博迪投资学第九版课件
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兹维博迪-投资学-第九版-中文PPT课件
1-31
1-25
-
系统性风险的上升
银行资产和负债的到期日和流动性之间并不匹配。
负债是短期的、流动的 资产是长期的、非流动的 需要不断再融资改善资产组合
高杠杆比率使得银行几乎没有保证金来确保其安全。
1-26
-
系统性风险的上升
投资者过分依赖结构化产品，如信用违约掉期来实现信 用升级。
信用违约掉期合约通常是场外交易，缺少公开披露，没 有要求保证金。
为什么会低估信用风险?
没有人会预料到房地产市场的价格会一直下跌 跨地区来分散风险的愿望并未实现 代理问题和评级机构 信用违约掉期并未像预计那样降低风险
1-22
-
信用违约掉期 (CDS)
信用违约掉期实质上是一种针对借款者违约的保险合同。 投资者购买次级贷款使用信用违约掉期来保证其安全性。
投资银行
• 同意买下新发行的股票 和债券
• 在一级市场上向公众销 售新证券
• 投资者在二级市场上买 卖一级市场发行的证券
商业银行
• 吸收存款、发放贷款
1-14
-
-
2008年的金融危机
金融危机的前情:
“大稳健”: 美国经历了一个低利率和经济稳定的时期，只有一 些温和的经济衰退，经济周期似乎已被驯服。
第一章
1
投资环境
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
-
-
实物资产与金融资产
实物资产 取决于该社会经济的生产能力，为经济创 造净利润。 如土地、建筑物、机器以及可用于生产产 品和提供服务的知识。
1-25
-
系统性风险的上升
银行资产和负债的到期日和流动性之间并不匹配。
负债是短期的、流动的 资产是长期的、非流动的 需要不断再融资改善资产组合
高杠杆比率使得银行几乎没有保证金来确保其安全。
1-26
-
系统性风险的上升
投资者过分依赖结构化产品，如信用违约掉期来实现信 用升级。
信用违约掉期合约通常是场外交易，缺少公开披露，没 有要求保证金。
为什么会低估信用风险?
没有人会预料到房地产市场的价格会一直下跌 跨地区来分散风险的愿望并未实现 代理问题和评级机构 信用违约掉期并未像预计那样降低风险
1-22
-
信用违约掉期 (CDS)
信用违约掉期实质上是一种针对借款者违约的保险合同。 投资者购买次级贷款使用信用违约掉期来保证其安全性。
投资银行
• 同意买下新发行的股票 和债券
• 在一级市场上向公众销 售新证券
• 投资者在二级市场上买 卖一级市场发行的证券
商业银行
• 吸收存款、发放贷款
1-14
-
-
2008年的金融危机
金融危机的前情:
“大稳健”: 美国经历了一个低利率和经济稳定的时期，只有一 些温和的经济衰退，经济周期似乎已被驯服。
第一章
1
投资环境
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
-
-
实物资产与金融资产
实物资产 取决于该社会经济的生产能力，为经济创 造净利润。 如土地、建筑物、机器以及可用于生产产 品和提供服务的知识。
Chap002 资产类别与金融工具兹维 博迪 《投资学 》第九版课件PPT
2-9
2.2 债券市场
1、中长期国债
① 期限： – 中期国债 – 期限最长是10年 – 长期国债 – 期限从10年到30年不等 ② 面值 – 1000美元； ③ 利息支付期—半年； ④ 行情– 以面值的百分比；1/32
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2-10
2.2 债券市场
2.3 权益证券
• 1、普通股：代表所有权 – 剩余索取权最后 – 有限责任 • 2、优先股： 永续性 – 固定收益； – 求偿权优先于普通股，次于债券； – 税务处理：股利部分免税； • 美国存托凭证ADR：在美国市场上ODIE, KANE, MARCUS
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2-21
标准普尔指数
• 标准普尔500指数：
– 涵盖500家公司的指数
– 市值加权指数
• 投资者可以购买指数投资组合:
– 购买与各种指数相对应的共同基金；
– 购买交易所交易基金 (ETFs)；
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2-8
2.2 债券市场
• 1、中期国债和长期国债 • 2、通胀保值债券 • 3、联邦机构债券 • 4、国际债券 • 5、市政债券 • 6、公司债券 • 7、抵押贷款和抵押担保证券
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第二章
资产类别与金融工具
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McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
博迪投资学第九版ppt
NE, MARCUS
27-11
Table 27.4 The Optimal Risky Portfolio with Constraint on the Active Portfolio (wA ≤1)
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• How accurate is your forecast?
