兹维博迪投资学英文Chap025精品PPT课件
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兹维博迪-投资学-第九版-中文PPT课件
1-31
1-25
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系统性风险的上升
银行资产和负债的到期日和流动性之间并不匹配。
负债是短期的、流动的 资产是长期的、非流动的 需要不断再融资改善资产组合
高杠杆比率使得银行几乎没有保证金来确保其安全。
1-26
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系统性风险的上升
投资者过分依赖结构化产品，如信用违约掉期来实现信 用升级。
信用违约掉期合约通常是场外交易，缺少公开披露，没 有要求保证金。
为什么会低估信用风险?
没有人会预料到房地产市场的价格会一直下跌 跨地区来分散风险的愿望并未实现 代理问题和评级机构 信用违约掉期并未像预计那样降低风险
1-22
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信用违约掉期 (CDS)
信用违约掉期实质上是一种针对借款者违约的保险合同。 投资者购买次级贷款使用信用违约掉期来保证其安全性。
投资银行
• 同意买下新发行的股票 和债券
• 在一级市场上向公众销 售新证券
• 投资者在二级市场上买 卖一级市场发行的证券
商业银行
• 吸收存款、发放贷款
1-14
-
-
2008年的金融危机
金融危机的前情:
“大稳健”: 美国经历了一个低利率和经济稳定的时期，只有一 些温和的经济衰退，经济周期似乎已被驯服。
第一章
1
投资环境
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
-
-
实物资产与金融资产
实物资产 取决于该社会经济的生产能力，为经济创 造净利润。 如土地、建筑物、机器以及可用于生产产 品和提供服务的知识。
1-25
-
系统性风险的上升
银行资产和负债的到期日和流动性之间并不匹配。
负债是短期的、流动的 资产是长期的、非流动的 需要不断再融资改善资产组合
高杠杆比率使得银行几乎没有保证金来确保其安全。
1-26
-
系统性风险的上升
投资者过分依赖结构化产品，如信用违约掉期来实现信 用升级。
信用违约掉期合约通常是场外交易，缺少公开披露，没 有要求保证金。
为什么会低估信用风险?
没有人会预料到房地产市场的价格会一直下跌 跨地区来分散风险的愿望并未实现 代理问题和评级机构 信用违约掉期并未像预计那样降低风险
1-22
-
信用违约掉期 (CDS)
信用违约掉期实质上是一种针对借款者违约的保险合同。 投资者购买次级贷款使用信用违约掉期来保证其安全性。
投资银行
• 同意买下新发行的股票 和债券
• 在一级市场上向公众销 售新证券
• 投资者在二级市场上买 卖一级市场发行的证券
商业银行
• 吸收存款、发放贷款
1-14
-
-
2008年的金融危机
金融危机的前情:
“大稳健”: 美国经历了一个低利率和经济稳定的时期，只有一 些温和的经济衰退，经济周期似乎已被驯服。
第一章
1
投资环境
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
-
-
实物资产与金融资产
实物资产 取决于该社会经济的生产能力，为经济创 造净利润。 如土地、建筑物、机器以及可用于生产产 品和提供服务的知识。
Chap002 资产类别与金融工具兹维 博迪 《投资学 》第九版课件PPT
2-9
2.2 债券市场
1、中长期国债
① 期限： – 中期国债 – 期限最长是10年 – 长期国债 – 期限从10年到30年不等 ② 面值 – 1000美元； ③ 利息支付期—半年； ④ 行情– 以面值的百分比；1/32
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2.2 债券市场
2.3 权益证券
• 1、普通股：代表所有权 – 剩余索取权最后 – 有限责任 • 2、优先股： 永续性 – 固定收益； – 求偿权优先于普通股，次于债券； – 税务处理：股利部分免税； • 美国存托凭证ADR：在美国市场上ODIE, KANE, MARCUS
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2-21
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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2-8
2.2 债券市场
• 1、中期国债和长期国债 • 2、通胀保值债券 • 3、联邦机构债券 • 4、国际债券 • 5、市政债券 • 6、公司债券 • 7、抵押贷款和抵押担保证券
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第二章
资产类别与金融工具
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McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap025 Diversification共34页
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Average Country-Index Returns and Capital Asset Pricing Theory
• Figure 25.5 shows a clear advantage to investing in emerging markets.
