ch10[1]Investment Analysis

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ch14[1]Investment Analysis

Industry Performance
• Wide dispersion in rates of return in different industries
• Performance varies from year to year • Company performance varies within industries • Risks vary widely by industry but are fairly
stable over time
The Business Cycle and Industry Sectors
• Economic trends can and do affect industry performance
• By identifying and monitoring key assumptions and variables, we can monitor the economy and gauge the implications of new information on our economic outlook and industry analysis
• Is there consistency in the returns for individual industries over time? What do these results imply regarding industry analysis?
Chapter 14 Industry Analysis
Questions to be answered:
• Is there a difference between the returns for alternative industries during specific time periods? What is the implication of these results?cs – Lifestyles

ch10 回归分析

1. 模型线性性检验检验 H0: 1 =0; H1: 1 0
yi yi
y yi - y
ei
yi - y
y=0+1x
xi 2 ˆ ) 2 (Y Y ) 2 ˆ (Yi Y ) (Yi Yi i x
i i i
记:
ST=Se+SR
构造统计量
S R /1 F 当H0为真时, F~F(1,n-2) Se /(n 2)
ch10 回归分析
回归分析的任务是研究变量之间的关系，建立变量之间的经验公式，以便达到预测和控制的目的。 “回归”一词的由来早在十九世纪，英国生物兼统计学家高尔顿在研究父与子身高的遗传问题时，观察了1078对父子，用x表示父亲的身高，y表示儿子的身高，将(x,y)标在直角坐标中，发现这些点基本在一条直线附近，并求出了该直线的方程(单位：英寸)， y^=33.73+0.516x
§10.1 回归分析的基本概念
变量之间的关系确定性关系(函数关系):V=IR，S=vt 不确定性关系(相关关系):身高与体重，收入与消费一般地：设影响结果y的因素有x1,…,xp,假设它们之间有线性相关关系
y 0 1 x1 ... p x p
yi 0 1 xi 1 ... p xip i i ~ N (0, 2 )且相互独立
对给定显著性水平 , 检验拒绝域为
W F F (1, n 2)
这表明： 1.父亲的身高增加1单位，儿子的身高平均增加0.516单位 2.高个子父辈的儿子们的平均高度要低于父辈的平均高度, 如x＝80，y^=75.01 3.低个子父辈的儿子们的平均高度要高于父辈的平均高度, 如x＝60，y^=64.69 这便是子代的平均高度有向中心“回归”的意思。使得一段时间内人的身高相对稳定

CH10 确定最小方差资产组合的方法和单一指数模型(证券投资学,南京审计学院张维)解析

B xB
N
MYP E D C
F
A
Y
xA
12
13
14
用拉格朗日乘数法：以两个组合为例
x x 2 x A x B cov(rA , rB )
2 p 2 A 2 A 2 B 2 B
s.t. 1, E (rp ) x A E (rA ) x B E (rB ) 2, x A x B 1
17
单一指数模型的假设
1.基本假设。单一指数模型的基本假设就是，影响资产价格波动的主要和共同的因素是市场总体价格水平的变动 2.对影响收益波动因素的假设。单一指数模型假设影响资产收益率波动的因素有两类：宏观因素和微观因素。宏观因素影响市场全局，如利率的调整、通货膨胀的变动等，会引起市场价格水平总体的涨落，进而带动绝大部分资产的价格变动，属于系统风险。微观因素被假定只对个别企业有影响，称为非系统风险。 3.对误差项A的假设 E(A)=0
(2)资产方差的计算
2 2
E{( A Arm A ) [ A A E (rm )]}
19
2 A
2 2 2 A m A
20
计算资产及资产组合的预期收益和风险
(3)资产之间协方差的计算。
2 cov(rA , rB ) A B m
i i i 1
E (rp ) A p p E ( rm )
22
计算资产及资产组合的预期收益和风险

