ACFC404 Indexation and Efficient Market Hypothesis 133425

Lecture Outline
• Uses of Security-Market Indexes and Factors affect them

• Price Weighted Index, Value-Weighted Index, Unweighted
Index, Fundamental Weighted Index
• Style Indexes
• Global Equity Indexes and Bond-Market Indexes
• Composite Stock-Bond Indexes and Comparison of Indexes
Over Time
• Efficient Capital Markets
• EMH(Efficient Markets Hypothesis): Forms and Tests
• EMH and Portfolio Management
© 2012 Cengage Learning. All Rights

Reserved. May not scanned, copied or
5-1
duplicated, or posted to a publicly
Uses of Security-Market Indexes
• As benchmarks to evaluate the performance of professional

money managers
• To create and monitor an index fund
• To measure market rates of return in economic studies
• For predicting future market movements by technicians
• As a substitute for the market portfolio of risky assets when
calculating the systematic risk of an asset

5-2
Factors Affecting Market Indexes
• The Sample(Size, Breadth, Source)

• Weighting of Sample Members
– Price-weighted index
– Value-weighted index
– Unweighted (equally weighted) index
– Fundamental weighted index
• Computational Procedure
– Arithmetic average
– Compute an index and have all changes, whether in price or value,
reported in terms of the basic index
– Geometric average

5-3
Stock-Market Indexes
• Price Weighted Index

– Dow Jones Industrial Average (DJIA)
– Nikkei-Dow Jones Average
• Value-Weighted Index
– NYSE Composite
– S&P 500 Index
• Unweighted Index
– Value Line Averages
– Financial Times Ordinary Share Index
• Fundamental Weighted Index

5-4
Dow Jones Industrial Average (DJIA)
• Best-known, oldest, most popular index

• Price-weighted average of thirty large well-known industrial
stocks, leaders in their industry, and listed on NYSE
• Total the current price of the 30 stocks and divide it by a
divisor (adjusted for stock splits and changes in the sample)

5-5
DJIA-Effect of Stock Split
Assume the index price-weighted index consists of three

stocks, A, B, and C. This example illustrates how the index and
the new divisor are computed before and after a 3-for-1 stock
split for Stock A.
Exhibit 5.1
Stock Price Before Split Price After Split
A 30 10
B 20 20
C 10 10
Index 60 / 3 = 20 40 / X = 20
Divisor 3 X=2
5-6
DJIA-Effect of Stock Split
The example demonstrates the impact of differently priced

shares on a price-weighted index. It shows that higher priced
stock will affect the index more (Case A) than lower priced
stock (Case B).
Exhibit 5.2
Period T Case A (T+1) Case B (T+1)
A 100 110 100
B 50 50 50
C 30 30 33
Sum 180 190 183
Divisor 3 3 3
Average 60 63.3 61
Percentage Change 5.5% 1.7%
5-7
Criticism of the DJIA
• Limited to 30 non-randomly selected blue-chip stocks

• Does not represent a vast majority of stocks
• The divisor needs to be adjusted every time one of the
companies in the index has a stock split
• Introduces a downward bias by reducing weighting of fastest
growing companies whose stock splits

5-8
Nikkei-Dow Jones Average
• Arithmetic average of prices for 225 stocks on the First Section

of the Tokyo Stock Exchange (TSE)
• Best-known series in Japan
• Price-weighted series formulated by Dow Jones and Company
• The 225 stocks represent 15 percent of all stocks on the First
Section

5-9
Value-Weighted Index
• Derive the initial total market value of all stocks used in the
series
– Market Value = Number of Shares Outstanding
X Current Market Price
• Assign an beginning index value (100) and new market values
are compared to the base index
• Automatic adjustment for splits
• Weighting depends on market value
• See Exhibit 5.4

5-10
Value-Weighted Index
Index t 
 PQ t t
 Beginning Index Value
PQ h h
where:
Index t = index value on day t
Pt = ending prices for stocks on day t
Qt = number of outstanding shares on day t
Ph = ending price for stocks on base day
Qh = number of outstanding shares on base day

