滋维博迪投资学Chap016
兹维博迪 投资学 中文课件
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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其他指数
美国的指数 纽约证交所综合指数 纳斯达克综合指数 威尔希尔5000指数
国外的指数 日本日经指数 英国富时指数 德国综合指数 中国香港恒生指数 加拿大多伦多股市指数
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图 2.6 抵押担保证券余额
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权益证券
普通股:
代表所有权 剩余所有权 有限责任 永续性 固定收益 优先于普通服 税务处理
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优先股:
美国存托凭证
股票市场指数
道琼斯工业平均指数
包括30家大型绩优公司 自1896年被计算出来 价格加权平均数
货币市场基金使得个人投资者可以购买各种货币市场 证券。
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图2.1 货币市场的主要组成
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货币市场证券
短期国库券: 美国政府发行的短期债务。
买方报价与买方报价 银行贴现法
大额存单: 银行定期存单 商业票据: 公司发行的短期无担保债务票据。
Байду номын сангаас
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货币市场证券
银行承兑汇票: 银行客户向银行发出在未来某一日期支付 一笔款项的指令。 欧洲美元: 在美国以外的银行以美元计价的存款。 回购协议与逆回购: 由政府证券支持的短期借款。 联邦基金: 银行之间超短期借款。
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货币市场工具的收益率
除了短期国库券，货币市场证券并不是没有违约风险。 银行大额存单一直以来持续支付高于短期国库券的风险溢 价，且该溢价在经济危机期间更大。 在2008年信用危机中, 在一些基金遭遇严重损失后，联邦 政府为货币市场基金提供了保险。
投资学第1章 (2)全
二、本课程的基本框架
第一章 第二章 第三章 第四章 第五章 第六章 第七章 第八章 第九章 第十章 第十一章
导论 证券市场概述 投资收益与风险 投资组合分析 资本资产定价模型 因素模型 套利定价理论 固定收益证券价值分析 权益证券价值分析 证券投资基金 投资组合绩效评估
三、本课程的主要内容
研究对象：资本市场的资产定价与资产配置 - 资本市场是金融体系的核心
第一节
投资学概述
一、投资学在现代金融学中 的地位
现代金融理论的微观化发展趋势 《投资学》处于微观金融的核心地位，与
《金融市场学》《公司金融》一起构成了 现代金融学的三大基本学科。
现代金融学科的划分
宏观金融
- 货币银行学 - 国际金融
微观金融
- 金融市场学 - 投资学 - 公司金融学 - 金融工程学 - 数理金融学 - 金融经济学
则来决策，当市场达到均衡时，资产的预期收益与风 险之间的关系可用一个简单的线性方程来表示。
（三）罗斯（Ross）的APT
很多人对CAPM提出了质疑，认为它 根本无法进行实证检验。
1976年罗斯针对CAPM模型存在的缺 陷，从影响证券报酬率的各因素出 发，建立了APT模型。
CAPM在实践中的应用超过APT
第三节
现代投资理论的发展
一、西方投资发展史
现代西方投资学是投资实践和投资理论长年发展的结晶， 它应投资管理的需求而产生，随投资理论的发展而发展。
西方投资管理经历了三个发展阶段:
➢ 18世纪末—1933年
投机化阶段（140年）
不规范、投机性强。参与者主要靠观察和亲身体验获得技巧， 没有对投资管理进行系统论述的书。
第一章
投资学导论
Chap006 风险厌恶与风险资产配置兹维 博迪 《投资学 》第九版课件PPT
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6.5 风险容忍度与资产配置
• 投资者必须从可行集中选择一种最优的资产组 合C：选择风险资产的比例y，使效用最大化。 ①完整资产组合的 E ( r ) r P f
②方差：
s ys
2 C 2
2 P
③效用函数：
1 2 U E (r ) As 2
INVESTMENTS | BODIE, KANE, MARCUS
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6.1.2 风险厌恶和效用价值
2、均值-方差(M-V) 准则 • 投资组合A优于投资组合B，如果： 与
ErA ErB
sA sB
• 至少有一个条件严格成立。 ① 期望收益率相同，风险低者更优。 ② 风险水平相同，期望收益高者更优。
图 6.8 用无差异曲线寻找最优组合
与资本配置线 相切的最高无差 异曲线，其切点 对应最优投资组 合的标准差和期 望收益。 y*的决策取决 于投资者的风险 厌恶水平。
INVESTMENTS | BODIE, KANE, MARCUS
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表 6.6 四条无差异曲线和资本配置线的 期望收益
给定s和U，求出E(r)，代入CAL
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例： 相关数据
风险组合P的收益率为rP，期望收益为E( rP )，标准 差为sP；无风险资产的收益率为rf。
rf = 7% E(rp) = 15%
rC =yrP ＋ （1 － y）rf
srf = 0% sp = 22%
，取期望值
风险投资组合P的投资比例为y，无风险投资组合F 的投资比例为1-y，整个组合C的收益率rC为：
– 借出资金的资本配置线的斜率 = 8/22 = 0.36，
– 借入资金的资本配置线的斜率 = 6/22 = 0.27， ★资本配置线在P点重合。
博迪投资学重点资料
博迪投资学重点第一章1、金融资产分为哪三类?每类包含哪些资产（P4）答：金融资产通常可以分为三类：固定收益型金融资产，权益型金融资产和衍生金融资产。
固定收益型金融资产或称为债务性证券，承诺支付固定的收益流，或按某一特定公式计算的现金流。
固定收益型金融资产，一种极端是货币市场上的债务型证券，这些债券的特点是期限短，流动性强且风险小，如美国国库券和银行存单。
相反，货币市场上的固定收益型证券是指一些长期证券，如美国国债，以及联邦代理机构，州和地方政府、公司法相的债券，这些债券有的风险很低有的风险很高。
权益性金融资产或普通股，代表了证券持有者对公司的所有权。
权益型债券持有者没有被承诺任何特定收益，但是他们可以获得公司分配的股利。
并按照相应的比例拥有对公司实物资产的所有权。
权益投资的绩效与公司运营的成败密切相关。
衍生证券，是在货币、债券、股票等传统金融工具的基础上衍化和派生的，以杠杆和信用交易为特征的金融工具。
如：期货合约，期权合约，远期合同，互换合同。
2、金融市场的作用答：金融市场是指以金融资产为交易对象而形成的供求关系及其机制的总和。
简单的说就是它有四大作用：1、融资 2、调节 3、避险 4、信号金融市场的信息作用: 促使资本流向前景良好的公司（资金的有效配置）；跨期消费: 通过购买金融资产来储存财富，将来卖出这些金融资产以供消费；风险分配:投资者可以选择满足自身特定风险偏好的证券；所有权和经营权的分离: 获得稳定性的同时也引发了代理问题。
或：1．金融市场能够迅速有效地引导资金合理流动，提高资金配置效率。
2．金融市场具有定价功能，金融市场价格的波动和变化是经济活动的晴雨表。
3．金融市场为金融管理部门进行金融间接调控提供了条件。
4．金融市场的发展可以促进金融工具的创新。
5．金融市场帮助实现风险分散和风险转移。
6．金融市场可以降低交易的搜寻成本和信息成本。
简写：可调整利率抵押贷款（ARMs），信用违约掉期（CDS），抵押支持债券（MBS）第二章1、货币市场有哪些工具？答：货币市场工具指：期限1年以内的证券期限短、流动性强、风险低，交易额大，如：1、短期国库券（T-bills）2、大额可转让存单（CD）3、商业票据4、银行承兑汇票5、欧洲美元（Eurodollars）6、回购协议（RPs）和逆回购7、联邦基金（federal funds）8、经纪人拆借9、伦敦银行同业间拆借利率（LIBOR）2、债券市场有哪些工具？、答：期限超过1年的证券，期限长、风险有大有小。
Chap资本资产定价模型兹维博迪投资学件PPT教案
股票的。 2.CAPM模型可以用于资本预算，提供基于给定
值的必要收益率——最低收益率。
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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，。
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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 】。
SML : E(ri ) rf [E(rM ) rf ]i
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资本市场线和证券市场线的比较
1.资本市场线描绘了有效资产组合的风险溢价是 资产组合的标准差的函数。标准差可以衡量有效 分散化的资产组合（投资者总的资产组合）的风 险。
合。
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9.1 资本资产定价模型 (CAPM)概述
二、均衡关系
1.所有的投资者都持有相同的最优风险资产组 合——市场投资组合M（Market Portfolio）。
市场投资组合包括了所有的股票，而且每种股票 在市场投资组合中所占的比例等于这只股票的市 场价值占所有股票市场价值的比例。
为什么所有投资者都持有相同的持有市场组合？
rf
E(rM ) rf M
P
共同基金原理：投资者只要根据自己的风险厌恶水 平，将资金合理地分配于货币市场基金和指数基金
。
9.1.3 市场组合的风险溢价
3.市场投资组合M的风险溢价与市场风险和投 资者的风险厌恶程度成比例：
E(rM ) rf
A
2
M
2 M
02投资学(南开大学)滋维博迪
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短期国债（Treasury Bills, T-Bills）
