《投资学》经典课件(英文) (13)
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《投资学》经典课件(英文) (12)
• 生活是一门艺术，要在不充足的前提下得出充足的结 论。 ——塞缪尔·巴特勒（1835~1902）
• Life is the art of drawing sufficient conclusions from insufficient premises
• 投资是一门艺术，要在不充足的前提下得出充足的结 论。
• Which is better?
• Reflection effect 反射效应
A You lost 30,000$ in 100% B You get 40,000$ in 80%, lost
nothing in 20%
• Loss aversion
A a coin toss with a payoff of $5,000 for tails
The Behavioral Critique 行为学派的批评
• Behavioral finance • Irrational behavior • Information processing • Probability distribution • Virtually everyone agrees that if prices are right
• Financial problem experiment财务问题试验 • 富人 rich man • 穷人 poor man • 数额较小 smaller amount • 数额较大 greater amount • 差异 difference
• For investor • Leisure 闲暇的重要性 • band width 带宽
• Investment is the art of drawing sufficient conclusions from insufficient premises
• Life is the art of drawing sufficient conclusions from insufficient premises
• 投资是一门艺术，要在不充足的前提下得出充足的结 论。
• Which is better?
• Reflection effect 反射效应
A You lost 30,000$ in 100% B You get 40,000$ in 80%, lost
nothing in 20%
• Loss aversion
A a coin toss with a payoff of $5,000 for tails
The Behavioral Critique 行为学派的批评
• Behavioral finance • Irrational behavior • Information processing • Probability distribution • Virtually everyone agrees that if prices are right
• Financial problem experiment财务问题试验 • 富人 rich man • 穷人 poor man • 数额较小 smaller amount • 数额较大 greater amount • 差异 difference
• For investor • Leisure 闲暇的重要性 • band width 带宽
• Investment is the art of drawing sufficient conclusions from insufficient premises
投资学博迪第13章中文版PPT
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流动性和股权溢价之谜
• 股权溢价中有一部分是对流动性风险的补 偿而不仅仅是对收益率波动性（系统性） 的补偿。 • 股权溢价之谜也不会像最初那么难解了。
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流动性与资产定价
• 流动性涉及 – 交易成本 – 出售难易程度 – 为快速交易所需的价格折让 – 市场深度 – 价格的可预测性
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13-27
流动性与资产定价
• 帕斯特和斯坦博 • 当交易者在一定时间 研究了价格逆转。 范围内不得不提高买 价或降低售价以赢得 • 结论：流动性风 竞争时，就会出现价 险是一个被定价 格逆转。 的因素。
第十三章
证券收益的实证依据
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13-2
调查概述
• 在实际的财务实践中广泛的应用了收益贝塔关系。 • CAPM模型预测了资产相对于市场投资 组合的期望收益率。
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13-28
流动线和有效市场异象
• 帕斯托和斯坦博还检验了流动性风险因素 对动量投资策略获利能力的影响。 • 萨德卡描述了动量投资策略和盈余报告后 价格漂移的投资策略，流动性风险能解释 40-80% 的超额收益
投资学英文课件cha
fit and Loss on a Call
• Suppose IBM sells for $132 on the expiration date. • Option value = stock price-exercise price
$132- $130= $2 • Profit = Final value – Original investment
• The option expires on the third Friday of the month, or January 15, 2010.
• If IBM remains below $130, the call will expire worthless.
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• Option holder can sell a share of IBM for $130 at any time until January 15.
• If IBM goes above $130, the put is worthless.
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Options
• Derivatives are securities that get their value from the price of other securities.
• Derivatives are contingent claims because their payoffs depend on the value of other securities.
Example 20.2 Profit and Loss on a Put
• Suppose IBM sells for $132 on the expiration date. • Option value = stock price-exercise price
$132- $130= $2 • Profit = Final value – Original investment
• The option expires on the third Friday of the month, or January 15, 2010.
• If IBM remains below $130, the call will expire worthless.
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• Option holder can sell a share of IBM for $130 at any time until January 15.
• If IBM goes above $130, the put is worthless.
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Options
• Derivatives are securities that get their value from the price of other securities.
• Derivatives are contingent claims because their payoffs depend on the value of other securities.
Example 20.2 Profit and Loss on a Put
《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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投资学全英课件
10.1 Multifactor models: an overview 10.2 Arbitrage pricing theory 10.3 Individual assets and the APT 10.4 A multifactor APT 10.5 Where should we look for factors?
10.1 Multifactor models（多因 素模 型）: an overview
The index model decomposes stock variability into market risk and firm-specific risk. In the index model, the return on the market portfolio summarized the broad impact of macro factors. Sometimes, however, rather than using a market proxy, it is more useful to focus directly on the ultimate sources of risk. That is to measure one‟s exposures to particular sources of uncertainty. Factor models allow us to describe and quantify the different factors that affect the rate of return on a security.
However, stocks actually differ in their betas relative to the various macroeconoic factors.
