投资学英文课件chap011.ppt

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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。

投资学原理英文课件 (1)

industry (e.g., interest rates, foreign trade)? • What are the important financial and operating
considerations (e.g., access to capital)?
7-18
Growth Cycle Stages and Investments
• Stock prices are heavily influenced by the state of the economy and by economic events on both a global and domestic basis.
• The behavior of the economy is captured in the business cycle, which reflects changes in total economic activity over time
– Intrinsic value depends upon several factors:
• Estimates of future cash flows • Discount rate • Amount of risk
7-5
“Top Down” Approach to Traditional Security Analysis
7-4
What is Intrinsic Value?
• Intrinsic Value
– The underlying or inherent value of a stock, as determined through fundamental analysis
– A prudent investor will only buy a stock if its market price does not exceed what the investor thinks the stock is worth.

投资学博迪 Chap001

1.2 金融资产
• 实物资产（Real assets）：创造收入的资产，为经济创造利润，且一旦拥有就可以直接提供服务。代表一个经济的生产能力，决定一个社会的财富。 • 金融资产（Financial assets）：实物资产的要求权，定义实物资产在投资者之间的配置。
– 金融资产的价值与其物质形态没有任何关系：债券可能并不比印制债券的纸张更值钱。 – 整个社会财富的总量与金融资产数量无关，金融资产不是社会财富的代表。
• 点金术？ • 超能英雄 • Bob
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投资具有复杂性
• 投资是一门科学，也是一种艺术，是一件知难行易的事. • 如果只碰运气，却是难以成功的。 • 投资必须要有策略和方法，加上果断的决策与好运，才能成功。
�� 更好地认识和理解市场一种理性的思维方式只有理解了市场�� 才可能利用市场
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1.1 投资
• 西方经济学中的投资
– �� 狭义的投资，金融学意义上的投资。具体投资对象为政府公债、公司股票、公司债券以及期权、期货等。 – �� 广义的投资，以获利为目的的资本使用，其形式为收益或增值。凡是购买证券、运用资本添加机器设备、建筑物、原材料等活动均为投资。
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投资学研究的对象
• 在微观层面上
– �� 投资学研究如何把个人、机构的有限财富或者资源分配到诸如股票、国库券、不动产等各种（金融）资产上，以获得合理的现金流量和风险/收益特征。

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.

投资学英文课件chap011.ppt

CHAPTER 11
The Efficient Market Hypothesis
McGraw-Hill/Irwin
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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
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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

投资学英文课件chap013.ppt

• Jagannathan and Wang study shows two important deficiencies in tests of the single-index model:
Single Factor Test Results
Return %
CAPM
Estimated SML
Beta
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Roll’s Criticism
• The only testable hypothesis is whether the market portfolio is mean-variance efficient.
2. Expected rates of return are not affected by nonsystematic risk.
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Human Capital and Cyclical Variations in Asset Betas
• Benchmark error due to proxy for M
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Measurement Error in Beta
• Problem: If beta is measured with error, then the slope coefficient of the regression equation will be biased downward and the intercept biased upward.
CAPM testing one of the factors.

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。
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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.
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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
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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。
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• 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”
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1-18
图 1.4 抵押转递证券的现金流
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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.

INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap012 Behavioral Finance and Technical Analysis29页P

Figure 12.1 Prospect Theory
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Limits to Arbitrage
• Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.
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.
• Fundamental Risk:
– “Markets can remain irrational longer than you can remain solvent.”
– Intrinsic value and market value may take too long to converge.
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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.