由美国财政部发行、由该国政府提供信用担保的短期 融资工具。 期限：28天、91天、182天（美国） 最小面值10000美元，折价出售，到期按照面值赎回， 免税。
是货币市场中流动性最好的金融工具，无信用风险。
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美国国库券不用实际的年收益率来报价，而是用银行 折现收益率（bank discount yield）来代替实际年利率。 我们举一个例子来说明这个问题。期限为半年或1 8 2 天的票面价值为10 000美元的国库券，售价为9 600美 元，投资者投资9 600美元就可以获得4 0 0美元收益。 投资回报收益率的定义是：每一美元的投资得到了多 少美元的收益。
1
短期投资——获取收益 特点：交易量大
短期投资是种常见的企业行为，是指能够随时变现并且 持有时间不准备超过一年的投资。短期投资的目的主 要是为了取得最大的投资报酬率，以及尽可能减少物 价波动带来的风险和损失。
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山东胜利股份有限公司（以下简称“公司”或“本公司”）六届三 次董事会会议审议通过了公司短期投资的决议（见 2009 年 10 月 27 日专项公告），目前上述投资有效期已至。2010 年 10月 25 日 公司六届十二次董事会会议对上述事项进行了审议，在中国经济长期 看好的背景下，公司拟对短期投资有效期予以展期，有关事项公告如 下： 一、投资情况概述 （一）投资目的 使用自有资金进行短期投资，提高流动资金的使用效率。 （二）投资金额：3000万元以内 （三）投资方式 对证券、债券及有关衍生产品及其他短期投资产品进行投资。 本次短期投资期限至本届董事会任期届满 （四）投资期限： （2012年5月）时止。 二、投资资金来源 投资资金为公司自有资金，资金来源合法、合规。
博迪_投资学第九版_英文答案
CHAPTER 1: THE INVESTMENT ENVIRONMENTPROBLEM SETS1.Ultimately, it is true that real assets determine the material wellbeing of an economy. Nevertheless, individuals can benefit whenfinancial engineering creates new products that allow them tomanage their portfolios of financial assets more efficiently.Because bundling and unbundling creates financial products with new properties and sensitivities to various sources of risk, it allowsinvestors to hedge particular sources of risk more efficiently.2.Securitization requires access to a large number of potentialinvestors. To attract these investors, the capital market needs:1. a safe system of business laws and low probability ofconfiscatory taxation/regulation;2. a well-developed investment banking industry;3. a well-developed system of brokerage and financial transactions,and;4.well-developed media, particularly financial reporting.These characteristics are found in (indeed make for) a well-developed financial market.3.Securitization leads to disintermediation; that is, securitizationprovides a means for market participants to bypass intermediaries.For example, mortgage-backed securities channel funds to thehousing market without requiring that banks or thrift institutionsmake loans from their own portfolios. As securitization progresses, financial intermediaries must increase other activities such asproviding short-term liquidity to consumers and small business, and financial services.4.Financial assets make it easy for large firms to raise the capitalneeded to finance their investments in real assets. If Ford, forexample, could not issue stocks or bonds to the general public, itwould have a far more difficult time raising capital. Contractionof the supply of financial assets would make financing moredifficult, thereby increasing the cost of capital. A higher costof capital results in less investment and lower real growth.5.Even if the firm does not need to issue stock in any particularyear, the stock market is still important to the financial manager.The stock price provides important information about how the market values the firm's investment projects. For example, if the stockprice rises considerably, managers might conclude that the marketbelieves the firm's future prospects are bright. This might be auseful signal to the firm to proceed with an investment such as anexpansion of the firm's business.In addition, shares that can be traded in the secondary market aremore attractive to initial investors since they know that they will be able to sell their shares. This in turn makes investors morewilling to buy shares in a primary offering, and thus improves theterms on which firms can raise money in the equity market.6. a. No. The increase in price did not add to the productivecapacity of the economy.b.Yes, the value of the equity held in these assets has increased.c.Future homeowners as a whole are worse off, since mortgageliabilities have also increased. In addition, this housing pricebubble will eventually burst and society as a whole (and mostlikely taxpayers) will endure the damage.7. a. The bank loan is a financial liability for Lanni. (Lanni's IOUis the bank's financial asset.) The cash Lanni receives is afinancial asset. The new financial asset created is Lanni'spromissory note (that is, Lanni’s IOU to the bank).nni transfers financial assets (cash) to the softwaredevelopers. In return, Lanni gets a real asset, the completedsoftware. No financial assets are created or destroyed; cash issimply transferred from one party to another.nni gives the real asset (the software) to Microsoft inexchange for a financial asset, 1,500 shares of Microsoft stock.If Microsoft issues new shares in order to pay Lanni, then thiswould represent the creation of new financial assets.nni exchanges one financial asset (1,500 shares of stock) foranother ($120,000). Lanni gives a financial asset ($50,000 cash)to the bank and gets back another financial asset (its IOU). Theloan is "destroyed" in the transaction, since it is retired whenpaid off and no longer exists.8. a.Assets Shareholders’ equityLiabilities &Cash $ 70,000 Bank loan $ 50,000Computers 30,000 Shareholders’ equity 50,000Total $100,000 Total $100,000 Ratio of real assets to total assets = $30,000/$100,000 = 0.30b.Assets Shareholders’ equity Liabilities & Software product* $ 70,000 Bank loan $ 50,000Computers 30,000 Shareholders’ equity 50,000Total $100,000 Total $100,000 *Valued at costRatio of real assets to total assets = $100,000/$100,000 = 1.0c.Assets Shareholders’ equity Liabilities &Microsoft shares $120,000 Bank loan $ 50,000 Computers 30,000Shareholders’ equity 100,000Total $150,000 Total $150,000 Ratio of real assets to total assets = $30,000/$150,000 = 0.20Conclusion: when the firm starts up and raises working capital, itis characterized by a low ratio of real assets to total assets.When it is in full production, it has a high ratio of real assets to total assets. When the project "shuts down" and the firm sells itoff for cash, financial assets once again replace real assets.9.For commercial banks, the ratio is: $140.1/$11,895.1 = 0.0118 Fornon-financial firms, the ratio is: $12,538/$26,572 = 0.4719 Thedifference should be expected primarily because the bulk of thebusiness of financial institutions is to make loans; which arefinancial assets for financial institutions.10. a. Primary-market transactionb.Derivative assetsc.Investors who wish to hold gold without the complication and costof physical storage.11. a. A fixed salary means that compensation is (at least in theshort run) independent of the firm's success. This salarystructure does not tie the manager’s immediate compensation to the success of the firm. However, the manager might view this as thesafest compensation structure and therefore value it more highly.b.A salary that is paid in the form of stock in the firm means thatthe manager earns the most when the shareholders’ wealth ismaximized. Five years of vesting helps align the interests ofthe employee with the long-term performance of the firm. Thisstructure is therefore most likely to align the interests ofmanagers and shareholders. If stock compensation is overdone,however, the manager might view it as overly risky since themanager’s career is already linked to the firm, and thisundiversified exposure would be exacerbated with a large stockposition in the firm.c. A profit-linked salary creates great incentives for managers tocontribute to the firm’s success. However, a manager w hosesalary is tied to short-term profits will be risk seeking,especially if these short-term profits determine salary or if thecompensation structure does not bear the full cost of theproject’s risks. Shareholders, in contrast, bear the losses aswell as the gains on the project, and might be less willing toassume that risk.12.Even if an individual shareholder could monitor and improvemanagers’ performance, and thereby increase the value of the firm, the payoff would be small, since the ownership share in a largecorporation would be very small. For example, if you own $10,000of Ford stock and can increase the value of the firm by 5%, a veryambitious goal, you benefit by only: 0.05 × $10,000 = $500In contrast, a bank that has a multimillion-dollar loan outstanding to the firm has a big stake in making sure that the firm can repaythe loan. It is clearly worthwhile for the bank to spendconsiderable resources to monitor the firm.13.Mutual funds accept funds from small investors and invest, onbehalf of these investors, in the national and internationalsecurities markets.Pension funds accept funds and then invest, on behalf of currentand future retirees, thereby channeling funds from one sector ofthe economy to another.Venture capital firms pool the funds of private investors andinvest in start-up firms. Banks accept deposits from customers andloan those funds to businesses, or use the funds to buy securitiesof large corporations.14.Treasury bills serve a purpose for investors who prefer a low-riskinvestment. The lower average rate of return compared to stocks isthe price investors pay for predictability of investmentperformance and portfolio value.15.With a “top-down” investin g style, you focus on asset allocationor the broad composition of the entire portfolio, which is themajor determinant of overall performance. Moreover, top-downmanagement is the natural way to establish a portfolio with a levelof risk consistent with your risk tolerance. The disadvantage ofan exclusive emphasis on top-down issues is that you may forfeitthe potential high returns that could result from identifying andconcentrating in undervalued securities