投资学课件—博迪第九版—Ch03 Types of Orders & Margin Accounts
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博迪投资学英文课件 (9)
23-6
Text Pricing Example
rus = 4% ruk = 5% E0 = $2.00 per pound
T = 1 yr
F0
$2.001.04 1 1.05
$1.981
If the futures price varies from $1.981 per pound, covered interest arbitrage is possible.
A US exporter wants to protect against a decline in profit that would result from depreciation of the pound. The current futures price is $2/£1. Suppose FT = $1.90? •The exporter anticipates a profit loss of $200,000 if the pound declines by $.10 •Short or sell pounds for future delivery to avoid the exposure.
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Creating Synthetic Positions with Futures
• Speculators on broad market moves are major players in the index futures market. – Strategy: Buy and hold T-bills and vary the position in market-index futures contracts. – If bullish, then long futures – If bearish, then short futures
Chap002 资产类别与金融工具兹维 博迪 《投资学 》第九版课件PPT
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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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2.2 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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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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2.2 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.
Chap023 Futures, Swaps, and Risk Management 《投资学》博迪 第九版 英文教学课件
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Index Arbitrage
Exploiting mispricing between underlying stocks and the futures index contract • Futures Price too high - short the future and buy the underlying stocks • Futures price too low - long the future and short sell the underlying stocks
• Available on both domestic and international stocks • Settled in cash • Advantages over direct stock purchase – lower transaction costs – better for timing or allocation strategies – takes less time to acquire the portfolio
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Figure 23.4 Predicted Value of the Portfolio as a Function of the Market Index
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Figure 23.2 Foreign Exchange Futures
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Index Arbitrage
Exploiting mispricing between underlying stocks and the futures index contract • Futures Price too high - short the future and buy the underlying stocks • Futures price too low - long the future and short sell the underlying stocks
• Available on both domestic and international stocks • Settled in cash • Advantages over direct stock purchase – lower transaction costs – better for timing or allocation strategies – takes less time to acquire the portfolio
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Figure 23.4 Predicted Value of the Portfolio as a Function of the Market Index
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Figure 23.2 Foreign Exchange Futures
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博迪投资学第九版ppt
NE, MARCUS
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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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Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts
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Adjusting Forecasts for the Precision of Alpha
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Steps in the Black-Litterman Model
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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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Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts
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Adjusting Forecasts for the Precision of Alpha
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Steps in the Black-Litterman Model
博迪投资学Chap003章节
Howfar can the stock price f a l l before a margin call? (100P - $4,000)* / 100P = 30% P = $57.14 * 100P - Amt Borrowed = Equity
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Table 3.4 I l l u s t r a t i o n of Buying Stock on Margin
• Spread: cost of trading with dealer – Bid: price dealer w i l l buy from you – Ask: price dealer w i l l s e l l t o you – Spread: ask - bid
• Combination: on some t ra d e s both are paid
futures
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Stock Margin Trading
• Margin i s currently 50%; you can borrow up to 50% of the stock value – Set by the Fed
• Maintenance margin: minimum amount equity i n trading can be before additional funds must be put into the account
How Firms Issue Securities
• Primary – New issue – Key f a c t o r : i s s u e r receives the proceeds from the s a le
• Secondary – Existing owner s e l l s t o another party – Issuing firm doesn’t receive proceeds and i s not d irectly involved
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Table 3.4 I l l u s t r a t i o n of Buying Stock on Margin
• Spread: cost of trading with dealer – Bid: price dealer w i l l buy from you – Ask: price dealer w i l l s e l l t o you – Spread: ask - bid
• Combination: on some t ra d e s both are paid
futures
3 - 26
Stock Margin Trading
• Margin i s currently 50%; you can borrow up to 50% of the stock value – Set by the Fed
• Maintenance margin: minimum amount equity i n trading can be before additional funds must be put into the account
How Firms Issue Securities
• Primary – New issue – Key f a c t o r : i s s u e r receives the proceeds from the s a le
• Secondary – Existing owner s e l l s t o another party – Issuing firm doesn’t receive proceeds and i s not d irectly involved
Chap012 行为金融与技术分析兹维 博迪 《投资学 》第九版课件PPT
由框定依赖导致的认知与判断的偏差即为框定偏差它是指人们的判断与决策依赖于所面临的决策问题的形式即尽管问题的本质相同但因形式的不同也会导致人们做出不同的决策
第十二章
行为金融与技术分析
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McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
1. 基本趋势/主要趋势: 股价的长期趋势，持续时间从 几个月到几年不等。 2. 二级趋势或中间趋势: 价格对目标趋势线的短期偏 离，当价格回归到趋势值时，这些偏离就会消失。 3. 三级趋势或次要趋势: 几乎不重要的日波动。
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12-21
图12.5 移动平均线（惠普公司）
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趋势与修正: 宽度
宽度:常用的测量 方法是计算价格 出现上涨的股票 数量和出现下跌 的股票数量之差。
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12.2.3 警告!
