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6. Efficient Markets vs. Excess Volatility

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Financial Markets (ECON 252)



Several theories in finance relate to stock price analysis and prediction. The efficient markets hypothesis states that stock prices for publicly-traded companies reflect all available information. Prices adjust to new information instantaneously, so it is impossible to \"beat the market.\" Furthermore, the random walk theory asserts that changes in stock prices arise only from unanticipated new information, and so it is impossible to predict the direction of stock prices. Using statistical tools, we can attempt to test the hypotheses and to predict future stock prices. These tests show that efficient markets theory is a half-truth: it is difficult but not impossible for some people to beat the market.



00:00 - Chapter 1. Last Thoughts on Insurance and Catastrophe Bonds

06:28 - Chapter 2. Information Access and the Efficient Markets Hypothesis

20:00 - Chapter 3. Varying Degrees of Efficient Markets and No Dividends: The Case of First Federal Financial

41:44 - Chapter 4. The Random Walk Theory

51:30 - Chapter 5. The First Order Auto-regressive Model

56:59 - Chapter 6. Challenges in Forecasting the Market



Complete course materials are available at the Open Yale Courses website: http://open.yale.edu/courses



This course was recorded in Spring 2008.
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