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Continuing with the example, if the
Continuing with the example, if the stock that was expected to have a 12 percent return (based
on a market return of 10 percent and a stock beta of 1.20) had only a 5 percent return, its abnormal
rate of return during the period would be minus 7 percent. Over the normal long-run period,
you would expect the abnormal returns for a stock to sum to zero. Specifically, during one period
the returns may exceed expectations and the next period they may fall short of expectations.
To summarize, there are two sets of tests of the semistrong-form EMH. The first set of studies
are referred to as return prediction studies. For this set of studies, investigators attempt to
predict the time series of future rates of return for individual stocks or the aggregate market using
public information. For example, is it possible to predict abnormal returns over time for the market
based on public information such as specified values or changes in the aggregate dividend
yield or the risk premium spread for bonds? Another example would be event studies that examine
abnormal rates of return for a period immediately after an announcement of a significant economic
event, such as a stock split, a proposed merger, or a stock or bond issue, to determine
whether an investor can derive above-average risk-adjusted rates of return by investing after the
release of public information.
on a market return of 10 percent and a stock beta of 1.20) had only a 5 percent return, its abnormal
rate of return during the period would be minus 7 percent. Over the normal long-run period,
you would expect the abnormal returns for a stock to sum to zero. Specifically, during one period
the returns may exceed expectations and the next period they may fall short of expectations.
To summarize, there are two sets of tests of the semistrong-form EMH. The first set of studies
are referred to as return prediction studies. For this set of studies, investigators attempt to
predict the time series of future rates of return for individual stocks or the aggregate market using
public information. For example, is it possible to predict abnormal returns over time for the market
based on public information such as specified values or changes in the aggregate dividend
yield or the risk premium spread for bonds? Another example would be event studies that examine
abnormal rates of return for a period immediately after an announcement of a significant economic
event, such as a stock split, a proposed merger, or a stock or bond issue, to determine
whether an investor can derive above-average risk-adjusted rates of return by investing after the
release of public information.
0/5000
Melanjutkan dengan contoh, jika saham yang akan diharapkan untuk telah kembali 12 persen (berbasis
kembali pasar 10 persen dan beta saham 1,20) hanya 5 persen kembali, yang abnormal
tingkat pengembalian selama periode akan dikurangi 7 persen. Selama periode jangka panjang yang normal,
Anda harapkan kembali normal untuk saham jumlah menjadi nol. Secara khusus, selama satu periode
kembali dapat melebihi harapan dan periode berikutnya mereka mungkin jatuh dari harapan.
untuk meringkas, terdapat dua set tes dari bentuk semistrong-EMH. Set pertama studi
dirujuk sebagai kembali prediksi studi. Untuk set studi ini, peneliti berusaha
memprediksi time series masa depan tingkat pengembalian untuk setiap saham atau pasar agregat menggunakan
informasi publik. Sebagai contoh, adalah mungkin untuk memprediksi normal kembali dari waktu ke waktu untuk pasar
berdasarkan informasi publik seperti nilai-nilai tertentu atau perubahan dalam agregat dividen
hasil atau premi risiko spread untuk Obligasi? Contoh lain akan menjadi acara studi yang memeriksa
abnormal tingkat pengembalian selama masa segera setelah pengumuman penting ekonomi
acara, seperti stock split, rencana merger atau masalah saham atau obligasi, untuk menentukan
apakah seorang investor dapat memperoleh tingkat disesuaikan dengan risiko di atas rata-rata kembali dengan berinvestasi setelah
rilis informasi publik.
kembali pasar 10 persen dan beta saham 1,20) hanya 5 persen kembali, yang abnormal
tingkat pengembalian selama periode akan dikurangi 7 persen. Selama periode jangka panjang yang normal,
Anda harapkan kembali normal untuk saham jumlah menjadi nol. Secara khusus, selama satu periode
kembali dapat melebihi harapan dan periode berikutnya mereka mungkin jatuh dari harapan.
untuk meringkas, terdapat dua set tes dari bentuk semistrong-EMH. Set pertama studi
dirujuk sebagai kembali prediksi studi. Untuk set studi ini, peneliti berusaha
memprediksi time series masa depan tingkat pengembalian untuk setiap saham atau pasar agregat menggunakan
informasi publik. Sebagai contoh, adalah mungkin untuk memprediksi normal kembali dari waktu ke waktu untuk pasar
berdasarkan informasi publik seperti nilai-nilai tertentu atau perubahan dalam agregat dividen
hasil atau premi risiko spread untuk Obligasi? Contoh lain akan menjadi acara studi yang memeriksa
abnormal tingkat pengembalian selama masa segera setelah pengumuman penting ekonomi
acara, seperti stock split, rencana merger atau masalah saham atau obligasi, untuk menentukan
apakah seorang investor dapat memperoleh tingkat disesuaikan dengan risiko di atas rata-rata kembali dengan berinvestasi setelah
rilis informasi publik.
Sedang diterjemahkan, harap tunggu..
Continuing with the example, if the stock that was expected to have a 12 percent return (based
on a market return of 10 percent and a stock beta of 1.20) had only a 5 percent return, its abnormal
rate of return during the period would be minus 7 percent. Over the normal long-run period,
you would expect the abnormal returns for a stock to sum to zero. Specifically, during one period
the returns may exceed expectations and the next period they may fall short of expectations.
To summarize, there are two sets of tests of the semistrong-form EMH. The first set of studies
are referred to as return prediction studies. For this set of studies, investigators attempt to
predict the time series of future rates of return for individual stocks or the aggregate market using
public information. For example, is it possible to predict abnormal returns over time for the market
based on public information such as specified values or changes in the aggregate dividend
yield or the risk premium spread for bonds? Another example would be event studies that examine
abnormal rates of return for a period immediately after an announcement of a significant economic
event, such as a stock split, a proposed merger, or a stock or bond issue, to determine
whether an investor can derive above-average risk-adjusted rates of return by investing after the
release of public information.
on a market return of 10 percent and a stock beta of 1.20) had only a 5 percent return, its abnormal
rate of return during the period would be minus 7 percent. Over the normal long-run period,
you would expect the abnormal returns for a stock to sum to zero. Specifically, during one period
the returns may exceed expectations and the next period they may fall short of expectations.
To summarize, there are two sets of tests of the semistrong-form EMH. The first set of studies
are referred to as return prediction studies. For this set of studies, investigators attempt to
predict the time series of future rates of return for individual stocks or the aggregate market using
public information. For example, is it possible to predict abnormal returns over time for the market
based on public information such as specified values or changes in the aggregate dividend
yield or the risk premium spread for bonds? Another example would be event studies that examine
abnormal rates of return for a period immediately after an announcement of a significant economic
event, such as a stock split, a proposed merger, or a stock or bond issue, to determine
whether an investor can derive above-average risk-adjusted rates of return by investing after the
release of public information.
Sedang diterjemahkan, harap tunggu..
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