LOGO

Market Effeciency Definition, Test and Evidence

Nhm 9: Hunh Th Thin inh Phan Ton Trung Nguyn Th Mng Tuyn GVHD: PGS.TS. TRN TH THY LINH

NI DUNG
1 2
GII THIU CHUNG V TTHQ CC PHNG PHP KIM NH TTHQ

3
4 5

BNG CHNG V TH TRNG HIU Qu

NHNG YU T BT THNG

KT LUN

www.themegallery.com

Th trng hiu qu l gi ?
TTHQ l th trng trong gi th trng l mt c tnh khch quan ca gi tr thc ca u t TTHQ khng yu cu gi th trng bng vi gi tr thc mi im Chnh lch gi l ngu nhin Khng c mi tng quan gia cc chnh lch gi Khng c nhm nh u t no c th lun tm thy c phiu nh di hay trn gi cho d s dng bt k chin lc u t no

Company Logo

www.themegallery.com

Phn loi th trng hiu qu

Theo Fama (1971) Th trng hiu qu dng yu: gi hin ti phn nh thng tin cha ng trong tt c gi qu kh Th trng hiu qu dng va : gi hin ti phn nh thng tin cha ng khng ch trong gi qa kh m cn nhng thng tin i chng Th trng hiu qu dng mnh: gi hin ti phn nh tt c cc thng tin, i chng cng nh c nhn

Company Logo

www.themegallery.com

Cc ng ca th trng hiu qu :
Khng c nhm nh u t no c th lun nh bi th trng nu s dng chin lc u t thng thng

Chin lc a dng ha ngu nhin cc chng khon gnh chu t chi ph thng tin v gim thiu chi ph thc hin Chin lc gim thiu giao dch tt hn giao dch thng xuyn

Company Logo

www.themegallery.com

nh v th trng hiu qu
nh 1 : Xc sut ca vic tm kim khng hiu qu trong mt th trng ti sn gim khi s d dng trong kinh doanh trn ti sn gia tng

nh 2 : Xc sut ca vic tm kim s khng hiu qu trong mt th trng ti sn tng ln khi cc chi ph giao dch v chi ph khai thc thng tin khng hiu qu gia tng

nh 3 : Tc m tnh khng hiu qu c gii quyt s trc tip lin quan n cc k hoch khai thc tnh khng hiu qu c th c nhn rng bi cc nh u t khc d dng nh th no.

Company Logo

www.themegallery.com

Cc phng php kim nh tnh hiu qu TT

A . Nghin cu s kin (1) S kin ny phi c nghin cu xc nh r rng, v xc nh chnh xc ngy m s kin ny c cng b.

(2) Mt khi nhng s kin c bit n, thu thp cc li nhun xung quanh nhng ngy ny cho mi ca cc doanh nghip trong mu R-jn ................. Rj0 ..................R+jn
Return window: -n to +n where, Rjt = Returns on firm j for period t (t = -n, ...,0, .... +n)

Company Logo

www.themegallery.com

Cc phng php kim nh tnh hiu qu TT

(3) iu chnh li nhun vt tri cho mi cng ty trong mu theo li nhun v ri ro th trng Excess Return on period t = Return on day t (Riskfree rate + Beta * Return on market on day t) ER-jn ................. ERj0 ..................ER+jn

Return window: -n to +n where, ERjt = Excess Returns on firm j for period t (t = -n, ...,0, .... +n)

Company Logo

www.themegallery.com

Cc phng php kim nh tnh hiu qu TT

(4) T sut sinh li vt tri trong giai on ny c tnh trung bnh tt c cc doanh nghip trong mu v tnh lch chun Average excess return on day t= ERjt/ N (j = 1.N) where, N = Number of events in the event study (5) Cc cu hi v li nhun vt tri xung quanh thng bo l khc nhau t s khng c tr li bng cch c lng thng k t cho mi n Thng k T i vi li nhun vt tri vo ngy t = Li nhun vt tri trung bnh/ lch chun Nu thng k t c ngha, th s kin tc ng n li nhun : tc ng tiu cc hay tch cc.