or sectors of the market.With a “bottom-u p” investing style, you try to benefit fromidentifying undervalued securities. The disadvantage is that youtend to overlook the overall composition of your portfolio, which may result in a non-diversified portfolio or a portfolio with a risklevel inconsistent with your level of risk tolerance. In addition,this technique tends to require more active management, thusgenerating more transaction costs. Finally, your analysis may beincorrect, in which case you will have fruitlessly expended effortand money attempting to beat a simple buy-and-hold strategy.16.You should be skeptical. If the author actually knows how toachieve such returns, one must question why the author would thenbe so ready to sell the secret to others. Financial markets arevery competitive; one of the implications of this fact is thatriches do not come easily. High expected returns require bearingsome risk, and obvious bargains are few and far between. Odds arethat the only one getting rich from the book is its author.17.Financial assets provide for a means to acquire real assets as wellas an expansion of these real assets. Financial assets provide ameasure of liquidity to real assets and allow for investors to moreeffectively reduce risk through diversification.18.Allowing traders to share in the profits increases the traders’willingness to assume risk. Traders will share in the upsidepotential directly but only in the downside indirectly (poorperformance = potential job loss). Shareholders, by contrast, areaffected directly by both the upside and downside potential of risk.19.Answers may vary, however, students should touch on the following:increased transparency, regulations to promote capital adequacy byincreasing the frequency of gain or loss settlement, incentives todiscourage excessive risk taking, and the promotion of moreaccurate and unbiased risk assessment.CHAPTER 2: ASSET CLASSES AND FINANCIALINSTRUMENTSPROBLEM SETS1.Preferred stock is like long-term debt in that it typicallypromises a fixed payment each year. In this way, it is aperpetuity. Preferred stock is also like long-term debt inthat it does not give the holder voting rights in the firm.Preferred stock is like equity in that the firm is under nocontractual obligation to make the preferred stock dividendpayments. Failure to make payments does not set off corporatebankruptcy. With respect to the priority of claims to the assets of the firm in the event of corporate bankruptcy, preferred stock has a higher priority than common equity but a lower prioritythan bonds.2.Money market securities are called “cash equivalents” becauseof their great liquidity. The prices of money marketsecurities are very stable, and they can be converted to cash(i.e., sold) on very short notice and with very low transactioncosts.3.(a) A repurchase agreement is an agreement whereby theseller of a security agrees to “repurchase” it from the buyeron an agreed upon date at an agreed upon price. Repos aretypically used by securities dealers as a means for obtainingfunds to purchase securities.4.The spread will widen. Deterioration of the economy increasescredit risk, that is, the likelihood of default. Investorswill demand a greater premium on debt securities subject todefault risk.5.6.Municipal Bond interest is tax-exempt. When facing highermarginal tax rates, a high-income investor would be more inclined to pick tax-exempt securities.7. a. You would have to pay the asked price of:86:14 = 86.43750% of par = $864.375b.The coupon rate is 3.5% implying coupon payments of $35.00annually or, more precisely, $17.50 semiannually.c.Current yield = Annual coupon income/price= $35.00/$864.375 = 0.0405 = 4.05%8.P = $10,000/1.02 = $9,803.929.The total before-tax income is $4. After the 70% exclusion forpreferred stock dividends, the taxable income is: 0.30 × $4 =$1.20Therefore, taxes are: 0.30 × $1.20 = $0.36After-tax income is: $4.00 – $0.36 = $3.64Rate of return is: $3.64/$40.00 = 9.10%10. a. You could buy: $5,000/$67.32 = 74.27 sharesb.Your annual dividend income would be: 74.27 × $1.52 =$112.89c.The price-to-earnings ratio is 11 and the price is $67.32.Therefore:$67.32/Earnings per share = 11 ⇒ Earnings per share = $6.12d.General Dynamics closed today at $67.32, which was $0.47higher than yesterday’s price. Yesterday’s closing pricewas: $66.8511. a. At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 =83.333The rate of return is: (83.333/80) − 1 = 4.17%b.In the absence of a split, Stock C would sell for 110, sothe value of the index would be: 250/3 = 83.333After the split, Stock C sells for 55. Therefore, we needto find the divisor (d) such that: 83.333 = (95 + 45 +55)/d ⇒ d = 2.340c.The return is zero. The index remains