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Market Efficiency ΑΠΟΤΕΛΕΣΜΑΤΙΚΟΤΗΤΑ ΑΓΟΡΩΝ ΠΕΡΙΕΧΟΜΕΝΑ ΕΙΣΑΓΩΓΗ......................………….............................................................................3 ΚΕΦΑΛΑΙΟ 1: Η ΥΠΟΘΕΣΗ ΤΩΝ ΑΠΟΤΕΛΕΣΜΑΤΙΚΩΝ ΑΓΟΡΩΝ 1.1 Τυχαίοι Περίπατοι (Random Walks) & Υπόθεση Αποτελεσματικών Αγορών.......6 1.2 Ο Ανταγωνισμός ως αιτία του Market Efficiency ..................................................8 1.3 Η κίνηση των τιμών σε μια αποτελεσματική αγορά................................................9 ΚΕΦΑΛΑΙΟ 2: ΜΟΡΦΕΣ ΑΠΟΤΕΛΕΣΜΑΤΙΚΩΝ ΑΓΟΡΩΝ 2.1 Προϋποθέσεις μιας αποτελεσματικής αγοράς.....................................................11 2.2 Μορφές των αποτελεσματικών αγορών..............................................................12 2.3 Επενδυτικές στρατηγικές και αποτελεσματικότητα αγορών..............................15 2.3.1 Η ενεργητική έναντι της παθητικής διαχείρισης χαρτοφυλακίου.......................15 2.3.2 Ο ρόλος της διαχείρισης χαρτοφυλακίου σε μια αποτελεσματική αγορά..........17 2.3.3 Η σχέση μεταξύ απόδοσης και κινδύνου............................................................19 ΚΕΦΑΛΑΙΟ 3: ΕΛΕΓΧΟΙ ΤΗΣ ΑΠΟΤΕΛΕΣΜΑΤΙΚΟΤΗΤΑΣ ΤΩΝ ΑΓΟΡΩΝ 3.1 Εισαγωγή.............................................................................................................20 3.2 Έλεγχοι ασθενούς μορφής αποτελεσματικότητας (weak form tests)………….21 3.2.1 Έλεγχοι για ύπαρξη ικανότητας πρόβλεψης στις αποδόσεις των τιμών των μετοχών........................................................................................................................23 α) Αποδόσεις με βραχυπρόθεσμη διάρκεια............................................................23 β) Αποδόσεις με μακροπρόθεσμη διάρκεια ...........................................................27 γ) Μεταβλητές πρόβλεψης των αποδόσεων των μετοχών......................................28 3.2.2 Τεχνική ανάλυση.................................................................................................30 3.3 Έλεγχοι ημι-ισχυρούς μορφής αποτελεσματικότητας(semi-strong form tests)..35 3.3.1 Event Studies…………………………………………………………………...35 3.3.2 Επισκόπηση σημαντικότερων μελετών event studies………………………….41 3.3.3 Θεμελιώδης ανάλυση..........................................................................................44 3.4 Έλεγχοι ισχυρής μορφής αποτελεσματικότητας (strong form tests)..................46 3.4.1 Εσωτερική πληροφόρηση (inside information)……………………………......46 3.4.2 Η λειτουργία της πληροφορίας στις προβλέψεις των αναλυτών και στους γγγγαδιαχειριστές των Αμοιβαίων Κεφαλαίων............................................................48 α) Η διαχείριση της πληροφορίας από τους επαγγελματίες διαχειριστές....................48 β) Οι επιδόσεις των θεσμικών επενδυτών....................................................................50 ΚΕΦΑΛΑΙΟ 4: ΧΡΗΜΑΤΙΣΤΗΡΙΑΚΕΣ ΑΝΩΜΑΛΙΕΣ ΚΑΙ ΣΤΡΑΤΗΓΙΚΕΣ ΔΙΑΧΕΙΡΙΣΗΣ ΧΑΡΤΟΦΥΛΑΚΙΟΥ 4.1 Εισαγωγή.............................................................................................................56 4.2 Ημερολογιακές χρηματιστηριακές ανωμαλίες (calendar market anomalies)….58 4.2.1 Το φαινόμενο της ημέρας της εβδομάδας (the day of-the-week effect)……….58 