《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
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：
Chap002投资学(英)《Asset Classes and Financial Instruments》
P n = market price of the T-bill = number of days to maturity
• Example: 90-day T-bill, P = $9,875
r BD =
$10,000
- $9,875
$10,000
360 = 5% × 90
2-14
2.1 The Money Market
Brothers
• Reserve Primary Fund ―broke the buck‖ • Run on money market funds ensued • U.S. Treasury temporarily offered to insure all
money funds
2-12
2.1 The Money Market
stock on margin
• Loan may be ―called in‖ by broker
2-9
Figure 2.1 Treasury Bills (T-Bills)
Source: The Wall Street Journal Online, July 7, 2011.
2-10
Figure 2.2 Spreads on CDs and Treasury Bills
• New Innovation: Asset-backed commercial paper
2-5
2.1 The Money Market
• Bankers’ Acceptances
• Originate when a purchaser authorizes a bank to
pay a seller for goods at later date (time draft)
• Example: 90-day T-bill, P = $9,875
r BD =
$10,000
- $9,875
$10,000
360 = 5% × 90
2-14
2.1 The Money Market
Brothers
• Reserve Primary Fund ―broke the buck‖ • Run on money market funds ensued • U.S. Treasury temporarily offered to insure all
money funds
2-12
2.1 The Money Market
stock on margin
• Loan may be ―called in‖ by broker
2-9
Figure 2.1 Treasury Bills (T-Bills)
Source: The Wall Street Journal Online, July 7, 2011.
2-10
Figure 2.2 Spreads on CDs and Treasury Bills
• New Innovation: Asset-backed commercial paper
2-5
2.1 The Money Market
• Bankers’ Acceptances
• Originate when a purchaser authorizes a bank to
pay a seller for goods at later date (time draft)
投资学英文课件-(10)【可修改文字】
(ri - rf) = i + i (rm - rf) + ei
Risk Premium Or Excess Return
Market Risk Premium or Index Risk Premium
i = the stock’s expected return ifs zero (rm - rf) = 0
GE's contribution to risk premium wGE E(rGE ) rf E(rGE ) rf
GE's contribution to variance
wGECov(rGE , rM ) Cov(rGE , rM )
9-10
Using GE Text Example Continued
9-15
Liquidity and the CAPM
• Liquidity • Illiquidity Premium • Research supports a premium for illiquidity.
– Amihud and Mendelson – Acharya and Pedersen
• CAPM holds for the overall portfolio because:
E(rP ) wk E(rk ) and
k
P wk k
k
• This also holds for the market portfolio:
E(rM ) rf M E(rM ) rf
9-12
• Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value
《投资学》经典课件(英文) (13)
• Economic Indicators 经济指标 • Leading economic indicator 先行经济指标
• 经济数据日历：/
Industry Analysis
• Defining an Industry • NAICS codes 北美工业分类码
• olitic incidence
The Domestic Macro economy
• GDP • Unemployment rate • Inflation • Interest rate • Budget deficit • PMI
Demand and Supply Shocks
• Demand shock • Supply shock
Global economy
• Globalization: integration, infrostructure
• Why globalization analysis? • Much closer tie • Financial crisis • Crude oil • Exchange rate • Structure adjustment • The current situation?
Government Policy
• Fiscal policy • Monetary policy • Supply-Side Policies 供给方政策
Business Cycles
• Business Cycles • Peak • Trough 谷底 • Cyclical industries 周期性行业 • 钢铁、煤炭等等 • Defensive industries 防御性行业 • 食品、药品 • portfolio
《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)
投资学全英文ppt13
Copyright ©2014 Pearson Education, Inc. All rights reserved.
12-9
Closed-End Investment Companies
• Sell shares in the fund only at the initial offering
– “Diamonds” (DIA) track DJIA – “Spiders” (SPY) track S&P 500 – “Qubes (QQQ) track NASDAQ 100
Copyright ©2014 Pearson Education, Inc. All rights reserved.
12-4
Attractions of Mutual Funds
• Portfolio Diversification
– Owning numerous securities reduces risk
• Professional management • Ability to invest small amounts
12-11
Load and No-Load Funds
• Load Fund: a mutual fund that charges a commission when shares are bought
– Typically sold through a broker
• No-load Fund: a mutual fund that does not charge a commission when shares are bought
• More mutual funds in existence today than stocks listed on NYSE and AMEX combined
《投资学》经典课件(英文) (4)
• Closed-end funds （封闭式基金）do not redeem or issue shares. Investors in closed-end funds who wish to cash out must sell their shares to other investors.
