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Robert J. Shiller (2008a) @ Open Yale courses
Produced by Ruei Ci Wang (2011)
有效市場簡介
 擁有        、  及
   的資本市場,這時所觀察到的價格是
真實價值的完美指標。

    代表市場有效地反映了所有訊息,
 價格即為反映某種證券內在價值的最佳媒介。
有效市場核心觀念


           相信市場
    “ Trust markets.”
有效市場的歷史
首先提出有效市場假設的人——喬治‧吉普森(1889)
於他的著作《倫敦、巴黎和紐約證券交易所》提到

 「當股票在公開市場中被公眾所認知,
  其價值——即投資者所購得之價值,
 可以被認定為研究該股票的最佳依據。」
有效市場的歷史
首先提出有效市場假設的人——喬治‧吉普森(1889)


值得注意的是,吉普森在1889年就指出:一
旦訊息能以電的速度傳播時,就可以讓訊息充
分反映到市場價格上。然而那時電報(1837)的
發明還不到60年,而電話(1876)也才剛發明。
路透社
 保羅‧朱利斯‧路透(Paul Julius Reuter)在電
報發明前就已經創辦了通訊社。為了幫他的客戶得到
優勢,也就是能比別人先一步得到訊息並搶先決定交
易策略,於是路透先生就養了一堆信鴿,藉由飛鴿傳
書的方式經營通訊社,而這就是今日全世界前三大通
訊社之一——路透社的由來。

擊敗市場的唯一方式,就是得到別人沒有的訊息。

Q: 在有效市場架設下,你有機會得到別人沒有的訊息嗎?
‧如今,傳遞訊息的速度相當快速,但是我們
仌可以改善獲得信息的渠道:
例如:手機、筆電,更能讓我們迅速掌握即時
訊息。

‧許多分析師就會搶著要第一手與股票相關的
訊息,進而先發制人。若是沒有搶到先機,即
無利可圖了。
訊息傳播的速度相當驚人

 一旦重要訊息一公布,可能短短一小時內就
有大單交易, 重要的投資者可能會召開會議,
整合相關資訊討論。

 股票因此在這期間會不斷地震盪起伏,而在
兩小時後價格就會趨向平穩。原因就在於這段
時間已經足夠讓許多人反覆咀嚼此訊息。
訊息傳播的速度相當驚人

 而當你在隔天報紙上看到這則訊息的公布時,
若想從中獲利就相對困難許多,因為訊息已經
充分反應在市場價格上了。

 所以對大多數人而言,我們必須相信市場是
對的,不可能戰勝市場。
定義

 假設所有上市公司的相關訊息皆被公開,如此才能引導可
自由交易的證券,在正常運轉的市場中正確地定價。


在這個假設前提下,衍生出了很多的監管制度
和金融監管機構,使他們能規範信息傳播,避
免內線交易,從而確保公平競爭。
Brealey和Myers在〈七個財務金融的重要觀念〉
文章中,就有一個重要觀念是「有效市場」。
而布萊利和邁爾斯對有效市場假設的定義為:
 「證券價格準確反映了市場上可得到
  的訊息。並會隨著新訊息的透露,
    而迅速作出相應的變動。」
Brealey和Myers在文章中也提到:

「有效市場假設並不是說資本市場不存在稅收
和交易成本,或是沒有智人和愚者之分,而是
說明了資本市場的競爭是激烈的。」

「這裡不存在搖錢樹,想在金融市場中安穩地
做暴發戶是很難的。」
事實上,真正關於有效市場術語的由來是Harry
Roberts (1967) 他定義了市場有三種型態:

 ‧弱有效市場假設

 ‧半強有效市場假設

 ‧強有效市場假設
‧弱有效市場假設
 市場價格已充分反映出所有過去歷史的證券價格訊息。

‧半強有效市場假設
市場價格已充分反映出所有已公開訊息。

‧強有效市場假設
市場價格已充分反映出公司營運的訊息,含未公開的訊息。
強有效市場假設非常脫離現實
 公司之所以存在內幕消息不公開的原因,他們必須
先思考要循何種途徑和用何種方式公布這則訊息。這
就說明不可能存在完全公開訊息的情況。
紙終究包不住火
 有效市場的支持者嘲諷內幕消息仌然會走漏風聲,
不可能存在不公開的訊息。(Really?)

一般提到的有效市場是指半強有效市場假設。
問題來了
那到底怎麼樣才代表證券價格完全反映了所有訊息?
很不幸目前沒有統一的答案,用一個簡單的答案來說
就是

 股票市場價格反映了該股票
  未來股利現值的期望值。
用期望值來代替未來股利的表現,讓這個假設也可
以套用在不支付股利的公司──例如巴菲特的公司
(波克夏‧哈薩威)
 由於投資者預期它會在未來支付股利,所以股票市
場價格即反應了未來股利的表現。
 這也很合理,如果一家公司永遠不支付股利,那大
家為什麼會支持它?如果你想你買來是為了更高價賣
它,則那些買你股票的人又為何要支持它呢?
美國商業週刊2007年1月號提到:

 「2006年12月時「第一聯邦金融」 (小型抵押貸
款公司)的EPS只有8.5。

 當時市場上平均EPS為15,那他們的股價是否有
被低估?同時發現他們公司股票有40%被做空,代表
有40%的人期望他們股票下跌。
文章中提到,第一聯邦金融的放款有80% 是無收
入證明抵押貸款(no-doc mortgages)這不需要資產
擔保,只要出具工作證明,根本是個冒險行為。

同時他們也發放了超高比率的選擇性可調整利率貸款
(Option ARMs)這是一種可以選擇在你有能力償
還的時候償還,沒有能力償還時可以順延的貸款。
這讓第一聯邦金融吸引很多信用不良的人前來借款,
也間接導致違約的風險增加。於是市場上對於其股利
未來現值看跌,按照有效市場假設其股價應下跌。

 儘管在2008年初,第一聯邦金融依舊運作正常,但
是股價從2007年的70美元跌到40美元。這就是有效市
場假設的一個例證,
Random Walk

 隨機漫步理論(Random walk)指出,在有效市場
內,股價及其他投機資產價格均為隨機漫步。


 這個術語要追溯至Karl Pearson (1905)一篇在《自
然》雜誌(Natural)的文章,這個觀點已經有100年
的歷史。
Random Walk

 因為在有效市場上一旦出現新訊息,價格就會做出
最適當的反應,但是新訊息通常是無法預測的,因此
價格變動就變成隨機,如下表示:

  X������+1 = X������ + ������������ , ������������ ������������ ������ℎ������������������ ������������������������������ ������������������������.

 或許我們會說市場上可能會有大崩盤、熊市和牛市
這些操作,但隨機漫步理論的支持者宣稱這些想法是
幻覺,實際上的價格變動是完全不可預測的。
Q:真實的金融市場中,市場價格真的無法預測、訊
息真的會完全公開嗎?真的無法擊敗市場嗎?

 我們似乎難以接受那些在股票市場成為暴發戶的富
人,儘管他們為少數,不過他們依舊在市場中找到預
測的方法。這是否說明了有效市場假設並不正確?

  無論如何,有效市場至少說明一點:
    要打敗市場是非常困難的。

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有效市場假設