投资学全英文ppt4-53页PPT资料
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投资学PPT第章资本资产定价模型_图文
资产组合相同 问题： ❖若某一个股票未包含在最优资产组合中，
会怎样？
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图 9.1 The Efficient Frontier and the Capital Market Line
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9.1.2 消极策略的有效性
理由：
❖市场的有效性
❖投资于市场投资组合指数这样一个消极策略是有 效的——有时把这一结果称之为共同基金定理 (mutual fund theorem)。
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练习题
某基金下一年的投资计划是：基金总额的 10％投资于收益率为7％的无风险资产， 90％投资于一个市场组合，该组合的期望 收益率为15％。若基金中的每一份代表其 资产的100元，年初该基金的售价为107美 元，请问你是否愿意购买该基金？为什么 ？
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9.2 资本资产定价模型和指数模型
9.2.1 实际收益与期望收益
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SML 与CML的比较：
������ SML 的坐标系为“β—r”；而CML 的坐标系是“σ—r” ▪ ������ SML 反映的是证券或证券组合的期望收益与风险程
度的依赖关系；而CML 反映的是有效证券组合的期望收 益与风险程度的依赖关系。 ▪ ������ SML 只反映证券或证券组合的期望收益与其所含系 统风险的关系，不是全部风险的关系；CML 则由于其上 面的所有证券组合都只含有系统风险，它所反映的是这 些证券组合的期望收益与其全部风险的依赖关系。 ▪ ������ 在均衡证券市场中，如果证券被恰当定价，则应当 落在SML 之上；而单纯由证券组成的有效证券组合除M 外均落在CML的下方。
▪ 夏普(William Sharpe)是美国斯坦福大学教授。 诺贝尔经济学评奖委员会认为CAPM已构成金融 市场的现代价格理论的核心，它也被广泛用于经 验分析，使丰富的金融统计数据可以得到系统而 有效的利用。它是证券投资的实际研究和决策的 一个重要基础。
会怎样？
*
22
图 9.1 The Efficient Frontier and the Capital Market Line
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23
9.1.2 消极策略的有效性
理由：
❖市场的有效性
❖投资于市场投资组合指数这样一个消极策略是有 效的——有时把这一结果称之为共同基金定理 (mutual fund theorem)。
*
39
练习题
某基金下一年的投资计划是：基金总额的 10％投资于收益率为7％的无风险资产， 90％投资于一个市场组合，该组合的期望 收益率为15％。若基金中的每一份代表其 资产的100元，年初该基金的售价为107美 元，请问你是否愿意购买该基金？为什么 ？
*
40
9.2 资本资产定价模型和指数模型
9.2.1 实际收益与期望收益
*
36
SML 与CML的比较：
������ SML 的坐标系为“β—r”；而CML 的坐标系是“σ—r” ▪ ������ SML 反映的是证券或证券组合的期望收益与风险程
度的依赖关系；而CML 反映的是有效证券组合的期望收 益与风险程度的依赖关系。 ▪ ������ SML 只反映证券或证券组合的期望收益与其所含系 统风险的关系，不是全部风险的关系；CML 则由于其上 面的所有证券组合都只含有系统风险，它所反映的是这 些证券组合的期望收益与其全部风险的依赖关系。 ▪ ������ 在均衡证券市场中，如果证券被恰当定价，则应当 落在SML 之上；而单纯由证券组成的有效证券组合除M 外均落在CML的下方。
▪ 夏普(William Sharpe)是美国斯坦福大学教授。 诺贝尔经济学评奖委员会认为CAPM已构成金融 市场的现代价格理论的核心，它也被广泛用于经 验分析，使丰富的金融统计数据可以得到系统而 有效的利用。它是证券投资的实际研究和决策的 一个重要基础。
投资学英文课件chap011.ppt
CHAPTER 11
The Efficient Market Hypothesis
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
– Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.
– Weak form efficiency • Relative strength • Resistance levels
INVESTMENTS | BODIE, KANE, MARCUS
11-7
EMH and Competition
• Information: The most precious commodity on Wall Street – Strong competition assures prices reflect information. – Information-gathering is motivated by desire for higher investment returns. – The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.
11-5
Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies
The Efficient Market Hypothesis
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
– Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.
