投资学英文完整教学课件
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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》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.
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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
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.
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.
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
投资学全英文ppt4
=
Real rate of return
+
Expected inflation premium
+
Risk premium for investment j
Required return on investment j
=
Risk-free rate
+
Risk premium for investment j
• Satisfactory Investment: one for which the present value of benefits equals or exceeds the present value of its costs
Copyright ©2014 Pearson Education, Inc. All rights reserved.
• Components of Return
– Income: cash or near-cash that is received as a result of owning an investment
– Capital gains (or losses): the difference between the proceeds from the sale of an investment and its original purchase price
-
Beginning investment value
Copyright ©2014 Pearson Education, Inc. All rights reserved.
Copyright ©2014 Pearson Education, Inc. All rights reserved.
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》经典课件(英文) (14)
• FCFE free cash（ flow to equityholders）股东自由现金流
• growth rate of the dividends
• present value of growth opportunities PVGO 增 长机会价值
• 股价=零增长的股价+增长机会价值
Price–Earnings Ratio 市盈率
• The Price–Earnings Ratio and Growth Opportunities • The Price–Earnings Ratio 市盈率
• Intrinsic Value 内在价值 • the present value of all cash payments to the
investor in the stock, • Expected HPR 期望收益率
• market capitalization rate 市场资本化率
Dividend Discount Models
• Price–earnings ratios
• Earnings growth for two companies
Free Cash Flow Valuation Approaches
• Free Cash Flow Valuation Approaches 自由现金流估值方 法
• FCFF（ free cash flow for the firm ）公司自由现金流
Introduction
• Assess the value of a firm • Intrinsic Value • Model • analysis
Valuation by Comparables
• growth rate of the dividends
• present value of growth opportunities PVGO 增 长机会价值
• 股价=零增长的股价+增长机会价值
Price–Earnings Ratio 市盈率
• The Price–Earnings Ratio and Growth Opportunities • The Price–Earnings Ratio 市盈率
• Intrinsic Value 内在价值 • the present value of all cash payments to the
investor in the stock, • Expected HPR 期望收益率
• market capitalization rate 市场资本化率
Dividend Discount Models
• Price–earnings ratios
• Earnings growth for two companies
Free Cash Flow Valuation Approaches
• Free Cash Flow Valuation Approaches 自由现金流估值方 法
• FCFF（ free cash flow for the firm ）公司自由现金流
Introduction
• Assess the value of a firm • Intrinsic Value • Model • analysis
Valuation by Comparables
投资学全英文ppt16
• Allows producers to hedge prices
• Commodities can provide an inflation hedge
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15-7
Disadvantages of Using Futures Contracts • High risk of losing more than amount originally invested; no limit on exposure to loss • Involves considerable amount of speculation • Requires specialized investor skills and patience
Copyright ©2014 Pearson Education, Inc. All rights reserved. 15-3
The Futures Market
• Cash Market: a market where a product or commodity changes hands in exchange for a cash price paid when the transaction is completed
Copyright ©2014 Pearson Education, Inc. All rights reserved. 15-6
Advantages of Using Futures Contracts • Potential for very high returns
• Margin buying allows use of leverage
投资学英文课件chap012
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. Regret Avoidance: • Investors blame themselves more when an unconventional or risky bet turns out badly.
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12-7
Behavioral Biases
12-20
Trends and Corrections: Moving
Averages
• The moving average is the average level of prices over a given interval of time.
• Bullish signal: Market price breaks through the moving average line from below. Time to buy
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.
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》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
投资学全英文ppt7
Copyright ©2014 Pearson Education, Inc. All rights reserved.
6-11
Figure 6.2 The Current Income of Stocks and Bonds
(Source: Data from Federal Reserve Board of Governors and /s-p-500-dividend-yield/table.)
Copyright ©2014 Pearson Education, Inc. All rights reserved.
6-14
Basic Characteristics of Common Stock (cont’d) • Stock Split: when a company increases the number of shares outstanding by exchanging a specified number of new shares of stock for each outstanding share
Chapter 6
Common Stocks
Common Stocks
• Learning Goals
1. Explain the investment appeal of common stocks and why individuals like to invest in them.
2. Describe stock returns from a historical perspective and understand how current returns measure up to historical standards of performance. 3. Discuss the basic features of common stocks, including issue characteristics, stock quotations, and transaction costs.