5-11
Exhibit 5.4

5-12
Unweighted Index
• All stocks carry equal weight regardless of price or market

value
• May be used by individuals who randomly select stocks and
invest the same dollar amount in each stock
• Some use arithmetic average of the percent price changes for
the stocks in the index
• Value Line and the Financial Times Ordinary Share Index
compute a geometric mean of the holding period returns
• See Exhibit 5.5

5-13
Exhibit 5.5

5-14
Fundamental Weighted Index
• Rationale
– Market-value weighting scheme results in overweighting overvalued
stocks and underweighting undervalued stocks over time
– The tech boom in 1998-2000 was a good example
• Fundamental measures of firm size
– Sales
– Profits (cash flow)
– Net asset (book value)
– Distributions to shareholders (dividends)

5-15
Style Indexes
• Small-cap growth
• Mid-cap growth
• Large-cap growth
• Small-cap value
• Mid-cap value
• Large-cap value
• Socially responsible investment (SRI) indexes
– By country
– Global ethical stock index

5-16
Global Equity Indexes
• 1) FT/S&P-Actuaries World Indexes

• 2) Morgan Stanley Capital International (MSCI) Indexes
– Also provides
 price to book value (P/BV) ratio
 price to cash earnings (earnings plus depreciation) (P/CE) ratio
 price to earnings (P/E) ratio
 dividend yield (YLD)
• 3) Dow Jones World Stock Index

(The three indexes are closely correlated: Correlations between the three series since December
31, 1991 to December 31, 2007, indicates an average correlation coefficient in excess of 0.99,
See Exhibit 5.10)

5-17
Exhibit 5.10

5-18
Bond-Market Indexes
• Basic Concept
– Relatively new and not widely published
– Growth in fixed-income mutual funds increase need for reliable
benchmarks for evaluating performance
– Many managers have not matched aggregate bond market return
 Increasing interest in bond index funds
 Requires an index to emulate

5-19
Bond-Market Indexes
• Difficulties in Creating the Bond Index

– Universe of bonds is much broader than that of stocks
– Range of bond quality varies from U.S. Treasury securities to bonds in
default
– Bond market changes constantly with new issues, maturities, calls, and
sinking funds
– Bond prices are affected by duration, which is dependent on maturity,
coupon, and market yield
– Correctly pricing individual bond issues without current and
continuous transaction prices available poses significant problems

5-20
Composite Stock-Bond Indexes
• Beyond separate stock indexes and bond indexes for

individual countries, a natural step is a composite series that
measures the performance of all securities in a given country
• This allows examination of benefits of diversification with a
combination of asset classes such as stocks and bonds in
addition to diversifying within the asset classes of stocks or
bonds

5-21
Composite Stock-Bond Indexes
• Merrill Lynch-Wilshire U.S. Capital Markets Index (ML-WCMI)

– Market-value weighted index measures total return performance of
the combined U.S. taxable fixed income and equity markets
– Combination of Merrill-Lynch fixed-income indexes and the Wilshire
5000 common-stock index
– Tracks over 10,000 stocks and bonds
• Brinson Partners Global Security Market Index (GSMI)
– Includes: U.S. stocks and bonds; Non-U.S. equities; Non-dollar bonds;
Allocation to cash
– Matches a typical U.S. pension fund allocation policy
– Close to the theoretical “market portfolio of risky assets” referred to in
the CAPM literature

5-22
Comparison of Indexes Over Time
• Correlations Among Monthly Equity Price Changes

– Most differences are attributable to sample differences
– Different segments of U.S. stock market or from different countries
• Correlations Among Monthly Bond Indexes
– Among investment-grade bonds correlations range from 0.90 to 0.99
– Interest rates differ by risk premiums
– Rates of return are determined by systematic interest rate variables
– Low correlation in global returns to U.S. returns support global
diversification
– See Exhibit 5.13

5-23
Exhibit 5.13

5-24
Why Should the Markets Be Efficient?
• Premises of An Efficient Market

– A large number of competing profit-maximizing participants analyze
and value securities, each independently of the others
– New information regarding securities comes to the market in a
random fashion
– Profit-maximizing investors cause security prices to adjust rapidly to
reflect the effect of new information

