Investment chapter01 Bodie,Kane,Marcus
滋维博迪 投资学Chap010
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10-18
Two-Factor Model
ri E (ri ) i1F1 i 2 F2 ei
• The multifactor APT is similar to the one-factor case.
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10-8
Arbitrage Pricing Theory
• Arbitrage occurs if there is a zero investment portfolio with a sure profit.
Since no investment is required, investors can create large positions to obtain large profits.
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10-5
Multifactor Model Equation
ri Eri iGDP GDP iIR IR ei
ri = Return for security i βGDP = Factor sensitivity for GDP βIR = Factor sensitivity for Interest Rate ei = Firm specific events
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10-15
APT Model
• APT applies to well diversified portfolios and not necessarily to individual stocks. • With APT it is possible for some individual stocks to be mispriced - not lie on the SML. • APT can be extended to multifactor models.
2019年-INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap011 The Efficient Market Hypothesis-PPT精选
• Lucky Event Issue
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CHAPTER 11
The Efficient Market Hypothesis
McGraw-Hill/Irwin
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Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
•Diversification •Appropriate risk level •Tax considerations
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Resource Allocation
• If markets were inefficient, resources would be systematically misallocated.
– Firm with overvalued securities can raise capital too cheaply.
– Firm with undervalued securities may have to pass up profitable opportunities because cost of capital is too high.
• Stock prices that change in response to new (unpredictable) information also must move unpredictably.
投资学 博迪 Chap001
1.2 金融资产
• 实物资产（Real assets）：创造收入的资产，为经 济创造利润，且一旦拥有就可以直接提供服务。代 表一个经济的生产能力，决定一个社会的财富。 • 金融资产（Financial assets）：实物资产的要求权 ，定义实物资产在投资者之间的配置。
– 金融资产的价值与其物质形态没有任何关系：债券可能并 不比印制债券的纸张更值钱。 – 整个社会财富的总量与金融资产数量无关，金融资产不是 社会财富的代表。
• 点金术？ • 超能英雄 • Bob
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投资具有复杂性
• 投资是一门科学，也是一种艺术，是一件 知难行易的事. • 如果只碰运气，却是难以成功的。 • 投资必须要有策略和方法，加上果断的决 策与好运，才能成功。
������ ������ ������ 更好地认识和理解市场 一种理性的思维方式 只有理解了市场������ 才可能利用市场
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1.1 投资
• 西方经济学中的投资
– ������ 狭义的投资，金融学意义上的投资。具体 投资对象为政府公债、公司股票、公司债券以 及期权、期货等。 – ������ 广义的投资，以获利为目的的资本使用， 其形式为收益或增值。凡是购买证券、运用资 本添加机器设备、建筑物、原材料等活动均为 投资。
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投资学研究的对象
• 在微观层面上
– ������ 投资学研究如何把个人、机构的有限财富 或者资源分配到诸如股票、国库券、不动产等 各种（金融）资产上，以获得合理的现金流量 和风险/收益特征。
投资学 原书第11版 Ch01 The Investment Environment
• Portfolio: Collection of investment assets • Asset allocation
• Choice among broad asset classes
• Security selection
• Choice of securities within each asset class
• Investment based solely on the price-attractiveness
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1-11
Markets Are Competitive
(1 of 3)
Risk-Return Trade-Off
•Higher-risk assets are priced to offer higher expected returns than lower-risk assets
1-5
Financial Markets and the Economy
(1 of 4)
• The Informational Role • Consumption Timing • Allocation of Risk
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1-6
Financial Markets and the Economy
Equity:
Represents ownership share in a corporation; common Stock
Derivatives: Provide payoffs that are determined by the prices of other assets
博迪投资学英文课件 (10)
26-15
Style Analysis: Factor Exposure
• Market-neutral funds have insignificant betas.
• Dedicated short bias funds exhibit substantial negative betas on the S&P index.
26-11
Pure Play Example
• After 1 month, the value of your portfolio will be:
$1,200,000(1 rp ) $1,200,0001 .011.2rm .01 .02 e
$1,221,600 $1,440,000xrm $1,200,000xe
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26-13
Figure 26.1 A Pure Play, Unhedged Position; Hedged Position
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26-14
Style Analysis: Factor Exposure
• Many hedge funds have directional strategies in which the fund makes an outright bet.
• A directional fund will have significant betas on the factors on which it bets.
is about to fall. • So you establish a pure play on the
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
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• V0 =current value; Dt=dividend at time t; k = required rate of return
博迪投资学英文课件 (12)
Figure 8.3 Scatter Diagram of HP, the S&P 500, and HP’s Security Characteristic Line (SCL)
