耶鲁大学金融市场英文文本FinancialMarketsLecture06TranscriptWord文档下载推荐.docx
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耶鲁大学金融市场英文文本FinancialMarketsLecture06TranscriptWord文档下载推荐.docx
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HurricaneKatrinadamagedthecityof--I'
msorrydidIsayLosAngeles?
YouhavetostopmewhenIsaythingsthatareobviouslywrong.Mymindlapsessometimes--NewOrleans--andLosAngelesdoesn'
thavetoworryabouthurricanesasfarasIknow,unlessthere'
ssomemajorchange.InNewOrleanstherewasaHurricaneKatrina;
itbroketheleviesthatweresurroundingthecityandcausedthefloodingofthecity.
Whatsavedthepeopleofthecity,mostly?
Iwouldsayitwasactuallytheinsuranceinstitutionsbecausethecitywasheavilydamagedbuthomesweregenerallyinsured.Thereweresomeconflictswhenthishugedisastercame.Somepeoplehadwindinsuranceandsomepeoplehadfloodinsuranceanditbecamedifficultwhetherthiswasawindorafloodproblem,becausethewindcausedtheflood.So,ifyouhadonlywindinsuranceareyoucovered?
TherewasalotbickeringandargumentsafterwardsbutIthinkitworkedoutwell.ThereweresurveysofcustomersatisfactionaftertheeventandIthink,generally,peoplewerehappywiththeirinsurancecompanies.Ofcourse,thereweresomethatwerenot,whomayhavefoundoutthattheyweren'
tcovered;
butonthewhole,theexperienceworkedwell.
TheotherthingIwanttosayaboutthelastlectureisthatasfinancialprogressmoveson,thedistinctionbetweeninsuranceandotherformsofriskmanagementmaygetblurred.Oneveryinterestingthingthat'
sbeenhappeningisthatwearestartingtoseedevelopmentofanotherinstitutioncalledthecatastrophebond,whichisanotherwaythatpeoplehaveforprotectingthemselvesagainstcatastrophesandit'
snotinsurance.Acatastrophebondisabondthattheissuerdoesn'
thavetopayoffifthere'
sacatastrophe.Youcouldhavehurricanes--theCityofNewOrleanscouldraisemoneywithcatastrophebondsthattheyhavetopaybackifthere'
snohurricanebuttheydon'
thavetopaybackifthereisahurricane.Oritcouldbesomemixture:
they'
dpaybackpartofitifthereisahurricane.That'
slikeinsurance,isn'
tit?
Butitdoesn'
toperatethroughaninsurancecompany,itoperatesthroughasecuritiesmarket.
AgoodexampleofthatisacoupleofyearsagotheGovernmentofMexicoissuedcatastrophebondsagainstearthquakes.MexicoCitywashitbyaterribleearthquakeabouttwentyyearsagoandit'
svulnerabletobeinghitagain.So,whatdoesMexicodoaboutthis?
Mexicocouldwaituntilthereisahurricane(sic)andhopethatthere'
ssomeinternationalreliefeffort,butthat'
snotaverygoodwaytoproceed.Wewanttoarrangeitinadvance.WhatMexicodidwasissuecatbondsthathavetoberepaidintheabsenceofahurricaneandhavealowerrepaymentifthereis--I'
msorry,I'
mnotonmybestformtoday--earthquake.MexicoCitydoesnothavetoworryabouthurricaneseither.Everyareaisdifferentandtheyhavetheirownindividualcharacteristics.
Rightnow,theinsuranceindustryisabitchallengedbecause--intermsofsomerisks--becausetherisksseemtobechangingthroughtimeand,notably,itlookslikehurricaneriskisincreasing.Sopeoplewhoareinsuredin--itseemstobeincreasingbecauseofglobalwarming,althoughIdon'
tknowifallscientistsareagreedonthat.IfyouliveinacoastalareaofFloridaitdoesappearthatyourriskisincreasingthroughtime.SoinsurancecompanieswanttoraiseyourratesandthisisahugeissuedowninFlorida.Well,thegovernmenthaskindoftakenoverforthetimebeing--insuranceinFlorida--becausewehaveproblems.Peoplearehavingproblemspayingtheincreasedinsurancepremium.Idon'
tthinkwe'
vefiguredoutfinallyhowinsurancewillultimatelylookinamatterofyears.But,Ithinkthattheimportantthingisthatit'
sprotectingagainstusalready,maybeimperfectly,butit'
salreadyprotectingusagainstsomeofourworstfears,likehurricanesandearthquakes.Ithinkthesystemisevolvingandwe'
regettingnewdevelopmentslikecatbondsthatarechangingthewaywe'
redoingthings.Inthefuture,Ithinkthesewilldevelopmoreandmakeusevenbetterabletohandlecatastropherisks.