• 很可能会观察出实际上并不存在的波动形式。 • 图12.8A 是基于真实的数据资料。图B描述的 是利用任意数字算出的股票收益。 • 图12.9 描述的是图12.8对应的每周股价变化， 可以看出其明显的随机性。
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第十二章
行为金融与技术分析
INVESTMENTS | BODIE, KANE, MARCUS
McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
1. 基本趋势/主要趋势: 股价的长期趋势，持续时间从 几个月到几年不等。 2. 二级趋势或中间趋势: 价格对目标趋势线的短期偏 离，当价格回归到趋势值时，这些偏离就会消失。 3. 三级趋势或次要趋势: 几乎不重要的日波动。
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12-21
图12.5 移动平均线（惠普公司）
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12-22
趋势与修正: 宽度
宽度:常用的测量 方法是计算价格 出现上涨的股票 数量和出现下跌 的股票数量之差。
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12-23
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12-26
12.2.3 警告!
• 很可能会观察出实际上并不存在的波动形式。 • 图12.8A 是基于真实的数据资料。图B描述的 是利用任意数字算出的股票收益。 • 图12.9 描述的是图12.8对应的每周股价变化， 可以看出其明显的随机性。
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12-12
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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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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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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9.4 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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9.1.5 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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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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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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Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs
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Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions
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Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions
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Figure 7.2 Portfolio Diversification
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Covariance and Correlation
• Portfolio risk depends on the correlation between the returns of the assets in the portfolio
金融学 第九版Basic Finance_ch03
Over-the-counter markets (e.g., Nasdaq)
4
Buying and Selling Securities
Role of brokers
– full service brokerage firms – discount brokers – electronic trading
Current price properly values a stock
Cannot expect to consistently out perform market as a whole
18
Efficient Market Hypothesis
Empirical results support the hypothesis Exceptions to efficient market hypothesis: “anomalies”
13
Construction of Indices
Questions concerning:
– Which securities to include – How to compute index
Can produce different stock performance measures
14
19
Foreign Securities
Foreign stocks traded in American markets American Depository Receipts (ADRs)
– Avoids language issues – Expressed in dollars--not local currency – Registered with the SEC
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Exercise 2
On January 1, you sold short one round lot (that is, 100 shares) of Zenith stock at $14 per share. On March 1, a dividend of $2 per share was paid. On April 1, you covered the short sale by buying the stock at a price of $9 per share. You paid 50 cents per share in commissions for each transaction. What is the value of your account on April 1?
Stock $10,000
New position
Borrowed $4,000 Equity $3,000
Stock price falls to $70 per share Stock $7,000
Margin% = $3,000/$7,000 = 43%
How far can the stock price fall before a margin call?
Sale Proceeds initial margin
New position
Stock price rises to $110 Sale Proceeds $100,000 Initial Margin $50,000 Stock Owed $110,000 Net Equity $40,000 Margin% = $40,000/ $110,000 = 36%
Examples
Buying on margin
Stock price of X Corp: Initial margin: Maintenance margin: Shares purchased:
$100 60% 40% 100
Initial position
Borrowed $4,000 Equity $6,000
Hale Waihona Puke Limit Orders
price is specified by the investor, without knowing it will be executed limit orders vs. market orders: a tradeoff between immediate execution and certain price
Short selling on margin
Short sale Dot Bomb: 1,000 Shares Initial margin: 50% Maintenance margin: 30% Initial price: $100
Initial Position
$100,000 $50,000 Margin & Equity $50,000 Stock Owed $100,000
Stop Orders
conditional market orders the stop price regarding as a trigger, when current market price reaches the stop price, the order is executed sell order: stop price < market price, while the order is placed buy order: stop price > market price, while the order is placed
Stop Limit Orders
conditional limit orders two prices specified: stop price and limit price
Margin Accounts
Principle of making profit: BUY LOW, SELL HIGH
Margin account
Initial margin vs. maintenance margin How to compute the actual margin?
buying on margin
selling on margin
What happens?
if actual margin > initial margin: unrestricted if actual margin < initial margin > maintenance margin: restricted < maintenance margin: margin call
How much can the stock price rise before a margin call?
Exercise 1
You’ve borrowed $20,000 on margin to buy shares in Disney, which is now selling at $40 per share. Your account starts at the initial margin requirement of 50%. The maintenance margin is 35%. Two days later, the stock price falls to $35 per share. a. Will you receive a margin call? b. How low can the price of Disney shares fall before you receive a margin call?
Chapter 3 Types of Orders & Margin Accounts
Types of Orders
Market Orders
executed immediately at current market price e.g.
the best ask price: 33.60; ---- market price to buy the best bid price: 33.59. ----- market price to sell
buy low first, sell high later: long position sell high first, buy low later: short position CAN borrow money or securities from the broker buying on margin vs. short selling on margin