6-25
Why Should the Markets Be Efficient?
• The Results
– Security price changes should be independent and random
– The security prices that prevail at any time should be an unbiased
reflection of all currently available information
– In an efficient market, the expected returns implicit in the current
price of a stock should be consistent with the perceived risk of the
stock

6-26
Efficient Market Hypotheses (EMH)
• Random Walk Hypothesis

– Changes in security prices occur randomly
• Fair Game Model
– Current market price reflect all available information about a security
and the expected return based upon this price is consistent with its
risk
• Efficient Market Hypothesis (EMH)
– Divided into three sub-hypotheses depending on the information set
involved

6-27
• Weak-Form EMH
– Current prices reflect all security-market historical information,
including the historical sequence of prices, rates of return, trading
volume data, and other market-generated information
– This implies that past rates of return and other market data should
have no relationship with future rates of return
– In short, prices reflect all historical information

6-28
• Semistrong-Form EMH
– Current security prices reflect all public information, including market
and non-market information
– This implies that decisions made on new information after it is public
should not lead to above-average risk-adjusted profits from those
transactions
– In short, prices reflect all public information

6-29
• Strong-Form EMH
– Stock prices fully reflect all information from public and private
sources
– This implies that no group of investors should be able to consistently
derive above-average risk-adjusted rates of return
– This assumes perfect markets in which all information is cost-free and
available to everyone at the same time
– In short, prices reflect all public and private information

6-30
Tests and Weak-Form EMH
• Statistical Tests of Independence

– Autocorrelation tests
– Runs tests
• Tests of Trading Rules
– Testing constraints
 Use only publicly available data
 Include all transactions costs
 Adjust the results for risk
– Only better-known technical trading rules have been examined
 Too much subjective interpretation of data
 Almost infinite number of trading rules

6-31
Tests of Weak-Form EMH
• Simulations of Specific Trading Rules

– Trades a stock when the price change exceeds a filter value
– Studies of this trading rule have used a range of filters from 0.5
percent to 50 percent
– When the pre-2000 trading costs were considered, all the trading
profits turned to losses. The recent lower trading costs could have a
different result.
• Testing results generally support the weak-form EMH, but
results are not unanimous

6-32
Tests of Semistrong Form EMH
• Two Sets of Studies

– Time series analysis of returns or the cross-section distribution of
returns for individual stocks. If the market is efficient, individual stock
returns shouldn’t be predicted with past returns or other public
information.
– Event studies that examine how fast stock prices adjust to specific
significant economic events. If the market is efficient, it would not be
possible for investors to experience superior risk-adjusted returns by
investing after the public announcement and paying normal
transaction costs

6-33
• Adjustment for Market Effects

– Test results should adjust a security’s rate of return for the rate of
return of the overall market during the period considered
– Abnormal rate of return
ARit = Rit - Rmt

where:
ARit = abnormal rate of return on security i during period t
Rit = rate of return on security i during period t
Rmt =rate of return on a market index during period t

6-34
• Return Prediction Studies

– Predict the time series of future rates of return for individual stocks or
the aggregate market using public information
• Predict Cross-Sectional Returns
– Look for public information regarding individual stocks that will help
predict the cross-sectional distribution of future risk-adjusted rates of
return
– These tests involve a joint hypothesis and are dependent both on
market efficiency and the asset pricing model used

6-35
Return Prediction Studies
• Time Series Tests for Abnormal Return

– Short-horizon returns have limited results
– Long-horizon returns analysis has been quite successful based on
 dividend yield (D/P)
 default spread
 term structure spread
– Quarterly earnings reports may yield abnormal returns due to
 unanticipated earnings change

6-36
• Quarterly Earnings Reports

– Large Standardized Unexpected Earnings (SUEs) result in abnormal
stock price changes, with over 50% of the change happening after the
announcement
– Unexpected earnings can explain up to 80% of stock drift over a time
period
– These results suggest that the earnings surprise is not instantaneously
reflected in security prices

6-37
• The January Anomaly

– Stocks with negative returns during the prior year had higher returns
right after the first of the year
– Tax selling toward the end of the year has been mentioned as the
reason for this phenomenon
– Such a seasonal pattern is inconsistent with the EMH
– Several studies in foreign markets found abnormal returns in January,
but the results could not be explained by tax laws.