《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(Investment 8th)讲义1

Investment InstitutionsWhat are Investment institutions? Contractual savings institutions -Insurance companies -Pension fundsInvestment intermediaries -Mutual funds / unit trusts -Investment trusts -Hedge funds-Private equity company❝Investment institution is a financial intermediary (company) engaged in investing in, and managing, a portfolio of securities on behalf of their shareholders. ❝Indirect investment in capital/money marketinstruments via an investment institution is the most popular way for individuals to invest surplus funds ❝In the UK, 50 –60% of equities and bonds are held and managed by investment institutions ❝Benefits: diversified portfolio, professional managements❝All investment companies charge a fee (annual expense ratio) to shareholders to pay for theoperating costs and the management fee.❝Depositary institutions◦Intermediaries with a significant proportion of their funds derived from customer deposits, e.g. Building societies. Short-term liabilities.❝Contractual savings institutions◦Typically acquire funds at periodic intervals on a contractual basis❝Investment intermediaries◦Collective investment funds, Finance companies,Investment banks, Securities firms❝Two major groups: Insurance companies and Pension funds ❝Long-term liabilities❝Liquidity of their assets is less important than for depositary institutions –they can predict with greater accuracy their future payments due to customers❝Hence, they can invest a greater proportion of funds in long-term securities (bonds,equities)❝Primary objective is to protect policyholders (firms and individuals) from adverse events ❝Receive premiums from policyholders and promise compensation if specified events occur❝Two main segments: general insurance and life insurance❝Protection against personal injury and liabilities such as accidents, theft and fire❝Usually over a fixed time period e.g. 1 year ❝Claims usually made soon after the event so liabilities are mostly short term❝Hence they hold a greater proportion of liquid assets than life insurers. Holding financial assets might be viewed as a byproduct of the business.❝Some authors (e.g. B&T) do not view this category as an investment intermediary❝Protects the policyholder in the event of death, illness or retirement; hence long-term liabilities❝Term assurance, Whole-of-life policy, Endowment policy, Annuities❝Term assurance: provides insurance cover, for specifiedperiod, against the risk of death. If the insured survivesthe specified period then no payment is made.❝Whole-of-life policy pays a capital sum on the death ofthe person assured, whenever that event occurs.❝Endowment policy pays a capital sum at the end ofsome specified term or earlier if the assured dies withinthe term.-The premium for Whole-of-life and endowment policieswill be higher than for term assurance.❝Annuities: A policyholder pay an initial lump sumwhich used by the insurance company to providean agreed income until death.-The insurance company immediately creates a fund❝Risk: certain sums are guaranteed to be paid in thefuture and these sums exceed the value of thepremiums over the life of the contract.❝Match the term structure of its assets and liabilities❝Invest in long-term assets e.g. bonds, equities andmortgages.❝Provide retirement income (in the form ofannuities) to employees covered by a pension plan❝Personal scheme and public (state) scheme❝Funded scheme and unfunded (pay-as-you-go)scheme❝Funded scheme: Receive contributions fromemployers and/or employees and invest thesefunds in assets, including equities and bonds.Returns from the investment are used to paybenefits to members of the scheme.❝Two main types of funded scheme: defined benefit(DB) and defined contribution (DC)❝DB: the sponsor agrees to pay members ofthe scheme a pension equal to apredetermined percentage of their finalsalary (average salary), subject to themember‟s years of service❝DC: the return on the investmentsdetermines pension benefits❝Occupational schemes where the sponsor isthe employer have historically been DB,while private pensions are DC❝Risk: benefits to be paid are not known with certainty;inflation complications as it increases the benefits to bepaid by fund.❝Benefit from tax deferral: in the UK, contributions arenot taxable, pensioner pays income tax❝Pension fund trustees will determine the overallinvestment strategy❝They will often decide what proportion of assets to beheld in different asset classes❝Asset mix will be influenced by the maturity of the fund❝Long-term liabilities hence long-term assets❝Index-linked bonds, Equities❝Investment companies are classified, depending on whether their own capitalisation (number of shares outstanding) is constantly changing or fixed:-Open-end : capitalisation constantly changing; new investors buy additional shares from the company and some existing shareholders sell their shares back to the company.