• Regress forecast alphas on actual, realized alphas to adjust alpha for the accuracy of the analysts’ previous forecasts.
• The BL model is a generalization of the TB model that allows you to have views about relative performance that cannot be used in the TB model.
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27-13
Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts
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27-14
Adjusting Forecasts for the Precision of Alpha
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27-17
Steps in the Black-Litterman Model
27-11
Table 27.4 The Optimal Risky Portfolio with Constraint on the Active Portfolio (wA ≤1)
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• How accurate is your forecast?
• Regress forecast alphas on actual, realized alphas to adjust alpha for the accuracy of the analysts’ previous forecasts.
• The BL model is a generalization of the TB model that allows you to have views about relative performance that cannot be used in the TB model.
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INVESTMENTS | BODIE, KANE, MARCUS
27-13
Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts
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27-14
Adjusting Forecasts for the Precision of Alpha
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27-17
Steps in the Black-Litterman Model
博迪投资学第九版课件Chap008
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8-17
Optimal Risky Portfolio of the Single-Index Model
• Maximize the Sharpe ratio – Expected return, SD, and Sharpe ratio:
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8-12
Table 8.1 Interpretation
• Correlation of HP with the S&P 500 is 0.7238.
• The model explains about 52% of the variation in HP.
• Variance of the equally weighted portfolio of firm-specific components:
1 2 1 2 (eP ) (ei ) (e) n i 1 n
n 2
2
• When n gets large, σ2(ep) becomes negligible and firm specific risk is diversified away.
8-9
Figure 8.2 Excess Returns on HP and S&P 500
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8-10
Figure 8.3 Scatter Diagram of HP, the S&P 500, and HP’s Security Characteristic Line (SCL)
博迪投资学第九版课件
p
24-11
Risk Adjusted Performance: Treynor
2) Treynor Measure
(rP rf )
P
rp = Average return on the portfolio
rf = Average risk free rate ßp = Weighted average beta for portfolio
24-2
Introduction
• Two common ways to measure average portfolio return: 1. Time-weighted returns 2. Dollar-weighted returns • Returns must be adjusted for risk.
24-7
Time-Weighted Return
53 50 2 r1 10% 50 54 53 2 r2 5.66% 53
rG = [ (1.1) (1.0566) ]1/2 – 1 = 7.81% The dollar-weighted average is less than the time-weighted average in this example because more money is invested in year two, when the return was lower.
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24-14
M Measure
• Developed by Modigliani and Modigliani • Create an adjusted portfolio (P*)that has the same standard deviation as the market index. • Because the market index and P* have the same standard deviation, their returns are comparable:
Chap009 资本资产定价模型兹维 博迪 《投资学 》第九版课件PPT
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9-18
图9.3 证券市场线和一只α值为正的股票
股票的实际期望 收益与正常期望收 益之间的差，称为 股票的阿尔法，。 被低估的股票期 望收益值将高于证 券市场线给出的正 常收益值。
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9-24
9.4 计量经济学与期望收益—贝塔关系
9.3.2 实证检验不支持CAPM
• 实证拒绝了假设：α等于0。 • 统计偏差的引进。 • 米勒和斯科尔斯的论文证明了计量问题可 能会导致拒绝资本资产定价模型，即使该 模型是非常有效的。 • 但也可能是模型本身的问题。
E r r
M f
9-7
• 变换一下，我们可以得到：
ErGE rf GE ErM rf
– 风险溢价取决于两个因素：
• 一是市场组合风险报酬[E(r )－rf]； • 二是资产对市场组合的风险暴露程度β；
M
注意：预测的是收益
9-8
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E (rM ) rf M E ( r ) r M f
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9-15
9.1.5 证券市场线★
均衡市场中，所有证券 都必须在证券市场线上。 证券市场线：期望收益 -贝塔关系。斜率为市 场投资组合的风险溢价 ：【E(rM)-rf 】。
• βi为个股对市场组合方差的贡献。
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9-18