– Weak form efficiency • Relative strength • Resistance levels
INVESTMENTS | BODIE, KANE, MARCUS
11-7
EMH and Competition
• Information: The most precious commodity on Wall Street – Strong competition assures prices reflect information. – Information-gathering is motivated by desire for higher investment returns. – The marginal return on research activity may be so small that only managers of the largest portfolios will find them worth pursuing.
11-5
Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies
《投资学》(博迪)ppt课件
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表25.6 综合评分与单项评分
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表 25.7 综合风险与政治风险预测
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表25.7 的解释
该表通过情景分析了解国家风险。 风险稳定度就是最好情况的风险值减去最
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熊市中国际分散化投资还会带来好处吗?
在资本市场动荡时 期，国家组合投资 收益之间的相关性 将增大。
罗尔模型揭示了全 球股价变动背后一 个广泛的因素。
预测：
分散化只能减轻各 国特殊事件的影响。
在1987年发生了什 么? 2008年呢?
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和外币。
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国际化投资的风险因素
风险变化的两 个来源:
1. 以当地货币计量的收益 率
2. 当地货币调整为本国货 币后的收益率
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例 25.1 汇率风险
假设英国无风险利率为10% 现在的汇率是 1英镑兑2美元 。
一个投资者有20,000 美元，即可以购买 10,000 英镑，一年后投资可得11,000英镑。
如果汇率下跌为1英镑兑1.80美元那么最终 只能得到19, 800美元, 损失了200美元。
对美国投资者而言，这项投资并不是无风 险的。
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《投资学》经典课件(英文) (1)
What is investment？
• Your idea about the investmentபைடு நூலகம் • More money • Higher income • Etc.
The definition
• The current commitment of money or other resources in the expectation of reaping future benefits
Course Objective
• Analytical ability: modeling skills that are important
in making investment decisions
• Quantitative skills: developing problem solving
Investment
Money, wealth, stock, bond, capital ect.
Course Mechanics
• Class participation：50% • Final Exam：50%
Course materials： • Textbook：Investment Bodie, Kane and Marcus 9th edition • Additional materials, articles
• Investment science – mathematics
Why investment?
• You idea • Potential gain
• The gold price
• Uncertainty of the future payments and income, smooth your income and consumption
《投资学》经典课件(英文) (10)
• The Fama-French (FF) Three-Factor Model
• The Multifactor CAPM and the APT
Thanks!
idiosyncratic risk • well-functioning security markets do not allow for the
persistence of arbitrage opportunities • Arbitrage(套利）：Shanghai-Hong Kong Stock
Connect（沪港通） • Law of One Price（一价定律）
• risk arbitrage 风险套利 • Pure arbitrage 纯套利 • Well-Diversified Portfolios • Betas and Expected Returns
• riskless payoff
• The Arbitrage Pricing Theory • Risk Assessment Using Multifactor Models
• A Multifactor Security Market Line（多因素证券市场线）
• CAPM
• a two-factor security market line
• Assumption • a frictionless market with no taxes or transaction
costs • Assets are perfectly divisible • There is no short-sale constraint • a one-factor linear model ：
• An arbitrage opportunity
• The Multifactor CAPM and the APT
Thanks!
idiosyncratic risk • well-functioning security markets do not allow for the
persistence of arbitrage opportunities • Arbitrage(套利）：Shanghai-Hong Kong Stock
Connect（沪港通） • Law of One Price（一价定律）
• risk arbitrage 风险套利 • Pure arbitrage 纯套利 • Well-Diversified Portfolios • Betas and Expected Returns
• riskless payoff
• The Arbitrage Pricing Theory • Risk Assessment Using Multifactor Models
• A Multifactor Security Market Line（多因素证券市场线）
• CAPM
• a two-factor security market line
• Assumption • a frictionless market with no taxes or transaction
costs • Assets are perfectly divisible • There is no short-sale constraint • a one-factor linear model ：
• An arbitrage opportunity
《投资学》经典课件(英文) (3)
U.S. Securities Markets
• NASDAQ • Level 3 subscribers: firm, enter the price • Level 2 subscribers: brokerage firms, receive the price • Level 1 subscribers: receive only the inside quotes • NASDAQ Market Center,
How Firms Issue Securities
• Primary market（一级市场） • Secondary market（二级市场） • Initial public offerings（首次公开发行） • Seasoned equity offerings（再次发行） • (Bond) public offering（公开发行） • Private placement（私募）
Investment bank（投资银行）
• Raising financial capital by underwriting or acting as the client's agent in the issuance of securities (or both).
