投资学英文课件chap012.ppt
• Model Risk:
– What if you have a bad model and the market value is actually correct?
INVESTMENTS | BODIE, KANE, MARCUS
12-11
Limits to Arbitrage and the Law of One Price
• Technical analysis attempts to exploit recurring and predictable patterns in stock prices.
– Prices adjust gradually to a new equilibrium. – Market values and intrinsic values converge
INVESTMENTS | BODIE, KANE, MARCUS
12-6
Behavioral Biases
2. Mental Accounting: • Investors may segregate accounts or monies and take risks with their gains that they would not take with their principal.
INVESTMENTS | BODIE, KANE, MARCUS
12-14
Bubbles and Behavioral Economics
• Bubbles are easier to spot after they end.
– Dot-com bubble – Housing bubble
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
12-4
Errors in Information Processing: Misestimating True Probabilities
1. Forecasting Errors: Too much weight is placed on recent experiences.
slowly.
INVESTMENTS | BODIE, KANE, MARCUS
12-17
Technical Analysis and Behavioral Finance
• Disposition effect: The tendency of investors to hold on to losing investments.
• Fundamental Risk:
– “Markets can remain irrational longer than you can remain solvent.”
– Intrinsic value and market value may take too long to converge.
INVESTMENTS | BODIE, KANE, MARCUS
12-12
Figure 12.2 Pricing of Royal Dutch Relative to Shell (Deviation from Parity)
INVESTMENTS | BODIE, KANE, MARCUS
12-13
• S&P 500 is worth $8,589 million if dividend growth rate is 7.4% (close to actual value in 2002).
INVESTMENTS | BODIE, KANE, MARCUS
12-16
Technical Analysis and Behavioral Finance
• What if investors don’t behave rationally?
INVESTMENTS | BODIE, KANE, MARCUS
12-3
The Behavioral Critique
Two categories of irrationalities:
1. Investors do not always process information correctly. • Result: Incorrect probability distributions of future returns.
Dow Theory
1. Primary trend : Long-term movement of prices, lasting from several months to several years.
2. Secondary or intermediate trend: shortterm deviations of prices from the underlying trend line and are eliminated by corrections.
• Siamese Twin Companies –Royal Dutch should sell for 1.5 times Shell –Have deviated from parity ratio for extended periods –Example of fundamental risk
INVESTMENTS | BODIE, KANE, MARCUS
12-10
Limits to Arbitrage
• Implementation Costs:
– Transactions costs and restrictions on short selling can limit arbitrage activity.
12-15
Bubbles and Behavioral Economics
• Rational explanation for stock market bubble using the dividend discount model:
PV0
D1 kg
• S&P 500 is worth $12,883 million if dividend growth rate is 8% (close to actual value in 2000).
3. Conservatism: Investors are slow to update their beliefs and under react to new information.
2. Overconfidence: Investors overestimate their abilities and the precision of their forecasts.
– Demand for shares depends on price history – Can lead to momentum in stock prices
INVESTMENTS | BODIE, KANE, MARCUSctions: The Search for Momentum
Limits to Arbitrage and the Law of One Price
• Equity Carve-outs – 3Com and Palm – Arbitrage limited by availability of shares for shorting
• Closed-End Funds – May sell at premium or discount to NAV – Can also be explained by rational return expectations
12-5
Behavioral Biases
• Biases result in less than rational decisions, even with perfect information.
Examples: 1.Framing:
– How the risk is described, “risky losses” vs. “risky gains”, can affect investor decisions.
4. Sample Size Neglect and Representativeness: Investors are too quick to infer a pattern or trend from a small sample.
INVESTMENTS | BODIE, KANE, MARCUS
12-8
Figure 12.1 Prospect Theory
INVESTMENTS | BODIE, KANE, MARCUS
12-9
Limits to Arbitrage
• Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.
12-2
Behavioral Finance
Conventional Finance
Behavioral Finance
• Prices are correct; equal to intrinsic value.
• Resources are allocated efficiently.
• Consistent with EMH
12-20
Trends and Corrections: Moving
Averages
• The moving average is the average level of prices over a given interval of time.
– What if you have a bad model and the market value is actually correct?
INVESTMENTS | BODIE, KANE, MARCUS
12-11
Limits to Arbitrage and the Law of One Price
• Technical analysis attempts to exploit recurring and predictable patterns in stock prices.
– Prices adjust gradually to a new equilibrium. – Market values and intrinsic values converge
INVESTMENTS | BODIE, KANE, MARCUS
12-6
Behavioral Biases
2. Mental Accounting: • Investors may segregate accounts or monies and take risks with their gains that they would not take with their principal.
INVESTMENTS | BODIE, KANE, MARCUS
12-14
Bubbles and Behavioral Economics
• Bubbles are easier to spot after they end.
