ECON 252: Financial Markets
Lecture 06 - Efficient Markets vs. Excess Volatility. 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. (from oyc.yale.edu)
| Lecture 06 - Efficient Markets vs. Excess Volatility |
| Time | Lecture Chapters |
| [00:00:00] | 1. Last Thoughts on Insurance and Catastrophe Bonds |
| [00:06:28] | 2. Information Access and the Efficient Markets Hypothesis |
| [00:20:00] | 3. Varying Degrees of Efficient Markets and No Dividends: The Case of First Federal Financial |
| [00:41:44] | 4. The Random Walk Theory |
| [00:51:30] | 5. The First Order Auto-regressive Model |
| [00:56:59] | 6. Challenges in Forecasting the Market |
| References |
| Lecture 6 - Efficient Markets vs. Excess Volatility Instructor: Professor Robert J. Shiller. Resources: Lecture 6 [PDF]. Transcript [html]. Audio [mp3]. Download Video [mov]. |
Go to the Course Home or watch other lectures: