《證券投資分析》課程教學大綱

1、證券投資分析 Security Analysis and Investment一、survey of the course/課程基本情況Course Code：5261470Category of the course: professional orientation course課程類別：專業(yè)方向課Score of the course: 2 credits課程學分：2 學分General class hours: 32 hours, in which: lecture32 hours. 課程總學時：32學時，其中講課：32學時，實驗：0學時，上機：0 學時The nature of th

2、e course: an elective course課程性質：選修The terms of the course: the 6th terms開課學期：第6學期Prerequisite course: accounting, microeconomics, management, finance先修課程：會計學、微觀經濟學、管理學、金融學Suitable for majors: accounting, financial management適用專業(yè)：會計學、財務管理Textbook: Essentials of Investment, Zvi Bodie, Alex Kane and A

3、lan J.Marcus, Tsinghua University Press, 2011, the 8th edition.教 材：投資學精要，茲.博迪、阿萊克斯.康恩、艾蘭.J.馬庫斯，清華大學出版社，2011年，第8版。The unit of lecture: the department of financial management & accounting, school of economics & management.開課單位：經濟管理學院財務與會計系二、the nature of course, teaching aims and task/課程性質、教學目標和任務The

4、course is the professional orientation course for accounting and financial management and it can be professional selected course for other economic and management majors. The course introduces mainly the basic knowledge and principles about security investment, including security investment, the ins

5、trument of security investment, security market, the analysis method of security investment, portfolio theory, and security supervision and so on.By studying the course, the students are required to master the basic knowledge, theory and relevant skills of security, security market and security inve

6、stment management proficiently and systematically, have global visual field, and be aware of the run and development of international security markets. After studying the course, the students need to grasp English vocabulary of finance and economics major above 5000, read freely the analysis article

7、s about security market in modern media, understand the research reports carried by professional companies and express an independent opinion on the open information of security market and listed companies.Otherwise, the course pays attention to the combination of security market and trains the skil

8、ls that the students analyze and solve the problems about security investment.本課程是會計學、財務管理專業(yè)的專業(yè)方向課，也可以作為其他經濟、管理類專業(yè)的專業(yè)選修課。課程主要介紹有關證券投資的基本知識和原理，具體包括證券投資、證券投資工具、證券市場、證券投資分析方法和證券組合理論、證券監(jiān)管等方面的內容。通過本課程的學習，要求學生熟練、系統(tǒng)地掌握證券及證券市場的基礎知識、基本理論和證券投資管理的有關知識和技能；具有全球視野，對國際證券市場的運行與發(fā)展有一定的認識。學完本課程，學生需要掌握財經專業(yè)術語的英文詞匯量達到500

9、0以上，能自由閱讀現(xiàn)代媒體關于證券市場的分析文章，能理解專業(yè)公司的研究報告，并對證券市場和上市公司等證券發(fā)行機構的公開信息能發(fā)表獨立見解。此外，本課程注重與現(xiàn)實證券市場相結合，重點培養(yǎng)學生分析和解決證券投資相關問題的能力。三、teaching contents and requires/教學內容和要求1、the investment environment（2 hours）/證券投資環(huán)境（2學時）(1) To learn real assets and financial assets, the players, the trends and outline of the text（1）了解實

10、物資產與金融資產、參與者、發(fā)展趨勢和本書目錄； (2) To grasp financial markets and the economy, the investment process, markets are competitive（2）掌握金融市場與經濟、投資程序、競爭性市場(3) To understand a taxonomy of financial assets（3）理解金融資產分類Key points: financial markets and the economy, the investment process, markets are competitive Diff

11、icult points: taxonomy of financial assets重點：金融市場與經濟、投資程序、競爭性市場難點：金融資產分類2、assets classes and financial instruments（2 hours）/資產分類與金融工具（2學時）(1) To learn the money market（1）了解貨幣市場(2) To grasp the bond market, equity securities, stock and bond market indexes（2）掌握債券市場、股票、股票、債券市場指數(3) To understand deriva

12、tive markets（3）理解衍生品市場Key points: the bond market, equity securities, stock and bond market indexesDifficult points: derivative markets重點：債券市場、股票、股票、債券市場指數難點：衍生品市場3、how securities are traded(2 hours)/證券是怎樣交易的？（2學時）(1) To learn US securities markets, market structure in other countries, regulation of

13、 securities markets（1）了解美國證券市場、其他國家市場結構、證券市場監(jiān)管(2) To grasp how firms issue securities, how securities are traded（2）掌握公司如何發(fā)行股票、證券如何交易(3) To understand trading cost, buying on margin, short sales（3）理解交易成本、邊際購買、短期銷售Key points: how firms issue securities, how securities are tradedDifficult points: tradi

