INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap011 The Efficient Market Hypothesis35页PPT
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INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap023 Futures, Swaps, and Risk Management共40页文档
2% of $30 million = $600,000
Each S&P500 index contract will change $6,250 for a 2.5% change in the index. (The contract multiplier is $250).
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Hedge Ratio Example
Change in the portfolio value H=
Profit on one futures contract
= $600,000 $6,250
= 96 contracts short
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• Results: – Cheaper and more flexible – Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures
Hedge Ratio in contracts Each contract is for 62,500 pounds or $6,250 per a $.10 change
$200,000 / $6,250 = 32 contracts
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• Futures price too low - long the future and short sell the underlying stocks
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap023 Futures, Swaps, and Risk Management-PPT精选文
INVESTMENTS | BODIE, KANE, M2A3R-C1U3S
Creating Synthetic Positions with Futures
• Index futures let investors participate in broad market movements without actually buying or selling large amounts of stock.
Figure 23.4 Predicted Value of the Portfolio as a Function of the Market Index
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Uses of Interest Rate Hedges
• A bond fund manager may seek to protect gains against a rise in rates.
• Settled in cash • Advantages over direct stock purchase
– lower transaction costs – better for timing or allocation
strategies – takes less time to acquire the
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Hedging Systematic Risk
To protect against a decline in stock prices, short the appropriate number of futures index contracts.
Creating Synthetic Positions with Futures
• Index futures let investors participate in broad market movements without actually buying or selling large amounts of stock.
Figure 23.4 Predicted Value of the Portfolio as a Function of the Market Index
INVESTMENTS | BODIE, KANE, M2A3R-C2U1S
Uses of Interest Rate Hedges
• A bond fund manager may seek to protect gains against a rise in rates.
• Settled in cash • Advantages over direct stock purchase
– lower transaction costs – better for timing or allocation
strategies – takes less time to acquire the
INVESTMENTS | BODIE, KANE, M2A3R-C1U7S
Hedging Systematic Risk
To protect against a decline in stock prices, short the appropriate number of futures index contracts.
31_博迪《投资学》Chap001资料
• 货币市场上的债务型证券：期限短、流 动性强且风险小
• 货币市场上的固定收益型证券：长期证 券，这些证券有的违约风险较低相对比 较安全，有的风险相对较高。
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1-5
普通股证券和衍生证券
• 普通股证券代表了证券持有者对公司的 权益或所有权.
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1-17
住房融资的变化
传统方式
• 当地的储蓄机构为房主提 供抵押贷款
• 储蓄机构的主要资产: 长 期抵押贷款的组合
• 储蓄机构的主要负债: 储 户的存款
• “源于持有”
新兴方式
• 证券化: 房利美和房地美 购买抵押贷款并将它们捆 绑在一起组成资产池。
– 高级份额: 低风险, 最高评级
– 低级份额: 高风险, 低评级或垃圾评级
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1-21
抵押贷款衍生工具
• 问题: 这种评级是错误的! 这种结构给高级 份额带来的风险远远高于预期。
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• 抵押支持证券是指对相应 抵押贷款资产池的索取权。
• “源于分配”
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1-18
图 1.4 抵押转递证券的现金流
INVESTMENTS | BODIE, KANE, MARCUS
1-19
住房融资的变化
• 房利美和房地美持有或担保符合条件的证 券化抵押贷款, 这些抵押贷款的风险很低且 被妥善记录.
• 由私营企业提供的以不符合条件的违约风 险高的次级贷款为支持的证券化产品.
• 货币市场上的固定收益型证券：长期证 券，这些证券有的违约风险较低相对比 较安全，有的风险相对较高。
INVESTMENTS | BODIE, KANE, MARCUS
1-5
普通股证券和衍生证券
• 普通股证券代表了证券持有者对公司的 权益或所有权.
INVESTMENTS | BODIE, KANE, MARCUS
1-17
住房融资的变化
传统方式
• 当地的储蓄机构为房主提 供抵押贷款
• 储蓄机构的主要资产: 长 期抵押贷款的组合
• 储蓄机构的主要负债: 储 户的存款
• “源于持有”
新兴方式
• 证券化: 房利美和房地美 购买抵押贷款并将它们捆 绑在一起组成资产池。
– 高级份额: 低风险, 最高评级
– 低级份额: 高风险, 低评级或垃圾评级
INVESTMENTS | BODIE, KANE, MARCUS
1-21
抵押贷款衍生工具
• 问题: 这种评级是错误的! 这种结构给高级 份额带来的风险远远高于预期。
INVESTMENTS | BODIE, KANE, MARCUS
• 抵押支持证券是指对相应 抵押贷款资产池的索取权。
• “源于分配”
INVESTMENTS | BODIE, KANE, MARCUS
1-18
图 1.4 抵押转递证券的现金流
INVESTMENTS | BODIE, KANE, MARCUS
1-19
住房融资的变化
• 房利美和房地美持有或担保符合条件的证 券化抵押贷款, 这些抵押贷款的风险很低且 被妥善记录.