unchanged becausethe return for each stock separately equals zero.12. a. Total market value at t = 0 is: ($9,000 + $10,000 + $20,000)= $39,000Total market value at t = 1 is: ($9,500 + $9,000 + $22,000) = $40,500Rate of return = ($40,500/$39,000) – 1 = 3.85%b.The return on each stock is as follows:r A = (95/90) – 1 =0.0556 r B = (45/50) –1 = –0.10 r C =(110/100) – 1 = 0.10The equally-weighted average is:[0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%13.The after-tax yield on the corporate bonds is: 0.09 × (1 – 0.30)= 0.0630 = 6.30% Therefore, municipals must offer at least 6.30% yields.14.Equation (2.2) shows that the equivalent taxable yield is: r = r m/(1 – t)a. 4.00%b. 4.44%c. 5.00%d. 5.71%15.In an equally-weighted index fund, each stock is given equalweight regardless of its market capitalization. Smaller capstocks will have the same weight as larger cap stocks. Thechallenges are as follows:•Given equal weights placed to smaller cap and larger cap, equalweighted indices (EWI) will tend to be morevolatile than their market-capitalizationcounterparts;•It follows that EWIs are not good reflectors of the broad market which they represent; EWIs underplay theeconomic importance of larger companies;•Turnover rates will tend to be higher, as an EWI mustbe rebalanced back to its original target. By design,many of the transactions would be among the smaller,less-liquid stocks.16. a. The higher coupon bond.b.The call with the lower exercise price.c.The put on the lower priced stock.17. a. You bought the contract when the futures price was $3.835(see Figure2.10). The contract closes at a price of $3.875, which is$0.04 more than the original futures price. The contractmultiplier is 5000. Therefore, the gain will be: $0.04 ×5000 = $200.00b.Open interest is 177,561 contracts.18. a. Since the stock price exceeds the exercise price, youexercise the call.The payoff on the option will be: $21.75 − $21 = $0.75The cost was originally $0.64, so the profit is: $0.75 −$0.64 = $0.11b.If the call has an exercise price of $22, you would notexercise for any stock price of $22 or less. The loss onthe call would be the initial cost: $0.30c.Since the stock price is less than the exercise price, youwill exercise the put.The payoff on the option will be: $22 − $21.75 = $0.25The option originally cost $1.63 so the profit is: $0.25 −$1.63 = −$1.3819.There is always a possibility that the option will be in-the-money at some time prior to expiration. Investors will paysomething for this possibility of a positive payoff.20.Value of call at expiration Initial Cost Profita.0 4 -4b.0 4 -4c.0 4 -4d. 5 4 1e.10 4 6Value of put at expiration Initial Cost Profita.10 6 4b. 5 6 -1c.0 6 -6d.0 6 -6e.0 6 -621. A put option conveys the right to sell the underlying asset atthe exercise price. A short position in a futures contractcarries an obligation to sell the underlying asset at thefutures price.22. A call option conveys the right to buy the underlying asset atthe exercise price. A long position in a futures contractcarries an obligation to buy the underlying asset at thefutures price.CFA PROBLEMS1.(d)2.The equivalent taxable yield is: 6.75%/(1 − 0.34) = 10.23%3.(a) Writing a call entails unlimited potential losses as thestock price rises.4. a. The taxable bond. With a zero tax bracket, the after-taxyield for the taxable bond is the same as the before-taxyield (5%), which is greater than the yield on the municipal bond.b. The taxable bond. The after-tax yield for the taxablebond is:0.05 × (1 – 0.10) = 4.5%c. You are indifferent. The after-tax yield for the taxable bond is:0.05 × (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipalbond.d. The municipal bond offers the higher after-tax yield forinvestors in tax brackets above 20%.5.If the after-tax yields are equal, then: 0.056 = 0.08 × (1 – t)This implies that t = 0.30 =30%.CHAPTER 3: HOW SECURITIES ARE TRADEDPROBLEM SETS1.Answers to this problem will vary.2.The dealer sets the bid and asked price. Spreads should be higheron inactively traded stocks and lower on actively traded stocks.3. a. In principle, potential losses are unbounded, growing directlywith increases in the price of IBM.b.If the stop-buy order can be filled at $128, the maximumpossible loss per share is $8, or $800 total. If the price ofIBM shares goes above $128, then the stop-buy order would beexecuted, limiting the losses from the short sale.4.(a) A market order is an order to execute the trade immediatelyat the best possible price. The emphasis in a market order is thespeed of execution (the reduction of execution uncertainty). Thedisadvantage of a market order is that the price it will be executed at is not known ahead of time; it thus has price uncertainty.5.