– The pound-denominated return – Multiplied by – The exchange rate “return”
1r(US)1rf (UK)E E10
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Figure 25.2 Stock Market Returns in U.S. Dollars and Local Currencies for 2009
return either by investing in UK bills and
hedging exchange rate risk or by investing in
riskless U.S. assets.
1
r f (U K )
F0 E0
1
rf (U S )
rearranged:
• Emerging markets make up about 16%
Canada – make up about 62% of the world stock market.
of the world stock market.
• The weight of the U.S. within this group of six
INVESTMENTS | BODIE, KANE, M2A5R-C1U9S
Average Country-Index Returns and Capital Asset Pricing Theory
• Figure 25.5 shows a clear advantage to investing in emerging markets.
– The pound-denominated return – Multiplied by – The exchange rate “return”
1r(US)1rf (UK)E E10
INVESTMENTS | BODIE, KANE, MA2R5C-U9S
Figure 25.2 Stock Market Returns in U.S. Dollars and Local Currencies for 2009
return either by investing in UK bills and
hedging exchange rate risk or by investing in
riskless U.S. assets.
1
r f (U K )
F0 E0
1
rf (U S )
rearranged:
• Emerging markets make up about 16%
Canada – make up about 62% of the world stock market.
of the world stock market.
• The weight of the U.S. within this group of six
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滋维博迪投资学Chap02.ppt
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23-3
Foreign Exchange Futures
• Foreign exchange risk: You may get more or less home currency than you expected from a foreign currency denominated transaction.
• Results: – Cheaper and more flexible – Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures
23-13
Table 23.2 Correlations among Major U.S. Stock Market Indexes
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Creating Synthetic Positions with Futures
• Index futures let investors participate in broad market movements without actually buying or selling large amounts of stock.
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23-15
Creating Synthetic Positions with Futures
• Speculators on broad market moves are major players in the index futures market. – Strategy: Buy and hold T-bills and vary the position in market-index futures contracts. – If bullish, then long futures – If bearish, then short futures
23-3
Foreign Exchange Futures
• Foreign exchange risk: You may get more or less home currency than you expected from a foreign currency denominated transaction.
• Results: – Cheaper and more flexible – Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures
23-13
Table 23.2 Correlations among Major U.S. Stock Market Indexes
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23-14
Creating Synthetic Positions with Futures
• Index futures let investors participate in broad market movements without actually buying or selling large amounts of stock.
INVESTMENTS | BODIE, KANE, MARCUS
23-15
Creating Synthetic Positions with Futures
• Speculators on broad market moves are major players in the index futures market. – Strategy: Buy and hold T-bills and vary the position in market-index futures contracts. – If bullish, then long futures – If bearish, then short futures
《投资学博迪Cha》PPT课件
投资者为什么喜欢凸性?
• 曲率大的债券价格在收益下降时的价格上升大于在收益上涨时的价格下降。 • 收益率越不稳定，这种不对称性的吸引力就越大。 • 对于凸性较大的债券而言，投资者必须付出更高的价格并接受更低的到期收
益率。
16-21
可赎回债券
• 当利率下降时，债券的市场价格有一个上限，债券价格不会超过其赎 回价格。
$1,000/1.053.7704 = $831.6717。价格下降 了0.0359%。
16-12
久期法则
法则 1 零息债券的久期等于它的到期时间。 法债则券2 久到期期较时短间。不变时，当息票率较高时， 法限则增3 加票而面增利加率。不变时，债券久期会随期
16-13
久期法则
法收则益4 率保较持低其时他，因息素票都债不券变的，久当期债会券较到长期。
5. 利率风险与债券票面利率成反比。 6. 债券价格对其收益变化的敏感性与当期
出售债券的到期收益率成反比。
16-3
图 16.1 作为到期收益率变化的函数的债券 价格变化
16-4
表 16.1 票面利率为8%的债券价格(半年付 息一次)
16-5
表 16.2 零息债券的价格(半年计一次复利)
16-6
16-37
积极债券管理：互换策略
• 替代互换 • 市场价差价互换 • 利率预期互换 • 纯收益获得互换 • 税收互换
16-38
水平分析
• 选择特定的持有期并预测该期末的收益 率曲线。
• 给定持有到期时债券的到期时间， – 它的收益可以从预测的收益率曲线和 计算的期末价格中得出
16-39
感谢下 载
• 负凸性 • 使用有效久期:
有效久期 P / P r
Chap资本资产定价模型兹维博迪投资学件PPT教案
①为正，股票价格被低估，位于SML上方。 ②为负，股票价格被高估，位于SML下方。 股票的实际期望收益与正常期望收益的差，称为
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。
9-17
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，。
9-14
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
9-15
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。
9-3
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
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。
9-17
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，。
9-14
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
9-15
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。
9-3
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
27
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。
1
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。
1
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。
《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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25-8
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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滋维博迪投资学Chap.ppt
Rule 3 Holding the coupon rate constant, a bond’s duration generally increases with its time to maturity
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16-14
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
Rules 5 The duration of a level perpetuity is equal to: (1+y) / y
• 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.
