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Financial Management (财务管理)
Chapter 18 Market Efficiency Hypothesis
Bingyi Huang PH.D
博士
Department of Accounting, College of Management, Xia niversity
厦门大学管理学院会计系
1 Efficient Markets Hypothesis
• An efficient capital market is one in which stock
prices fully reflect available information.
• The EMH has implications for investors and firms.
• S e information is reflected in security prices quickly,
knowing information when it is released does an investor
no good.
• Firms should expect to receive the fair value for securities
that they sell. Firms cannot profit from fooling investors in
an efficient market.
Reaction of Stock Price to New Information in Efficient
and Inefficient Markets
Stock
Price Overreaction to “good
news” with reversion
Delayed
response to
“good news”
Efficient market
response to “good news”
-30 -20 -10 0 +10 +20 +30
Days before (-) and
after (+) announcement
Reaction of Stock Price to New Information in Efficient and
Inefficient Markets
Efficient market
Stock response to “bad news” Delayed
Price
response to
“bad news”
-30 -20 -10 0 +10 +20 +30
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