– Dot-com bubble – Housing bubble
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
12-4
Errors in Information Processing: Misestimating True Probabilities
1. Forecasting Errors: Too much weight is placed on recent experiences.
slowly.
INVESTMENTS | BODIE, KANE, MARCUS
12-17
Technical Analysis and Behavioral Finance
• Disposition effect: The tendency of investors to hold on to losing investments.
• Fundamental Risk:
– “Markets can remain irrational longer than you can remain solvent.”
– Intrinsic value and market value may take too long to converge.
INVESTMENTS | BODIE, KANE, MARCUS
12-12
Figure 12.2 Pricing of Royal Dutch Relative to Shell (Deviation from Parity)
INVESTMENTS | BODIE, KANE, MARCUS
12-13
• S&P 500 is worth $8,589 million if dividend growth rate is 7.4% (close to actual value in 2002).
INVESTMENTS | BODIE, KANE, MARCUS
12-16
Technical Analysis and Behavioral Finance
• What if investors don’t behave rationally?
INVESTMENTS | BODIE, KANE, MARCUS
12-3
The Behavioral Critique
Two categories of irrationalities:
1. Investors do not always process information correctly. • Result: Incorrect probability distributions of future returns.
Dow Theory
1. Primary trend : Long-term movement of prices, lasting from several months to several years.
2. Secondary or intermediate trend: shortterm deviations of prices from the underlying trend line and are eliminated by corrections.
• Siamese Twin Companies –Royal Dutch should sell for 1.5 times Shell –Have deviated from parity ratio for extended periods –Example of fundamental risk
INVESTMENTS | BODIE, KANE, MARCUS
12-10
Limits to Arbitrage
• Implementation Costs:
– Transactions costs and restrictions on short selling can limit arbitrage activity.
12-15
Bubbles and Behavioral Economics
• Rational explanation for stock market bubble using the dividend discount model:
PV0
D1 kg
• S&P 500 is worth $12,883 million if dividend growth rate is 8% (close to actual value in 2000).
3. Conservatism: Investors are slow to update their beliefs and under react to new information.
2. Overconfidence: Investors overestimate their abilities and the precision of their forecasts.
– Demand for shares depends on price history – Can lead to momentum in stock prices
INVESTMENTS | BODIE, KANE, MARCUSctions: The Search for Momentum
Limits to Arbitrage and the Law of One Price
• Equity Carve-outs – 3Com and Palm – Arbitrage limited by availability of shares for shorting
• Closed-End Funds – May sell at premium or discount to NAV – Can also be explained by rational return expectations
12-5
Behavioral Biases
• Biases result in less than rational decisions, even with perfect information.
Examples: 1.Framing:
– How the risk is described, “risky losses” vs. “risky gains”, can affect investor decisions.
4. Sample Size Neglect and Representativeness: Investors are too quick to infer a pattern or trend from a small sample.
INVESTMENTS | BODIE, KANE, MARCUS
12-8
Figure 12.1 Prospect Theory
INVESTMENTS | BODIE, KANE, MARCUS
12-9
Limits to Arbitrage
• Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.
12-2
Behavioral Finance
Conventional Finance
Behavioral Finance
• Prices are correct; equal to intrinsic value.
• Resources are allocated efficiently.
• Consistent with EMH
12-20
Trends and Corrections: Moving
Averages
• The moving average is the average level of prices over a given interval of time.
合集下载
投资学英文课件 (1)
in economics which has more empirical support than
the EMH”.
12-2
Challenges to EMH
• Investors are not “fully rational”. They exhibit “biases” and use simple “heuristics” (rules of thumb) in making decisions.
• Commonly Used Heuristics
– Availability: “familiarity breeds investment”. – Representativeness: judgement based on similarity.
“Patterns in random sequences”. – Reliance on the judgement of other people (Keynes
12-15
Behavioral Heuristics and DecisionMaking Biases
• What strategies do decision makers use when faced with difficult decisions, especially ones that involve uncertainty?
• Investor Sentiment: beliefs based on heuristics rather than Bayesian rationality.
• Investors may react to “irrelevant information” and hence may trade on “noise” rather than information.
