金融市场与金融机构 第六章

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1、ChapterSixTHETHEORYOFEFFICIENTCAPITALMARKETSPartIIPrinciplesofFinancialMarketsChapterOutlineTheoryofRationalExpectationsEfficientMarketsTheoryTheoryofRationalExpectationsExample:SupposethatwhenJoetravelswhenitisnotrushhour,ittakesaverageof30minutesforhist

2、riptowork.Sometimesittakeshim35minutes,othertimes25minutes,buttheaveragenot-rush-hourdrivingtimeis30minutes.If,howeverJoeleavesforwokduringtherushhour,ittakeshim,onaverage,anadditional10minutestowok.Giventhathisexpectationarerational,whatshouldJoeexpecthi

3、sdrivingtimetobe?TheoryofRationalExpectationsRationalexpectation(RE)=expectationthatisoptimalforecast(bestpredictionoffuture)usingallavailableinformation:i.e.,REXe=XofRationalexpectation,althoughoptimalprediction,maynotbeaccurate2reasonsexpectationmaynot

4、berational1.Notbestprediction2.NotuseavailableinformationImplications:1.Changeinwayvariablemoves,wayexpectationsformedchanges2.Forecasterrorsonaverage=0andarenotpredictableTheoryofRationalExpectationsRationalexpectationsmakessensebecauseiscostlynottohaveo

5、ptimalforecastEfficientMarketHypothesis:RationalExpectationsAppliedtoFinancialMarketsEfficientMarketsHypothesisWhenfinancialmarketsareinequilibrium,pricesoffinancialinstrumentsreflectallreadilyavailableinformationExpectationsinthefinancialmarketsareequalt

6、ooptimalforecastsusingallavailableinformationEfficientMarketsTheoryEfficientMarketsTheoryRationalExpectationsimplies:Pet+1=Poft+1RETe=RETof(1)MarketequilibriumRETe=RET*(2)Put(1)and(2)together:EfficientMarketsTheoryRETof=RET*EfficientMarketsTheoryCurrentp

7、ricesinafinancialmarketwillbesetsothattheoptimalforecastofasecurity’sreturnusingallavailableinformationequalsthesecurity’sequilibriumreturn.Asecurity’spricefullyreflectsallavailableinformationinanefficientmarket.WhyEfficientMarketsTheorymakessenseIfRETof>

8、RET*Pt,RETofIfRETof