4.2.2 Το φαινόμενο του Ιανουαρίου (January effect)..................................................65 4.2.3 Το φαινόμενο της αλλαγής του μήνα (turn of the month effect)………………70 4.2.4 Το φαινόμενο της παραμονής των εορτών (pre-holiday effect)…………….....72 4.3 Λοιπές χρηματιστηριακές ανωμαλίες.................................................................74 4.3.1 Το φαινόμενο της μικρής εταιρίας (the small firm effect)……………………..75 1 ΑΠΟΤΕΛΕΣΜΑΤΙΚΟΤΗΤΑ ΑΓΟΡΩΝ 4.3.2 Το φαινόμενο της «παραμελημένης» εταιρίας (neglected firm effect) και το ασδσαποτέλεσμα της ρευστότητας (liquidity effect)………………………………...79 4.3.3 Ο δείκτης αγοραίας προς λογιστική τιμή (market-to-book ratio)……………...80 4.3.4 Ο δείκτης τιμή προς κέρδη (earnings/price ratio) και λοιπές χρηματιστηριακές ανωμαλίες…………………………............................................................................82 4.4 Αναφορά στις κυριότερες έρευνες που έχουν πραγματοποιηθεί όσον αφορά στις χρηματιστηριακές ανωμαλίες στην Ελληνική αγορά..................................................83 4.5 Λόγοι εμφάνισης των χρηματιστηριακών ανωμαλιών.......................................86 ΚΕΦΑΛΑΙΟ 5: ΣΥΜΠΕΡΑΣΜΑΤΑ-ΠΡΟΒΛΗΜΑΤΙΣΜΟΙ.............................91 Τελικά είναι οι αγορές αποτελεσματικές; ..................................................................93 ΒΙΒΛΙΟΓΡΑΦΙΑ…………………………………………………………...………94 2 ΑΠΟΤΕΛΕΣΜΑΤΙΚΟΤΗΤΑ ΑΓΟΡΩΝ ΕΙΣΑΓΩΓΗ Μία από τις πρώτες εφαρμογές των Η/Υ στην οικονομική επιστήμη ήταν να αναλύσουν χρονολογικές σειρές σε οικονομικά μεγέθη. Ένας σημαντικός υποψήφιος για ανάλυση ήταν η διαχρονική συμπεριφορά των τιμών των μετοχών. Αφού η τιμή της μετοχής μιας εταιρείας αντανακλά την κατάστασή της και τις προοπτικές της, τυχόν διακυμάνσεις στις οικονομικές επιδόσεις της εταιρείας, θα προκαλούσαν διακυμάνσεις στην τιμή της μετοχής της. Ο Maurice Kendall, ένας Βρετανός στατιστικολόγος, εξέτασε αυτή την πρόταση το 19531, παρουσιάζοντας τα αποτελέσματα της έρευνάς του στη Royal Statistical Society γύρω από την συμπεριφορά των τιμών των μετοχών και των εμπορευμάτων. Κατέληξε στο συμπέρασμα -προς μεγάλη του έκπληξη- ότι δεν μπορούσε να βρει συγκεκριμένα πρότυπα που να ακολουθούν οι τιμές τους. Και αυτό διότι φαινόταν να κινούνται με τυχαιότητα. Φαινόταν ότι θα μπορούσαν να κινηθούν είτε ανοδικά, είτε καθοδικά σε μια συγκεκριμένη μέρα ανεξάρτητα από την παρελθούσα απόδοσή τους. Τα δεδομένα έδειχναν ότι η κίνηση των μετοχών δεν ήταν δυνατό να προβλεφθεί. Αυτή η κίνηση των τιμών αργότερα πήρε την ονομασία «τυχαίος περίπατος» (random walk). Αυτά τα συμπεράσματα του Kendall ηχούσαν περίεργα στα αυτιά κάποιων χρηματοοικονομολόγων της εποχής, καθώς αποδεικνυόταν ότι η χρηματιστηριακή αγορά κυριαρχείται από μια ακανόνιστη συμπεριφορά και ότι δεν ακολουθεί λογικούς κανόνες. Δηλαδή, τα αποτελέσματα έδειχναν να επιβεβαιώνουν μια μη ορθολογική συμπεριφορά της αγοράς. Σύντομα κατέστη προφανές ότι η τυχαιότητα που χαρακτήριζε τις κινήσεις των τιμών έδειχνε μια καλώς λειτουργούσα ή αποτελεσματική αγορά και όχι μια παράλογη και ανορθολογική. Κατά τη διάρκεια της διπλωματικής εργασίας θα παρουσιάσουμε τις πιθανές εξηγήσεις για το φαινόμενο αυτό. Καθίσταται προφανές πώς ο ανταγωνισμός ανάμεσα στους αναλυτές οδηγεί με φυσικό τρόπο σε μια αποτελεσματική