（5）资产组合的方差。
2 2 2 2 p p m p
23
Supplemental Reading
Indexed Investing: A Prosaic Way to Beat the Average Investor

chp10 现代证券投资理论

第十章现代证券投资理论
有效市场假说证券组合理论资本资产定价模型因素模型与套利定价理论

1
第一节有效市场假说
有效市场的含义有效市场的类型

2
一、有效市场的含义

有效市场指证券价格充分反映所有可获得信息的市场。
价格反映信息证券价格围绕证券内在价值波动证券价格随机游走零超额收益
i=1 m
32
二、套利定价理论
Arbitrage Pricing Theory
1978年由Steven Rose创立 APT放松了CAPM的假定：投资者无须为风险规避者不需要一个有效的市场投资组合投资者无须有相同的预期

33
套利定价理论认为由于市场套利行为的存在，两种性质相同的商品价格应趋于一致，最终将导致市场均衡的出现
30
单一因素模型
各种证券收益的变动都取决于某一共同的因素。
ri = ai+biF＋ei
ai－－表示没有因素F的期望收益 F－－表示因素的价值 bi－－表示证券 i对因素F 的灵敏度
ei －－表示随机误差项
31
多因素模型
ri = ai+bi1F1＋ bi2F2 ＋ …+binFN＋ ei rp= ∑ ri Xi
rp = rf + [ (rm - rf) /σm] σp
rp——证券投资组合的预期收益率 rf——无风险利率 rm——证券有效组合的平均预期收益率
σm——市场证券投资的平均风险
20
rp
M
rm rf
σm
σp
21
资本市场线的特性

资本市场线是从rf处引出一条直线与马科维茨模型的有效边界相切，切点M称为市场证券组合，是所有有效组合与无风险资产的最佳组合点。

CH10-010

第十章兼并与收购Chapter Ten Merger and Acquisition公司治理结构内部控制外部控制•董事会•大股东•激励•收购•兼并•代理表决权—董事会规模—董事会构成—董事会会议频率—董事成员持股—总经理辞退—收购（Acquisition）—兼并（Merger ）—代理表决权（proxy right ）—收购（Acquisition ）—收购（Acquisition ）—兼并（Merger ）—兼并（Merger ）—代理表决权（proxy right ）—代理表决权（proxy right ）100200300400500196819701972197419761978198019821984198619881990199219941996实际支付额净资产：50港币/每股收购价格：105港币/每股收购股数:九龙仓总价值：98亿港币Chapter 10 Merger and Acquisition 和记黄浦善意收购战收购价格：7.1港币/每股收购股数:9000万股净资产：14.5港币/每股汇丰银行贷款：2亿港币和记黄浦总价值：10亿港币置地每股净资产：28港币每股市场价格：94港币面值：5港币牛奶每股净资产：80港币每股市场价格：135港币面值：7.5港币2换11986年Dr. Pepper可口可乐百事可乐七喜-34.4亿元A & WH&HDLJ CVC七喜2.4亿美元A&WDr.Pepper七喜收购费用:2.4亿美元法律、会计费用:0.2亿美元银行抵押贷款过桥贷款发行股票亿美元1.55亿美元0.14亿美元0.17亿美元0.48亿美元过桥贷款1.4亿美元银行抵押贷款0.8亿美元发行股票0.45亿13亿美元49%6.37亿美元普坦士-巴奇公司DWACC CF CV ttt−+=∑)(1现金流量年限债务贴现率反收购立法：公司章程修正案：其他：。

投资学精要英文版第十版课程设计 (2)

Investment Essentials Course Design for the TenthEdition in EnglishCourse OverviewThe Investment Essentials course is designed to provide studentswith an introduction to the field of investments. The course will cover a range of topics, including the characteristics and analysis of investments, risk and return, portfolio theory and diversification, and valuation. The course is structured to provide students with the skills necessary for making informed investment decisions, both at the individual and institutional levels.Learning ObjectivesBy the end of the course, students will be able to:•Understand the characteristics and analysis of various types of investments, including stocks, bonds, and alternativeinvestments.•Expln the concepts of risk and return, and how these concepts are used to analyze investments.•Understand portfolio theory and diversification, and how these concepts can be used to build a portfolio that meetsindividual investment objectives.•Apply valuation techniques to analyze stocks and bonds, and to make investment decisions.Course OutlineWeek 1: Introduction to Investments•What are investments?•Characteristics of investments•Investment objectivesWeek 2: The Stock Market•Stocks and stock markets•Risk and return of stocks•Stock valuationWeek 3: Bonds•Bond characteristics•Risk and return of bonds•Bond valuationWeek 4: Alternative Investments•Hedge funds•Private equity•Real estateWeek 5: Risk and Return•Portfolio returns•Measuring risk•DiversificationWeek 6: Portfolio Theory•Portfolio construction•Capital Asset Pricing Model (CAPM)•Efficient frontierWeek 7: Active vs. Passive Investing•Active management•Passive management•Index fundsWeek 8: Behavioral Finance•The psychology of investing•Behavioral biases•Investor educationWeek 9: Hedge Funds, Private Equity, and Venture Capital •Hedge funds•Private equity•Venture capitalWeek 10: Investment Strategies•Growth investing•Value investing•Income investingAssessmentAssessment for the course will be based on the following: •Midterm exam (25%)•Final exam (35%)•Investment analysis project (30%)•Class participation (10%)The investment analysis project will require students to analyze a particular investment and make a recommendation based on their analysis. The project will be presented to the class and will be evaluated based on the quality of the analysis and the effectiveness of the recommendation.In conclusion, the Investment Essentials course is designed to provide students with a broad understanding of investments and investment strategies. The course will cover a range of topics,including stocks, bonds, alternative investments, portfolio theory, and behavioral finance. Students will be assessed through exams, a project, and class participation. By the end of the course, students will be capable of making informed investment decisions and building investment portfolios that meet their objectives.。

ch22[1]Investment Analysis

Chapter 22 Forward and Futures Contracts
• What is a hedge ratio and how should it be calculated? • What economic functions do the forward and futures markets serve? • How are forward and futures contracts valued after origination? • What is the relationship between futures contract prices and the current and expected spot price for the underlying commodity or security?
Questions to be answered: • What are the differences in the way forward and futures contracts are structured and traded? • How are the margin accounts on a futures contract adjusted for daily changes in market conditions? • How can an investor use forward and futures contracts to hedge an existing risk exposure?
Financial Forwards and Futures: Applications and Strategies
• Originally, forward and futures markets were organized largely around trading agricultural commodities • Recent developments in this area have involved the use of financial securities as the asset underlying the contract • Interest rate forwards and futures were among the first derivatives to specify a financial security as the underlying asset – forward rate agreements – interest rate swaps

ch19[1]Investment Analysis

Promised Yield to Maturity
• Widely used bond yield figure • Assumes
– Investor holds bond to maturity – All the bond’s cash flow is reinvested at the computed yield to maturity
• What are effective duration and effective convexity and when are they useful? • What is empirical duration and how is it used with common stocks and other assets? • What are the static yield spread and the option-adjusted spread?
m
t
Promised Yield to Call Present-Value Method
Pm
t 1
2 nc
Ci / 2 (1 i )
t

Pc (1 i )
The Yield Model
The expected yield on the bond may be computed from the market price
Pm
t 1
Where:
2n
Ci 2 (1 i 2)
t

Pp (1 i 2)
2n
i = the discount rate that will discount the cash flows to equal the current market price of the bond

chpt10 资本资产定价模型(证券投资学-浙江工商大学楼迎军)