图9.3 证券市场线和一只α值为正的股票
股票的实际期望 收益与正常期望收 益之间的差，称为 股票的阿尔法，。 被低估的股票期 望收益值将高于证 券市场线给出的正 常收益值。
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
9-24
9.4 计量经济学与期望收益—贝塔关系
9.3.2 实证检验不支持CAPM
• 实证拒绝了假设：α等于0。 • 统计偏差的引进。 • 米勒和斯科尔斯的论文证明了计量问题可 能会导致拒绝资本资产定价模型，即使该 模型是非常有效的。 • 但也可能是模型本身的问题。
E r r
M f
9-7
• 变换一下，我们可以得到：
ErGE rf GE ErM rf
– 风险溢价取决于两个因素：
• 一是市场组合风险报酬[E(r )－rf]； • 二是资产对市场组合的风险暴露程度β；
M
注意：预测的是收益
9-8
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E (rM ) rf M E ( r ) r M f
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9-15
9.1.5 证券市场线★
均衡市场中，所有证券 都必须在证券市场线上。 证券市场线：期望收益 -贝塔关系。斜率为市 场投资组合的风险溢价 ：【E(rM)-rf 】。
• βi为个股对市场组合方差的贡献。
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博迪投资学第九版课件
Security D and Security E
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7-9
Two-Security Portfolio: Risk
• Another way to express variance of the portfolio:
2 P wD wDCov(rD , rD ) wE wE Cov(rE , rE ) 2wD wE Cov(rD , rE )
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7-20
Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs
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7-15
Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions
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7-16
Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions
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7-5
Figure 7.2 Portfolio Diversification
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7-6
Covariance and Correlation
• Portfolio risk depends on the correlation between the returns of the assets in the portfolio
投资学课件—博迪第九版—Ch05 Introduction to Risk, Return, and the Historical Record
1 EAR 1 rf T
1 T
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5-11
Equation 5.8 APR
• APR: annualizing using simple interest
1 EAR APR
T
T
1
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• As the inflation rate increases, investors will demand higher nominal rates of return
• If E(i) denotes current expectations of inflation, then we get the Fisher Equation: Nominal rate = real rate + inflation forecast
5-14
Bills and Inflation, 1926-2009
• Moderate inflation can offset most of the nominal gains on low-risk investments. • A dollar invested in T-bills from1926–2009 grew to $20.52, but with a real value of only $1.69. • Negative correlation between real rate and inflation rate means the nominal rate responds less than 1:1 to changes in expected inflation.
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• A spot rate is the geometric average of its component short rates.
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15-12
Short Rates and Yield Curve Slope
• When next year’s short rate, r2 , is greater than this year’s short rate, r1, the yield curve slopes up.
15-2
Overview of Term Structure
• The yield curve is a graph that displays the relationship between yield and maturity.
• Information on expected future short term rates can be implied from the yield curve.
15-10
Yield Curve Under Certainty
• Buy and hold vs. rollover:
(1 y2 )2 (1 r1 )x(1 r2 )
1
1 y2 (1 r1)x(1 r2 ) 2
• Next year’s 1-year rate (r2) is just enough to make rolling over a series of 1-year bonds equal to investing in the 2-year bond.
• Equilibrium requires that both strategies provide the same return.
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15-9
Figure 15.2 Two 2-Year Investment Programs
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ቤተ መጻሕፍቲ ባይዱ 15-6
Example 15.1 Valuing Coupon Bonds
• Value a 3 year, 10% coupon bond using discount rates from Table 15.1:
$100 $100 $1100 Price 1.05 1.062 1.073
CHAPTER 15
The Term Structure of Interest Rates
McGraw-Hill/Irwin
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Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
• The pure yield curve uses stripped or zero coupon Treasuries.
• The pure yield curve may differ significantly from the on-the-run yield curve.
