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Essentials of Investments: Chapter 7 - The Efficient Market Hypothesis includes Efficient Market Hypothesis, EMH and Competition, Versions of the EMH, Types of Stock Analysis, Active or Passive Management, Resource Allocation. | CHAPTER 8 The Efficient Market Hypothesis INVESTMENTS | BODIE, KANE, MARCUS McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved. 11-2 Efficient Market Hypothesis (EMH) • Maurice Kendall (1953) found no predictable pattern in stock prices. • Prices are as likely to go up as to go down on any particular day. • How do we explain random stock price changes? INVESTMENTS | BODIE, KANE, MARCUS 11-3 Efficient Market Hypothesis (EMH) • EMH says stock prices already reflect all available information • A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information. – Result: Prices change until expected returns are exactly commensurate with risk. INVESTMENTS | BODIE, KANE, MARCUS 11-4 Efficient Market Hypothesis (EMH) • New information is unpredictable; if it could be predicted, then the prediction would be part of today’s information. • Stock prices that change in response to new (unpredictable) information also must move unpredictably. • Stock price changes follow a random walk. INVESTMENTS | BODIE, KANE, MARCUS 11-5 Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies INVESTMENTS | BODIE, KANE, .
