Thuyết trình The Global Financial Crisis and the Efficient Market HypothesisWhat Have We Learned

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The Global Financial Crisis and
the Efficient Market Hypothesis:
What Have We Learned?
GS. TS Tr!n Ng$c Thơ
Nhóm 9
GĐ E303
23
GVHD:
Nhóm TH:
Lớp:
Khóa:
Danh sch nhm
 
 
15-2
An impressive outpouring of blame
What Does the EMH Say?
What Doesn’t the EMH Say?
Some Lessons from the Financial Crisis
Anomalies, Behavioral Finance, and the Future
of “Market Efficiency”
Free market economics
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*+", /0$!+"1
*+", /0$!+"1
2008
2008
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"#
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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

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The Global Financial Crisis and the Efficient Market Hypothesis
The Global Financial Crisis and the Efficient Market Hypothesis
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&!2666/;
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"!""7$"&!' /"//-!/6/
! 7"!8!-'"'5/"' /""/!""/
5"/$!"5-! ""-/' &6/!/
"55'!"!'85' !/5"5""''"
&!2666/;

B&"6"D*4'7$"/"(5!'''57 //6/9)''!7!//'!>5! !"
 '/A'!8"D!-'!" !#E!'$'C2F'!G/!$!"H/7I; These are but a
handful of the many accusations that have been heaped on the EMH.
The Global Financial Crisis and the Efficient Market Hypothesis

F-5!"&'"59!//6/9"""#%
=/!$//5"!'='7J/!7!""!'8-"
!""!'"6"' !7&""55!

!'!"'

3'&!"""4'56"5/!7!""!'8"/!7""!"!'
'&'!6/ ""9/59!5!'!''7'9!/5/
:"5
The Global Financial Crisis and the Efficient Market Hypothesis

F  " #% !' '&'!6/  ''" 666/'8  95'
9 666/' /5 - &&5 6  " 95'
2 !!"7$";9 !'"'"!&!"=5""9'""!/
KLM8!"!/6<7

7! !'"!' "&!// &!" " " LN 3" "/!&
27!; ' " !'" ' -"  58 //95 6
&!'5' /!$ " NO G" G 7& H66/8 "
B!/9 #! "PO'8" KL</!5Q5H66/8
5"-"''5!"7$"//&' KK
1937
1937
The Global Financial Crisis and the Efficient Market Hypothesis

H"// "'&!'5'59//6 "
5-" "#%575 !!/
7!"

>'"6-/!'"''"'8'///&!
A&' //956'///5&'-
5"""55!'" 
!E57$"'


F"4'/"!5 7$" !!""!'
/"!-/9""'
The Global Financial Crisis and the Efficient Market Hypothesis

<"8"7"""666/56'" !!/!5'"9'
57!"56#%A6'""52&!"$';=""!'86&&/9-!95"
&!''"5' !/5"-! "''"-/'='7'9!/5/"55'9!"
9"9'!&"!
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>/7'"//!-'"7"7!'"!-/7585'&!"//"-!5 
57!5!5'"'"5!''9!"""!-7' !/"6""7$"!
-

# /9'!"7"/ 5''"/ //9&'"& 78'! !5!-!5/
7''!'""/6""7$"-"!7855'&!""-!5"""
&'"& 7 7'"77'!'&&5!"  "& 7
The Global Financial Crisis and the Efficient Market Hypothesis

# "7'/'''66$'5!-'"7"6$'!OONA
OOP!!"5!"!"5!5'$'5&&!"&" /!'89'
'""!' 5 - :!'" 9 &7!'5  7$! 7 7
7$"7!'&!!
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F-'"'9&57!""&&"7$"8'"$7$"8
5"''"7$"'!"'9!/"2666/';9 7!
'75"5'!"6/! ""&!'9/5"!"!'89!""
!7&/!"!"""6/!-5"&!'9!"
The Global Financial Crisis and the Efficient Market Hypothesis

F"'7'!'!'"""'!7/"'/""''"&!

2666/';5""!-'"'&''!-/6/!-"
''"&!'"

R""!'!'&!'/9"7#%!"!'-/!75H"
! 779'8'&/"'8!-'"'856$'5
!55-!95"''"&!''"8"7!""
-6!5"7&""'7:"""5!585""
!'!'7!"-6-"5
The Global Financial Crisis and the Efficient Market Hypothesis

/"57"""9''"&!'!'!&!5/"!/-/!'"'6J"
"'"!6!-'"'/''7'9!/5/"-!9!"" "'

 $ " '   " <5 !7 >/ @'&4' KKL '   " 95'
2!"!/ :6; 3'&!" !"' '7!/ !' " 5 &'!"!! ! 
/ 5 "9!' /55 '&8 "   !-5 9!5'&5 75!
-6""""!7857/''"!'/5!"556 "
!!/!'!'
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 S 7 " @/ '   2>/ @'& !"!/ :6 '&;
!/55-'!:7!//!!"'8F5"'$7'/ C9//6/!-""!-'"'
9"9 "&''!6!/!" '"$7$"666/I
13th Chairman of the Federal Reserve
August 11, 1987 – January 31, 2006
13th Chairman of the Federal Reserve
August 11, 1987 – January 31, 2006
The Global Financial Crisis and the Efficient Market Hypothesis
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T&'!"!'"'&!'!""6/7 "!'!''6/-/5"
"#%

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 # !-'"' 5 7&/' - !5 '!56/ /'''8
/"'-/'" 85'&"'55
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#%!'"/5!5"III

F"'5'57!