-Closed-end : fixed capitalization; share traded onexchange.open-ended❝Mutual funds / unit trusts❝Open-ended investment companies OEICsClosed ended❝Investment trusts ❝Hedge funds❝Private equity company❝Pool resources from many individuals andcompanies and invest these in a range of assets ❝Provide opportunities for small investors to investin a diversified fund at low cost❝Take advantage of lower transaction costs in trading larger blocks of securities❝Trusts in the legal sense; controlled and monitored by trustees; who act as guardian of the assets on behalf of the beneficial owners ❝Investment decisions❝When an investor buys a stake in a unit trust, he/she purchases a new unit in the fund (unless matched with a seller by the fund manager)❝Open-ended fund where the size of the fund can varyaccording to the number of contributors to the fund ❝Price of each unit reflects current value of the fund divided by the number of outstanding units❝All sales and purchases of units are made with the trust manager.❝Do not trade on stock exchange.❝Dual pricing structure: offer price (investors buy units)and bid price (investors sell units back to the trust)❝Annual management fee (usually 0.5 -1% of the funds under management), plus the bid-offer spread on buying and selling units❝Limited in the amount that can be invested in any single security❝Total return for a mutual fund includes reinvestment dividends and capital gain.❝A cumulative total return measures the actual performance over 3, 5 or 10 years.❝In Jan 2009, 8,000 domestic mutual funds withassets of $9.4 trillion in the US.❝Short-term funds:-Money market mutual funds ❝Long-term funds: -Capital market funds;-Equity (stock) funds, Bond funds or Hybrid(balanced) funds (hold combination of stocks and bonds)-Index funds: mutual funds holding an managed portfolio of bonds or stocks designed to match particular market index, such as S&P 500. Has low expenses ratio.❝OEICs operate similarly to a unit trust in the sense that they are open-ended❝But an OEIC has a company structure and can be listed on the stock exchange ❝Shares will reflect the value of the fund ❝Shares will have a single price (rather than the separate buying and selling prices indicated for unit trusts)❝Companies whose business is the investment of funds in financial assets.❝A closed-end fund, only able to raise more funds through rights issue shares or borrowing (bonds) ❝Not a trust in the legal sense; limited liability company with listed shares (traded in stock market).❝Investors can purchase ordinary shares of the ITC ❝A portfolio, managed by ITC‟s board of directors who determine the investment strategy❝Not faced with outflow of funds, so investment strategy does not depend on maintaining cash flows to meet future liabilities❝The existence of borrowed funds in the capitalstructure implies a …gearing effect‟ on the value of the ITC shares❝Net asset value (NAV) per share is the value of assetsless debt divided by number of issued shares-E.g. ITC capital structure: £8m in equities (4m shares) + £2m debt. Thus the NAV per share = £2-If the value of ITC asset portfolio were to doubled to £20m, then the NAV per would increase to £4.5 (£18m/4m shares)-A 100% in the value of assets held has led to an increase in the NAV per share of 125%❝The gearing effect is of benefit to shareholders in a rising stock market.❝The hedge funds are largely unregulated❝Reputation is as risky funds, shrouded by mystery and only accessible to the wealthy.❝According to IFSL, the number of hedge funds increased from 4,000 with $324bn of assets in 1999 to peak of 11,000 with $2,150bn in 2007, and then declined to 10,000 hedge funds and $1,500bn by the start of 2009. ❝There is no unique definition of hedge fund since it is an industry term rather than a legal term❝“Includes a multitude of skill -based investment strategies with a broad range of risk and returnobjectives. A common element is the use of investment and risk management skills to seek positive returns regardless of market direction.”❝A hedge fund is an actively managed investment fund ❝Seeks an attractive …absolute return‟, a return whether the market go up or down.