Company Logo

www.themegallery.com

Table 6.1: Excess Returns around Option Listing Announcement Dates

Trading Day Average Excess Return Cumulative Excess Return T Statistic

-10
-9 -8 -7 -6 -5 -4 -3 -2 -1 1 0 2 3 4 5

0.17%
0.48% -0.24% 0.28% 0.04% -0.46% -0.26% -0.11% 0.26% 0.29% 0.17% 0.01% 0.14% 0.04% 0.18% 0.56%

0.17%
0.65% 0.41% 0.69% 0.73% 0.27% 0.01% -0.10% 0.16% 0.45% 0.63% 0.46% 0.77% 0.81% 0.99% 1.55%

1.30
1.66 1.43 1.62 1.62 1.24 1.02 0.93 1.09 1.28 1.37 1.27 1.44 1.44 1.54 1.88

0.22%

1.77%

1.99

Company Logo

www.themegallery.com

Cc phng php kim nh tnh hiu qu TT

B - Nghin cu danh mc (1) Bin cc doanh nghip s c phn loi c xc nh, bng cch s dng chin lc u t nh mt hng dn (2) Cc d liu v bin c thu thp cho mi cng ty c xc nh vo lc bt u ca giai on kim nh, v cc cng ty c xp vo danh mc u t da trn ln ca bin

(3) Thu thp li nhun ca mi cng ty trong mi danh mc u t trong giai on kim nh v tnh ton li nhun cho tng danh mc, gi nh chung rng cc c phiu c t trng bng nhau.

Company Logo

www.themegallery.com

Cc phng php kim nh tnh hiu qu TT

(4) c tnh beta (nu s dng m hnh mt nhn t ) hoc cc beta ( nu s dng m hnh a nhn t) ca mi danh mc u t, bao gm tnh beta trung bnh ca tng c phiu v hi quy li nhun ca danh mc u t so vi li nhun th trng trong mt khong thi gian trc (5) Tnh ton li nhun vt tri cho mi danh mc trong mi tng quan vi lch chun ca li nhun vt tri (6) C mt s kim nh thng k c sn kim tra xem li nhun vt tri trung bnh, trn thc t, khc nhau trn ton danh mc u

(7) Cui kim nh, cc danh mc u t ni bt c th c kt hp vi nhau xem liu c s khc bit c ngha thng k qua cc danh mc u t.
Company Logo

www.themegallery.com

Minh ha 8.2: V d v nghin cu danh mc P/E

Bc 1:S dng d liu P/E t cui nm 1987 ca cc doanh nghip trn th trng chng khon New York c phn thnh 5 nhm, nhm u tin bao gm cc c phiu c P/E thp nht, nhm th 5 l nhm bao gm cc c phiu c P/E cao nht. Cc doanh nghip c P-E<0 s b loi Bc 2: Tnh ton li nhun mi danh mc u t t nm 19881992. C phiu c b ph sn hoc b hy b nim yt c xem l li nhun : -100%. Bc 3: Tnh ton Betas ca mi chng khon trong mi danh mc u t s dng li nhun t 1983-1987, v c tnh beta trung bnh cho mi danh mc. Cc danh mc u t c gi nh l c t trong bng nhau.

Company Logo

www.themegallery.com

Minh ha 8.2: V d v nghin cu danh mc P/E

Bc 4: Tnh li nhun ca ch s th trng t 1988 n 1992. Bc 5: Tnh li nhun vt tri ca mi danh mc s dng d liu t 1988 n 1992. Bng 6.2 Tm tt li nhun vt tri mi nm t 1988 n 1992 cho mi danh mc u t Bc 6 : s dng kim nh F v kim nh Chi-squared xem xt liu s khc bit trn ton danh mc u t l c ngha thng k hay khng

Company Logo

www.themegallery.com

Minh ha 8.2: V d v nghin cu danh mc P/E

Table 6.2: Excess Returns from 1988 to 1992 for PE Ratio Portfolios

P/E Class Lowest

1988 3.84%

1989 -0.83%

1990 2.10%

1991 6.68%

1992 0.64%

1988-1992 2.61%

2
3 4 Highest

1.75%
0.20% -1.25% -1.74%

2.26%
-3.15% -0.94% -0.63%

0.19%
-0.20% -0.65% -1.44%

1.09%
0.17% -1.99% -4.06%

1.13%
0.12% -0.48% -1.25%

1.56%
-0.59% -1.15% -1.95%

Company Logo

www.themegallery.com

Cc cm by trong kim nh TTHQ

S dng bng chng h tr / bc b mt chin lc u t Kim nh chin lc u t trn cng mt d liu v khong thi gian m t n c chn Chn mt mu khng khch quan Tht bi trong vic kim sot i vi li nhun th trng Tht bi trong vic kim sot ri ro Lm tng tng quan nhn qu