• 由私营企业提供的以不符合条件的违约风 险高的次级贷款为支持的证券化产品.
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models-精品文档40页
Figure 18.1 Dividend Growth for Two Earnings Reinvestment Policies
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Present Value of Growth Opportunities
• The value of the firm equals the value of the assets already in place, the nogrowth value of the firm,
• Price = No-growth value per share + PVGO
P0
E1 k
PVGO
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Example 18.4 Growth Opportunities
• Firm reinvests 60% of its earnings in projects with ROE of 10%, capitalization rate is 15%. Expected year-end dividend is $2/share, paid out of earnings of $5/share.
• No growth case • Value a preferred stock paying a
fixed dividend of $2 per share when the discount rate is 8%:
Vo $2 $25 0.080
INVESTMENTS | BODIE, KANE, MARCUS
• V0 =current value; Dt=dividend at time t; k = required rate of return
博迪投资学教材
博迪投资学教材
《博迪投资学教材（Bodie, Kane, Marcus）》是一本全面介绍投资学的经典教材。
该教材主要由三位作者（Zvi Bodie, Alex Kane, Alan J. Marcus）合著，以其内容的深度和广度而闻名于投资学领域。
该教材涵盖了投资学的基本概念、理论和实践，并提供了相关实例和案例来帮助读者更好地理解和应用这些概念。
内容包括投资风险与回报、资产定价、投资组合理论、衍生工具、投资者行为等等。
教材的难度适中，既适合投资学专业的研究生或本科生学习，也适用于对投资学感兴趣的非专业读者。
《博迪投资学教材》的特点之一是其强调实际应用和计算。
教材包含大量的数学公式和计算示例，以帮助学生掌握投资学方法和工具，并将其应用到实际投资决策中。
另外，该教材还包含了许多练习题和案例研究，以帮助学生检验和巩固所学知识。
此外，书中还提供了一些在线资源，如习题解答、课程常见问题、相关学习资料等，以帮助学生更好地学习和理解教材内容。
总之，《博迪投资学教材》是一本全面而权威的投资学教材，适用于投资学专业学生和对投资学感兴趣的读者。
它将学术理论与实际应用相结合，具有很高的教学实用性。
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap025 Diversification-PPT资料34页
is 54%.
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Background
• Clearly, U.S. stocks do not comprise a fully diversified equity portfolio.
• International investing provides greater diversification opportunities.
INVESTMENTS | BODIE, KANE, M2A5R-C1U4S
Table 25.7 Composite and Political Risk Forecasts
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Table 25.7 Interpretation
Figure 25.4 Index Dollar Return Beta on U.S. Stocks, 2000–2009
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Figure 25.5 Average Dollar-Denominated Excess Returns
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Average Country-Index Returns and Capital Asset Pricing Theory
• Figure 25.5 shows a clear advantage to investing in emerging markets.
return either by investing in UK bills and
最新2019-INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap007 Optimal Risky Portfolios-PPT课件
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Figure 7.1 Portfolio Risk as a Function of the Number of Stocks in the Portfolio
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Figure 7.2 Portfolio Diversification
Figure 7.8 Determination of the Optimal Overall Portfolio
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Figure 7.9 The Proportions of the Optimal Overall Portfolio
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Covariance
Cov(rD,rE) = DEDE
D,E = Correlation coefficient of rurns for Security D
E = Standard deviation of returns for Security E
wED DE1wD
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Table 7.2 Computation of Portfolio Variance From the Covariance Matrix
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Three-Asset Portfolio
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Covariance and Correlation
Figure 7.1 Portfolio Risk as a Function of the Number of Stocks in the Portfolio
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Figure 7.2 Portfolio Diversification
Figure 7.8 Determination of the Optimal Overall Portfolio
INVESTMENTS | BODIE, KANE, MARCUS
Figure 7.9 The Proportions of the Optimal Overall Portfolio
INVESTMENTS | BODIE, KANE, MARCUS
Covariance
Cov(rD,rE) = DEDE
D,E = Correlation coefficient of rurns for Security D
E = Standard deviation of returns for Security E
wED DE1wD
INVESTMENTS | BODIE, KANE, MARCUS
Table 7.2 Computation of Portfolio Variance From the Covariance Matrix
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Three-Asset Portfolio
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Covariance and Correlation
投资学博迪
F0 1 r f (U S ) E 0 1 r f (U K )
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25-11
政治风险
• 原则上说，证券分析中的宏观环境分 析、行业分析和特定公司分析在各个 国家都是相似的。
• 在实际中，想要获得关于国外资产的 相同质量的信息非常困难。
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25-10
对冲汇率风险
• 期货或远期市场通常用来规避风险。
• 美国投资者为了锁定无风险的美元收益，他既 可以在英国投资，但须对冲汇率风险，也可以
在美国投资无风险资产。
1
r f (U K )
F0 E0
1 rf (U S )
rearranged:
• PRS （ 政治风险服务)集团评估了各 国的政治风险。
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25-12
表25.5 PRS用于决定风险评分的变量
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25-13
表25.6 综合评分与单项评分
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25-23
国际分散化投资的好处
• 国家间的相关系数表明，至少对于积极 投资者而言，国际分散化投资是有利的。
• 全球化可能导致各国之间的相关度增加。 • 扩大有效边界是有可能的。 • 将系统风险水平降低至国内风险水平之
下是有可能的。
INVESTMENTS | BODIE, KANE, MARCUS
25-24
投资学博迪
25-2
背景
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– Try to find poorly run firms that are not as bad as the market thinks.