图 7.5(B) 特征线举例
2005年
楼迎军金融学院
实例分析7.1
INVESTMENTS
聪明的基金投资者如何计算风险
β 系数一般用于测量单个股票的波动性大小，与此同时，它也用于测量某种基金随股市上下波动的敏感程度。它是这样计算出来的：观测在某个三年期中某种基金总收益的每月波动情况，并把它与标准· 普尔500股票指数的变动相比较。为了比较起来方便，标准· 普尔500股票指数的β系数设为1.00。β系数小于 1.00 的基金的波动性就小于整个市场的波动性。β系数大于1.00的基金就比整个市场更具有波动性，因而它的风险——及潜在收益——也更高。“β系数”衡量的是某种基金与标准· 普尔500股票指数相比较来说的波动性。
2005年
7.3
第一篇楼迎军金融学院
基础理论篇-----第七章风险和收益：线性关系和
INVESTMENTS 资本资产定价模型
市场证券组合，它应该具有以下特点： 1．它给出了最优投资组合或风险资产。 2 ．当选择了较优证券组合后，它使投资者了解了每种资产的风险大小。 3 ．在给定的风险程度下，投资者可以导出均衡价格；并且当市场处于不均衡状态时，有可能使我们发现市场的“廉价货 ” —— 即较好的投资机会（例如股票价值被低估）。
2005年
Rit i i Rmt eit
第一篇楼迎军金融学院
基础理论篇-----第七章风险和收益：线性关系和
INVESTMENTS 资本资产定价模型
用来描述Ri和Rm之间的关系的回归线被称为特征线（characteristic line）。这条回归线的斜率等于βi，它也恰好是第i种资产的风险度。
楼迎军金融学院

ch10

Y C I G C G MPC Y G
Collect terms with Y on the left side of the equals sign: equilibrium condition
in changes
because I exogenous
slide 14
CHAPTER 10
Aggregate Demand I
The Tax Multiplier
def: the change in income resulting from a $1 increase in T :
Y MPC T 1 MPC
If MPC = 0.8, then the tax multiplier equals
Y 0.8 0.8 4 T 1 0.8 0.2
CHAPTER 10
Aggregate Demand I
slide 15
The Tax Multiplier
…is negative: A tax hike reduces consumer spending, which reduces income. …is greater than one (in absolute value): A change in taxes has a multiplier effect on income.
CHAPTER 10
Aggregate Demand I
slide 1
Context
This chapter develops the IS-LM model, the theory that yields the aggregate demand curve. We focus on the short run and assume the price level is fixed.

投资学精要英文版第十版课程设计

Course Design for the Essentials of Investments English 10thEditionInvesting is an important aspect of finance that has the potential to generate significant returns over time. Understanding the key concepts and principles behindinvesting is critical to making informed decisions in the financial markets. The Essentials of Investments by Zvi Bodie, Alex Kane, and Alan J. Marcus is a comprehensive introduction to the world of investing that covers various investment vehicles such as stocks, bonds, options, and real estate. The 10th edition of this book provides a modern and relevant overview of the financial markets and their dynamics. This course design outlines the key concepts and topics covered in this book and provides a framework for teaching the subjectin an effective manner.Course ObjectivesKnowledge•To understand the fundamental principles of investing•To understand the financial markets and their various components•To understand the risks and rewards associated with different investment vehicles•To understand the importance of asset allocation and diversification in building a portfolio•To understand the basics of financial analysis and valuationSkills•To be able to evaluate different investment opportunities and make informed investment decisions •To be able to construct and manage a well-diversified investment portfolio•To be able to apply basic financial analysis and valuation techniques to different investment assets •To be able to interpret and analyze financial data to make informed investment decisionsCourse StructureTopics Covered1.Introduction to Investments2.Asset Classes and Financial Instruments3.Securities Markets4.Mutual Funds and Other Investment Companies5.Risk and Return: Past and Prologue6.Efficient Diversification7.Capital Asset Pricing and Arbitrage Pricing Theory8.The Efficient Market Hypothesis9.Behavioral Finance and Technical Analysis10.Bond Prices and Yields11.Managing Bond Portfolios12.Portfolio Analysis and Theory13.Equity Portfolio Management14.Options15.Futures16.Real Estate and Other Tangible Assets17.Alternative Investments18.Tax-Advantaged InvestmentsCourse OutlineWeek 1•Introduction to investments•Risk and return: past and prologue•Efficient diversificationWeek 2•Asset classes and financial instruments•Securities marketsWeek 3•Mutual funds and other investment companies•Capital asset pricing and arbitrage pricing theory Week 4•The efficient market hypothesis•Behavioral finance and technical analysisWeek 5•Bond prices and yields•Managing bond portfoliosWeek 6•Portfolio analysis and theory•Equity portfolio managementWeek 7•Options•FuturesWeek 8•Real estate and other tangible assets•Alternative investments•Tax-advantaged investmentsTeaching Methods•Lectures: The instructor will present the key concepts and principles of each topic through formallectures.•Class discussions: Students will be encouraged to participate in class discussions to share their opinions, insights, and questions.•Case studies: Students will analyze and discuss real-life case studies to apply the concepts covered in class to real-world situations.•Assignments: Students will be given assignments to analyze different investment opportunities, constructand manage investment portfolios, and interpretfinancial data.Assessment•Quizzes (20%): Short quizzes will be given at the end of each topic to evaluate the students’understanding of the material.•Assignments (40%): Students will be given various assignments throughout the course that will test their ability to apply the concepts covered in class to real-life scenarios.•Midterm Exam (20%): A midterm exam will be given halfway through the course to evaluate the students’understanding of the material covered up to that point.•Final Exam (20%): A final exam will be given at the end of the course to evaluate the students’ overallunderstanding of the material.ConclusionInvesting is a critical aspect of finance that requires a thorough understanding of the financial markets and their dynamics. The Essentials of Investments by Zvi Bodie, Alex Kane, and Alan J. Marcus is an excellent resource that provides a comprehensive introduction to the world of investing. This course design outlines the key concepts and topics covered in this book and provides a framework for teaching the subject in an effective manner. By the end of this course, students will have developed the skills and knowledge necessary to make informed investment decisions and construct and manage well-diversified investment portfolios.。