Company Logo

www.themegallery.com

Bng Chng V Hiu Qu Th Trng

A - Bin ng gi ngn hn Short term Price Movements a. Tng quan chui trong gi chng khon Cc nghin cu u tin v mi tng quan chui (Alexander (1964), Cootner (1962) v Fama (1965) xem xt trn th trng chng khon M a v kt lun rng c mi tng quan chui trong gi c phiu

Bid-Ask Spread = -2 (Serial Covariance in returns)

Company Logo

www.themegallery.com

b. Cac quy lut chon loc

Trong mt quy lut chn lc, mt nh u t mua mt khon u t nu gi tng X% t mc thp v gi khon u t ny ti khi gi gim X% t mc cao. ln ca s thay

i (X%) kch thch cc giao dch khc nhau.

Chin lc ny c da trn gi nh rng cc thay i v gi c tng quan chui v

c mc gi , cc chng khon tng mnh trong qu kh c nhiu kh nng tip tc tng hn l i xung

www.themegallery.com

b.Cc quy lut chn lc

Quy tc 0.5% c 12,514 giao dch trong sut thi k. Kim nh ny cng minh ha mt chin lc c bn thng l cc giao dch ngn hn thng xuyn. Mc du cc chin lc ny c th kim c li nhun cho cc chi ph ph giao dch, s iu chnh cc chi ph ny vn c th lm mt li nhun

c. Kim nh thay i
Mt kim nh thay i l mt kim nh bin phi tham s trong chui tng quan, v n c da trn trnh t ca vic tng gi hoc gim gi trong s thay i v gi. Bn di m mt chui thay i ca gi theo thi gian, U l tng gi v D l gim gi UUU DD U DDD UU DD U D UU DD U DD UUU DD UU D UU D c 18 thay i din ra trong 33 thi k.

Da trn cc kt qu ny cho thy c mi tng quan thun trong li nhun ngy nhng khng c chng c cho thy c sai lch trong khon thi gian lu hn. Khng bng chng cho thy th trng khng phi l ngu nhin.

www.themegallery.com

B- Bin ng gia dai hn

Khi di hn c nh ngha l vi thng ch khng phi vi nm, dng nh c mt xu hng tng quan thun. khi di hn c nh ngha l vi nm, li nhun li cho thy tng quan nghch ng k. iu ny cho thy th trng thng do chiu nu xet trong thi gian di.

Hin tng ny cng c kim tra trong cc th trng khc v kt qu cng tng t. y l bng chng cho thy li nhun o chiu trong giai on di.

Danh muc u t cua ngi thng va ngi thua

S o chiu v gi c xy ra trn cung cc c phiu ca mt th trng. V d: cc c phiu tng nhiu nht trong giai on cui th s c kh nng i xung

trong giai an tip theo v ngc li

Phn tch ny cho thy danh mc ca nhng ngi thua ro rng tt hn ca nhng ngi thng trong 60 thng tip theo.

Bong bong u c, v va hong lon

a. Nghin cu thc nghim v tinh hp ly: Mt s bng chng thu v nht v th trng hiu qu v s hp ly trong nhng nm gn y n t cc nghin cu thc nghim. Trong khi hu ht cc nghin cu thc nghim cho rng cc giao dch l hp ly, c mt s v d v cc hnh vi bt hp ly trong mt s cc nghin cu ny.

Khi nim gi gii hn c th kim sot bong bng u c dng nh sai lm.

Bong bong u c, v va hong lon

b. Hanh vi tai chinh: S khng hp ly i khi c th hin bi cc nh u t to nn mt lnh vc mi trong ti chnh l hnh vi ti chnh. S dng cc bng chng thu thp c t tm ly hc thc nghim, cc nh nghin cu th c hai m hnh xem nh u t phn ng vi thng tin d on gi c nh th no. Kt qu nh sau:

Cc nh u t khng mun tha nhn nhng sai lm ca h. Nhiu thng tin khng phi luc no cng dn n quyt nh u t tt hn.

Thi trng phn ng vi cac thng tin quan trng

Mt s cc bi kim tra mnh nht v th trng hiu qu l nghin cu v cc s kin khi m th trng phn ng vi cc thng tin quan trng. Mt thi trng hiu qu l th trng phn ng vi thng tin mi, phn ng tc thi v khng thin v

Thi trng phn ng vi cac thng tin quan trng

a. Thng bao thu nhp: Khi cc cng ty thng bo thu nhp, h truyn thng tin n th trng ti chnh v trin vng hin ti v tng lai ca h. Trong mt th trng hiu qu, cn phi c mt phn ng tc thi vi bo co thu nhp, nu n c cha cc thng tin gy bt ng, v gi c s tng theo bt ng tch cc cng nh ngc li.

Thi trng phn ng vi cac thng tin quan trng

a. Thng bao thu nhp: Vic cng b thu nhp ro rng truyn ti thng tin tin c gi tr n th trng ti chnh, c li nhun qu tch cc (li nhun tch ly bt thng) sau khi c thng bo tt v li nhun tiu cc i vi cc thng tin xu. C mt s bng chng ca mt phn ng th trng trong ngy ngay trc khi cng b thu nhp, phu hp vi bn cht ca thng bo, ngha l gi c c xu hng i ln vo ngy trc khi thng bo tch cc v xung trong ngy trc khi c thng bo tiu cc. iu ny c th c xem nh bng chng v giao dch ni gin hoc nh mt h qu ca nhn c thng bo sai ngy. C mt s bng chng, mc du khng ro rng, c mt mc gi tri ni trong nhng ngy tip theo sau mt thng bo thu nhp. Do , mt bo co tch cc gi ln mt phn ng th trng tch cc vo ngy thng bo v mc tch cc nhe dn trong nhng ngy sau khi cng b thu nhp v ngc li.

Thi trng phn ng vi cac thng tin quan trng

a. Thng bao thu nhp:

Thu nhp v bo co c tc vo ngy th Su rt nhiu kh nng c nhng thng tin tiu cc hn so vi thng bo trn bt k ngy no khc trong tun.

Thi trng phn ng vi cac thng tin quan trng

a. Thng bao thu nhp:

Ngoi ra con c mt s bng chng rng thng bo thu nhp ang b tr hon so vi ngy cng b d kin, c kh nng cha thng tin xu hn so vi cc cng b thu nhp sm

Thi trng phn ng vi cac thng tin quan trng

b. Cng b u t va d an Cc doanh nghip thng cng b y nh u t ngun lc vo cc d n v nghin cu pht trin. C bng chng cho thy rng cc th trng ti chnh phn ng vi nhng thng bo ny

Nu th trng ti chnh ngn hn nh mt s nh ph bnh tuyn b, n s phn ng tiu cc vi thng bo ca cc cng ty c k hoch u t vo nghin cu v pht trin. Bng chng li cho thy iu ngc li

Thi trng bt thng

Bt thng da trn c im cua cng ty. nh hng ti cac cng ty nho: Cc nghin cu lin tc pht hin ra rng cc cng ty nh hn (v gi tr th trng ca vn c phn) kim c li nhun cao hn cc cng ty ln c ri ro tng ng

ln trong li nhun ca cc cng ty nh i theo thi gian v tng theo hng tch cc. Cao nht vo theo nin 70 v thp nht vo nhng nm 80

Thi trng bt thng

Bt thng da trn c im cua cng ty. Ty l gia/thu nhp (PE): Cc nh u t t lu cho rng c phiu vi t l P/E c nhiu kh nng b nh gi thp v to ra li nhun vt tri.

Cc cng ty thuc nhm c t l P/E thp thu c li nhun 16.26% trong sut thi k nghin cu , trong khi cc cng ty c t l P/E cao th li to ra li nhun trung bnh ch c 6.64%

Thi trng bt thng

Bt thng da trn c im cua cng ty. Ty l gia/thu nhp (PE): Li nhun vt tri thu c bng cc c phiu c P/E thp cng xut hin trn cc th trng quc t khc. Bng 6.6 tng kt cc kt qu ca cc nghin cu hin tng ny bn ngoi nc M.
Table 6.6: Excess Returns on Low P/E Ratio Stocks by Country: 1989-1994 Country Australia France Germany Hong Kong Italy Japan Switzerland U.K. Annual Premium earned by lowest P/E Stocks (bottom quintile) 3.03% 6.40% 1.06% 6.60% 14.16% 7.30% 9.02% 2.40%

Cc cng ty thuc nhm c t l P/E thp thu c li nhun 16.26% trong sut thi k nghin cu , trong khi cc cng ty c t l P/E cao th li to ra li nhun trung bnh ch c 6.64%

www.themegallery.com

Nhng yu t bt thng
Hiu ng thng 1 Nghin cu v li nhun Hoa K v cc th trng ti chnh ln khc lun cho thy s khc bit r rng ca li nhun qua cc thng khc nhau trong nm.