On-the-run Yield Curve
• We need to consider each bond cash flow as a stand-alone zero-coupon bond.
• Bond stripping and bond reconstitution offer opportunities for arbitrage.
• Price = $1082.17 and YTM = 6.88% • 6.88% is less than the 3-year rate of 7%.
INVESTMENTS | BODIE, KANE, MARCUS
15-7
Two Types of Yield Curves
Pure Yield Curve
• The on-the-run yield curve uses recently issued coupon bonds selling at or near par.
• The financial press typically publishes onthe-run yield curves.
• The value of the bond should be the sum of the values of its parts.
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15-5
Table 15.1 Prices and Yields to Maturities on Zero-Coupon Bonds ($1,000 Face Value)
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15-11
Spot Rates vs. Short Rates
• Spot rate – the rate that prevails today for a given maturity
• Short rate – the rate for a given maturity (e.g. one year) at different points in time.
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15-3
Figure 15.1 Treasury Yield Curves
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15-4
Bond Pricing
• Yields on different maturity bonds are not all equal.
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15-8
Yield Curve Under Certainty
• Suppose you want to invest for 2 years. – Buy and hold a 2-year zero -or– Rollover a series of 1-year bonds
INVESTMENTS | BODIE, KANE, MARCUS
15-12
Short Rates and Yield Curve Slope
• When next year’s short rate, r2 , is greater than this year’s short rate, r1, the yield curve slopes up.
15-2
Overview of Term Structure
• The yield curve is a graph that displays the relationship between yield and maturity.
• Information on expected future short term rates can be implied from the yield curve.
15-10
Yield Curve Under Certainty
• Buy and hold vs. rollover:
(1 y2 )2 (1 r1 )x(1 r2 )
1
1 y2 (1 r1)x(1 r2 ) 2
• Next year’s 1-year rate (r2) is just enough to make rolling over a series of 1-year bonds equal to investing in the 2-year bond.
• Equilibrium requires that both strategies provide the same return.
INVESTMENTS | BODIE, KANE, MARCUS
15-9
Figure 15.2 Two 2-Year Investment Programs
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INVESTMENTS | BODIE, KANE, MARCUS
ቤተ መጻሕፍቲ ባይዱ 15-6
Example 15.1 Valuing Coupon Bonds
• Value a 3 year, 10% coupon bond using discount rates from Table 15.1:
$100 $100 $1100 Price 1.05 1.062 1.073
CHAPTER 15
The Term Structure of Interest Rates
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
• The pure yield curve uses stripped or zero coupon Treasuries.
• The pure yield curve may differ significantly from the on-the-run yield curve.
On-the-run Yield Curve
• We need to consider each bond cash flow as a stand-alone zero-coupon bond.
• Bond stripping and bond reconstitution offer opportunities for arbitrage.
• Price = $1082.17 and YTM = 6.88% • 6.88% is less than the 3-year rate of 7%.
INVESTMENTS | BODIE, KANE, MARCUS
15-7
Two Types of Yield Curves
Pure Yield Curve
• The on-the-run yield curve uses recently issued coupon bonds selling at or near par.
• The financial press typically publishes onthe-run yield curves.
• The value of the bond should be the sum of the values of its parts.
INVESTMENTS | BODIE, KANE, MARCUS
15-5
Table 15.1 Prices and Yields to Maturities on Zero-Coupon Bonds ($1,000 Face Value)
INVESTMENTS | BODIE, KANE, MARCUS
15-11
Spot Rates vs. Short Rates
• Spot rate – the rate that prevails today for a given maturity
• Short rate – the rate for a given maturity (e.g. one year) at different points in time.
INVESTMENTS | BODIE, KANE, MARCUS
15-3
Figure 15.1 Treasury Yield Curves
INVESTMENTS | BODIE, KANE, MARCUS
15-4
Bond Pricing
• Yields on different maturity bonds are not all equal.
INVESTMENTS | BODIE, KANE, MARCUS
15-8
Yield Curve Under Certainty
• Suppose you want to invest for 2 years. – Buy and hold a 2-year zero -or– Rollover a series of 1-year bonds