投资学精要英文版第十版教学设计

Investment Essentials: 10th Edition English Teaching Design IntroductionInvestment Essentials is a comprehensive textbook that covers all the essential topics related to investments. The tenth edition of this book is an updated version, which incorporates the latest trends and developments in the field of investments. As an instructor, designing a teaching plan for this book requires careful planning and consideration. This document outlines a teaching design for the Investment Essentials textbook, which covers the mn topics and concepts in the book.Learning ObjectivesThe primary goal of this teaching plan is to equip learners with the knowledge and skills required to understand investments. The following are the learning objectives for the course:1.Define and describe the mn types of investments2.Evaluate and analyze investment opportunities3.Understand the risks associated with differenttypes of investments4.Develop a portfolio of investments5.Understand the role of financial markets ininvestment decision makingTeaching StrategiesThe teaching strategies for this course are designed to be interactive and engaging. The strategies are as follows:1.Lectures: This will be the primary mode of deliveryfor the course. Lectures will introduce and expln keyconcepts, theories and models.2.Case Studies: In addition to lectures, learnerswill be presented with real-life scenarios and casestudies that require them to apply the concepts learnedin class. This will enable learners to appreciate thecomplexities of investment decision-making.3.Group Work: Group work will be used to providelearners with an opportunity to collaborate with othersand discuss investment opportunities, risks and returns.This will enable learners to learn from each other anddevelop critical thinking skills.4.Presentations: Learners will be required to prepareand make presentations on investment opportunities. This will enable learners to develop communication skills andpresent complex information in a clear and concisemanner.5.Empirical Exercises: To supplement lectures,learners will be required to conduct empirical exercises such as analyzing financial statements and interpreting market data. This will enable learners to developanalytical skills and apply theoretical concepts. Course StructureThe course will be divided into the following units:1.Introduction to Investments•Types of Investments•Investment Philosophy2.Asset Allocation and Portfolio Construction•Risk and Return•Diversification3.Financial Markets•Types of Financial Markets•Market Efficiency4.Securities Analysis•Fundamental Analysis•Technical Analysis5.Fixed-Income Securities•Bond Valuations•Bond Ratings6.Equity Valuations•Dividend Discount Model•Price-Earnings Ratio7.Derivative Instruments and Alternative Investments•Futures and Options•Hedge Funds and Private EquityAssessmentAssessment will be based on a combination of coursework and exams. The following are the assessment components:1.Midterm Exam (30%)2.Group Presentations and Reports (30%)3.Final Exam (40%)ConclusionInvestment Essentials is an essential textbook for learners interested in investments. This teaching design outlines a comprehensive plan for delivering the course content to learners in an interactive and engaging manner. The learning objectives, teaching strategies, coursestructure, and assessment components will enable learners to develop the knowledge, skills and confidence required to understand investments and make informed investment decisions.。

ch10.pdf[共21页]

