北大光華證券投資學(xué)第1章通用PPT課件

1、證券投資學(xué)這門課能給我們帶來什么？這門課所屬的位置這門課的主要內(nèi)容Why do we study the theory？Managers learn from experience how to cope with routine problems. But the best manager are also able to respond to change. To do this you need more than time-honored rules of thumb; you must understand why companies and financial markets be

2、have the way they do. In other words, you need a theory of finance.Good theory helps you grasp what is going on in the world around you. It helps you to ask the right questions when times change and new problems must be analyzed. It also tells you what things you do not need to worry about.-Brealey

3、and MyersWhy does not there exists any advice on “guaranteed” ways to beat the market？Any system designed to beat the market, once known to more than a few people, carries the seeds of its own destruction.There are two reasons for not including advice on “guaranteed” ways to beat the market in this

4、book.First, to do so would make a successful system public and hence unsuccessful.Second, the authors know of such system.This does not mean that financial analysis is useless. Although individuals should be skeptical when others tell them how to use financial analysis to beat the market, individual

5、s can try to understand the market with the use of financial analysis.-W. Sharpe, etc.什么是金融學(xué)(Finance)Finance is a subfield of economics distinguished by both its focus and its methodology. The primary focus of finance is the workings of the capital markets and the supply and the pricing of capital a

6、ssets. The methodology of finance is the use of close substitutes to price financial contracts and instruments. This methodology is applied to value instruments whose characteristics extend across time and whose payoffs depend upon the resolution of uncertainty. 金融學(xué)的研究領(lǐng)域金融市場(chǎng)宏觀層面：金融框架微觀層面：定價(jià)、風(fēng)險(xiǎn)管理公司財(cái)務(wù)

7、歷史H. M. Markowitz 均值-方差模型 (Mean-variance model)Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952.W. F. Sharpe , J. Lintner, J. Mossin 資本資產(chǎn)定價(jià)模型 Capital Asset Pricing Model (CAPM)W. F. Sharpe, Capital Asset Prices: A Theory od Market Equilibrium Under Conditions of Risk, Jo

8、urnal of Finance, 20(3):425-442, 1964.S. A. Ross 套利定價(jià)理論Arbitrage Pricing Theory(APT)S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360, 1976.F. Modigliani M. H. Miller Modigliani - Miller 定理 Modigliani, F., and M. H. Miller, The Cost of Capital, Corp

9、oration Finance, and the Theory of Investment, American Economic Review, June 1958, 261-297.F. Black M. Scholes R. Merton 期權(quán)定價(jià)的Black-Scholes 公式F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654.R. Merton, Theory of Rational Option P

10、ricing, Bell Journal of Economics and Management Science, 4(1):141-183.第一章 金融市場(chǎng)金融市場(chǎng)表面看起來似乎處于混沌狀態(tài)，實(shí)際上在它的工具和市場(chǎng)安排上有特定的原因和規(guī)律本章目的：討論金融市場(chǎng)和機(jī)構(gòu)是如何應(yīng)運(yùn)投資者的需求、技術(shù)和管制約束而發(fā)展的？1. 實(shí)物投資和金融投資投資：投資者運(yùn)用自己持有的資本，用來購買實(shí)際資產(chǎn)或金融資產(chǎn)，或者取得這些資產(chǎn)的權(quán)利，目的是在一定時(shí)期內(nèi)預(yù)期獲得資產(chǎn)增值和一定收入。投資一般具有兩個(gè)特性：時(shí)間和風(fēng)險(xiǎn)實(shí)資產(chǎn)和金融資產(chǎn)實(shí)資產(chǎn)一般包括有形資產(chǎn)，例如土地、機(jī)器、廠房等金融資產(chǎn)包括寫在紙上的各種合約，例如

11、股票、債券等各自的特點(diǎn)實(shí)資產(chǎn)代表一個(gè)經(jīng)濟(jì)的生產(chǎn)能力，決定一個(gè)社會(huì)的財(cái)富金融資產(chǎn)不代表一個(gè)社會(huì)的財(cái)富，但對(duì)生產(chǎn)能力具有間接的作用所有權(quán)和經(jīng)營(yíng)權(quán)的分離使得資金流向具有好的投資機(jī)會(huì)的企業(yè)代表持有者的財(cái)富兩者之間是一種互補(bǔ)關(guān)系，而不是替代關(guān)系例子：房地產(chǎn)金融資產(chǎn)的價(jià)值來源并依賴于實(shí)資產(chǎn)的價(jià)值金融資產(chǎn)是投資者擁有實(shí)資產(chǎn)的方式證券投資就是運(yùn)用投資購買有價(jià)證券及其派生工具以期獲得收益的一種行為。2. 金融系統(tǒng)三個(gè)組成部分的需求和市場(chǎng)的反映個(gè)人如何投資證券、金融中介、金融創(chuàng)新、投資基金、衍生證券需求的多樣化，風(fēng)險(xiǎn)影響的例子：30年后從北京移居青島稅收影響的例子：印花稅、資本利得稅、公司如何融資投資銀行、衍生產(chǎn)

12、業(yè)高價(jià)格、低成本專業(yè)發(fā)行公司集團(tuán)投行發(fā)行簡(jiǎn)單證券政府放債 與 管制金融創(chuàng)新3.投資環(huán)境包括上市證券的種類、在哪里及如何進(jìn)行證券的買賣證券：在指定的條件下，獲得將來預(yù)期利潤(rùn)的權(quán)利的一種法律證明證券種類貨幣市場(chǎng)短期、流動(dòng)性好、風(fēng)險(xiǎn)小的債券資本市場(chǎng)長(zhǎng)期固定收益證券股票期權(quán)、期貨及其它衍生證券回報(bào)率與風(fēng)險(xiǎn)之間的關(guān)系一般來說，具有高平均回報(bào)率的證券也具有高的風(fēng)險(xiǎn)The historical variability is not necessarily an indication of prospective risk.證券市場(chǎng)一級(jí)市場(chǎng)二級(jí)市場(chǎng)金融中介銀行、投資公司、保險(xiǎn)公司、信托公司特點(diǎn)：中介集少成多分

13、散風(fēng)險(xiǎn)專業(yè)化、規(guī)模經(jīng)濟(jì)（數(shù)量、聲譽(yù)、搜集信息等）4. 投資過程對(duì)投資的證券種類、數(shù)量、投資的時(shí)間作出決定投資政策：決定投資的目標(biāo)和投資的財(cái)富數(shù)量投資的目標(biāo)：回報(bào)和風(fēng)險(xiǎn)證券分析：技術(shù)分析；基本分析證券組合構(gòu)造:selectivity, timing, diversification證券組合調(diào)整證券組合評(píng)估：依據(jù)回報(bào)率和風(fēng)險(xiǎn)5. 證券發(fā)行市場(chǎng)投資銀行證券的承銷Initial public offering (IPO)Seasoned new issuespublic offering and private placement6.證券交易市場(chǎng)National and local securitie

14、s exchangesbroker dealerover -the-account marketbid priceask pricedirect trading between two parties定單公司的名稱買還是賣定單的規(guī)模有效時(shí)間定單的類型定單的類型按時(shí)間劃分: day order, open order, discretionary order按對(duì)價(jià)格的限制劃分證券交易方式現(xiàn)貨交易期貨交易信用交易期權(quán)交易保證金購買(Margin purchase)預(yù)期證券價(jià)格將上漲時(shí)利用該策略初始保證金(initial margin requirement)實(shí)際保證金(actual margin)

15、盯市(marked to the market)維持保證金(maintenance margin)利用金融杠桿回報(bào)率賣空預(yù)期證券價(jià)格將下跌時(shí)利用該策略初始保證金(initial margin requirement)實(shí)際保證金(actual margin)盯市(marked to the market)維持保證金(maintenance margin)回報(bào)率賣空前X Brock, Inc Mr. Lane紅利，年報(bào)選舉權(quán)紅利，年報(bào)選舉權(quán)賣空 Mr. JonesX Brock, Inc Mr. Lane Ms. Smith紅利，年報(bào)選舉權(quán)紅利，年報(bào)選舉權(quán)接受股票支付價(jià)格提供初始保證金賣空后 Mr. JonesX Brock, Inc Mr. Lane Ms. Smith紅利，年報(bào)年報(bào)提供現(xiàn)金支付紅利紅利年報(bào)選舉權(quán)7. 股票價(jià)格指數(shù)股票價(jià)格指數(shù)的作用股票價(jià)格指數(shù)的主要計(jì)算方法價(jià)格加權(quán)平均指數(shù)price-weighted average index市值加權(quán)平均指數(shù)market-value-weighted index世界幾種重要股票價(jià)格指數(shù)道瓊斯股票價(jià)格指數(shù)標(biāo)準(zhǔn)和普爾股票價(jià)格綜合指數(shù)紐約證券交易所的股票綜合指數(shù)倫敦金融時(shí)報(bào)的股票價(jià)格指數(shù)日本經(jīng)濟(jì)新聞道式股票指數(shù)香港恒生股票指數(shù)中國(guó)的股票價(jià)格指數(shù)上海證券交易所股價(jià)指數(shù)深圳證券交易所股價(jià)指數(shù)8.金融市場(chǎng)的作用Consumption