September 21, 2005 07:25:31

A Random Walk (改)

テーマ:ビシネス

少し長いけど、ランダムウォークのchapter 8・9の要約が割り当てられたので掲載しようと思う。

興味のある方は読んでみてください。おもしろい理論です。

英語の間違いがあればご指摘よろしくお願いします。

尚、これは要約なので自分の視点は含まれていません。



Chapter 8: How Good Is Fundamental Analysis?


The impossibility of predicting future market


“Some academicians have gone so far as to suggest that a blind-folded monkey throwing darts at the Wall Street Journal can select stocks with as much success as professional portfolio managers.” (Page 172)

Security analysts have difficulties in predicting the future because there are five factors which cause difficulty that is:


1) the influence of random events

“Random events” mean accidental events such as the discovery of a major new product, the finding of defects in a current product, a major oil spill, terrorist attacks, the entry of new competitors, price wars, and natural disasters.


2) the production of dubious reported earnings through “creative” accounting procedures

Firms exclude any bad expenses before calculating their earnings. Their accounting might be creative and decorated because of accounting regulation.


3) the basic incompetence of many of the analysts themselves

Analysts are really very human beings so they might make mistake.


4) the loss of the best analysts to the sales desk or to portfolio management

Many security analysts’ decisions are related with the sales desk. Their monetary rewards are heavily dependant on their ability to bring commission business to the firm.


5) the conflicts of interest facing securities analysts at firms with large investment banking operations

When analyst says “buy” he may mean “hold,” and he says “hold” he probably means “sell as soon as possible” because analysts can’t make own decisions behind large investment bank. They have to sell profitable securities for institutional investors, not for individual investors.


Efficient-Market Theory


There are three types of efficient-market theory.


1) The “semi-strong” form of the efficient-market theory

“The structure of stock prices already takes into account any public information that may be contained in balanced sheet so no published information helps the analysts to select undervalued securities.”


2) The “strong” form of the efficient-market theory

“Not only all the news that is public but also all information that is possible to know about the company has already been reflected in the price of the stock.

Not even “inside” information can help the investors.”


3) The “narrow (weak)” form of the efficient-market theory

“Price moves from period to period very much like random walks.”


Peter Lynch and Warren Baffett admitted that most investors would be better off in an Index fund rather than mutual fund because of efficient-market theory.


Burton’s Personal Viewpoint


He takes neutral position because there are some fragile points in efficient-market theory.

- The psychological influence at least raises the possibility that investors don’t accept current market prices.

- There is a time when investors can use useful inside information before it reflect the price.

- This is not the case for all the thousands of small companies.

- Analysts do not lead large buying. But institutional investors can control tremendous money flows in and out of stocks.

- There are the enormous difficulties in translating known information about stock into an estimate of true value


Chapter 9: Modern Portfolio Theory


The definition of risk


“Risk determines the degree to which returns will be above or below average.” (Page 204)

In finance, we can define the risk as the variance or standard deviation of returns.


“Variance is a measure of the dispersion of a set of data points around their mean value. It is a mathematical expectation of the average squared deviations from the mean.”

“Standard deviation is a measure of the dispersion of a set of data from its mean. The more spread apart the data is, the higher the deviation.”

Source from http://www.investopedia.com/dictionary/


Example; You invest in the three stocks of A, B, and C companies, and estimate the variance and standard deviation.


Variance = 1/3 {(Possible return A – average return)2 × Possibility A + (Possible return B – average return)2 × Possibility B + (Possible return C – average return)2 × Possibility C}


Standard deviation = the square root of the above variance


Modern Portfolio Theory


Modern Portfolio Theory focuses on “the diversification of portfolio.”

If there is a negative covariance between the companies, the diversification can totally eliminate risk.


Example 1; You invest in the stocks of Umbrella company and Sunscreen company.

In sunny days, many sunscreens are bought by people, on the other hand, in rainy days, people need umbrellas. Therefore, you can reduce risk because one return of the stock goes down; the other return goes up definitely. The relationship between these two companies is negative covariance.


Example 2; You invest in U.S stocks and foreign riskier securities.

This book says “the highest return is available with the least risk was 24% in foreign securities and 76% in U.S. stocks.” (Page 217)


Summary of Chapter 8 and 9


There are different view of structure of stock market between Wall Street people and academic people. People in academic world believe that analysts can not predict future market because of the efficient-market theory. However, as there are some illogical assumptions, this author walks in middle way.

According to Modern Portfolio Theory in Chapter 9, the portfolio mixed several securities such as common stocks, bonds, real estates, foreign securities can reduce you risk in any accident situation.




この「効率的市場仮説」というものは、人々がこの理論を信じなければ成立しているように見え、信じることを辞めれば成立しなくなる、という興味深い理論である。


簡単に日本語で要約すると、「株価は現段階ですべての情報を織り込んでいるので、適正価格に安定しており、割安・割高という株はこの世に存在していないという理論」でいいだろうか。


おもしろいのは「目隠しをしたサルがWall Street Journalの株価欄にダーツを投げて選んだ銘柄とWall Streetのプロアナリストが選んだ銘柄は、結局同程度の利益を上げるとさえ言える」、という記述。


この理論に対しては僕も作者も述べているように、midlineに立っている。

ある意味では理解できるが、例外もまた多数に存在する。

答えがないのが、Social Scienceのおもしろいところであり、理解しにくいところでもある。



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