• Assist companies involved in mergers and acquisitions (M&A) and provide ancillary services such as market making, trading of derivatives and equity securities, and FICC services (fixed income instruments, currencies, and commodities)
投资学(第四版)PPTLectureCH04
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中国人民大学出版社
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投资者假定
给定了市场中的投资可行集, 投资者接下来面临的问题就是如何在可行 集中进行资产组合的选择。在这一过程中, 我们首先对投资者的个人特 征和行为准则做几个假定：
投资者是风险规避的, 在收益相等的情况下, 投资者会选择风险最低 的投资组合。
投资期限为一期, 在期初时, 投资者按照效用最大化原则进行资产组 合的选择。
市场是完善的, 无交易成本, 而且风险资产可以无限细分。投资者可 以对风险资产进行卖空操作。
投资者在最优资产组合的选择过程中, 只关心风险资产的均值、方 差以及不同资产间的协方差。效用函数是二次函数。
随着投资者改变风险资产的投资权重 ω, 资产组合就落在资本配置线上 的不同位置。
ω= 1：投资者将全部财富都投资到风险资产上, 资产组合的期望收 益和方差，就是风险资产的期望收益和方差, 资产组合与风险资产 重合。
ω= 0：投资者将全部财富都投资到无风险资产上，资产组合的期望 收益和方差就是无风险资产的期望收益和方差，资产组合与无风险 资产重合。
差异, 资产组合管理公司给所有客户提供的风险资产组合都是相同
的。不同风险规避程度的客户可以通过选择分配在无风险资产上的
财富比例来调节最优资产组合的风险水平, 这就大大提高了资产组
合的管理效率, 并降低了管理的单位成本。 .
..
《投资学》第四版
第四章 最优资产组合选择
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中国人民大学出版社
现代投资学讲义(英文版)PPT(72张)
What About Inflation?
$1 in 1926 could buy much more than $1 in 2002
Consumer prices increased over this period about ten-fold
How much does inflation affect our wealth accumulations?
Iran Tunisia Thailand Jamaica Jordan Trinidad-Tobago Iceland Bahrain Mauritius Botsw ana Ghana Sw aziland
China Slovak Namibia Egypt Zambia Malaw i
Malta Tanzania
Portfolio of long-term Treasury bonds?
Assume that the dividends and the interest payments are reinvested in the asset
Wealth Accumulation of Stocks and Bonds (1926-2002)
Introduction
An intermediate investment course Emphasizes portfolios Security Markets Investment analysis and management
Quiz Q1
假设你正在考虑投资于两只股票。通过一定的分析之后，你认为 未来一年的经济会呈现健康或者不健康两种可能的状态。这两种 情况发生的可能性相同（50%）。而两只股票在两种经济状态下 的回报率见下表：
投资学 (2)-43页PPT精选文档
McGraw-Hill/Irwin
3-8
Investment Banking Arrangements
Underwritten vs. “Best Efforts”
the issue of whether the issuing firm or the investment banker bears the risk that the issue will be sold at the offering price. In an underwriting arrangement the investment bankers purchase the securities from the issuing company and then resell them to the public. In the best-efforts agreement the investment banker agrees to help the firm sell the issue to the public but not actually purchase the securities.
McGraw-Hill/Irwin
3-12 Figure 3.2 A Tombstone Advertisement
McGraw-Hill/Irwin
3-13
Public Offerings
Initial Public Offerings (IPOs)
- Evidence of underpricing: IPOs commonly are underpriced compared to the price at which they could be marketed. Such underpricing is reflected in price jumps on the date when the first traded in public security markets.
3-8
Investment Banking Arrangements
Underwritten vs. “Best Efforts”
the issue of whether the issuing firm or the investment banker bears the risk that the issue will be sold at the offering price. In an underwriting arrangement the investment bankers purchase the securities from the issuing company and then resell them to the public. In the best-efforts agreement the investment banker agrees to help the firm sell the issue to the public but not actually purchase the securities.
McGraw-Hill/Irwin
3-12 Figure 3.2 A Tombstone Advertisement
McGraw-Hill/Irwin
3-13
Public Offerings
Initial Public Offerings (IPOs)
- Evidence of underpricing: IPOs commonly are underpriced compared to the price at which they could be marketed. Such underpricing is reflected in price jumps on the date when the first traded in public security markets.