❝Do not follow any benchmark, but rather just try to generate high returns (larger than ordinary available return) while managing risks, by exploiting various market opportunities❝Typical strategies include -Short selling,-Borrowing, Leverage -Use of derivatives❝Fees include a fixed fee and management fee e.g. 1-2% of assets plus 20-25% of upside performance.Hedge fundsMutual funds and pension fundsInvestment trusts FreedomLimitation on borrowing, short selling, and the use of derivatives May borrow Limitations on short selling, and the use of derivatives❝Typical investors◦Wealthy individuals ◦Pension funds◦Other hedge funds, creating …funds of hedge funds‟ –diversity in strategy and risk❝Returns and risk can vary a great deal among the different hedge fund strategies❝Market neutral (or relative value arbitrage) funds ◦Attempt to produce returns that have no or low correlation with e.g. equity markets◦Highly quantitative portfolio construction◦Concentrate on the relative value of individual shares, bonds, currencies ...◦Commonly apply arbitrage strategies-e.g. exploit mispricing between an underlying asset and a derivative instrument-Concentrate on the difference in performance of two given securities in homogenous universe. E.g. belief that BP will do better than X in oil firm; go long on BP and short on X.-Take position with convertible bonds❝Long/short funds-Generally invest in equity and bonds, taking directional bets on individual security or sector-Analyse individual companies and individual shares-Micro investors (look at individual/specific stocks)-Some may specialize in geographical sectors -Others may specialize in either small or large companies -E.g. 130/30-Timing is crucial-Stock-picking skill (short selling overpriced stocks and buying underpriced stocks)-Not automatically market neutral e.g. could havestrong positive correlation with equityGlobal (macro) asset funds-Look at stocks, bonds, currencies, and commodities from a global point of view -Macro-investors (look at broad themes) -Have positive exposure to the market-A fund might go long in sectors they believe will provide good returns, and short on countries they believe will have negative returns❝Event driven funds-Looks to exploit special situations -Take over bids-Merger, Corporate restructuring❝A group of individuals set up a limited liabilitypartnership, might have a limited life of around 10 years.❝Make good returns by buying public companies or neglected subsidiaries at good price and turning them into more attractive business❝They will gear up with debt that a public company would not want to risk.❝Normally be turned into non-quoted company❝They get involved in the business, bringing their own expertise and give managers big incentives to improve the business❝They seek cut costs, squeeze suppliers and sell unwanted assets, sell and lease back property ❝Large amount of leverage involved❝They take their profit in a variety of ways:-Refloat the company-Sell the company to someone else in the same business -Refinancing❝The private equity market was boosted in the early 2000s.❝IFSL shows that the global private equity investment amounted to $176.6bn in 2000, this increased to $317.6bn in 2007, then hit by the credit crisis andfell to $189bn.❝In the UK, well-known firms that are or have been owned by private equity groups: Boots, Iceland, Debenhams, New Look, Kwik-Fit❝E.g. In Dec. 2003, a group of private equity firms-Texas Pacific, CVC and Merrill Lynch Global Private Equity-bough Debenhams for £1.7bn, of which £600m was their own capital.❝In two refinancing in 2004 and 2005, they reconstructed the balance sheet with new borrowings and paid themselves back £1.3bn(twice of their original capital) in about 18 months. ❝They refloated Debenhams in May 2006.Explain the different types of investment institution. Identify and analyse the factors that will influence the investment strategy applied by each type of institution.。

投资学英文课件chap012.ppt

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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
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Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
12-8
Figure 12.1 Prospect Theory
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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.

投资学英文课件chap011精品文档

Active or Passive Management
• Active Management
– An expensive strategy – Suitable only for very large portfolios
• Passive Management: No attempt to outsmart the market
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Are Markets Efficient?
• Magnitude Issue – Only managers of large portfolios can earn enough trading profits to make the exploitation of minor mispricing worth the effort.
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Predictors of Broad Market Returns
• Fama and French – Aggregate returns are higher with higher dividend ratios
• Campbell and Shiller – Earnings yield can predict market returns
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Efficient Market Hypothesis (EMH)
• New information is unpredictable; if it could be predicted, then the prediction would be part of today’s information.

投资学英文课件chap011.ppt

投资学PPT第章资本资产定价模型_图文

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