6-38
• Other Calendar Effects

– All the market’s cumulative advance occurs during the first half of
trading months
– Monday/weekend returns were significantly negative
– For large firms, the negative Monday effect occurred before the
market opened (it was a weekend effect), whereas for smaller firms,
most of the negative Monday effect occurred during the day on
Monday (it was a Monday trading effect)

6-39
Predicting Cross-Sectional Returns
• Price-Earnings Ratios
– Low P/E stocks experienced superior risk-adjusted results relative to
the market, whereas high P/E stocks had significantly inferior risk-
adjusted results
– Publicly available P/E ratios possess valuable information regarding
future returns
– This is inconsistent with semistrong efficiency

6-40
• Price-Earnings/Growth Rate (PEG) Ratios

– Studies have hypothesized an inverse relationship between the PEG
ratio and subsequent rates of return. This is inconsistent with the
EMH
– The results are mixed
 Several studies using either monthly or quarterly rebalancing indicate an
anomaly
 In contrast, a study with more realistic annual rebalancing indicated that
no consistent relationship exists between the PEG ratio and subsequent
rates of return.

6-41
• The Size Effect

– Several studies have examined the impact of size on the risk-adjusted
rates of return
– The studies indicate that risk-adjusted returns for extended periods
indicate that the small firms consistently experienced significantly
larger risk-adjusted returns than large firms
– Firm size is a major efficient market anomaly
– The small-firm effect is not stable from year to year

6-42
• Neglected Firms and Trading Activity

– Firms divided by number of analysts following a stock
– Small-firm effect was confirmed
– Neglected firm effect caused by lack of information and limited
institutional interest
– Neglected firm concept applied across size classes
– Size effect was confirmed, but no significant difference was found
between the mean returns of the highest and lowest trading activity
portfolios

6-43
• Book Value to Market Value Ratio

– Significant positive relationship found between current values for this
ratio and future stock returns
– Results inconsistent with the EMH
– Size and BV/MV dominate other ratios such as E/P ratio or leverage
– This combination only works during expansive monetary policy
– See Exhibit 6.1

6-44
Exhibit 6.1

6-45
• Summary
– Firm size has emerged as a major predictor of future returns
– This is an anomaly in the efficient markets literature
– Attempts to explain the size anomaly in terms of superior risk
measurements, transactions costs, analysts attention, trading activity,
and differential information have not succeeded

6-46
Event Studies
• Stock split studies show that splits do not result in abnormal

gains after the split announcement, but before
• Initial public offerings seems to be underpriced by almost
18%, but that varies over time, and the price is adjusted
within one day after the offering
• Listing of a stock on an national exchange such as the NYSE
may offer some short term profit opportunities for investors

6-47
Event Studies
• Stock prices quickly adjust to unexpected world events and

economic news and hence do not provide opportunities for
abnormal profits
• Announcements of accounting changes are quickly adjusted
for and do not seem to provide opportunities
• Stock prices rapidly adjust to corporate events such as
mergers and offerings

6-48
Event Studies
• Strong support from numerous event studies with the

exception of exchange listing studies
• In contrast
– Studies on predicting rates of return for a cross-section of stocks
indicates markets are not semistrong efficient
 Dividend yields, risk premiums, calendar patterns, and earnings surprises
– This also included cross-sectional predictors such as size, the BV/MV
ratio (when there is expansive monetary policy), E/P ratios, and
neglected firms.