投资学
1-1
Chapter 1
The Investment Environment
McGraw-Hill/Irwin
1-2
Chapter Overview
examine the differences between financial assets and real assets.
proceed to the three broad sectors of financial environment:
McGraw-Hill/Irwin
1-5
Investments & Financial Assets
Real Assets
- Assets used to produce goods and services:
Assets used to produce goods and services. The material wealth of a society is determined ultimately by the productive capacity of its economy----the goods and service that ca be provided to its members. This productive capacity is a function of the real assets of the economy: the land ,buildings ,knowledge, and machines and workers. Together, physical and “human” assets generate the entire spectrum of output produced and
Chapter 1
The Investment Environment
McGraw-Hill/Irwin
1-2
Chapter Overview
examine the differences between financial assets and real assets.
proceed to the three broad sectors of financial environment:
McGraw-Hill/Irwin
1-5
Investments & Financial Assets
Real Assets
- Assets used to produce goods and services:
Assets used to produce goods and services. The material wealth of a society is determined ultimately by the productive capacity of its economy----the goods and service that ca be provided to its members. This productive capacity is a function of the real assets of the economy: the land ,buildings ,knowledge, and machines and workers. Together, physical and “human” assets generate the entire spectrum of output produced and
31_博迪《投资学》Chap001资料
• 货币市场上的债务型证券：期限短、流 动性强且风险小
• 货币市场上的固定收益型证券：长期证 券，这些证券有的违约风险较低相对比 较安全，有的风险相对较高。
INVESTMENTS | BODIE, KANE, MARCUS
1-5
普通股证券和衍生证券
• 普通股证券代表了证券持有者对公司的 权益或所有权.
INVESTMENTS | BODIE, KANE, MARCUS
1-17
住房融资的变化
传统方式
• 当地的储蓄机构为房主提 供抵押贷款
• 储蓄机构的主要资产: 长 期抵押贷款的组合
• 储蓄机构的主要负债: 储 户的存款
• “源于持有”
新兴方式
• 证券化: 房利美和房地美 购买抵押贷款并将它们捆 绑在一起组成资产池。
– 高级份额: 低风险, 最高评级
– 低级份额: 高风险, 低评级或垃圾评级
INVESTMENTS | BODIE, KANE, MARCUS
1-21
抵押贷款衍生工具
• 问题: 这种评级是错误的! 这种结构给高级 份额带来的风险远远高于预期。
INVESTMENTS | BODIE, KANE, MARCUS
• 抵押支持证券是指对相应 抵押贷款资产池的索取权。
• “源于分配”
INVESTMENTS | BODIE, KANE, MARCUS
1-18
图 1.4 抵押转递证券的现金流
INVESTMENTS | BODIE, KANE, MARCUS
1-19
住房融资的变化
• 房利美和房地美持有或担保符合条件的证 券化抵押贷款, 这些抵押贷款的风险很低且 被妥善记录.
• 由私营企业提供的以不符合条件的违约风 险高的次级贷款为支持的证券化产品.
• 货币市场上的固定收益型证券：长期证 券，这些证券有的违约风险较低相对比 较安全，有的风险相对较高。
INVESTMENTS | BODIE, KANE, MARCUS
1-5
普通股证券和衍生证券
• 普通股证券代表了证券持有者对公司的 权益或所有权.
INVESTMENTS | BODIE, KANE, MARCUS
1-17
住房融资的变化
传统方式
• 当地的储蓄机构为房主提 供抵押贷款
• 储蓄机构的主要资产: 长 期抵押贷款的组合
• 储蓄机构的主要负债: 储 户的存款
• “源于持有”
新兴方式
• 证券化: 房利美和房地美 购买抵押贷款并将它们捆 绑在一起组成资产池。
– 高级份额: 低风险, 最高评级
– 低级份额: 高风险, 低评级或垃圾评级
INVESTMENTS | BODIE, KANE, MARCUS
1-21
抵押贷款衍生工具
• 问题: 这种评级是错误的! 这种结构给高级 份额带来的风险远远高于预期。
INVESTMENTS | BODIE, KANE, MARCUS
• 抵押支持证券是指对相应 抵押贷款资产池的索取权。
• “源于分配”
INVESTMENTS | BODIE, KANE, MARCUS
1-18
图 1.4 抵押转递证券的现金流
INVESTMENTS | BODIE, KANE, MARCUS
1-19
住房融资的变化
• 房利美和房地美持有或担保符合条件的证 券化抵押贷款, 这些抵押贷款的风险很低且 被妥善记录.
• 由私营企业提供的以不符合条件的违约风 险高的次级贷款为支持的证券化产品.
《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
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：
投资学英文课件chap012.ppt
INVESTMENTS | BODIE, KANE, MARCUS
12-6
Behavioral Biases
2. Mental Accounting: • Investors may segregate accounts or monies and take risks with their gains that they would not take with thห้องสมุดไป่ตู้ir principal.
CHAPTER 12
Behavioral Finance and Technical Analysis
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
12-8
Figure 12.1 Prospect Theory
INVESTMENTS | BODIE, KANE, MARCUS
12-9
Limits to Arbitrage
• Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.
2. Even when given a probability distribution of returns, investors may make inconsistent or suboptimal decisions. • Result: They have behavioral biases.
12-6
Behavioral Biases
2. Mental Accounting: • Investors may segregate accounts or monies and take risks with their gains that they would not take with thห้องสมุดไป่ตู้ir principal.
CHAPTER 12
Behavioral Finance and Technical Analysis
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
12-8
Figure 12.1 Prospect Theory
INVESTMENTS | BODIE, KANE, MARCUS
12-9
Limits to Arbitrage
• Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.
2. Even when given a probability distribution of returns, investors may make inconsistent or suboptimal decisions. • Result: They have behavioral biases.
投资学investment课件 Chap012
– Tides: a primary direction or trend 基本趋势, – Waves: a secondary reaction or intermediate trend次级反应或中级趋势 – Ripples: tertiary or minor trends 第三或小趋势
12-5
B bearish signal Sell point HPQ
MA
A bullish signal Buy point
12-14
3. Support and Resistance Levels趋势线
• A support level支撑线(下限） is the lower limit to price fluctuations； • Resistance level阻力线(上限） is the higher limit to price fluctuations. • Why called support and resistance level?
12-17
Practical application
support price
resist price
250day MA
Break out at April 30 12-18
4.Candlesticks Chart（蜡烛线，K线，阴阳线）
• Candlesticks charts have been used in Japan to chart rice prices for several centuries, but only recently they have become popular in the US.
4 Candlesticks（K线）
12-3
12-5
B bearish signal Sell point HPQ
MA
A bullish signal Buy point
12-14
3. Support and Resistance Levels趋势线
• A support level支撑线(下限） is the lower limit to price fluctuations； • Resistance level阻力线(上限） is the higher limit to price fluctuations. • Why called support and resistance level?
12-17
Practical application
support price
resist price
250day MA
Break out at April 30 12-18
4.Candlesticks Chart（蜡烛线，K线，阴阳线）
• Candlesticks charts have been used in Japan to chart rice prices for several centuries, but only recently they have become popular in the US.
4 Candlesticks（K线）
12-3
投资学英文课件cha(2)
2. Even when given a probability distribution of returns, investors may make inconsistent or suboptimal decisions. • Result: They have behavioral biases.
2. Overconfidence: Investors overestimate their abilities and the precision of their forecasts.
3. Conservatism: Investors are slow to update their beliefs and under react to new information.
4. Sample Size Neglect and Representativeness: Investors are too quick to infer a pattern or trend from INaVsESmTMalElNsTaSm| BOpDlIeE,.KANE, MAR1C2U-4S
• What if investors don’t behave rationally?
INVESTMENTS | BODIE, KANE, MAR1C2U-2S
The Behavioral Critique
Two categories of irrationalities:
1. Investors do not always process information correctly. • Result: Incorrect probability distributions of future returns.
2. Overconfidence: Investors overestimate their abilities and the precision of their forecasts.
3. Conservatism: Investors are slow to update their beliefs and under react to new information.
4. Sample Size Neglect and Representativeness: Investors are too quick to infer a pattern or trend from INaVsESmTMalElNsTaSm| BOpDlIeE,.KANE, MAR1C2U-4S
• What if investors don’t behave rationally?
INVESTMENTS | BODIE, KANE, MAR1C2U-2S
The Behavioral Critique
Two categories of irrationalities:
1. Investors do not always process information correctly. • Result: Incorrect probability distributions of future returns.
投资学原理英文课件 (12)
4-15
Table 4.6 Key Financial Variables for Four Investment Vehicles
4-16
Using HPR in Investment Decisions
investment
• Expected Inflation Premium
– The average rate of inflation expected in the future
4-11
Measuring Return (cont’d)
• Risk-free Rate
– The rate of return that can be earned on a risk-free investment
– Capital gains (or losses): the difference between the proceeds from the sale of an investment and its original purchase price
• Total Return: the sum of the income and the capital gain (or loss) earned on an investment over a specified period of time
4-14
Holding Period Return (HPR)
• Holding Period Return
– The total return earned from holding an investment for a specified holding period (usually 1 year or less)
博迪投资学Chap021
• Alternative Portfolio - one share of stock and 3 c a l l s written (X = 110)
• Portfolio i s perfectly hedged:
Stock Value
90
120
Call Obligation 0
- 30
Net payoff
X = 95 T = .25 (quarter)
= .50 (50% per year)
Thus:
INVESTMENTS | BODIE, KANE,MARCUS
23
Probabilities from Normal Distribution
Using a table or the NORMDIST function in Excel, we find that N(.43) = .6664 and N(.18) = .5714.
Probability Final Stock Price
1/8
100 (1.20)3 = $172.80
3/8
100 (1.20)2 ( . 9 0 ) = $129.60
3/8
100 ( 1 . 2 0 ) ( . 9 0 ) 2 = $97.20
1/8
100 ( . 9 0 ) 3 = $72.90
INVESTMENTS | BODIE, KANE,MARCUS
8
Early Exercise: Calls
• The right to exercise an American call early is valueless as long as the stock pays no dividends until the option expires