對外經(jīng)濟(jì)貿(mào)易大學(xué)投資學(xué)課件

Lecture1IntroductiontoFinancialmarketLecture1IntroductiontoF1investmentsAninvestmentisthecurrentcommitmentofmoneyorotherresourcesintheexpectationofreceivingfuturebenefits.Realassets—assetsusedtoproducegoodsandservicesFinancialassets—claimsonrealassetsortheincomegeneratedbytheminvestmentsAninvestmentisth2FinancialAssetsRiskfreeassets---deposit,T-Bills,T-bondsRiskyassets---corporatebonds,stocks,mutualfunds,futures,optionsFinancialAssetsRiskfreeasse3CourseoutlineIntroductiontofinancialinstrumentsHowsecuritiesaretradedPortfoliotheoryMVefficientfrontierCAPMFactormodelsEmpiricaltestsonassetpricingmodelsMarketefficiencyCourseoutlineIntroductionto4CourseoutlineBondValuationBondpriceandyieldActivebondmanagementStockValuationMacroandindustryanalysisFinancialstatementanalysisStockvaluationmodelsCourseoutlineBondValuation5CourseassessmentAttendance10%Caseandpresentation30%Final-exam60%CourseassessmentAttendance106Theimportanceoffinancialassets$Billion%totalRealassetsRealestate2287429.7%Totalrealassets1738735.9%FinancialAssetsdeposit489510.1%debt24025%institutionholdings2203845%Totalfinancialassets

3100964.1%Theimportanceoffinancialas7FunctionoffinancialmarketsChannelfundsfromsaverswhohaveexcessoffundstolenderswhohaveashortageoffundsfundsurplusunits(savings)funddeficitunits(capitalinvestment)financialintermediariesFunctionoffinancialmarketsC8ParticipantsinthefinancialmarketsHouseholdBusinesssectorGovernmentFinancialintermediariesBanksinsuranceMutualfundInvestmentbanksParticipantsinthefinancial9FunctionoffinancialmarketsAllocationofrisksShiftconsumptionovertheperiodoflifeSeparationofownershipandmanagementImproveinformationalefficiencyFunctionoffinancialmarketsA10TwofundamentalprinciplesRisk-returntrade-off:higher-riskassetprovidehigherexpectedrateofreturnthanlower-riskassetMarketEfficiency:allassetsarecorrectlypricedwithrespectedtoavailableinformationTwofundamentalprinciplesRisk11DowJonesIndustrialAverage(1900-2010)DowJonesIndustrialAverage19006819108119207319302451940150195019819606761970797198082219902732200011180201011577DowJonesIndustrialAverage(112HistoricalperformanceofFidelityFundHistoricalperformanceofFide13PeterLynch’sinvestmentrulesStayedfullyinvested(minimalcash)PickstocksbasedontheirfundamentalsEmphasizeongrowthTradefrequentlyPeterLynch’sinvestmentrules14In1965,oneshareofBerkshireHathawaywasworth$19,todayasingleshareisworth$11691,becauseofWarrenBuffett.WarrenBuffettbelievesinmakingmoney.Hebelievesinfairness.Hebelievesintheabilityofgovernmenttomakepeople’slivesbetter.Butmostofall,hebelievesinluck.