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• Real Assets – Determine the productive capacity and net income of the economy – Examples: Land, buildings, machines, knowledge used to produce goods and services
• Financial Assets – Claims on real assets
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1-4
Financial Assets
• Three types:
1. Fixed income or debt 2. Common stock or equity 3. Derivative securities
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1-12
Markets are Competitive (Ctd.)
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1-10
The Investment Process
• Asset allocation – Choice among broad asset classes
• Security selection – Choice of which securities to hold within asset class – Security analysis to value securities and determine investment attractiveness
投资学英文完整教学课件
McGraw-Hill/Irwin
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Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
Chapter 1
The Investment Environment
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1-11
Markets are Competitive
• Risk-Retuຫໍສະໝຸດ n Trade-Off• Efficient Markets – Active Management • Finding mispriced securities • Timing the market
• Capital market debt: long term bonds, can be safe or risky
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1-6
Common Stock and Derivatives
• Common Stock is equity or ownership in a corporation.
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1-5
Fixed Income
• Payments fixed or determined by a formula
• Money market debt: short term, highly marketable, usually low credit risk
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1-9
Financial Markets and the Economy (Ctd.)
• Corporate Governance and Corporate Ethics – Accounting Scandals • Examples – Enron, Rite Aid, HealthSouth – Auditors – watchdogs of the firms – Analyst Scandals • Arthur Andersen – Sarbanes-Oxley Act • Tighten the rules of corporate governance
McGraw-Hill/Irwin
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1-3
Real Assets Versus Financial Assets
– Used to transfer risk
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1-7
Financial Markets and the Economy
• Information Role: Capital flows to companies with best prospects
• Allocation of Risk: Investors can select securities consistent with their tastes for risk
• Separation of Ownership and Management: With stability comes agency problems
– Payments to stockholders are not fixed, but depend on the success of the firm
• Derivatives
– Value derives from prices of other securities, such as stocks and bonds
• Consumption Timing: Use securities to store wealth and transfer consumption to the future
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1-8
Financial Markets and the Economy (Ctd.)
• Financial Assets – Claims on real assets
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1-4
Financial Assets
• Three types:
1. Fixed income or debt 2. Common stock or equity 3. Derivative securities
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1-12
Markets are Competitive (Ctd.)
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1-10
The Investment Process
• Asset allocation – Choice among broad asset classes
• Security selection – Choice of which securities to hold within asset class – Security analysis to value securities and determine investment attractiveness
投资学英文完整教学课件
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
Chapter 1
The Investment Environment
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1-11
Markets are Competitive
• Risk-Retuຫໍສະໝຸດ n Trade-Off• Efficient Markets – Active Management • Finding mispriced securities • Timing the market
• Capital market debt: long term bonds, can be safe or risky
INVESTMENTS | BODIE, KANE, MARCUS
1-6
Common Stock and Derivatives
• Common Stock is equity or ownership in a corporation.
INVESTMENTS | BODIE, KANE, MARCUS
1-5
Fixed Income
• Payments fixed or determined by a formula
• Money market debt: short term, highly marketable, usually low credit risk
INVESTMENTS | BODIE, KANE, MARCUS
1-9
Financial Markets and the Economy (Ctd.)
• Corporate Governance and Corporate Ethics – Accounting Scandals • Examples – Enron, Rite Aid, HealthSouth – Auditors – watchdogs of the firms – Analyst Scandals • Arthur Andersen – Sarbanes-Oxley Act • Tighten the rules of corporate governance
McGraw-Hill/Irwin
INVESTMENTS | BODIE, KANE, MARCUS
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
1-3
Real Assets Versus Financial Assets
– Used to transfer risk
INVESTMENTS | BODIE, KANE, MARCUS
1-7
Financial Markets and the Economy
• Information Role: Capital flows to companies with best prospects
• Allocation of Risk: Investors can select securities consistent with their tastes for risk
• Separation of Ownership and Management: With stability comes agency problems
– Payments to stockholders are not fixed, but depend on the success of the firm
• Derivatives
– Value derives from prices of other securities, such as stocks and bonds
• Consumption Timing: Use securities to store wealth and transfer consumption to the future
INVESTMENTS | BODIE, KANE, MARCUS
1-8
Financial Markets and the Economy (Ctd.)