RHP t HP HP RS&P500 t eHP t
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Alpha and Security Analysis
3. Establish the expected returቤተ መጻሕፍቲ ባይዱ of each security absent any contribution from security analysis.
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Optimal Risky Portfolio of the
Single-Index Model
• Maximize the Sharpe ratio
– Expected return, SD, and Sharpe
ratio:
n1
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Single-Index Model
• Regression Equation:
Ri t i i RM t ei t
• Expected return-beta relationship:
ERi i i ERM
index risk:
Cov(ri
,
rj
)
i
j
2 M
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The Summary of INVESTMENT Chapter 1
The Summary ofINVESTMENTTenth EditionBodie Kane MarcusChapter 11.Real assets create wealth. Financial assets represent claims to parts or all of thatwealth. Financial assets determine how the ownership of real assets is distributed among investors.2.Financial assets can be categorized as fixed income, equity, or derivativeinstruments. Top-down portfolio construction techniques start with the asset allocation decision-the allocation of funds across asset classes- and the progress to more specific security-selection decisions.petition in financial markets leads to a risk-return trade-off, in whichsecurities that offer higher expected rates of return also impose greater risks on investors. The presence of risk, however, implies that actual returns can differ considerably from expected returns at the beginning of the investment period.Competition among security analysts also promotes financial markets that are nearly informationally efficient, meaning that prices reflect all available information concerning the value of the security. Passive investment strategies may make sense in nearly efficient markets.4.Financial intermediaries pool investor funds and invest them. Their services arein demand because small investors cannot efficiently gather information, diversify, and monitor portfolios. The financial intermediary sells its own securities to the small investors. The intermediary invests the funds thus raised, uses the proceeds to pay back the small investors, and profits from the difference (the spread).5.Investment banking brings efficiency to corporate fund-raising. Investmentbankers develop expertise in pricing new issues and in marketing them to investors. By the end of 2008, all the major stand-alone U.S. investment banks had been absorbed into commercial banks or had reorganized themselves into bank holding companies. In Europe, where universal banking had never been prohibited, large banks had long maintained both commercial and investment banking divisions.6.The financial crisis of 2008 showed the importance of systemic risk. Systemicrisk can be limited by transparency that allows traders and investors to assess the risk of their counterparties, capital requirements to prevent trading participants from being brought down by potential losses, frequent settlement of gains or losses to prevent losses from accumulating beyond an institution’s ability to bear them, incentives to discourage excessive risk taking, and accurateand unbiased analysis by those charged with evaluating security risk. Key Terms:InvestmentReal assetsFinancial assetsFixed-income debt (securities)EquityDerivative securitiesAgency problemAsset allocationSecurity selectionSecurity analysisRisk-return trade-offPassive managementActive managementFinancial intermediariesActive managementFinancial intermediariesInvestment companiesInvestment bankersPrimary marketSecondary marketVenture capitalPrivate equitySecuritizationSystemic risk。
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models共40页
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Dividend Discount Models (DDM)
V01D 1k1 Dk221 Dk33...
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Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model.
• The market value (MV) is the consensus value of all market participants
Valuation: Fundamental Analysis
• Fundamental analysis models a company’s value by assessing its current and future profitability.
• The purpose of fundamental analysis is to identify mispriced stocks relative to some measure of “true” value derived from financial data.
• “Floor” or minimum value is the liquidation value per share.
• Tobin’s q is the ratio of market price to replacement cost.
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Figure 1.4 Cash Flows in a Mortgage Pass-Through Security
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The Players (Ctd.)
• Financial Intermediaries: Pool and invest funds – Investment Companies – Banks – Insurance companies – Credit unions
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1-8
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
• Take deposits and make loans
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1-16
Financial Crisis of 2008
• Antecedents of the Crisis:
– “The Great Moderation”: a time in which the U.S. had a stable economy with low interest rates and a tame business cycle with only mild recessions
1-22
Changes in Housing Finance (Ctd.)
• At first, Fannie Mae and Freddie Mac securitized conforming mortgages, which were lower risk and properly documented. • Later, private firms began securitizing nonconforming “subprime” loans with higher default risk.
• Securitization: Fannie Mae and Freddie Mac bought mortgage loans and bundled them into large pools • Mortgage-backed securities are tradable claims against the underlying mortgage pool • “Originate to distribute”
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1-14
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1-15
Universal Bank Activities
Investment Banking Commercial Banking
• Underwrite new stock and bond issues • Sell newly issued securities to public in the primary market • Investors trade previously issued securities among themselves in the secondary markets
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1-12
The Players
• Business Firms– net borrowers • Households – net savers • Governments – can be both borrowers and savers
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1-6
Common Stock and Derivatives
• Common Stock is equity or ownership in a corporation.
– Payments to stockholders are not fixed, but depend on the success of the firm
1-18
Changes in Housing Finance
Old Way • Local thrift institution made mortgage loans to homeowners • Thrift’s major asset: a portfolio of long-term mortgage loans • Thrift’s main liability: deposits • “Originate to hold” New Way
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1-19
Typical sቤተ መጻሕፍቲ ባይዱructure of an ABS
Originator collaterals Trustee principal Senior debt AAA Mezzanine debt BBB/A Equity Investor X
SPV contains assets having cash flow
Investor Y Investor Z
Notes:
1. bankruptcy remote; 2. credit enhancement by issuing different trenches of notes in credit descending order; 3. clean sale of assets from originator to the special purpose vehicle; 4. assets used for collaterals can b any financial assets having cash flow; 5. packaging illiquid financial assets into tradable securities.
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1-9
The Investment Process
• Asset allocation – Choice among broad asset classes • Security selection – Choice of which securities to hold within asset class – Security analysis to value securities and determine investment attractiveness
Chapter 1
The Investment Environment
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McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
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1-11
Markets are Competitive (Ctd.)
– Passive Management • No attempt to find undervalued securities • No attempt to time the market • Holding a highly diversified portfolio
• Information Role: Capital flows to companies with best prospects • Consumption Timing: Use securities to store wealth and transfer consumption to the future • Allocation of Risk: Investors can select securities consistent with their tastes for risk • Separation of Ownership and Management: With stability comes agency problems
• Derivatives
– Value derives from prices of other securities, such as stocks and bonds – Used to transfer risk
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1-7
Financial Markets and the Economy
1-5
Fixed Income
• Payments fixed or determined by a formula • Money market debt: short term, highly marketable, usually low credit risk • Capital market debt: long term bonds, can be safe or risky