14、ng cost, buying on margin, short sales重點：公司如何發(fā)行股票、證券如何交易難點：交易成本、邊際購買、短期銷售4、mutual funds and other investment companies(2 hours)/共同基金與其他投資機構（2學時）(1) To learn investment companies, types of investment companies（1）了解 投資公司、投資公司類型(2) To grasp mutual funds, costs of investing in mutual funds, taxation of

15、mutual fund income, exchange-traded funds（2）掌握共同基金、共同基金投資成本、共同基金收入的稅收、交易所基金(3) To understand mutual fund investment performance, information of mutual funds（3）理解共同基金投資表現(xiàn)、共同基金信息Key points: mutual funds, costs of investing in mutual funds, taxation of mutual fund income, exchange-traded fundsDifficult

16、 points: mutual fund investment performance, information of mutual funds重點：共同基金、共同基金投資成本、共同基金收入的稅收、交易所基金難點：共同基金投資表現(xiàn)、共同基金信息5、learning about return and risk from the historical record(2hours)/從歷史記錄學習回報與風險（2學時）(1) To learn determinants of the level of interest rates, comparing rates of return for diffe

17、rent holding period, bills and inflation: 1926-2005（1）了解利率水平的決定因素、不同持有期回報率比較、債券與通脹：1926-2005(2) To grasp risk and risk premiums, time series analysis of past rates of return, the normal distribution（2）掌握風險與風險貼水、歷史回報率的時間序列分析、正常分紅(3) To understand deviation from normality, the historical record of ret

18、urns on equities and long-term bonds, long-term investments, measurement of risk with non-normal distribution（3）理解正常偏離、股票和長期債券回報的歷史記錄、長期投資、非正常分紅的風險度量Key points: risk and risk premiums, time series analysis of past rates of return, the normal distributionDifficult points: deviation from normality, th

19、e historical record of returns on equities and long-term bonds, long-term investments, measurement of risk with non-normal distribution重點：風險與風險貼水、歷史回報率的時間序列分析、正常分紅難點：正常偏離、股票和長期債券回報的歷史記錄、長期投資、非正常分紅的風險度量6、risk aversion and capital allocation to risky assets(2 hours)/風險厭惡與風險資產配置（2學時）(1) To learn risk a

20、nd risk aversion（1）了解風險和風險厭惡(2) To grasp capital allocation across risky and risk-free portfolios, the risk-free asset, risk tolerance and assets allocation（2）掌握通過風險和無風險資產組合配置資本、無風險資產、風險承受與資產配置(3) To understand passive strategies: the capital market line（3）理解被動策略：資本市場線Key points: capital allocation

21、across risky and risk-free portfolios, the risk-free asset, risk tolerance and assets allocationDifficult points: passive strategies: the capital market line重點：通過風險和無風險資產組合配置資本、無風險資產、風險承受與資產配置難點：被動策略：資本市場線7、optimal risky portfolios(2 hours)/最優(yōu)風險組合（2學時）(1) To learn diversification and portfolio risk（

22、1）了解多樣化與組合風險(2) To grasp portfolios of two risky assets, assets allocation with stock, bond and bills, the Markowitz portfolio selection model（2）掌握兩種風險資產組合、股票、債券和國庫券的資產配置、馬可維茨組合選擇模型(3) To understand risk pooling, risk sharing and risk in the long run（3）理解風險均攤、風險分擔和長期風險Key points: portfolios of two r

23、isky assets, assets allocation with stock, bond and bills, the Markowitz portfolio selection modelDifficult points: risk pooling, risk sharing and risk in the long run重點：兩種風險資產組合、股票、債券和國庫券的資產配置、馬可維茨組合選擇模型難點：風險均攤、風險分擔和長期風險8、index models(2 hours)/指數模型（2學時）(1) To learn a single-factor security market（1

24、）了解單因素證券市場(2) To grasp the single-index model, estimating the single-index model, portfolio construction and the single-index model（2）掌握單指數模型、單指數模型估計、組合構建與單指數模型(3) To understand practical aspects of portfolio management with the index model（3）理解單指數模型組合管理的實際運用Key points: the single-index model, estim

25、ating the single-index model, portfolio construction and the single-index modelDifficult points: practical aspects of portfolio management with the index model重點：單指數模型、單指數模型估計、組合構建與單指數模型難點：單指數模型組合管理的實際運用9、the capital asset pricing model(2 hours)/資本資產定價模型（2學時）(1) To learn is the CAPM practical?（1）了解C