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5. Discuss the key sources of risk that might affect potential investments.
6. Understand the risk of a single asset, risk assessment, and the steps that combine return and risk.
Copyright ©2014 Pearson Education, Inc. All rights reserved.
4-6
Table 4.4 Historical Returns for Select Asset Classes (1900-2019)
Copyright ©2014 Pearson Education, Inc. All rights reserved.
Copyright ©2014 Pearson Education, Inc. All rights reserved.
4-3
The Concept of Return
• Return
– The level of profit from an investment, or – The reward for investing
Chapter 4
Return and Risk
Return and Risks
Learning Goals
1. Review the concept of return, its components, the forces that affect the investor’s level of return, and historical returns.
• Historical Performance
– Provides a basis for future expectations – Does not guarantee future performance
• Expected Return
– Return an investor thinks an investment will earn in the future
4-5
Key Factors in Return
• Internal Characteristics
– Type or risk of investment – Issuer’s management – Issuer’s financing
• External Forces
– Political environment – Buc environment – Inflation – Deflation
4-7
The Time Value of Money and Returns
• The sooner you receive a return on a given investment, the better
• A dollar received today is worth more than a dollar received in the future
• The sooner your money can begin earning interest, the faster it will grow
• Total Return: the sum of the income and the capital gain (or loss) earned on an investment over a specified period of time
Copyright ©2014 Pearson Education, Inc. All rights reserved.
• Components of Return
– Income: cash or near-cash that is received as a result of owning an investment
– Capital gains (or losses): the difference between the proceeds from the sale of an investment and its original purchase price
2. Discuss the role of time value of money in measuring return and defining a satisfactory investment.
3. Describe real, risk-free, and required returns and the calculation and application of holding period return.
4-4
Why Return is Important
• The rate of return indicates how rapidly an investor can build wealth.
• Allows us to “keep score” on how our investments are doing compared to our expectations
– Determines what an investor is willing to pay for an investment or if they are willing to make an investment
Copyright ©2014 Pearson Education, Inc. All rights reserved.
Copyright ©2014 Pearson Education, Inc. All rights reserved.
4-2
Return and Risks
Learning Goals (cont’d)
4. Explain the concept and calculation of yield and how to find growth rates.
6. Understand the risk of a single asset, risk assessment, and the steps that combine return and risk.
Copyright ©2014 Pearson Education, Inc. All rights reserved.
4-6
Table 4.4 Historical Returns for Select Asset Classes (1900-2019)
Copyright ©2014 Pearson Education, Inc. All rights reserved.
Copyright ©2014 Pearson Education, Inc. All rights reserved.
4-3
The Concept of Return
• Return
– The level of profit from an investment, or – The reward for investing
Chapter 4
Return and Risk
Return and Risks
Learning Goals
1. Review the concept of return, its components, the forces that affect the investor’s level of return, and historical returns.
• Historical Performance
– Provides a basis for future expectations – Does not guarantee future performance
• Expected Return
– Return an investor thinks an investment will earn in the future
4-5
Key Factors in Return
• Internal Characteristics
– Type or risk of investment – Issuer’s management – Issuer’s financing
• External Forces
– Political environment – Buc environment – Inflation – Deflation
4-7
The Time Value of Money and Returns
• The sooner you receive a return on a given investment, the better
• A dollar received today is worth more than a dollar received in the future
• The sooner your money can begin earning interest, the faster it will grow
• Total Return: the sum of the income and the capital gain (or loss) earned on an investment over a specified period of time
Copyright ©2014 Pearson Education, Inc. All rights reserved.
• Components of Return
– Income: cash or near-cash that is received as a result of owning an investment
– Capital gains (or losses): the difference between the proceeds from the sale of an investment and its original purchase price
2. Discuss the role of time value of money in measuring return and defining a satisfactory investment.
3. Describe real, risk-free, and required returns and the calculation and application of holding period return.
4-4
Why Return is Important
• The rate of return indicates how rapidly an investor can build wealth.
• Allows us to “keep score” on how our investments are doing compared to our expectations
– Determines what an investor is willing to pay for an investment or if they are willing to make an investment
Copyright ©2014 Pearson Education, Inc. All rights reserved.
Copyright ©2014 Pearson Education, Inc. All rights reserved.
4-2
Return and Risks
Learning Goals (cont’d)
4. Explain the concept and calculation of yield and how to find growth rates.