博迪投资学英文课件(5)

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).
INVESTMENTS | BODIE, KANE, M2A3R-C1U9S
Hedge Ratio Example
Change in the portfolio value H=
Profit on one futures contract
= $600,000 $6,250
= 96 contracts short
INVESTMENTS | BODIE, KANE, M2A3R-C2U0S
• 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
INVESTMENTS | BODIE, KANE, MA2R3C-U9S
• Futures price too low - long the future and short sell the underlying stocks

INVESTMENTS | BODIE, KANE, MARCUS
1-6
Financial Markets and the Economy (Ctd.)
• Corporate Governance and Corporate Ethics – Accounting Scandals • Examples – Enron, Rite Aid, HealthSouth – Auditors – watchdogs of the firms – Analyst Scandals • Arthur Andersen – Sarbanes-Oxley Act • Tighten the rules of corporate governance
– Used to transfer risk
INVESTMENTS | BODIE, KANE, MARCUS
1-4
Financial Markets and the Economy
• Information Role: Capital flows to companies with best prospects
Real Assets Versus Financial Assets
• Real Assets – Determine the productive capacity and net income of the economy – Examples: Land, buildings, machines, knowledge used to produce goods and services
• Financial Assets – Claims on real assets
INVESTMENTS | BODIE, KANE, MARCUS

9-18
Extensions of the CAPM
• Zero-Beta Model – Helps to explain positive alphas on low beta stocks and negative alphas on high beta stocks
• Consideration of labor income and nontraded assets
Ri iiRMei
• The index model beta coefficient turns out to be the same beta as that of the CAPM expected return-beta relationship
9-15
Figure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-1991
• It is important to consider the econometric technique used for the model estimated
• Statistical bias is easily introduced – Miller and Scholes paper demonstrated how econometric problems could lead one to reject the CAPM even if it were perfectly valid
market rate of return:
L3
Cov(Ci,RM) Var(RM CM)
9-23
portfolio:
E (rGE ) rf C ov (rGE , rM )

– Senior tranches: Lower risk, highest rating
– Junior tranches: High risk, low or junk rating
INVESTMENTS | BODIE, KANE, MARCUS
1-20
Mortgage Derivatives
– Historic boom in housing market
INVESTMENTS | BODIE, KANE, MARCUS
1-15
Figure 1.3 The Case-Shiller Index of U.S. Housing Prices
INVESTMENTS | BODIE, KANE, MARCUS
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1-3
Fixed Income
• Payments fixed or determined by a formula
• Money market debt: short term, highly marketable, usually low credit risk
INVESTMENTS | BODIE, KANE, MARCUS
1-12
The Players (Ctd.)
• Financial Intermediaries: Pool and invest funds – Investment Companies – Banks – Insurance companies – Credit unions
INVESTMENTS | BODIE, KANE, MARCUS
1-11
The Players