(a) The advantage of an Electronic Crossing Network (ECN) isthat it can execute large block orders without affecting the public quote. Since this security is illiquid, large block orders are less likely to occur and thus it would not likely trade through an ECN.Electronic Limit-Order Markets (ELOM) transact securities withhigh trading volume. This illiquid security is unlikely to betraded on an ELOM.6. a. The stock is purchased for: 300 × $40 = $12,000The amount borrowed is $4,000. Therefore, the investor put upequity, or margin, of $8,000.b.If the share price falls to $30, then the value of the stockfalls to $9,000. By the end of the year, the amount of theloan owed to the broker grows to: $4,000 × 1.08 = $4,320Therefore, the remaining margin in the investor’saccount is: $9,000 − $4,320 = $4,680The percentage margin is now: $4,680/$9,000 = 0.52 = 52%Therefore, the investor will not receive a margin call.c.The rate of return on the investment over the year is:(Ending equity in the account − Initial equity)/Initialequity= ($4,680 − $8,000)/$8,000 = −0.415 = −41.5%7. a. The initial margin was: 0.50 × 1,000 × $40 = $20,000As a result of the increase in the stock price Old EconomyTraders loses:$10 × 1,000 = $10,000Therefore, margin decreases by $10,000. Moreover, OldEconomy Traders must pay the dividend of $2 per share to thelender of the shares, so that the margin in the accountdecreases by an additional $2,000. Therefore, the remainingmargin is:$20,000 – $10,000 – $2,000 = $8,000b.The percentage margin is: $8,000/$50,000 = 0.16 = 16% So therewill be a margin call.c.The equity in the account decreased from $20,000 to $8,000 inone year, for a rate of return of: (−$12,000/$20,000) = −0.60 =−60%8. a. The buy order will be filled at the best limit-sell orderprice: $50.25b.The next market buy order will be filled at the next-bestlimit-sell order price: $51.50c.You would want to increase your inventory. There isconsiderable buying demand at prices just below $50, indicatingthat downside risk is limited. In contrast, limit sell ordersare sparse, indicating that a moderate buy order could resultin a substantial price increase.9. a. You buy 200 shares of Telecom for $10,000. These sharesincrease in value by10%, or $1,000. You pay interest of: 0.08 × $5,000 = $400The rate of return will be: $1,000 −$400 = 0.12 12%=$5,000b.The value of the 200 shares is 200P. Equity is (200P –$5,000). You will receive a margin call when:= 0.30 ⇒ when P = $35.71 or lower10. a. Initial margin is 50% of $5,000 or $2,500.b.Total assets are $7,500 ($5,000 from the sale of the stock and$2,500 put up for margin). Liabilities are 100P. Therefore,equity is ($7,500 – 100P). A margin call will be issued when:$7,500 −100P= 0.30 ⇒ when P = $57.69 or higher100P11.The total cost of the purchase is: $40 × 500 = $20,000You borrow $5,000 from your broker, and invest $15,000 of your own funds. Your margin account starts out with equity of $15,000.a. (i) Equity increases to: ($44 × 500) – $5,000 =$17,000 Percentage gain = $2,000/$15,000 = 0.1333= 13.33% (ii) With price unchanged, equity isunchanged.Percentage gain = zero(iii) Equity falls to ($36 × 500) – $5,000 = $13,000Percentage gain = (–$2,000/$15,000) = –0.1333 = –13.33%The relationship between the percentage return and thepercentage change in the price of the stock is given by:% return = % change in price ×Total investment= %change in price × 1.333Investor's initial equityFor example, when the stock price rises from $40 to $44, thepercentage change in price is 10%, while the percentage gain forthe investor is:% return = 10% ×$20,000= 13.33%$15,000b.The value of the 500 shares is 500P. Equity is (500P –$5,000). You will receive a margin call when:= 0.25 ⇒ when P = $13.33 or lowerc.The value of the 500 shares is 500P. But now you have borrowed$10,000 instead of $5,000. Therefore, equity is (500P –$10,000). You will receive a margin call when:= 0.25 ⇒ when P = $26.67 or lowerWith less equity in the account, you are far more vulnerable toa margin call.d.By the end of the year, the amount of the loan owed to thebroker grows to:$5,000 × 1.08 = $5,400The equity in your account is (500P – $5,400). Initial equitywas $15,000. Therefore, your rate of return after one year isas follows:(i) = 0.1067 = 10.67%(ii) = –0.0267 = –2.67%(iii) = –0.1600 = –16.00%The relationship between the percentage return and thepercentage change in the price of Intel is given by:% return = % change in price× Investor'Total investments initial equity−8%×Investor'Fundss borrowedinitial equityFor example, when the stock price rises from $40 to $44, thepercentage change in price is 10%, while the percentage gainfor the investor is:10%× $20,000−8%× $5,000 =10.67%$15,000$15,000e.The value of the 500 shares