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LOGO The Global Financial Crisis and the Efficient Market Hypothesis: What Have We Learned? GS. TS Tr!n Ng$c Thơ Nhóm 9 GĐ E303 23 GVHD: Nhóm TH: Lớp: Khóa: Danh sch nhm 15-2 An impressive outpouring of blame What Does the EMH Say? What Doesn’t the EMH Say? Some Lessons from the Financial Crisis Anomalies, Behavioral Finance, and the Future of “Market Efficiency” Free market economics !!"#$"%&"'!'(#%) *+", /0$!+"1 *+", /0$!+"1 2008 2008 23'&!"""4'56"5/!7!""!'8"/!7""!"!' '&'!6/ ""9/59!5!'!''7'9!/5/ :"5; • • • • • • ! ! • "# • "# Câu hỏi nghiên cứu Phần mở rộng bài nghiên cứu Các mô hình định giá tài sản (CAPM, Fama-French, …) Rủi ro và Tỷ suất sinh lợi Mortgage Backed Securities The Nobel Prize 2013 5 1 2 4 Các dạng kiểm định EMH 3 Trường phái kinh tế h$c Chicago Trường phái trọng tiền Lý thuyết kinh tế vĩ mô Chicago chối bỏ chủ nghĩa Keynes ủng hộ trường phái trọng tiền cho đến giữa những năm 1970, khi chuyển sang kinh tế vĩ mô cổ điển mới chủ yếu dựa vào các khái niệm về những kỳ vọng hợp lý. Thị trường Tự điều tiết Hiệu quả Học thuyết cơ bản của Trường phái Chicago trong suốt 40 năm tồn tại là các thị trường tự điều tiết hiệu quả. Nổi tiếng với các tên tuổi như: Friedman, Stigler, Fama - cha đẻ của giả thuyết thị trường hiệu quả, … Đề cao Lý trí Học thuyết này dựa trên một giả thiết chìa khóa là các tác nhân kinh tế luôn tìm cách tối ưu hóa giá trị và họ có mọi thông tin cần thiết về giá cả để đưa ra các đánh giá dựa trên lý trí. The Global Financial Crisis and the Efficient Market Hypothesis '& 7! 59" 5 "7!/ ! " !!/ 7$"'8 77/ 5 " ' " 2/6/ !!/ !'!'8; ' '&95 !7&''!-"&! 6/7 <7$"7!'="!5""5!"5&/!"!/ '5" !7&- " 2"7!'"!; "!' !5!-!5/'=' 7 5 "5""$ !!" #$" %&"'!' (#%)=" !5 "" 7&"!"!- !!/7$"'"/''/:&/!"//-!/6/! 7"!9'""! '!"&!'='6'!/5" &"!/"""! '& 7! 59" 5 "7!/ ! " !!/ 7$"'8 77/ 5 " ' " 2/6/ !!/ !'!'8; ' '&95 !7&''!-"&! 6/7 <7$"7!'="!5""5!"5&/!"!/ '5" !7&- " 2"7!'"!; "!' !5!-!5/'=' 7 5 "5""$ !!" #$" %&"'!' (#%)=" !5 "" 7&"!"!- !!/7$"'"/''/:&/!"//-!/6/! 7"!9'""! '!"&!'='6'!/5" &"!/"""! >' &7!" :7&/8 7$" '""!'" ?7 @"7'//5"#%2'&'!6/ "" !!/ !'!'; 6' !"' / ! " 2! 5'"!7"! "5' ''"666/';6 !!/ :"!-'5/"' >5 ! " &/ 5 &!/ " !' 7"!/'/ '58 9//A9!""8 5 6'"A'//! !'" 75 !!/ 7!'8 #" " B"!/ #$"8 ?'"! <:&&'"'7"'7"! The Global Financial Crisis and the Efficient Market Hypothesis The Global Financial Crisis and the Efficient Market Hypothesis '!6!/'59""!'C'956" "!""7$"&!' /"//-!/6/ ! 7"!8!-'"'5/"' /""/!""/ 5"/$!"5-! ""-/' &6/!/ "55'!"!'85' !/5"5""''" &!2666/; '!6!/'59""!'C'956" "!""7$"&!' /"//-!/6/ ! 7"!8!-'"'5/"' /""/!""/ 5"/$!"5-! ""-/' &6/!/ "55'!"!'85' !/5"5""''" &!2666/; B&"6"D*4'7$"/"(5!'''57 //6/9)''!7!//'!>5! !" '/A'!8"D!-'!" !#E!'$'C2F'!G/!$!"H/7I; These are but a handful of the many accusations that have been heaped on the EMH. The Global Financial Crisis and the Efficient Market Hypothesis F-5!"&'"59!//6/9"""#% =/!$//5"!'='7J/!7!""!'8-" !""!'"6"' !7&""55! !'!"' 3'&!"""4'56"5/!7!""!'8"/!7""!"!' '&'!6/ ""9/59!5!'!''7'9!/5/ :"5 The Global Financial Crisis and the Efficient Market Hypothesis F " #% !' '&'!6/ ''" 666/'8 95' 9 666/' /5 - &&5 6 " 95' 2 !!"7$";9 !'"'"!&!"=5""9'""!/ KLM8!"!/6<7 7! !'"!' "&!// &!" " " LN 3" "/!& 27!; ' " !'" ' -" 58 //95 6 &!'5' /!$ " NO G" G 7& H66/8 " B!/9 #! "PO'8" KL</!5Q5H66/8 5"-"''5!"7$"//&' KK 1937 1937 [...].. .The Global Financial Crisis and the Efficient Market Hypothesis But all of these episodes occurred well before the advent of the EMH and modern financial economic theory As the above list suggests, unusually large price run-ups followed by unusually large drops have occurred throughout the recorded history of organized markets It’s only the idea of market eficiency that is relatively new to the. .. indeed viewed current asset prices as correct, they might not have bid them up to the same extent they did, and the current crisis might have been averted The Global Financial Crisis and the Efficient Market Hypothesis The related argument that when asset prices