26、APM是否實用？(2) To grasp the capital asset pricing model, the CAPM and the index model, econometrics and the expected return-Beta relationship（2）掌握資本資產定價模型、CAPM和指數模型、計量經濟學與貝塔預期回報關系(3) To understand the extension of the CAPM, liquidity and the CAPM（3）理解CAPM拓展、流動性與CAPMKey points: the capital asset pricing

27、 model, the CAPM and the index model, econometrics and the expected return-Beta relationshipDifficult points: the extension of the CAPM, liquidity and the CAPM重點：資本資產定價模型、CAPM和指數模型、計量經濟學與貝塔預期回報關系難點：CAPM拓展、流動性與CAPM10、arbitrage pricing theory and multifactor models of risk and return(2 hours)/套利定價理論與風

28、險-收益多因素模型（2學時）(1) To learn multifactor models: an overview（1）了解多因素模型：一個文獻回顧(2) To grasp arbitrage pricing theory, individual assets and the APT（2）掌握套利定價理論、個人資產與APT模型(3) To understand a multifactor APT, where should we look for factors? , a multifactor CAPM and APT （3）理解多因素APT模型、我們應該從哪里尋找因素？、多因素CAPM和

29、APTKey points: arbitrage pricing theory, individual assets and the APTDifficult points: a multifactor APT, where should we look for factors? , a multifactor CAPM and APT 重點：套利定價理論、個人資產與APT模型難點：多因素APT模型、我們應該從哪里尋找因素？、多因素CAPM和APT11、bond prices and yields(2 hours)/債券價格與收益（2學時）(1) To learn bond character

30、istics（1）了解債券特征(2) To grasp bond pricing, bond yields（2）掌握債券定價、債券收益(3) To understand bond prices over time, default risk and bond pricing（3）理解債券跨期定價、違約風險與債券定價Key points: bond pricing, bond yieldsDifficult points: bond prices over time, default risk and bond pricing重點：債券定價、債券收益難點：債券跨期定價、違約風險與債券定價12、t

31、he term structure of interest rates(2 hours)/利率期限結構（2學時）(1) To learn the yield curve（1）了解收益曲線(2) To grasp the yield curve and future interest rates, interest rate uncertainty and forward rates, and theories of the term structure（2）掌握收益曲線與遠期利率、利率不確定性與遠期利率、利率期限結構利率(3) To understand interpreting the te

32、rm structure, forward rates as forward contracts（3）理解期限結構解釋、作為遠期合約的遠期利率Key points: the yield curve and future interest rates, interest rate uncertainty and forward rates, and theories of the term structureDifficult points: interpreting the term structure, forward rates as forward contracts重點：收益曲線與遠期

33、利率、利率不確定性與遠期利率、利率期限結構利率難點：期限結構解釋、作為遠期合約的遠期利率13、managing bond portfolios(2 hours)/債券組合管理（2學時）(1) To learn interest rate risk（1）了解利率風險(2) To grasp convexity, passive bond management（2）掌握凸性、被動型債券管理(3) To understand active bond management（3）理解主動型債券管理Key points: convexity, passive bond managementDifficul

34、t points: active bond management重點：凸性、被動型債券管理難點：主動型債券管理14、macroeconomic and industry analysis(2 hours)/宏觀與行業(yè)分析（2學時）(1) To learn the global economy，the domestic economy（1）了解全球經濟、國內經濟(2) To grasp demand and supply of shocks, federal government policy, business cycle（2）掌握沖擊的需求與供給、聯(lián)邦政府政策、商業(yè)周期(3) To unde

35、rstand industry analysis（3）理解產業(yè)分析Key points: demand and supply of shocks, federal government policy, business cycleDifficult points: industry analysis重點：沖擊的需求與供給、聯(lián)邦政府政策、商業(yè)周期難點：產業(yè)分析15、equity valuation models(2 hours)/股票估值模型（2學時）(1) To learn valuation by comparable, intrinsic value versus market price

36、（1）了解比較法估值、內在價值與市場價格(2) To grasp price-earnings ratio, free cash flow valuation approaches（2）掌握市盈率、自由現(xiàn)金流估值方法(3) To understand the aggregate stock market（3）理解總量證券市場Key points: price-earnings ratio, free cash flow valuation approachesDifficult points: the aggregate stock market重點：市盈率、自由現(xiàn)金流估值方法難點：總量證券市場16、financial statement analysis(2 hours)/財務報告分析（2學時）(1) To learn the major financial statements，accounting and