6-49
Tests of Strong-Form EMH
• Strong-form EMH contends that stock prices fully reflect both

public and private
• This implies that no group of investors with private
information will consistently earn above-average profits
• Testing Groups of Investors
– Corporate insiders
– Security analysts
– Professional money managers

6-50
Corporate Insider Trading
• Corporate insiders include major corporate officers, directors,

and owners of 10% or more of any equity class of securities
• Insiders must report to the SEC each month on their
transactions in the stock of the firm for which they are
insiders
• These insider trades are made public about six weeks later
and allowed to be studied
• Corporate insiders generally experience above-average profits
especially on purchase transactions

6-51
Corporate Insider Trading
• This implies that many insiders had private information from

which they derived above-average returns on their company
stock
• Public Investors
– After transaction costs, following insider trading will not be generally
profitable for public investors according to the pre-2006 studies
– However, one can increase returns from using insider trading
information by combining it with key financial ratios and the type of
insiders

6-52
Security Analysts
• Tests have considered whether it is possible to identify a set

of analysts who have the ability to select undervalued stocks
• The analysis involves determining whether, after a stock
selection by an analyst is made known, a significant abnormal
return is available to those who follow their
recommendations

6-53
Security Analysts
• The Value Line Enigma

– Value Line (VL) publishes financial information on about 1,700 stocks
– The report includes a timing rank from 1 down to 5
– Firms ranked 1 substantially outperform the market
– Firms ranked 5 substantially underperform the market
– Changes in rankings result in a fast price adjustment
– Some contend that the Value Line effect is merely the unexpected
earnings anomaly due to changes in rankings from unexpected
earnings

6-54
Security Analysts
• Analysts Recommendations
– There is evidence in favor of existence of superior analysts who
apparently possess private information
– Analysts appear to have both market timing and stock-picking ability
– Consensus recommendations do not contain incremental information,
but changes in consensus recommendations are useful.
– The most useful information consisted of upward earning revision

6-55
Professional Money Managers
• Money Managers
– Trained professionals, working full time at investment management
– If any investor can achieve above-average returns, it should be this
group
– If any non-insider can obtain inside information, it would be this group
due to the extensive management interviews that they conduct

6-56
Professional Money Managers
• The Performance
– Most tests examine mutual funds
– New tests also examine trust departments, insurance companies, and
investment advisors
– While it is difficult to do a specific comparison between “universes”
and the benchmarks, the overall results from Exhibit 6.3 seem to
indicate, at best, some weak support for the strong-form EMH
– See Exhibit 6.3

6-57
Exhibit 6.3

6-58
Implications of Efficient Capital Markets
• Overall, the results of many studies indicate the capital

markets are efficient as related to numerous sets of
information
• On the other hand, there are substantial instances where the
market fails to rapidly adjust to public information
• What are the implications for investors in light of these mixed
evidence?
– Technical Analysis
– Fundamental Analysis
– Portfolio Management

6-59
EMH and Technical Analysis
• Assumptions of technical analysis directly oppose the notion of efficient markets

• Technicians believe that new information is not immediately available to everyone,
but disseminated from the informed professional first to the aggressive investing
public and then to the masses
• Technicians also believe that investors do not analyze information and act
immediately
• Stock prices move to a new equilibrium after the release of new information in a
gradual manner, causing trends in stock price movements that persist for periods
of time
• Technical analysts develop systems to detect movement to a new equilibrium
(breakout) and trade based on that
• If the capital market is weak-form efficient, a trading system that depends on past
trading data has little value given higher trading costs

6-60
EMH and Fundamental Analysis
• Fundamental analysts believe that there is a basic intrinsic value for the
aggregate stock market, various industries, or individual securities and
these values depend on underlying economic factors
• Investors should determine the intrinsic value of an investment at a point
in time and compare it to the market price
• If you can do a superior job of estimating intrinsic value, you can make
superior market timing decisions and generate above-average returns
• Intrinsic value analysis involves:
– Aggregate market analysis
– Industry and company analysis

6-61
Aggregate Market Analysis
• EMH implies that examining only past economic events is not

likely to lead to outperforming a buy-and-hold policy because
the market adjusts rapidly to known economic events
• Merely using historical data to estimate future values is not
sufficient
• You must estimate the relevant variables that cause long-run
movements