are rising rapidly their level is not subject to secrutiny by investors also seems wildly at variance with the facts Take the case of then... like themselves, and thus superior investment returns are generally (though not exclusively) attributable more to luck than insight The Global Financial Crisis and the Efficient Market Hypothesis To justify their fees, active money managers have to argue they are “above average” and consistently beat the market, but the EMH and the body of empirical studies supporting it—suggests otherwise The theory... strike me as a very constructive exercise The Global Financial Crisis and the Efficient Market Hypothesis To my mind there is less drama, but more insight, to be gained by examining what the crisis tells us about the efficient markets theory Does the rapid and substantial fall in prices that occurred across countries and asset classes invalidate the notion of market “efficiency”? Or does it merely... the EMH Say? 2 The market should have predicted the crisis 2 The market should have predicted the crisis The EMH does not imply that one can—or One can predict that large should be able to—predict the future course of market changes will occur, but one can’t predict stock prices generally, and crises in particular when What Doesn’t the EMH Say? 3 The stock market should have known we were in an asset... is a natural target for blame The Global Financial Crisis and the Efficient Market Hypothesis Asset bubbles are not a well-understood phenomenon in general Many serious economists have challenged the use of the term, other than in the ex postsense of denoting episodes in which prices rose and then fell by substantial amounts Trying to pin such episodes on the EMH therefore does not strike me as... myself: Can we really believe that investors were not aware of the possibility of a stock market bubble? 13th Chairman of the Federal Reserve 13th Chairman of the Federal Reserve August 11, 1987 – January 31, 2006 August 11, 1987 – January 31, 2006 The Global Financial Crisis and the Efficient Market Hypothesis Perhaps it is not surprising that blame for the crisis has been leveled at the EMH Many... by the U.K.’s market regulator at the request of the Chancellor of the Exchequer At the core of these assumptions has been the theory of efficient and rational markets Five propositions with implications for regulatory approach have followed: What Doesn’t the EMH Say? 01 Market prices are good indicators of rationally evaluated economic value The development of securitised credit, since based on the. .. academic and industry studies showing that active managers fail to beat the market in an average year Money flows into mutual funds strongly follow past performance, as if individual managers consistently beat the market over time, and despite the evidence that the past performance of most money managers is a poor predictor of future performance The Global Financial Crisis and the Efficient Market Hypothesis... Hypothesis Much of the enormous losses by banks and investment banks in 20072008 originated in their trading desks and proprietary portfolios, whose strategies and very existence were premised on making money from market mispricing Investors who poured money into the property market, stock market, and other asset markets in the years while the “bubbles” were forming seemed to do so in the belief that . ?'"! <:&&'"'7"'7"! The Global Financial Crisis and the Efficient Market Hypothesis The Global Financial Crisis and the Efficient Market Hypothesis '!6!/'59""!'C'956" "!""7$"&!'. !#E!'$'C2F'!G/!$!"H/7I; These are but a handful of the many accusations that have been heaped on the EMH. The Global Financial Crisis and the Efficient Market Hypothesis F-5!"&'"59!//6/9"""#% =/!$//5"!'='7J/!7!""!'8-" !""!'"6"'. LOGO The Global Financial Crisis and the Efficient Market Hypothesis: What Have We Learned? GS. TS Tr!n Ng$c Thơ Nhóm 9 GĐ E303 23 GVHD: Nhóm
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