www.themegallery.com

Nhng yu t bt thng
Hiu ng thng 1
Hiu ng ny tc ng n cc cng ty nh nhiu hn l cc cng ty ln, v

khong mt na li nhun cng ty nh, kim c trong hai tun u tin ca

thng 1.

www.themegallery.com

Nhng yu t bt thng
Gii thch: - Cc nh u t b tht thot mt khon thu vo cui nm (thng 12) tng vn, lm cho gi gim, v sau mua li cung mt c phiu vo thng 1, kt qu l li nhun cao hn. V d: Australia, trong mt nm vic tnh thu c s khc bit, nhng vn c hiu ng thng 1. - Hiu ng thng 1 thng l khng ln, mc trung bnh, trong nhng nm th trng chng khon khng tt. - Ngi ta lp lun rng s vng mt ca th ch mua y gi gim xung trong nhng ngy u ca nm v y gi tng ln trong nhng ngy sau.
Company Logo

www.themegallery.com

Nhng yu t bt thng
Hiu ng cui tun Hiu ng cui tun l mt hin tng li nhun tip tc tn ti trong thi gian di bt thng trn mt s th trng quc t. N dung ch s khc bit v li nhun gia cc ngy th Hai v cc ngy khc trong tun. Tm quan trng ca s khc bit li nhun c a ra trong hnh 6.16, t 1962 n 1978

Company Logo

www.themegallery.com

Nhng yu t bt thng
Hiu ng cui tun
Hiu ng cui tun l kh mnh m trong cc th trng ln, nh trong Hnh 6.17

Company Logo

www.themegallery.com

Nhng yu t bt thng
Hiu ng cui tun
Hnh 6.18 tm tt li nhun vo nhng ngy giao dch sau ngy l ln v khng nh m hnh ny

Company Logo

Bng chng trong ni b va s u t chuyn nghip Giao dich trong ni b cng ty Ngi trong cuc c thng tin tt hn, v c tnh kt qu tt hn v gi tr so vi cc nh u t khc, cc quyt nh trong ni b mua v bn c phiu nn nh hng n gi c phiu.

Bng chng trong ni b va s u t chuyn nghip

Phn tch cc kin nghi

Nhng kin ngh ca c nhm mua v nhm bn lm nh hng n gi c phiu, kin ngh ca nhm bn nh hng nhiu hn n gi c so vi kin ngh ca nhm mua. iu th v l, Womack (1996) ghi nhn rng tc ng ln gi bi kin ngh ca nhm mua c xu hng tc th v khng c bng chng v s tri gi sau khi thng bo, v gi tip tc c xu hng gim sau khi ngh bn. Cc nh phn tch cung cp mt dch v c gi tr trong vic thu thp thng tin c nhn, c mt mi quan h tiu cc gia li nhun thu c bng c phiu v s lng c phiu ca cc nh phn tch. Tn ti mi quan h tng t gia cc bin khc: li sut, s hu, v li nhun gi li.

Bng chng trong ni b va s u t chuyn nghip

Qun l ti chnh
Nh qun tr chuyn nghip nh cc chuyn gia trong lnh vc u t. H ng h thng tin tt hn, thng minh hn, c giao dch chi ph thp hn v cc nh u t tng th tt hn hn so vi cc nh u t nh.

KT LUN
Nhng cu hi lin quan th trng hiu qu c ngha trong qun l, u t v nghin cu. Nu th trng hiu qu c xc nh l ni m gi th trng c c tnh khng theo xu hng gi tr thc, s lun hiu qu hn so vi nhng th trng khc. Nng lc ca mt th trng khng hiu qu chnh xc s ph thuc vo c im kinh doanh, chi ph giao dch v s cnh gic ca cc nh u t tm kim li nhun trong th trng . Hai cch kim nh c s dng rng ri nht kim tra hiu qu th trng l 'event studies', xem xt phn ng ca th trng vi cc s kin v 'portfolio studies' nh gi li nhun to ra t vic quan st cc c im ca danh mc u t

KT LUN Nhng bng chng bt thng trong th trng hnh vi, lin quan n cc yu t h thng, chng hn nh kch thc, gi c thu nhp v gi tr s sch, cng nh hiu ng thng 1 v hiu ng cui tun. Th trng tn ti nhng bt thng, cng l bng chng nghim tc m cc nh qun l ti chnh chuyn nghip, phi rt kh khn nh bi th trng ti chnh.

LOGO