(y)2
]
INVESTMENTS | BODIE, KANE, MARCUS
16-20
Figure 16.4 Convexity of Two Bonds
INVESTMENTS | BODIE, KANE, MARCUS
16-21
Why do Investors Like Convexity?
• Bonds with greater convexity have more curvature in the price-yield relationship.
INVESTMENTS | BODIE, KANE, MARCUS
16-14
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
Rules 5 The duration of a level perpetuity is equal to: (1+y) / y
• 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.
(y)2
]
INVESTMENTS | BODIE, KANE, MARCUS
16-20
Figure 16.4 Convexity of Two Bonds
INVESTMENTS | BODIE, KANE, MARCUS
16-21
Why do Investors Like Convexity?
• Bonds with greater convexity have more curvature in the price-yield relationship.
博迪投资学英文课件 (10)
INVESTMENTS | BODIE, KANE, MARCUS
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
INVESTMENTS | BODIE, KANE, MARCUS
26-13
Figure 26.1 A Pure Play, Unhedged Position; Hedged Position
INVESTMENTS | BODIE, KANE, MARCUS
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
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
INVESTMENTS | BODIE, KANE, MARCUS
26-13
Figure 26.1 A Pure Play, Unhedged Position; Hedged Position
INVESTMENTS | BODIE, KANE, MARCUS
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
兹维博迪金融学第二版课件Chapter02
20 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Funds Flow: Disintermediation
Markets
Surplus Units
Deficit Units
Intermediaries
21 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
2 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
• 2.7 Financial Intermediaries • 2.8 Financial Infrastructure and Regulation • 2.9 Governmental & QuasiGovernmental Organizations
• Holders of surplus funds may use an intermediary, such as a bank, to invest them. The bank receives the surplus funds, say as 90-day deposits, and adds them to the bank’s assets (creating a bank liability). Money is fungible, so the corresponding loan can not be identified
• 一个金融系统由以下要素组成
– 市场、中介、用以实施行为人（家庭、厂商、 政府）的金融决策的服务性企业及其他机构。
Funds Flow: Disintermediation
Markets
Surplus Units
Deficit Units
Intermediaries
21 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
2 Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
• 2.7 Financial Intermediaries • 2.8 Financial Infrastructure and Regulation • 2.9 Governmental & QuasiGovernmental Organizations
• Holders of surplus funds may use an intermediary, such as a bank, to invest them. The bank receives the surplus funds, say as 90-day deposits, and adds them to the bank’s assets (creating a bank liability). Money is fungible, so the corresponding loan can not be identified
• 一个金融系统由以下要素组成
– 市场、中介、用以实施行为人（家庭、厂商、 政府）的金融决策的服务性企业及其他机构。
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap025 Diversification-PPT资料34页
is 54%.
INVESTMENTS | BODIE, KANE, MA2R5C-U2S
Background
• Clearly, U.S. stocks do not comprise a fully diversified equity portfolio.
• International investing provides greater diversification opportunities.
INVESTMENTS | BODIE, KANE, M2A5R-C1U4S
Table 25.7 Composite and Political Risk Forecasts
INVESTMENTS | BODIE, KANE, M2A5R-C1U5S
Table 25.7 Interpretation
Figure 25.4 Index Dollar Return Beta on U.S. Stocks, 2000–2009
INVESTMENTS | BODIE, KANE, M2A5R-C2U1S
Figure 25.5 Average Dollar-Denominated Excess Returns
INVESTMENTS | BODIE, KANE, M2A5R-C2U2S
Average Country-Index Returns and Capital Asset Pricing Theory
• Figure 25.5 shows a clear advantage to investing in emerging markets.