• Necessary condition: Developed and transparent security market: 100 securities in the Amsterdam exchange
• securitization • Contract of survival(生存合约），life annuity(终身
• 以证券投资基金为代表的机构投资者随市场环境和结构的 变化对股价波动会产生不同的影响, 有时增加股价波动, 有时减少股价波动, 不能得出“机构投资者一定能够稳定 股市”的结论。（何佳等，2007）
• 基金偏好收益波动大的股票, 而另一方面随着基金提高其 持股比例, 其对应的股票收益的波动率减小, 从而起到了 一定的稳定股市的作用。（胡大春、金赛男，2007）
• Further discussion • Performance of Chinese mutual fund
• 以收益率指标为评价标准, 不超过一半的投资基金的业绩能够好 于市场基准组合;但经过风险调整后, 即使剔除新股配售对基金收 益的影响, 基金的业绩也能够优于市场基准组合（沈维涛，黄兴 孪，2001）
• Redeemable trust certificates（可赎回的信托凭证）
• Little active management • Managed Investment Companies（投资管理公司
• Necessary condition: Developed and transparent security market: 100 securities in the Amsterdam exchange
• securitization • Contract of survival(生存合约），life annuity(终身
• 以证券投资基金为代表的机构投资者随市场环境和结构的 变化对股价波动会产生不同的影响, 有时增加股价波动, 有时减少股价波动, 不能得出“机构投资者一定能够稳定 股市”的结论。（何佳等，2007）
• 基金偏好收益波动大的股票, 而另一方面随着基金提高其 持股比例, 其对应的股票收益的波动率减小, 从而起到了 一定的稳定股市的作用。（胡大春、金赛男，2007）
• Further discussion • Performance of Chinese mutual fund
• 以收益率指标为评价标准, 不超过一半的投资基金的业绩能够好 于市场基准组合;但经过风险调整后, 即使剔除新股配售对基金收 益的影响, 基金的业绩也能够优于市场基准组合（沈维涛，黄兴 孪，2001）
• Redeemable trust certificates（可赎回的信托凭证）
• Little active management • Managed Investment Companies（投资管理公司
投资学英文课件chap013
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Overview of Investigation
• A multifactor capital
market usually is
postulated.
To overcome • A broad market index (e.g.
The Index Model and the Single-Factor APT
• Expected Return-Beta Relationship
E r i r f iE r M r f
• Estimating the SCL
r i tr f t i b ir M r ftt e it
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Fama-French Three Factor Model
• Size and book-to-market ratios explain returns on securities.
• Smaller firms experience higher returns.
• Solution: Replace individual assets with a set of portfolios with small nonsystematic components and widely spaced betas.
– Fama and MacBeth
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Tests of the Multifactor Model
Overview of Investigation
• A multifactor capital
market usually is
postulated.
To overcome • A broad market index (e.g.
The Index Model and the Single-Factor APT
• Expected Return-Beta Relationship
E r i r f iE r M r f
• Estimating the SCL
r i tr f t i b ir M r ftt e it
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Fama-French Three Factor Model
• Size and book-to-market ratios explain returns on securities.
• Smaller firms experience higher returns.
• Solution: Replace individual assets with a set of portfolios with small nonsystematic components and widely spaced betas.
– Fama and MacBeth
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Tests of the Multifactor Model
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• 迈克尔·波特 (Michael E.Porter)
未来转型（2015下半年）
• 经济投入要素变化 • K, L
• 劳动力更贵 • 资本更便宜 • 房市见顶 • 去杠杆化 • 金融化 • 新常态=新需求+新供给+新宏调 • 中国的逻辑：重构一个开放转型追赶的大国模型 • 机遇产业：医疗、教育、文化、旅游（境外游）、国
• Industry Structure and Performance • Threat of Entry 进入者威胁 • Rivalry between Existing Competitors 现有竞争者威胁 • Pressure from Substitute Products 替代品威胁 • Bargaining Power of Buyers 买方议价能力 • Bargaining Power of Suppliers 卖方议价能力
Global economy
• Globalization: integration, infrostructure
• Why globalization analysis? • Much closer tie • Financial crisis • Crude oil • Exchange rate • Structure adjustment • The current situation?
企改革、金融、券商
• Economic Indicators 经济指标 • Leading economic indicator 先行经济指标
• 经济数据日历：/
Industry Analysis
• Defining an Industry • NAICS codes 北美工业分类码
• Politic incidence
The Domestic Macro economy
• GDP • Unemployment rate • Inflation • Interest rate • Budget deficit y Shocks
• Demand shock • Supply shock
Government Policy
• Fiscal policy • Monetary policy • Supply-Side Policies 供给方政策
Business Cycles
• Business Cycles • Peak • Trough 谷底 • Cyclical industries 周期性行业 • 钢铁、煤炭等等 • Defensive industries 防御性行业 • 食品、药品 • portfolio
• Industry Life Cycles
• Start-Up Stage 创业阶段 • Consolidation Stage 成长阶段 • Maturity Stage 成熟阶段 • Relative Decline 衰退阶段
• Peter Lynch • Slow Growers 缓慢成长型 • Stalwarts 强壮型 • Fast Growers 快速增长型 • Cyclicals 周期型 • Turnarounds 危机转变型 • Asset Plays 资产主导型
Introduction
• Macroeconomic analysis • Industrial analysis • What will happen when a country’s economy is
transforming?(中国） • What factor drive the macroeconomic transformation • The Chinese new normal 新常态？ • The potential industries
• Sensitivity to the Business Cycle 行业经济周期敏感性
• sensitivity of sales销售额敏感性
• operating leverage 经营杠杆 • degree of operating leverage , or DOL经营杠杆系数
• Financial leverage 财务杠杆 • Sector Rotation 部门转换