is 500P. Equity is (500P –$5,400). You will receive a margin call when:= 0.25 ⇒ when P = $14.40 or lower12. a. The gain or loss on the short position is: (–500 ×ΔP)Invested funds = $15,000Therefore: rate of return = (–500 ×ΔP)/15,000 The rate of return in eachof the three scenarios is:(i)rate of return = (–500 × $4)/$15,000 = –0.1333 = –13.33%(ii)rate of return = (–500 × $0)/$15,000 = 0%(iii)rate of return = [–500 × (–$4)]/$15,000 = +0.1333 =+13.33%b.Total assets in the margin account equal:$20,000 (from the sale of the stock) + $15,000 (the initialmargin) = $35,000 Liabilities are 500P. You will receive amargin call when:$35,000 −500P= 0.25 ⇒ when P = $56 or higher500Pc.With a $1 dividend, the short position must now pay on theborrowed shares: ($1/share × 500 shares) = $500. Rate of returnis now:[(–500 ×ΔP) – 500]/15,000(i)rate of return = [(–500 × $4) – $500]/$15,000 = –0.1667= –16.67%(ii)rate of return = [(–500 × $0) – $500]/$15,000 = –0.0333 = –3.33%(iii)rate of return = [(–500) × (–$4) – $500]/$15,000 =+0.1000 = +10.00% Total assets are $35,000, and liabilitiesare (500P + 500). A margin call will be issued when:= 0.25 ⇒ when P = $55.20 or higher13.The broker is instructed to attempt to sell your Marriott stock assoon as the Marriott stock trades at a bid price of $20 or less.Here, the broker will attempt to execute, but may not be able tosell at $20, since the bid price is now $19.95. The price at which you sell may be more or less than $20 because the stop-loss becomesa market order to sell at current market prices.14. a. $55.50b.$55.25c.The trade will not be executed because the bid price is lowerthan the price specified in the limit sell order.d.The trade will not be executed because the asked price isgreater than the price specified in the limit buy order.15. a. In an exchange market, there can be price improvement in thetwo market orders. Brokers for each of the market orders (i.e., the buy order and the sell order) can agree to execute a trade insidethe quoted spread. For example, they can trade at $55.37, thusimproving the price for both customers by $0.12 or $0.13 relative to the quoted bid and asked prices. The buyer gets the stock for $0.13 less than the quoted asked price, and the seller receives $0.12 more for the stock than the quoted bid price.b.Whereas the limit order to buy at $55.37 would not be executedin a dealer market (since the asked price is $55.50), it couldbe executed in an exchange market. A broker for anothercustomer with an order to sell at market would view the limitbuy order as the best bid price; the two brokers could agree tothe trade and bring it to the specialist, who would thenexecute the trade.16. a. You will not receive a margin call. You borrowed $20,000 andwith another $20,000 of your own equity you bought 1,000 shares of Disney at $40 per share. At $35 per share, the market value of the stock is $35,000, your equity is $15,000, and the percentage margin is: $15,000/$35,000 = 42.9% Your percentage margin exceeds therequired maintenance margin.b.You will receive a margin call when:= 0.35 ⇒ when P = $30.77 or lower17.The proceeds from the short sale (net of commission) were: ($21 ×100) – $50 = $2,050 A dividend payment of $200 was withdrawn from the account.Covering the short sale at $15 per share costs (with commission): $1,500 + $50 = $1,550Therefore, the value of your account is equal to the net profit on the transaction: $2,050 – $200 – $1,550 = $300Note that your profit ($300) equals (100 shares × profit per share of $3). Your net proceeds per share was:$21 selling price of stock–$15 repurchase price of stock–$ 2 dividend per share–$ 1 2 trades × $0.50 commission per share$ 3。
兹维博迪投资学知识点总结 概述及解释说明
兹维博迪投资学知识点总结概述及解释说明1. 引言1.1 概述本文是对兹维博迪投资学知识点的总结与解释说明，旨在帮助读者更好地理解投资学领域的重要概念和原理。
兹维博迪（Zvi Bodie）是一位知名的金融学家和教育家，他的研究和贡献在投资学领域具有重要影响力。
1.2 文章结构本文分为五个主要部分：引言、兹维博迪投资学知识点总结、解释说明、正文以及结论。
其中，引言部分主要介绍了本文的目的、概述和文章结构，为读者提供一个整体的了解。
1.3 目的本文旨在向读者展示兹维博迪投资学知识点的核心内容，并通过解释说明和具体案例分析，帮助读者深入理解这些知识点。
通过阅读本文，读者将能够掌握相关概念、原则和方法，并应用于实际投资决策中。
我们将依次介绍兹维博迪在投资学领域所关注的重要知识点，包括但不限于风险与收益、资产定价模型、投资组合理论等方面。
同时，我们还将通过解释和说明的方式，对这些知识点进行详细阐述，帮助读者消除疑惑并应用于实际。
在正文部分，我们将重点讨论兹维博迪投资学的要点，包括风险管理、期权定价和市场行为等。
通过对这些要点的深入剖析，读者将能够加深对投资学领域的理解，并能够运用相关原则和策略进行投资决策。
最后，在结论部分，我们将总结全文的主要内容，并展望未来兹维博迪投资学的发展趋势。
希望本文能够为读者提供一份有价值且实用的参考指南，使其在投资学领域取得更好的成果。
2. 兹维博迪投资学知识点总结：兹维博迪投资学是一门关于投资的学科，涵盖了广泛的知识点和概念。
在本部分中，我们将对一些重要的兹维博迪投资学知识点进行总结。
2.1 知识点一：知识点一是关于投资组合理论的内容。
兹维博迪投资学认为，通过将不同种类的资产组合在一起，可以实现风险分散和优化回报。
在这个知识点中，我们将介绍常见的投资组合理论模型，并解释不同因素对投资组合表现的影响。
2.2 知识点二：知识点二涉及价值投资和成长投资两种主要类型的股票选择策略。
兹维博迪投资学强调价值与成长之间的平衡，并提出了各自选择股票策略的方法。
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Callable Bonds
• As rates fall, there is a ceiling on the bond’s market price, which cannot rise above the call price.