return either by investing in UK bills and
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap002 Asset Classes and Financial Instruments31页PPT
– Bid and asked price – Bank discount method
• Certificates of Deposit: Time deposit with a bank
• Commercial Paper: Short-term, unsecured debt of a company
INVESTMENTS | BODIE, KANE, MARC2U-5S
Yields on Money Market Instruments
• Except for Treasury bills, money market securities are not free of default risk
INVESTMENTS | BODIE, KANE, MARC2U-9S
The Bond Market
• Inflation-Protected Treasury Bonds
– TIPS: Provide inflation protection
• Federal Agency Debt
– Debt of mortgage-related agencies such as Fannie Mae and Freddie Mac
• International Bonds
– Eurobonds and Yankee bonds
INVESTMENTS | BODIE, KANE, MAR2C-1U0S
Municipal Bonds
• Issued by state and local governments • Interest is exempt from federal income
• Eurodollars: dollar-denominated time deposits in banks outside the U.S.
• Certificates of Deposit: Time deposit with a bank
• Commercial Paper: Short-term, unsecured debt of a company
INVESTMENTS | BODIE, KANE, MARC2U-5S
Yields on Money Market Instruments
• Except for Treasury bills, money market securities are not free of default risk
INVESTMENTS | BODIE, KANE, MARC2U-9S
The Bond Market
• Inflation-Protected Treasury Bonds
– TIPS: Provide inflation protection
• Federal Agency Debt
– Debt of mortgage-related agencies such as Fannie Mae and Freddie Mac
• International Bonds
– Eurobonds and Yankee bonds
INVESTMENTS | BODIE, KANE, MAR2C-1U0S
Municipal Bonds
• Issued by state and local governments • Interest is exempt from federal income
• Eurodollars: dollar-denominated time deposits in banks outside the U.S.
Chap025 International Diversification 博迪投资学课件
(Annualized from monthly data)
25-10
Hedging Exchange Rate Risk
• Futures or forward markets are used to eliminate the risk of holding another asset
• The U.S. investor can lock in a riskless dollar-
25-32
ห้องสมุดไป่ตู้
Table 25.12 Weighting Schemes for EAFE Countries
25-33
Performance Attribution with International
Extension to consider additional factors • Currency selection • Country selection • Stock selection • Cash and bond selection
25-2
25-3
Table 25.2 Market Capitalization of Stock Exchanges in Emerging Markets
25-4
Figure 25.1 Per Capita GDP and Market Capitalization as Percentage of GDP (log scale)
25-5
Issues
• What are the risks involved in investment in foreign securities?
• How do you measure benchmark returns on foreign investments?
25-10
Hedging Exchange Rate Risk
• Futures or forward markets are used to eliminate the risk of holding another asset
• The U.S. investor can lock in a riskless dollar-
25-32
ห้องสมุดไป่ตู้
Table 25.12 Weighting Schemes for EAFE Countries
25-33
Performance Attribution with International
Extension to consider additional factors • Currency selection • Country selection • Stock selection • Cash and bond selection
25-2
25-3
Table 25.2 Market Capitalization of Stock Exchanges in Emerging Markets
25-4
Figure 25.1 Per Capita GDP and Market Capitalization as Percentage of GDP (log scale)
25-5
Issues
• What are the risks involved in investment in foreign securities?
• How do you measure benchmark returns on foreign investments?
博迪投资学英文课件 (25)
Figure 11.1 Cumulative Abnormal Returns Before Takeover Attempts: Target Companies
INVESTMENTS | BODIE, KANE, MARCUS
Figure 11.2 Stock Price Reaction to CNBC Reports
INVESTMENTS | BODIE, KANE, MARCUS
How Tests Are Structured
Returns are adjusted to determine if they are abnormal. Market Model approach: a. rt = a + brmt + et (Expected Return) b. Excess Return = (Actual - Expected) et = rt - (a + brMt)
– Success depends on a sluggish response of stock prices to fundamental supply-and-demand factors.
– Weak form efficiency • Relative strength • Resistance levels
– Accept EMH – Index Funds and ETFs – Very low costs
INVESTMENTS | BODIE, KANE, MARCUS
Market Efficiency & Portfolio Management
Even if the market is efficient a role exists for portfolio management:
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25-12
Table 25.4 Composite Risk Ratings for October 2004 and November 2003
25-13
Table 25.5 The Three Ratings that Comprise ICRG’s Composite Risk Rating
(Annualized from monthly data)
25-10
Hedging Exchange Rate Risk
• Futures or forward markets are used to eliminate the risk of holding another asset
• The U.S. investor can lock in a riskless dollar-
CHAPTER 25 International Diversification
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
• Emphasis for our investigation – Risk assessment – Diversification
25-2
Table 25.1 Market Capitalization of Stock Exchanges in Developed Countries
25-3
Background
• Global market – US market is 39.2% of all markets in 2005 – US market share is down from 47% in 2000 – Improved access & technology – New instruments
25-5
Issues
• What are the risks involved in investment in foreign securities?
