《投资学》经典课件(英文) (14)
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投资学全英文ppt4-53页PPT资料
5. Discuss the key sources of risk that might affect potential investments.
6. Understand the risk of a single asset, risk assessment, and the steps that combine return and risk.
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Table 4.4 Historical Returns for Select Asset Classes (1900-2019)
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The Concept of Return
• Return
– The level of profit from an investment, or – The reward for investing
Chapter 4
Return and Risk
Return and Risks
Learning Goals
1. Review the concept of return, its components, the forces that affect the investor’s level of return, and historical returns.
• Historical Performance
6. Understand the risk of a single asset, risk assessment, and the steps that combine return and risk.
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Table 4.4 Historical Returns for Select Asset Classes (1900-2019)
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Copyright ©2014 Pearson Education, Inc. All rights reserved.
4-3
The Concept of Return
• Return
– The level of profit from an investment, or – The reward for investing
Chapter 4
Return and Risk
Return and Risks
Learning Goals
1. Review the concept of return, its components, the forces that affect the investor’s level of return, and historical returns.
• Historical Performance
《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.
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》(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：
[学习]投资学英文课件cha
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American vs. European Options
American - the option can be exercised at any time before expiration or maturity
European - the option can only be exercised on the expiration or maturity date
• Exercise the option to buy the underlying asset if market value > strike.
The Option Contract: Puts
• A put option gives its holder the right to sell an asset:
Example 20.1 Profit and Loss on a Call
• A January 2010 call on IBM with an exercise price of $130 was selling on December 2, 2009, for $2.18.
• The option expires on the third Friday of the month, or January 15, 2010.
•Leveraged •equity •
Buy calls @ 10 100 options Buy T-bills @ 3% Yield
$1,000 $9,000
Strategy Payoffs
Figure 20.5 Rate of Return to Three Strategies
Strategy Conclusions
投资学全英文ppt16
• Allows producers to hedge prices
• Commodities can provide an inflation hedge
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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
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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
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Advantages of Using Futures Contracts • Potential for very high returns
• Margin buying allows use of leverage
《投资学 》( Investments,(6th Edition))第六版[PDF]
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《投资学》( Investments,(6th Edition))第六版[PDF]状态: 精华资源摘要: 发行时间: 2005年08月01日语言: 简体中文时间: 3月21日发布| 3月21日更新分类: 资料电子图书统计: 27000次浏览| 18次收藏相关:请登录举报: 举报资源•详细内容•相关资源•补充资源•用户评论eMule资源下面是用户共享的文件列表，安装eMule后，您可以点击这些文件名进行下载投资学.（第6版.）.pdf 详情97.5MB全选97.5MB中文名: 投资学英文名: Investments,(6th Edition)资源格式: PDF版本: 第六版发行时间: 2005年08月01日地区: 大陆语言: 简体中文简介:资源介绍:《投资学》是由三名美国知名学府的著名金融学教授撰写的优秀著作，是美国最好的商学院和管理学院的首选教材，在世界各国都有很大的影响，被广泛使用。
自1999年《投资学》第4版以及2002年的第5版翻译介绍进中国以后，在国内的大学里，本书同样得到广泛运用和热烈反响。
此为本书的第6版，作者在前5版的基础上根据近年来金融市场、投资环境的变化和投资理论的最新进展做了大幅度的内容更新和补充，还亢分利用了网络资源为使用者提供了大量网上资料。
全书共分7大部分，27章。
详细讲解了投资领域中的风险组合理论、资本资产定价模型、套利定价理论、市场有效性、证券评估、衍生证券、资产组合管理等重要内容。
本书观点权威，阐述详尽，结构清楚，设计独特，语言生动活泼，学生易于理解，内容上注重理论与实践的结合。
本书适用于金融专业高年级本科生、研究生及MBA学生，金融领域的研究人员、从业者。
目录:第一部分引论第1章投资环境第2章金融工具第3章证券是如何交易的第4章共同基金和其他投资公司第二部分投资组合理论第5章利率史与风险溢价第6章风险与风险厌恶第7章风险资产与无风险资产之间的资本配置第8章最优风险资产组合第三部分资本市场均衡第9章资本资产定价模型第10章指数模型第11章套利定价理论与风险收益多因素模型第12章市场有效性和行为金融学第13章证券收益的经验根据第四部分固定收益证券第14章债券的价格与收益第15章利率的期限结构第16章债券资产组合的管理第五部分证券分析第17章宏观经济分析与行业分析第18章股权估价模型第19章财务报表分析第六部分期权、期货及其他衍生证券第20章期权市场介绍第21章期权定价第22章期货市场第23章期货与互换的详细分析第七部分积极的资产组合管理第24章资产组合业绩评估第25章投资国际分散化第26章资产组合的管理过程第27章积极的资产组合管理理论附录术语表。
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) (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
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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
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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
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• 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
• Financial highlights
• Book Value 账面价值 • Market value 市场价值 • Liquidation value 清算价值 • Replacement cost 重置成本
• Dividend Discount Models (DDM)股利贴现模型
• The Constant-Growth DDM 固定增长的股利贴现模型
• A stock’s value will be greater: • 1. The larger its expected dividend per share. • 2. The lower the market capitalization rate, k. • 3. The higher the expected growth rate of dividends.
• PVGO =0,
• the ratio of P/E to g， PEG
• growth opportunities 增长机会 • P/E Ratios and Stock Risk
• Earnings management 盈余管理 • Combining P/E Analysis and the DDM • Price-to-Book Ratio 市净率 • Price-to-Cash-Flow Ratio 股价现金流比率 • Price-to-Sales Ratio 股价销售额比率 • Be Creative 创造力
Your Topic Goes Here
• Convergence of Price to Intrinsic Value 价格收敛于 内在价值
• Stock Prices and Investment Opportunities 股价和 投资机会
• dividend payout ratio 股利支付率 • Plowback ratio 盈余再投资率 • earnings retention ratio 盈余留存率
• RC refers to the amount that an entity would have to pay to replace an asset at the present time, according to its current worth.
• Tobin’s q 托宾q
ห้องสมุดไป่ตู้ Intrinsic Value versus Market Price
• 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
• Financial highlights
• Book Value 账面价值 • Market value 市场价值 • Liquidation value 清算价值 • Replacement cost 重置成本
• Dividend Discount Models (DDM)股利贴现模型
• The Constant-Growth DDM 固定增长的股利贴现模型
• A stock’s value will be greater: • 1. The larger its expected dividend per share. • 2. The lower the market capitalization rate, k. • 3. The higher the expected growth rate of dividends.
• PVGO =0,
• the ratio of P/E to g， PEG
• growth opportunities 增长机会 • P/E Ratios and Stock Risk
• Earnings management 盈余管理 • Combining P/E Analysis and the DDM • Price-to-Book Ratio 市净率 • Price-to-Cash-Flow Ratio 股价现金流比率 • Price-to-Sales Ratio 股价销售额比率 • Be Creative 创造力
Your Topic Goes Here
• Convergence of Price to Intrinsic Value 价格收敛于 内在价值
• Stock Prices and Investment Opportunities 股价和 投资机会
• dividend payout ratio 股利支付率 • Plowback ratio 盈余再投资率 • earnings retention ratio 盈余留存率
• RC refers to the amount that an entity would have to pay to replace an asset at the present time, according to its current worth.
• Tobin’s q 托宾q
ห้องสมุดไป่ตู้ Intrinsic Value versus Market Price