宏观经济政策第10章
在第8章、第9章宏观经济总量核算的基础上，介绍了凯恩斯国民收入决定理论和IS—LM模型，从理论上给出了控制调整国民收入总量的方法。本章将应用第8章、第9章的理论，来研究政府调控宏观经济的具体办法或政策。这里先介绍宏观经济政策的财政政策和货币政策原理，然后讨论两种经济政策工具和实施效果。
图 10-1 IS 曲线的斜率与财政政策效果
图 10-2 LM 曲线的斜率与财政政策效果
在图 10-2 中，LM 曲线逐渐由平坦变陡峭，其斜率由小变大。由图中可以看出，在 LM 曲线比较陡峭的阶段，如由 IS2 到 IS3 的阶段，扩张性财政政策使国民收入增加较少，说明财政政策效果较小；而在 LM 曲线比较平坦的阶段，如由 IS0 到 IS1 的阶段，扩张性财政政策使国民收入增加较多，说明财政政策效果较大。
231
2．凯恩斯主义的极端情况凯恩斯主义极端情况：如果 LM 越平坦，或 IS 越陡峭，则财政政策效果大，货币政策效果小；如果出现一种 IS 曲线为垂直线，而 LM 曲线为水平线的情况，则财政政策将完全有效，而货币政策将完全无效。如图 10-3 所示。在图 10-3（a）中，在 LM 曲线的水平线阶段，扩张性财政政策的结果是使收入增加到 Y1，而利率保持不变，仍然为 r0。在 LM 曲线水平线阶段即“凯恩斯陷阱”中，即使 IS 曲线不垂直而向右下方倾斜，政府实行财政政策也完全有效。如图 10-3（b）所示。如果 IS 曲线为垂直线，说明投资需求的利率弹性系数等于零，则即使利率发生了变化，投资也不会发生变动。也就是说，即使 LM 曲线不为水平线，政府的货币政策能改变利率，收入也不会受到影响。如图 10-3（c）所示。在凯恩斯主义极端情况下，货币需求利率系数为无限大，而投资需求的利率系数等于 0。因此

chp10 证券投资收益和风险(华理)

7
三、期望收益率的计算
一支股票，现价100元/股，预期在接下来的一年中的红利为4元，一年后的价格预期为下表所示，无风险利率为6%
state of the economy HPR
boom 44%
normal growth 14%
recession -16%
probability 0.25 0.50 0.25
HPR＝［14＋（131－125)］ ÷125×100 ％
=16%
4
某投资者以105元买入某种附息债券,2年后以110元价格卖出,年利息为10元,求该债券的持有期收益率
HPR = [C+(P1-P0)/n] / P0×100％ =[10+(110-105)/2] / 105×100％ =14.29%
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一、证券投资风险的来源
系统性风险(systematic risk) 非系统性风险(unsystematic risk)
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系统性风险特征
由于某种因素的变化对证券市场上所有证券都会带来损失的可能性共同因素引起影响所有证券的收益不能通过投资多样化来回避风险与投资收益正相关
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5
二、多期收益的衡量
算术平均法几何平均法
假定你在两年内投资于一种资产。第一年收益率为 15%，第二年为-10%。你的年几何平均收益率是 A．1.7% B．2.5% C．3.5% D．5.0%
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一种股票现价为46元，假设一年后价格为 50元，两年后价格为56元；在第一年中红利为1.5元，第二年中红利为2元，假设每次分红都在年末进行，求这种股票在这两年中的持有期收益率HPR，以及以复利计算时的每年持有期收益率HPR。
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二、风险的衡量