《投资学》经典课件(英文) (10)
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《投资学》经典课件(英文) (5)
rf
(T )
100 P(T )
1
• Effective annual rate（有效年利率）
1 EAR [1 rf (T)]1/T
• Annual Percentage Rates APR n rf (T )
1 EAR [1 rf (T)]n [1 rf (T)]1/T [1T APR]1/T
The money supply of China
• Interest and inflation rates, 1926–2009
Risk and Risk Premiums（风险溢价）ห้องสมุดไป่ตู้
• Holding-Period Returns（持有期收益率）
• Expected Return and Standard Deviation
• skew
• 中航资本日收益率偏度=-10.1229 • Kurtosis（峰度）
• The Equilibrium Nominal Rate of Interest • Irving Fisher (1930): the nominal rate ought to
increase one-for-one with increases in the expected inflation rate.
• Expected Returns and the Arithmetic Average
E(r) n p(s)r(s) 1 n r(s)
s 1
n s1
p(s) 1 n
• The Geometric (Time-Weighted) Average Return(
几何（时间加权）平均收益）
• g ： the time-weighted (as opposed to dollarweighted) average return,
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.
INVESTMENTS | BODIE, KANE, MAR2C0U-6S
• 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.
INVESTMENTS | BODIE, KANE, MAR2C0U-8S
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.
INVESTMENTS | BODIE, KANE, MAR2C0U-6S
• 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.
INVESTMENTS | BODIE, KANE, MAR2C0U-8S
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
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：
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
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
Chap020 Options Markets Introduction 《投资学》博迪 第九版 英文教学课件
INVESTMENTS | BODIE, KANE, MARCUS
20-18
Payoffs and Profits at Expiration – Puts
Payoffs to Put Writer 0 if ST > X -(X - ST) if ST < X Profits to Put Writer Payoff + Premium
INVESTMENTS | BODIE, KANE, MARCUS
20-14
Payoffs and Profits at Expiration Calls
Payoff to Call Writer - (ST - X) if ST &Call Writer Payoff + Premium
INVESTMENTS | BODIE, KANE, MARCUS
20-12
Different Types of Options
• • • • • Stock Options Index Options Futures Options Foreign Currency Options Interest Rate Options
INVESTMENTS | BODIE, KANE, MARCUS
20-21
Option versus Stock Investments
• Strategy A: Invest entirely in stock. Buy 100 shares, each selling for $100. • Strategy B: Invest entirely in at-the-money call options. Buy 1,000 calls, each selling for $10. (This would require 10 contracts, each for 100 shares.) • Strategy C: Purchase 100 call options for $1,000. Invest your remaining $9,000 in 6-month T-bills, to earn 3% interest. The bills will be worth $9,270 at expiration.
20-18
Payoffs and Profits at Expiration – Puts
Payoffs to Put Writer 0 if ST > X -(X - ST) if ST < X Profits to Put Writer Payoff + Premium
INVESTMENTS | BODIE, KANE, MARCUS
20-14
Payoffs and Profits at Expiration Calls
Payoff to Call Writer - (ST - X) if ST &Call Writer Payoff + Premium
INVESTMENTS | BODIE, KANE, MARCUS
20-12
Different Types of Options
• • • • • Stock Options Index Options Futures Options Foreign Currency Options Interest Rate Options
INVESTMENTS | BODIE, KANE, MARCUS
20-21
Option versus Stock Investments
• Strategy A: Invest entirely in stock. Buy 100 shares, each selling for $100. • Strategy B: Invest entirely in at-the-money call options. Buy 1,000 calls, each selling for $10. (This would require 10 contracts, each for 100 shares.) • Strategy C: Purchase 100 call options for $1,000. Invest your remaining $9,000 in 6-month T-bills, to earn 3% interest. The bills will be worth $9,270 at expiration.