• How do you measure benchmark returns on foreign investments?
• Are there benefits to diversification in foreign securities?
25-17
Diversification Benefits
Evidence shows international diversification is beneficial
25-14
Table 25.6 Current Risk Ratings and Composite Risk Forecasts
25-15
Table 25.7 Composite and Political Risk Forecasts
25-16
Table 25.8 Political Risk Points by Component, October 2004
1
rf
(UK
)
E1 E0
25-8
Figure 25.2 Stock Market Returns in U.S. Dollars and Local Currencies for 2005
25-9
Table 25.3 Rates of Change in the U.S. Dollar Against Major World Currencies, 2001 – 2005
F0 1 rf (US ) E0 1 rf (UK )
25-11
Country Specific Risk
• Political Risk Services Group Ratings Rank countries with respect to political risk, financial risk and economic risk Assign composite rating from very high risk to very low risk based on the above elements of risk
25-6
Foreign Exchange Risk
Foreign Exchange Risk • Variation in return related to changes in the
relative value of the domestic and foreign currency • Total return = investment return & return on foreign exchange • It’s not possible to completely hedge a foreign investment
Table 25.2 Market Capitalization of Stock Exchanges in Emerging Markets
25-4
Figure 25.1 Per Capita GDP and Market Capitalization as Percentage ofth Foreign Exchange
• Return in US is a function of two factors:
1. Return in the foreign market
2. Return on the foreign exchange
1
r (US )
denominated return either by investing in UK
bills and hedging exchange rate risk or by
investing riskless U.S. assets
1 rf
(UK )
F0 E0
1 rf
(US )
rearranged:
Table 25.4 Composite Risk Ratings for October 2004 and November 2003
25-13
Table 25.5 The Three Ratings that Comprise ICRG’s Composite Risk Rating
(Annualized from monthly data)
25-10
Hedging Exchange Rate Risk
• Futures or forward markets are used to eliminate the risk of holding another asset
• The U.S. investor can lock in a riskless dollar-
CHAPTER 25 International Diversification
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
• Emphasis for our investigation – Risk assessment – Diversification
25-2
Table 25.1 Market Capitalization of Stock Exchanges in Developed Countries
25-3
Background
• Global market – US market is 39.2% of all markets in 2005 – US market share is down from 47% in 2000 – Improved access & technology – New instruments
25-5
Issues
• What are the risks involved in investment in foreign securities?
• How do you measure benchmark returns on foreign investments?
• Are there benefits to diversification in foreign securities?
25-17
Diversification Benefits
Evidence shows international diversification is beneficial
25-14
Table 25.6 Current Risk Ratings and Composite Risk Forecasts
25-15
Table 25.7 Composite and Political Risk Forecasts
25-16
Table 25.8 Political Risk Points by Component, October 2004
1
rf
(UK
)
E1 E0
25-8
Figure 25.2 Stock Market Returns in U.S. Dollars and Local Currencies for 2005
25-9
Table 25.3 Rates of Change in the U.S. Dollar Against Major World Currencies, 2001 – 2005
F0 1 rf (US ) E0 1 rf (UK )
25-11
Country Specific Risk
• Political Risk Services Group Ratings Rank countries with respect to political risk, financial risk and economic risk Assign composite rating from very high risk to very low risk based on the above elements of risk
25-6
Foreign Exchange Risk
Foreign Exchange Risk • Variation in return related to changes in the
relative value of the domestic and foreign currency • Total return = investment return & return on foreign exchange • It’s not possible to completely hedge a foreign investment
Table 25.2 Market Capitalization of Stock Exchanges in Emerging Markets
25-4
Figure 25.1 Per Capita GDP and Market Capitalization as Percentage ofth Foreign Exchange
• Return in US is a function of two factors:
1. Return in the foreign market
2. Return on the foreign exchange
1
r (US )
denominated return either by investing in UK
bills and hedging exchange rate risk or by
investing riskless U.S. assets
1 rf
(UK )
F0 E0
1 rf
(US )
rearranged: