产定价模型有效性检验

本论文以CAPM在我国证券市场有效性检验为切入点,借助统计软件SPSS和EXCEL,选取上海证券交易所2007年1月至2011年3月的50只股票为样本,利用回归分析的方法对CAPM在上海证券交易所的有效性进行实证研究.研究结果表明在上海证券交易所股票的收益率与β系数的相关关系不显著,二者之间没有显著线性关系,CAPM目...     

理性预期、有效市场理论与行为金融理论

预期对任何经济主体都是很重要的,理性预期理论认为经济主体对未来没有运用各种信息做到最好估计成本巨大.有效市场理论就是理性预期理论在证券定价模式中的运用:当前股价已充分反映了所有公开信息并且不存在未被利用的赢利机会,整个市场充分竞争,所有市场参与者都只能是价格的接受者.由于金融市场上出现了许多异常现象,有效市场理论受到了行为金融理论的严峻挑战.     

理性预期、有效市场理论与行为金融理论

预期对任何经济主体都是很重要的,理性预期理论认为经济主体对未来没有运用各种信息做到最好估计成本巨大。有效市场理论就是理性预期理论在证券定价模式中的运用:当前股价已充分反映了所有公开信息并且不存在未被利用的赢利机会,整个市场充分竞争,所有市场参与者都只能是价格的接受者。由于金融市场上出现了许多异常现象,有效市场理论受到了行为金融理论的严峻挑战     

行为金融学:理论、模型与运用

行为金融学作为金融学理论研究的新领域，与现代金融理论的理性分析框架相比，更注重人的实际心理和经济行为。尽管行为金融学在目前还没有形成一个完整的理论体系，研究重点还停留在对市场异常和投资人认知偏差的定性描述和历史观察上，但它为金融理论研究提供了一个新的视角，有广泛的应用前景。     

有效市场假说与分形市场假说之争

作为现代金融理论基石的有效市场假说越来越多少被实践证明不符合现实，而建立在非线性动力系统之上的分形市场假说，利用流动性和投资起点很好地解释了有效市场假说无法解释的各种市场现象。通过定性分析和定量分析表明，有效市场假说只是分形市场假说的一种特殊情况，有效市场只是在某个特定时段才可能出现。但由于分形市场假说在数学建模上的困难，有效市场假说仍具有现实的参考和指导意义。     

标准金融学的经验异常与行为金融学的兴起

被称为“异象”或“谜题”的一些与有效市场假定和标准金融定价模型相矛盾的实证现象带来了对现有标准金融学理论的挑战，也引发了有关金融学范式是否应该转换的论争。对于金融研究范式转换问题的不同立场源自于关于决策行为主体的决策行为基础的不同假定。行为心理基础假定基础上的行为决策分析则构成了行为金融学理论的核心，推动了行为学的兴起，而前景理论则构成行为金融学兴起的决策价值理论基础。     

Efficient Markets Hypothesis and the Emerging Capital Market in Sri Lanka: Evidence from the Colombo Stock Exchange – A Note

The behaviour of stock prices on the Colombo Stock Exchange (CSE) is examined with a view to determine its consistency with the weak form of the Efficient Markets Hypothesis (EMH). Runs, Autocorrelation and Cointegration tests are applied to daily, weekly and monthly CSE index data for the period of January 1991–November 1996. Results of Runs, Correlation and Cointegration tests overwhelmingly reject the serial independence hypothesis, leading to the conclusion that the behaviour of stock prices in the Colombo Stock Exchange is not consistent with the weak form of the Efficient Markets Hypothesis. Tests of the-day-of-the-week-effect, however, show that there is no evidence of such a phenomenon on the Colombo Stock Exchange stock prices. Results of the tests of the-month-of-the-year-effect lead to the conclusion that CSE prices do not display any month-specific behaviour.     

Market Efficiency versus Behavioral Finance

Two prominent economists—one the author of A Random Walk Down Wall Street and the other a leading scholar in behavioral finance—debate the current validity of the efficient markets hypothesis (EMH). For over 30 years, the idea that capital markets are efficient and that stock prices reflect all publicly available information dominated academic thinking. But the bubble of the late 1990s and recent advances in behavioral finance have forced a re-thinking.
Behavioralists argue that markets are at least "weakly" predictable. They also point to evidence that small investors —typically day traders— consistently lose money as a result of "loss aversion,""overconfidence," and other behaviors that are not part of the focus of EMH (though, as Malkiel notes, there is room for irrational investors in an EMH world provided there are enough rational investors to counteract and correct them). Proponents of EMH, of course, argue that neither individual investors nor active fund managers reliably outperform markets, so there is no point paying for active management.
Yet these seemingly disparate views lead to important areas of common ground. In particular, both camps agree that individual investors should stick to broad-based, low-cost index funds. And retirement accounts—either 401Ks or social security accounts—should have limited investment selections in order to minimize the possibility that behavioral problems lead to investor mismanagement.     

Market Structure,Internal Capital Markets,and the Boundaries of the Firm

We study how the creation of an internal capital market (ICM) can invite strategic responses in product markets that, in turn, shape firm boundaries. ICMs provide ex post resource flexibility, but come with ex ante commitment costs. Alternatively, stand‐alones possess commitment ability but lack flexibility. By creating flexibility, integration can sometimes deter a rival's entry, but commitment problems can also invite predatory capital raising. These forces drive different organizational equilibria depending on the integrator's relation to the product market. Hybrid organizational forms like strategic alliances can sometimes dominate integration by offering some of its benefits with fewer strategic costs.     

The Relationship between Fair Value,Market Value,and Efficient Markets*

This paper proposes that an assumption of reasonable market efficiency is at the essence of the relevance of fair value for financial reporting purposes. The paper's examination of this proposal begins with a review of recent academic literature on market efficiency, and on evidence of inefficiencies and their implications for the ability of the efficient market hypothesis to explain what market prices represent. It concludes that there is wide acceptance in this literature that a reasonable level of efficiency can generally be presumed to exist in active, well‐regulated capital markets. The paper examines the essential attributes of a reasonably efficient market for fair value measurement purposes, and some basic implications for its reliable estimation. This is done in comparison with the provisions of the fair value measurement standard of the Financial Accounting Standards Board (FASB) (Statement of Financial Accounting Standards [SFAS] No. 157). It is concluded that the concept of reasonable market efficiency could provide a sound conceptual framework for defining fair value that is founded in real, observable market prices. It is demonstrated that, in contrast, SFAS No. 157 does not provide a clear, unequivocal concept of fair value, and that it permits estimates of fair value that have no demonstrable basis in real, observable market prices. Nevertheless, it appears that arguments typically put forward by the International Accounting Standards Board and the FASB for the relevance of fair value for financial reporting purposes do imply a presumption of reasonably efficient markets.     

非有效市场条件下的行为金融风险

现实中的市场并非都是有效的,金融市场存在着一类基于个人认知能力偏差所引发的特殊的非理性风险.在市场基本面没有变化的情况下,由于信息不对称和个人认知能力差异在一定条件下的结合,导致了大量诸如噪音交易和羊群行为等传统理论无法预期的行为金融风险.