Why do Investors Like Convexity?
• Bonds with greater curvature gain more in price when yields fall than they lose when yields rise.
• The more volatile interest rates, the more attractive this asymmetry.
• Bonds with greater convexity have more curvature in the price-yield relationship.
Figure 16.3 Bond Price Convexity: 30-Year Maturity, 8% Coupon; Initial YTM = 8%
Duration
• A measure of the effective maturity of a bond
• The weighted average of the times until each payment is received, with the weights proportional to the present value of the payment
Rules 5 The duration of a level perpetuity is equal to: (1+y) / y
Figure 16.2 Bond Duration versus Bond Maturity
Table 16.3 Bond Durations (Yield to Maturity = 8% APR; Semiannual Coupons)
5. Interest rate risk is inversely related to the bond’s coupon rate.
6. Price sensitivity is inversely related to the yield to maturity at which the bond is selling.
• Therefore, bond index funds hold only a representative sample of the bonds in the actual index.
Figure 16.8 Stratification of Bonds into Cells
Immunization
Passive Management
• Two passive bond portfolio strategies:
1.Indexing 2.Immunization
• Both strategies see market prices as being correct, but the strategies have very different risks.
• Tranches – the underlying mortgage pool is divided into a set of derivative securities
Figure 16.6 Price-Yield Curve for a Mortgage-Backed Security
Figure 16.7 Cash Flows to Whole Mortgage Pool; Cash Flows to Three Tranches
3. Long-term bonds tend to be more price sensitive than short-term bonds.
Bond Pricing Relationships
4. As maturity increases, price sensitivity increases at a decreasing rate.
Convexity
Conv P e (1 1 xy)2 itt n 1 y(1 C y t)tF (t2 t)
Correction for Convexity:
P P D y1 2 [C o n vexity ( y)2]
Figure 16.4 Convexity of Two Bonds
• percentage decline of 0.0359%.
Zero
• The zero-coupon bond initially sells for $1,000/1.05 3.7704 = $831.9704.
• At the higher yield, it sells for $1,000/1.053.7704 = $831.6717. This price also falls by 0.0359%.
CHAPTER 16
Managing Bond Portfolios
Bond Pricing Relationships
1. Bond prices and yields are inversely related.
2. An increase in a bond’s yield to maturity results in a smaller price change than a decrease of equal magnitude.
Mortgage-Backed Securities
• Often sell for more than their principal balance.
• Homeowners do not refinance as soon as rates drop, so implicit call price is not a firm ceiling on MBS value.
Rule 3 Holding the coupon rate constant, a bond’s duration generally increases with its time to maturity
Rules for Duration
Rule 4 Holding other factors constant, the duration of a coupon bond is higher when the bond’s yield to maturity is lower
• Negative convexity • Use effective duration:
EffectiveD uration=P/P r
Figure 16.5 Price –Yield Curve for a Callable Bond
Mortgage-Backed Securities
• The number of outstanding callable corporate bonds has declined, but the MBS market has grown rapidly.
• Duration is shorter than maturity for all bonds except zero coupon bonds.
• Duration is equal to maturity for zero coupon bonds.
Duration: Calculation
• MBS are based on a portfolio of callable amortizing loans. – Homeowners have the right to repay their loans at any time. – MBS have negative convexity.
• Duration of both bonds is 1.8852 x 2 = 3.7704 semiannual periods.
• Modified D = 3.7704/1+0.05 = 3.591 periods
Example 16.1 Duration
• Suppose the semiannual interest rate increases by 0.01%. Bond prices fall by:
PPD*y
• =-3.591 x 0.01% = -0.03591% • Bonds with equal D have the same
interest rate sensitivity.
Example 16.1 Duration
Coupon Bond
• The coupon bond, which initially sells at $964.540, falls to $964.1942 when its yield increases to 5.01%
Dx1(1yy)
D* = modified duration
P D*y P
Example 16.1 Duration
• Two bonds have duration of 1.8852 years. One is a 2-year, 8% coupon bond with YTM=10%. The other bond is a zero coupon bond with maturity of 1.8852 years.
Convexity