αγορά. Επίσης εξετάζονται πώς η θεωρία των αποτελεσματικών αγορών καθοδηγεί επενδυτικές στρατηγικές, καθώς επίσης και εμπειρικές μελέτες που υποστηρίζουν αλλά και εναντιώνονται στην θεωρία της αποτελεσματικότητας της αγοράς. Πιο αναλυτικά, στο 1ο κεφάλαιο γίνεται μια εισαγωγική προσέγγιση της θεωρίας των αποτελεσματικών αγορών και του θεωρητικού υπόβαθρου που την υποστηρίζει. Επίσης γίνεται αναφορά στην έννοια του τυχαίου περιπάτου και στη σύνδεσή του με την θεωρία των αποτελεσματικών αγορών. Επίσης αναλύεται η λειτουργία της πληροφορίας και πώς επηρεάζει την κίνηση των τιμών των μετοχών. Τέλος, γίνεται αναφορά στην ύπαρξη ανταγωνισμού ως προς την συλλογή της πληροφόρησης γύρω από τις μετοχές και πώς αυτός συμβάλλει στην λειτουργία μιας αποτελεσματικής αγοράς. 1 Maurice Kendall, “The Analysis of Economic Time Series, Part I: Prices”, Journal of the Royal Statistical Society 96 (1953), pp.11-25 3 ΑΠΟΤΕΛΕΣΜΑΤΙΚΟΤΗΤΑ ΑΓΟΡΩΝ Στο 2ο κεφάλαιο γίνεται εκτενής αναφορά στις μορφές και τη σημασία της Αποτελεσματικότητας των αγορών. Ειδικότερα, αναφέρονται οι προϋποθέσεις για την ύπαρξη μιας αποτελεσματικής αγοράς, οι κυριότερες 3 μορφές που παίρνουν οι αποτελεσματικές αγορές ανάλογα με ποιο σετ πληροφοριών ενσωματώνεται κάθε φορά στην τιμή της μετοχής, καθώς και οι διαφορετικές επιδράσεις στις τιμές των μετοχών που ασκούνται πάνω σε αυτές ανάλογα με το είδος της πληροφόρησης. Έπειτα, αναλύονται οι επιπτώσεις και οι εφαρμογές της θεωρίας της Αποτελεσματικότητας των αγορών στις διάφορες επενδυτικές στρατηγικές. Συγκεκριμένα, στο κεφάλαιο αυτό αναλύονται θέματα όπως ο ρόλος της διαχείρισης χαρτοφυλακίου σε μια αποτελεσματική αγορά και πιο συγκεκριμένα η ενεργητική έναντι της παθητικής διαχείρισης χαρτοφυλακίου. Επίσης αναλύεται η σχέση απόδοσης και κινδύνου και πώς αφ’ ενός σχετίζεται αυτή με την θεωρία των Αποτελεσματικών αγορών και αφ’ ετέρου πώς χρησιμοποιείται στα πλαίσια μια αποτελεσματικής αγοράς. Στο κεφάλαιο 3 γίνεται εκτενής αναφορά στους διάφορους ελέγχους της αποτελεσματικότητας των αγορών και τι περιλαμβάνει κάθε ένας από αυτούς ειδικότερα. Πιο συγκεκριμένα, αναλύεται τι περιλαμβάνουν τα διάφορα είδη των ελέγχων πάνω στο market efficiency, καθώς και η σημασία τους στην ανάλυση και διαχείριση χαρτοφυλακίου. Αναφορικά με τους ελέγχους (test) ασθενούς μορφής αποτελεσματικότητας, αυτοί περιλαμβάνουν τον έλεγχο της συσχέτισης των μεταβολών διαχρονικά και γενικότερα την προβλεπτική ικανότητα (βραχυπρόθεσμη αλλά και μακροπρόθεσμη) των ιστορικών δεδομένων των μετοχών και γίνεται και μια αναφορά στα σημαντικότερους ελέγχους αυτής της μορφής που έχουν διεξαχθεί στο παρελθόν. Στη συνέχεια, αναφέρονται οι μέθοδοι που εφαρμόζει η τεχνική ανάλυση (που ουσιαστικά έρχεται σε αντίθεση με την ουσία της θεωρίας των Αποτελεσματικών αγορών). Όσον αφορά στα τεστ της ημι-ισχυρής μορφής αποτελεσματικότητας, εδώ γίνεται ανάλυση της εφαρμογής, μεθοδολογίας αλλά και των αποτελεσμάτων των διαφόρων event studies που αφορούν στον έλεγχο της ημι-ισχυρούς μορφής αποτελεσματικότητας στις αγορές. Επίσης στα πλαίσια των ελέγχων ημι-ισχυρούς μορφής, γίνεται μνεία στη θεμελιώδη ανάλυση (fundamental analysis), το είδος της ανάλυσης που λαμβάνει υπ’ όψιν της τα θεμελιώδη μεγέθη
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