– Semi strong form efficiency and fundamental analysis
INVESTMENTS | BODIE, KANE, MARCUS
• A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information.
– Result: Prices change until expected returns are exactly commensurate with risk.
• How do we explain random stock price changes?
INVESTMENTS | BODIE, KANE, MARCUS
Efficient Market Hypothesis (EMH)
• EMH says stock prices already reflect all available information
INVESTMENTS | BODIE, KANE, MARCUS
Efficient Market Hypothesis (EMH)
• New information is unpredictable; if it could be predicted, then the prediction would be part of today’s information.
INVESTMENTS | BODIE, KANE, MARCUS
EMH and Competition
• Information: The most precious commodity on Wall Street – Strong competition assures prices reflect information. – Information-gathering is motivated by desire for higher investment returns. – The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.
– Accept EMH – Index Funds and ETFs – Very low costs
INVESTMENTS | BODIE, KANE, MARCUS
Market Efficiency & Portfolio Management
Active or Passive Management
• Active Management
– An expensive strategy – Suitable only for very large portfolios
• Passive Management: No attempt to outsmart the market
– Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.
– Weak form efficiency • Relative strength • Resistance levels
INVESTMENTS | BODIE, KANE, MARCUS
Types of Stock Analysis
• Fundamental Analysis - using economic and accounting information to predict stock prices
– Try to find firms that are better than everyone else’s estimate.
• Stock prices that change in response to new (unpredictable) information also must move unpredictably.
• Stock price changes follow a random walk.
INVESTMENTS | BODIE, KANE, MARCUS
Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies
INVESTMENTS | BODIE, KANE, MARCUS
Figure 11.2 Stock PrБайду номын сангаасce Reaction to CNBC Reports
INVESTMENTS | BODIE, KANE, MARCUS
Versions of the EMH
• Weak • Semi-strong • Strong
INVESTMENTS | BODIE, KANE, MARCUS
Types of Stock Analysis
• Technical Analysis - using prices and volume information to predict future prices
Efficient Market Hypothesis (EMH)
• Maurice Kendall (1953) found no predictable pattern in stock prices.
• Prices are as likely to go up as to go down on any particular day.
– Semi strong form efficiency and fundamental analysis
INVESTMENTS | BODIE, KANE, MARCUS
• A forecast about favorable future performance leads to favorable current performance, as market participants rush to trade on new information.
– Result: Prices change until expected returns are exactly commensurate with risk.
• How do we explain random stock price changes?
INVESTMENTS | BODIE, KANE, MARCUS
Efficient Market Hypothesis (EMH)
• EMH says stock prices already reflect all available information
INVESTMENTS | BODIE, KANE, MARCUS
Efficient Market Hypothesis (EMH)
• New information is unpredictable; if it could be predicted, then the prediction would be part of today’s information.
INVESTMENTS | BODIE, KANE, MARCUS
EMH and Competition
• Information: The most precious commodity on Wall Street – Strong competition assures prices reflect information. – Information-gathering is motivated by desire for higher investment returns. – The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.
– Accept EMH – Index Funds and ETFs – Very low costs
INVESTMENTS | BODIE, KANE, MARCUS
Market Efficiency & Portfolio Management
Active or Passive Management
• Active Management
– An expensive strategy – Suitable only for very large portfolios
• Passive Management: No attempt to outsmart the market
– Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.
– Weak form efficiency • Relative strength • Resistance levels
INVESTMENTS | BODIE, KANE, MARCUS
Types of Stock Analysis
• Fundamental Analysis - using economic and accounting information to predict stock prices
– Try to find firms that are better than everyone else’s estimate.
• Stock prices that change in response to new (unpredictable) information also must move unpredictably.
• Stock price changes follow a random walk.
INVESTMENTS | BODIE, KANE, MARCUS
Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies
INVESTMENTS | BODIE, KANE, MARCUS
Figure 11.2 Stock PrБайду номын сангаасce Reaction to CNBC Reports
INVESTMENTS | BODIE, KANE, MARCUS
Versions of the EMH
• Weak • Semi-strong • Strong
INVESTMENTS | BODIE, KANE, MARCUS
Types of Stock Analysis
• Technical Analysis - using prices and volume information to predict future prices
Efficient Market Hypothesis (EMH)
• Maurice Kendall (1953) found no predictable pattern in stock prices.
• Prices are as likely to go up as to go down on any particular day.