6-62
Industry and Company Analysis
• Wide distribution of returns from different industries and companies

justifies industry and company analysis
• Must understand the variables that effect rates of return and
• Do a superior job of estimating future values of these relevant valuation
variables, not just look at past data
• Important relationship between expected earnings and actual earnings
• Accurately predicting earnings surprises
• Strong-form EMH indicates likely existence of superior analysts
• Studies indicate that fundamental analysis based on E/P ratios, size, and
the BV/MV ratios can lead to differentiating future return patterns

6-63
Fundamental Analysis Conclusion
• Estimating the relevant variables is as much an art and a

product of hard work as it is a science
• Successful investor must understand what variables are
relevant to the valuation process and have the ability and
work ethic to do a superior job of estimating these important
valuation variables

6-64
EMH and Portfolio Management
• Portfolio Managers with Superior Analysts

– Concentrate efforts in mid-cap stocks that do not receive the attention given
by institutional portfolio managers to the top-tier stocks
– The market for these neglected stocks may be less efficient than the market
for large well-known stocks
• Portfolio Managers without Superior Analysts
– Determine and quantify your client's risk preferences
– Construct the appropriate portfolio
– Diversify completely on a global basis to eliminate all unsystematic risk
– Maintain the desired risk level by rebalancing the portfolio whenever
necessary
– Minimize total transaction costs

6-65
EMH and Portfolio Management
• The Rationale and Use of Index Funds and Exchange-Traded Funds

– Efficient capital markets and a lack of superior analysts imply that many
portfolios should be managed passively (so their performance matches the
aggregate market, minimizes the costs of research and trading)
– Institutions created market (index) funds which duplicate the composition and
performance of a selected index series
• Insights from Behavioral Finance
– Growth companies will usually not be growth stocks due to the
overconfidence of analysts regarding future growth rates and valuations
– Notion of “herd mentality” of analysts in stock recommendations or quarterly
earnings estimates is confirmed

6-66
The Internet Investments Online
• http://www.bloomberg.com
• http://barra.com
• http://msci.com
• https://ecommerce.barcap.com/indices/
• http://www.barcap.com
• http://datastream.com/product/investor/index.html
• http://www.dir.co.jp/InfoManage/dbi/menu.html

5-67
The Internet Investments Online
• http://www.bloomberg.com
• http://news.ft.com
• http://www.online.wsj.com
• http://finance.yahoo.com
• http://money.cnn.com
• http://www.cnbc.com
• http://www.abcnews.com
• http://www.nbcnews.com
• http://www.msnbc.msn.com

6-68

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Lecture Outline

• Uses of Security-Market Indexes and Factors affect them

© 2012 Cengage Learning. All Rights

• As benchmarks to evaluate the performance of professional

© 2012 Cengage Learning. All Rights

• The Sample(Size, Breadth, Source)

© 2012 Cengage Learning. All Rights

• Price Weighted Index

© 2012 Cengage Learning. All Rights

• Best-known, oldest, most popular index

© 2012 Cengage Learning. All Rights

Assume the index price-weighted index consists of three

The example demonstrates the impact of differently priced

• Limited to 30 non-randomly selected blue-chip stocks

© 2012 Cengage Learning. All Rights

• Arithmetic average of prices for 225 stocks on the First Section

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

• All stocks carry equal weight regardless of price or market

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

• 1) FT/S&P-Actuaries World Indexes

• 3) Dow Jones World Stock Index

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

• Difficulties in Creating the Bond Index

© 2012 Cengage Learning. All Rights

• Beyond separate stock indexes and bond indexes for

© 2012 Cengage Learning. All Rights

• Merrill Lynch-Wilshire U.S. Capital Markets Index (ML-WCMI)

© 2012 Cengage Learning. All Rights

• Correlations Among Monthly Equity Price Changes

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

• Premises of An Efficient Market

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

• Random Walk Hypothesis

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

© 2012 Cengage Learning. All Rights

• Statistical Tests of Independence

© 2012 Cengage Learning. All Rights

• Simulations of Specific Trading Rules

© 2012 Cengage Learning. All Rights

• Two Sets of Studies

© 2012 Cengage Learning. All Rights

• Adjustment for Market Effects

ARit = Rit - Rmt

© 2012 Cengage Learning. All Rights

• Return Prediction Studies