F"!'"9/7567'"77'6'!"'""'9"""'""57!"""!/!"'C
"""&"! !/7&"!"!-9/58&&/"56/76 &6/576!"!'&&/J'"/!$
"7'/-'8 5 "' '&! !-'"7" "'  // (" " :/'!-/) ""!6"6/ 7 " /$ "
!'!"
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F"'5'57!
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F"!'"9/7567'"77'6'!"'""'9"""'""57!"""!/!"'C
"""&"! !/7&"!"!-9/58&&/"56/76 &6/576!"!'&&/J'"/!$
"7'/-'8 5 "' '&! !-'"7" "'  // (" " :/'!-/) ""!6"6/ 7 " /$ "
!'!"
The Global Financial Crisis and the Efficient Market Hypothesis
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J'"! "! '8"!-77'-""26-
-; 5 '!'""/ 6" " 7$"8 6" " #%=5 " 65  
7&!!/'"5!''&&"!!"=''"'"9!'
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"!'/'-!959!"'$&"!!'767(! "7'") "/
76   #H>'"5"' 9 / " !" " 9/5 - 8 
6/!-!=' " 6-!/ '"5!' "// '=""   ' !' '6'""!//
6--8-"""!9 "7&"!"!
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The Global Financial Crisis and the Efficient Market Hypothesis
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!5""!"!'5":''"'!7&"!"!-7$"
/'""'"/"!-7$" '"!'! 2"A!A
U!$;'/"!'5""!''
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 F 7 :&!8 &&/ 9' /!-! 5!-' 7 77"!
"!""!-/""!' "'="6/857!'8 !!/
5-!''8'/""'8J/!'"'856$"'=7!/!5
"7'""-!9"''/''"!/""7'/-'G""!
 7$" !!!'"/"" 6/7
The Global Financial Crisis and the Efficient Market Hypothesis
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>''" 666/'  "  9//A5'"5 &7 !
/ # '!' 7!'"' - //5 " '  
""78""!":&'"'' 5"!&!'5'!
9!&!''5" //6'6'""!/7"'
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!"&!'&!'5'"#%" 5'"'"!$
7'-'""!-:!'
The Global Financial Crisis and the Efficient Market Hypothesis
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77!5"!'/''5786"7!'!"8"6!56:7!!
9""!'!'"//''6"" !!"7$"'"
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3'"&!55'6'""!/ //!&!'""5''"!'
5 ''" /''' !-/!5" " "!   7$" 2 !!;I V 5' !"
7/'-"7!5' !"''!56//!7!""!''""/&
' 5'"5 " 6-!   ''" &!'I F  '8 " 9"  "'
/!7!""!'I

What Does the EMH Say?
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6'!!56!5"#%!'5&"!-/'!7&/F"7'"9!'!"'

 !'"!' "'!7&/'"57'"&9 /!'!"' 7!'8"
"! "" 7&"!"!  '  '&5 6"9 -' 5
'"'F & !"':''!-89"5'/!7!"'"7

'5!'!"89!!'@<74'8!'"-!9'!''"&!'
' "! " /9 ! 7"!""7$"&/

T""!"'"9!'!"'""/5'""#%89!F!"&"''!
J'" "!'C 7&"!"! 7 7$" &"!!&"' '' " " 7 '!
! 7"!"677'"9!"!"''"

6'!!56!5"#%!'5&"!-/'!7&/F"7'"9!'!"'

 !'"!' "'!7&/'" 57'"&9 / !'!"'  7!'8"
"! "" 7&"!"!  '  '&5 6"9 -' 5
'"'F & !"':''!-89"5'/!7!"'"7

'5!'!"89!!'@<74'8!'"-!9'!''"&!'
' "! " /9 ! 7"!""7$"&/

T""!"'"9!'!"'""/5'""#%89!F!"&"''!
J'" "!'C 7&"!"! 7 7$" &"!!&"' '' " " 7 '!
! 7"!"677'"9!"!"''"
What Does the EMH Say?

This fundamental idea leads directly to a startling—and testable—predicon about

nancial markets’ reacons to publicly released and widely-disseminated
informaon, such as corporate quarterly earnings reports.

In compeve equilibrium, the gains from exploing public informaon should
correspond to the cost of exploing it.

But to a rst approximaon, public informaon is costless to obtain, and hence the
gains from its use should be competed away to zero.

This fundamental idea leads directly to a startling—and testable—predicon about
nancial markets’ reacons to publicly released and widely-disseminated
informaon, such as corporate quarterly earnings reports.

In compeve equilibrium, the gains from exploing public informaon should
correspond to the cost of exploing it.

But to a rst approximaon, public informaon is costless to obtain, and hence the
gains from its use should be competed away to zero.
What Does the EMH Say?
<7"!'7'"&5!"!""":&""6-A7/"' 7
'!&6/!/-!/6/! 7"!6'!"/5!' /"5!&!'
G!7&/'!"7!"'7!!5'!"8"!''!9'-/"!"""!7S!/!"
9'"67'7&/"5'!&"! 9'!"&!'6-85!"'
5 !!!'677&&"-"!78"#%!-'!6/5""!$!
 "/7!'"'=6" "7&"!"!'=6"9'!"!'7$"'
6-
What Doesn’t the EMH Say?
EMH
2
5

3
4
1
6. Financial regulators mistakenly relied
on the EMH.
1. No one should act on information.
2. The market should have predicted the
crisis
5. The EMH assumes that return
distributions do not change over
time.
3. The stock market should have
known we were in an asset
“bubble.”
6
4. The collapse of large financial institutions indicates the market is inefficient.
What Doesn’t the EMH Say?
What would happen if all investors passively indexed
their portfolios? Obviously, the market would cease
to
be efficient, because no investors would be acting to
incorporate information into prices.
Investors act on information in a fiercely competitive market,
and the average investor is not expected to make abnormal
returns. That does not say all investors should stop acting on
information.
1. No one should act on information.
1. No one should act on information.