投资学CAPM模型PPT课件
CH09
资本资产定价模型
1
资本资产定价模型（Capital Asset Pricing Model，CAPM）是由美国Stanford大学 教授夏普等人在马克维茨的证券投资组合 理论基础上提出的一种证券投资理论。
CAPM是现代金融学的奠基石，它解决了 所有的人按照组合理论投资下，资产的收 益与风险的问题。
2 ：单个证券风险与市场组合风险的关系；
M
(3)i
E(ri ) rf E(rM ) rf
：单个证券超额收益率与市场超额
收益率的敏感程度；
0：证券收益与市场组合收益正相关；
0：证券收益与市场组合收益负相关；
1：进取型证券，波动率大于市场波动；
1：保守型证券，波动率小于市场波动。
E(rM ) rf
A
2 M
14
9.1.4 单个证券的期望收益
n
市场组合M的收益率：rM wk rk k 1
则通用电气(GE)与市场组合的协方差为：
n
n
Cov(rGE , rM ) Cov(rGE , wk rk ) wkCov(rGE , rk )
k 1
k 1
• 资本利得税的存在。可能阻碍投资者买卖证券实现 利润的行动。因为账面上的资本增值不需要支付税 金，一旦抛售证券使其转化为资本利得，则应该付 税；
• 不完全信息会影响证券的估价。如果投资者的信息 不够完全，他可能无法观察到错误估价的证券，从 而也就不可能通过交易来消除错误的估价。
E(rM ) rf
A
2 M
贝它的定义：i
Cov(ri , rM
2 M
资本资产定价模型
1
资本资产定价模型（Capital Asset Pricing Model，CAPM）是由美国Stanford大学 教授夏普等人在马克维茨的证券投资组合 理论基础上提出的一种证券投资理论。
CAPM是现代金融学的奠基石，它解决了 所有的人按照组合理论投资下，资产的收 益与风险的问题。
2 ：单个证券风险与市场组合风险的关系；
M
(3)i
E(ri ) rf E(rM ) rf
：单个证券超额收益率与市场超额
收益率的敏感程度；
0：证券收益与市场组合收益正相关；
0：证券收益与市场组合收益负相关；
1：进取型证券，波动率大于市场波动；
1：保守型证券，波动率小于市场波动。
E(rM ) rf
A
2 M
14
9.1.4 单个证券的期望收益
n
市场组合M的收益率：rM wk rk k 1
则通用电气(GE)与市场组合的协方差为：
n
n
Cov(rGE , rM ) Cov(rGE , wk rk ) wkCov(rGE , rk )
k 1
k 1
• 资本利得税的存在。可能阻碍投资者买卖证券实现 利润的行动。因为账面上的资本增值不需要支付税 金，一旦抛售证券使其转化为资本利得，则应该付 税；
• 不完全信息会影响证券的估价。如果投资者的信息 不够完全，他可能无法观察到错误估价的证券，从 而也就不可能通过交易来消除错误的估价。
E(rM ) rf
A
2 M
贝它的定义：i
Cov(ri , rM
2 M
投资学原理英文课件 (11)
• Seller cannot walk away from a bad option
14-9
Options: Puts and Calls (cont’d)
• Put and call options trade in the open market much like any other security and may be bought and sold through securities brokers and dd Calls
• Puts and calls may be traded on:
– Common stocks – Stock indexes – Exchange traded funds – Foreign currencies – Debt instruments – Commodities and financial futures
14-10
Advantages of Puts and Calls
• Allows use of leverage
– Leverage: the ability to obtain a given equity position at a reduced capital investment, thereby magnifying total return
• Options allow buyers to use leverage; investors can buy a lot of price action with limited capital
• Options allows investors to nearly always enjoy limited exposure to risk
14-9
Options: Puts and Calls (cont’d)
• Put and call options trade in the open market much like any other security and may be bought and sold through securities brokers and dd Calls
• Puts and calls may be traded on:
– Common stocks – Stock indexes – Exchange traded funds – Foreign currencies – Debt instruments – Commodities and financial futures
14-10
Advantages of Puts and Calls
• Allows use of leverage
– Leverage: the ability to obtain a given equity position at a reduced capital investment, thereby magnifying total return
• Options allow buyers to use leverage; investors can buy a lot of price action with limited capital
• Options allows investors to nearly always enjoy limited exposure to risk
《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》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
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• 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 One-Factor Security Market Line
• Arbitrage and the Security Market Line（套利与证券市场线） • Individual Assets and the APT
A Multifactor APT
Introduction
• Arbitrage, APT套利定价理论 • The exploitation of security mispricing in such a way
that risk-free profit can be earned
A Single-factor Model
• two-factor model：
• factor portfolio纯因子组合 • Abitrage opportunity and risk source
Where Should We Look for Factors
• Chen, Roll, and Ross, “Economic Forces and the Stock Market,” Journal of Business 59 (1986), pp. 383–403.
The Arbitragห้องสมุดไป่ตู้ Pricing Theory
• key propositions • Security returns can be described by a factor model • there are sufficient securities to diversify away
• 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 One-Factor Security Market Line
• Arbitrage and the Security Market Line（套利与证券市场线） • Individual Assets and the APT
A Multifactor APT
Introduction
• Arbitrage, APT套利定价理论 • The exploitation of security mispricing in such a way
that risk-free profit can be earned
A Single-factor Model
• two-factor model：
• factor portfolio纯因子组合 • Abitrage opportunity and risk source
Where Should We Look for Factors
• Chen, Roll, and Ross, “Economic Forces and the Stock Market,” Journal of Business 59 (1986), pp. 383–403.
The Arbitragห้องสมุดไป่ตู้ Pricing Theory
• key propositions • Security returns can be described by a factor model • there are sufficient securities to diversify away