Anyway,that'
sthelastlecture.TodayIwantedtotalkabout--backtosecuritiesmarketsoractually,moregeneral,assetmarkets.Iwanttotalktodayabouttheefficientmarketshypothesis,whichisaveryimportantintellectualconstructthathasguidedalotoftheoryinfinance.Iwanttotalkfirstaboutthehistoryofthehypothesis--Ihaven'
tdefinedityetforyoubutmaybeyoualreadyhaveheardofthis--buthistoryofthehypothesis,theargumentsforit,andthentheargumentsagainstit.Iwanttotalkabouttechnicalanalysisandempiricalevidenceintheliterature--abouttechnicalanalysis--andotherschoolsofthoughtthatdoubtthemarketefficiency,talksomewhataboutbehavioraleconomics.Then,finally,wehaveahomeworkassignment;
actually,it'
scomingup.I'
llstarttalkingaboutitnowsoyou--itwillbeanassignmentforyoutotrytoforecastthestockmarketusingstatisticalmethods.Youdon'
thavetolookatthescreenyet;
I'
llcomebacktothat.
Whatistheefficientmarketshypothesis?
Thetermactuallyisafairlyrecentorigin--thatis,afewdecadesago--buttheideagoesbackmuchfurther.Theideaisthatinassetmarketsthathavegoodregulationsandmarketmakersanddevelopedmarketsthathavealotofdepthandliquidity--inthesemarkets,thepricesthatyouseeareperfectindicatorsoftruevalue.Inotherwords,efficientmarketsaysthatthemarketefficientlyincorporatesallinformationandthepricesarelikethebestinformationaboutthevalueofsomething.Inotherwords,efficientmarketshypothesistellsyou:
trustmarkets,don'
ttrustpeople,trustmarkets.
I'
vebeentryingtofindoutwhosaidthatfirst.Theearlieststatementoftheefficientmarketshypothesis,althoughitdoesn'
tcallittheefficientmarketshypothesis--theearlieststatementthatIcouldfindcomesfromabookwrittenin1889byGeorgeGibsonandit'
scalledTheStockExchangesofLondon,Paris,andNewYork.I'
llquotehim,hesaid,"
Whensharesbecomepublicly-knowninanopenmarket,thevalue,whichtheyacquirethere,mayberegardedasthejudgmentofthebestintelligenceconcerningthem."
Iwaskindofinterestedtoseethisbook.IfounditintheMuddLibrary,actuallybyaccident,lookingthrougholdstockmarketbooks.
Thebookhadsomeinterestingobservations.Oneobservation,whichtookmyinterest,wasthathepointsoutthatinthismodernelectronicageinformationspeedsaroundtheglobeatthespeedofelectricity--orthespeedoflight.WhenIfirstreadthatIthoughtforaminute,waitaminute,1889?
Thatsoundslike1989orsomething.Justamoment.Wefoundthemicrophone.Oh,itwasrightthere?
NowIamfreefrommytether.In1889,theyhadalreadyinventedthetelegraph.Infact,thatgoesbackdecadesearlier.Thetelephonewasstartingtoappear,soitreallywastruethatinformationwouldspeedaroundtheglobe.Informationthatbecamepublicly-knownwouldbeenteredintomarketpricealmostimmediately.TheconclusionthatGibsonhadwasthatthere'
snohopeintryingtobeatthepriceorbeatthemarketbecausethepricealreadyhasalloftheinformationinit.
Letmeelaborateonthatthemealittlebit.Actually,itgoesbackbeforetelegraph,therewasafamousstoryofMr.Reuters,whohadaninformationservicebeforethetelegraphwasinvented.Hewantedtohelphisclientsgettheinformationfirstsothattheycouldtradeonitandhehadtheideaofusingwhatyoucallcarrierpigeons.Whatyoudoisyougetthesebirdsandyouraisethem--youknowwhatI'
mtalkingabout,right?
Youraisetheminoneplaceandthenthey'
regoingtowanttogobackthere.Thenyoutakethemawayinacagetoanothercityandwhenyouneedtogetamessageacross,youtiethemessagetothepigeon'
sfootandreleaseit.Thenitwillflybackanditwillbeatanyothermethodofmessagetransmission.Incidentally,Reuter'
sinformationserviceisstillinbusinesstodayandnowtheyusecomputersthewayeveryoneelsedoes,butthewholeprincipleprecedestheinventionofcomputers.
Theideaisthattheonlywayyoucanbeatthemarketistogetinformationthatnobodyelsehas.Thewayitworkstodayisthatthe--wecan'
tactuallyimproveonthespeedfrom1889becausetheywerealreadygoingatvirtuallythespeedoflightwiththeirinformation;
but,wecanimproveonouraccesstoit.Now,manypeoplehavebeepersorsomethinglikethisintheirpocketthatwakesupandtellsthemwhennewsisannounced.
Whathappenswherethere'
snewsaboutastock?
Let'
ssayit'
sadrugcompanythatjustmakesanannouncementthatithasanewdrug--let'
ssaygoodnews--orithasgottenFDAapprovaltomarketsomenewdrug.Well,itwouldputthatoutoverthenetworkofinformationandsomepeoplewouldhavetheirthingsbeeponthemandalertthemimmediately.Thereareanalystswhotrytokeepupwithnewsaboutstocks.So,theseanalyststhenwouldjumptoactionwhentheyhearnewslikethat.That'
sbecausetheyknowthatmarketsmovereallyfasttoimportantnewinformationandthey'
vegottobetherefirst.Whath
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