投資學(xué)期末復(fù)習(xí)資料ppt課件

1、投資期末復(fù)習(xí)資料.分析系統(tǒng)風(fēng)險(xiǎn)與非系統(tǒng)風(fēng)險(xiǎn)市場(chǎng)有效性：概念，成因，涵義分別性質(zhì)：概念，意義資本資產(chǎn)定價(jià)模型：根本公式及其解釋被動(dòng)投資戰(zhàn)略：概念及其運(yùn)用.計(jì)算題兩風(fēng)險(xiǎn)資產(chǎn)組合的收益與風(fēng)險(xiǎn)常數(shù)增長(zhǎng)股利貼現(xiàn)模型保證金購(gòu)買與賣空計(jì)算CAPM的根本計(jì)算運(yùn)用免稅債券等價(jià)收益率的計(jì)算.論述組合投資實(shí)際的分析思緒CAPM的假設(shè)框架及其推導(dǎo)思緒根底分析的框架與要點(diǎn)要求：框架完好，邏輯明晰，表達(dá)準(zhǔn)確。.6.1 Diversification and Portfolio RiskFirm-specific riskDiversifiable, unique risk or nonsystematic riskRis

2、k that can be eliminated by diversification.E.g. R&D, management style. Market riskSystematic or Nondiversifiable riskRisk factors common to the whole economy (security market).Business cycle, inflation rate, interest rate, exchange rate.8.1 Random Walks and the Efficient Market Hypothesis Efficient

3、 market hypothesis The hypothesis that prices of securities fully reflect available information about securities.If stock price movements were predictable, that would be damning evidence of stock market inefficiency, because the ability to predict prices would indicate that all available information

4、 was not already impounded in stock prices.8.1 Random Walks and the Efficient Market Hypothesis Versions of the Efficient Market HypothesisWeak-form EMHThe assertion that stock prices already reflect all information contained in the history of past trading (Volume and price).Semistrong-form EMHThe a

5、ssertion that stock prices already reflect all publicly available information.Strong-form EMHThe assertion that stock prices reflect all relevant information, including inside information.Anyone trading on information supplied by insiders is considered in.8.1 Random Walks and the Efficient Market Hy

6、pothesis 一切可獲得 的信息 (包括內(nèi)幕信息) 全部公開(kāi)的信息全部買賣信息.8.1 Random Walks and the Efficient Market Hypothesis Competition as the Source of EfficiencyInvestors will have an incentive to spend time and resources to analyze and uncover new information only if such activity is likely to generate higher investment retu

7、rns.Competition (to collect and analyze and dig new information) among many well-backed, highly paid, aggressive analysts ensures that, stock prices ought to reflect available information regarding their proper levels.Degree of efficiency across various markets may differ.Emerging markets, which are

8、 less intensively analyzed than U.S. markets, may be less efficient than U.S. markets. Small stocks, which receive less coverage by analysts, may be less efficiently priced than large ones.8.1 Random Walks and the Efficient Market Hypothesis Are stock prices (movements) predictable ?Any publicly ava

9、ilable information that might be used to predict stock performance, including information on the macroeconomy, the firms industry, and its operations, plans, and management, should already be reflected in stock prices.As soon as there is any information indicating a stock is underpriced and offers a

10、 profit opportunity, investors flock to buy the stock and immediately bid up its price to a fair level, where again only ordinary rates of return can be expected. These “ordinary rates are simply rates of return commensurate with the risk of the stock.8.1 Random Walks and the Efficient Market Hypoth

11、esis Stock prices (movements) should follow a random walkNew information, by definition, must be unpredictable; If it could be predicted, then that prediction would be part of todays information. Thus, stock prices that change in response to new (unpredictable) information also must move unpredictab

12、ly.Random walk：The notion that stock price changes are random and unpredictable.6.4 Efficient Diversification with Many Risky Assetsseparation propertyAll investors will choose the same risky portfolio (O), no matter what their degrees of risk aversion (風(fēng)險(xiǎn)態(tài)度與風(fēng)險(xiǎn)資產(chǎn)選擇無(wú)關(guān)). The property implies portfolio

13、 choice can be separated into two independent tasks:(1) determination of the optimal risky portfolio (stock selection), which is a purely technical problem, and (2) the personal choice of the best mix (capital allocation) of the risky portfolio and the risk-free asset.6.4 Efficient Diversification w

14、ith Many Risky Assetsseparation property is the theoretical basis of the mutual fund industry (why?)Although the optimal risky portfolio for different clients may vary because of portfolio constraints such as dividend yield requirements, tax considerations, or other client preferencesThe (computeriz

15、ed) optimization technique is the easiest part of portfolio construction, the real arena of the competition among portfolio managers is in the sophisticated security analysis that produce different input data (precise predict of stock returns).X Corp$7050%Initial Margin40%Maintenance Margin1000Share

16、s PurchasedInitial Position?Stock $70,000 Borrowed $35,000 Equity $35,000Buying on Margin.Stock price falls to $60 per shareNew Position?Stock $60,000 Borrowed $35,000 Equity $25,000Margin= $25,000/$60,000 = 41.67%Buying on Margin.Stock price rises to $80 per shareNew Position?Stock $80,000 Borrowed

17、 $35,000 Equity $45,000Margin= $45,000/$80,000 = 56.2%Buying on Margin.How far can the stock price fall before amargin call?(1000P - $35,000) / 1000P = 40% P = $58.33Buying on Margin.Municipal BondsTo compare yields on taxable bonds and tax-exempt bonds (municipal bonds), a Taxable Equivalent Yield

18、is constructed.6.2 Asset Allocation with Two Risky Assets The Three Rules of Two-Risky-Assets PortfoliosSuppose a proportion denoted by wB is invested in the bond fund, and the remainder 1wB,denoted by wS, is invested in the stock fund. Rule 1: The rate of return on the portfolio is a weighted avera

19、ge of the returns on the component securities, with the investment proportions as weights.rP=wBrB+wSrS.6.2 Asset Allocation with Two Risky Assets Rule 2: The expected rate of return on the portfolio is a weighted average of the expected returns on the component securities, with the same portfolio pr

20、oportions as weights. E(rP)=wBE(rB)+wSE(rS).6.2 Asset Allocation with Two Risky Assets Rule 3: The variance of the rate of return on the two-risky-assets portfolio iswhereBS is the correlation coefficient between the returns on the stock and bond funds.7.1 The Capital Asset Pricing ModelEXAMPLE 7.2：Suppose the risk premium of the market portfolio is 9%