Time,January23,2012In1965,oneshareofBerkshir15對外經(jīng)濟(jì)貿(mào)易大學(xué)投資學(xué)課件16TypesofFinancialMarketsMoneymarketismarketfortradingshort-term(usuallylessthanoneyear)securities;Capitalmarketismarketfortradinglong-termsecurities.Capitalmarketincludeslong-termbondmarketandequitymarketAprimarymarketismarketinwhichnewissuesofasecurity,suchasbondorstock,aresoldtoinitialbuyers;thesecondarymarketismarketinwhichsecuritiesthathavebeenpreviouslyissuedcanberesoldTypesofFinancialMarketsMone17FeaturesoftheMoneyMarketLackofDefaultRisksHighLiquidityUsuallylargedenominationThemoneymarketissometimescalled“cashequivalents”marketFeaturesoftheMoneyMarketLa18MoneyMarketInstrumentU.S.Treasurybill(T-bill)Minimumdenominationsof$1000sellatthediscountoftheparvalueEasilyconvertedtocashLowtransactioncostMoneyMarketInstrumentU.S.Tr19UnderstandingWall-StreetquotesTreasuryBillsWhatisT-billdiscountrate,whatisT-billequivalentyield,whatistheT-billprice.Bidpriceis998.82,askpriceis998.84.MaturityDaystoMaturityBidAskChgAskYieldSep303?Dec16874.584.57?UnderstandingWall-Streetquot20T-billPriceandequivalentyieldT-billarequotedusingthebankdiscountrate.Inthisapproach,thebill’sdiscountfromparvalue,isannualizedbasedona360-dayyearThediscountrateisR=[(1000-P)/1000]*(360/n)Todeterminethebill’struemarketprice,solvefollowingequationP=1000*[1-r*(n/360)]TocalculatethetrueyieldofaTreasurybill,thediscountmustbedividedbythepriceanda365-dayyearused.bid(ask)yield=[(1000-P)/P]*(365/n)T-billPriceandequivalentyi21MoneyMarketInstrumentsCD:Acertificateofdepositisatimedepositwithabank.Thecertificatestatestheamountofthedeposit,thedateonwhichitmatures,theinterestrateandthemethodunderwhichtheinterestiscalculated.LargenegotiableCDsaregenerallyissuedindenominationsof$100,000ormore.

CDscan’tbewithdrawbeforematuritybutcanbesoldinmoneymarketbeforeitsmaturitydateMoneyMarketInstrumentsCD:A22Fixed-IncomeCapitalMarketTreasuryBond(Notes)T-notesmaturitiesrangeupto10years,T-bondsusuallymaturitiesfrom0to30yearsDenominationsof$1,000ormoreCouponpaymentmadesemiannuallyFixed-IncomeCapitalMarketTre23UnderstandingWall-StreetquotesTreasuryBondsandNotesComputethebondpricebasedonbidoraskquoteRateMaturityMo/YrBidAskChgAskyield6Aug09n100:21100:22-95.9110May05-10117:17117:21-66.24UnderstandingWall-Streetquot24UnderstandingWall-StreetquoteColonsinbidandaskquotesrepresent32nds,thus100:21means10021/32Priceisquotedasapercentageofparvalue,thus10021/32refers100.65625%ofparvalueParvalueusuallyis$1,000,sobondpriceis$1006.5625UnderstandingWall-Streetquot25CorporatebondsCorporateBonds:aninterest-bearingcertificateofdebt,issuedbycorporationMajordifferencefromT-bondisrisk,SometimescomewithoptionsattachedCallablebondsConvertiblebondsCorporatebondsCorporateBonds26UnderstandingWallStreetquoteCorporatebondisquotedinexplicitfractionsRateMaturityMo/YrCurrentyieldVolCloseNetChgATT61/2297.2%37901/2+1/4Thebondhasacouponrateof6.5%andmaturein2029,thebondIssoldat90.5%ofparvalue,whichis905Currentyield=(annualcouponincome/price)=65/905=7.2%UnderstandingWallStreetquot27MortgagesandMortgage-BackedSecuritiesAmortgage-backedsecurityiseitheranownershipclaiminapoolofmortgagesoranobligationthatissecuredbysuchapool.Mortgage-backedpass-throughsecuritieswereintroducedbytheGNMA(GovernmentNationalMortgageAssociation),whichbeartheobligationtopayeveniftheborrowerdefaults.Mortgage-backedsecuritiesmarketisthesecondlargestfixedincomesecuritymarket,largerthancorporatebondmarket,butsmallerthanTreasurymarket.MortgagesandMortgage-Backed28EquityMarketCommonstocksOwnershipinterestincompanyClassesofstocksShareholders’rightsVotingrightsRighttoresidualclaimPreemptiverighttocorporatedistributionsRighttodividendEquityMarketCommonstocks29UnderstandingWall-StreetquotesNewYorkStockExchangeCompositeTransactions52weeksYidVolNetHiLoStockSymDiv%PE100sHiLoCloseChange$5115/16181/16GatewayGTW4041512503/16491/8491/2+25/8UnderstandingWall-Streetquot30EquityMarketPreferredstocksOwnershipinterestincompanyRighttofixeddividendsLimitedvotingrightsCumulativevs.non-cumulativeEquityMarketPreferredstocks31StockMarketIndexMajorStockMarketIndexDowJonesIndustrialAverageS&P500IndexNasdaqNikkeiAverageofTokyoHengSengIndexStockMarketIndexMajorStock32Price-WeightedIndexE.gDowJonesIndustrialAverageI(T)=theindexvalueondayTD(T)=theDivisorondayT(adjustforsplit,etc)P(I,T)thepriceofstockIondayTPrice-WeightedIndexE.gDowJo33AnexampleforstocksplitSupposeDay1Day2A5055B2017C3215Indexatday1is(50+20+32)/3=34Onday2,stockChas1:2split,thedivisoris(50+20+16/34)=2.53Indexonday2is(55+17+15/2.53)=34.39Ifwritteninpercentage,theindexis(34.39/34)*100=101.15AnexampleforstocksplitSupp34Value-weightedIndexE.gS&P500IndexN(I,T)isnumberofsharesofstockIondayTP(I,1)andN(I,1)isthepriceandvolumeofstockIonthebasedayThebaselevelforS&P500indexis10Value-weightedIndexE.gS&P5035ForwardandFuturesMarketForwardsandfuturesArrangementtobuyorsellassetatcertaintimeinfutureforcertainpriceNegotiationofforwardsbetweeninvestorsandbanksExchange-tradedfuturesTypesofforward/futurescontractCurrencystockIndexInterestrateCommodityForwardandFuturesMarketForw36UnderstandingWallStreetquotesS&P500index(CME)$250*indexopenHighLowsettleOpeninterestMar907.50910.70901.70909.90572994pre911.25903.07908.59UnderstandingWallStreetquot37OptionMarketTradedoptionsCalloptionsvs.putoptionsCalloptiongivesholderrighttobuyassetbycertaindateforcertainpricePutoptiongivesholderrighttosellassetbycertaindateforcertainpriceOptionMarketTradedoptions38UnderstandingWall-StreetquotesListedOptionsQuotationsCallPutoptionstrikeExpVolLastVolLastDell487/840Oct50091/42235/16Dell487/850Oct926617/88763UnderstandingWall-Streetquot39Option-likeSecuritiesWarrantsOptiontobuyspecifiednumberofcommonstocksatsetpriceand/orbeforesetdateCallwarrantsvs.putwarrantsWarrantsvs.derivativeswarrantsAttachedtonewissueofbondsorcommonstocksExchange-tradedOption-likeSecuritiesWarrants40CommodityMarketCommoditiesFarmproducts,preciousmetalsandfinancialproductsCashmarketsvs.futuremarketsCommodityMarketCommodities41FinancialmarketsandinstrumentsTheMoneyMarketThefixedincomecapitalmarketTreasurybillTreasurybondsandnotesCertificatesofdeposit(CD)MunicipalbondsCommercialpaperCorporatebondsBanker’sacceptanceMortgage-backedsecuritiesEurodollarsRepurchaseagreementsDerivativemarketsFuturesandforwardsEquitymarketsoptionsPreferredstocksswapsCommonstocksFinancialmarketsandinstrume42Lecture1IntroductiontoFinancialmarketLecture1IntroductiontoF43investmentsAninvestmentisthecurrentcommitmentofmoneyorotherresourcesintheexpectationofreceivingfuturebenefits.Realassets—assetsusedtoproducegoodsandservicesFinancialassets—claimsonrealassetsortheincomegeneratedbytheminvestmentsAninvestmentisth44FinancialAssetsRiskfreeassets---deposit,T-Bills,T-bondsRiskyassets---corporatebonds,stocks,mutualfunds,futures,optionsFinancialAssetsRiskfreeasse45CourseoutlineIntroductiontofinancialinstrumentsHowsecuritiesaretradedPortfoliotheoryMVefficientfrontierCAPMFactormodelsEmpiricaltestsonassetpricingmodelsMarketefficiencyCourseoutlineIntroductionto46CourseoutlineBondValuationBondpriceandyieldActivebondmanagementStockValuationMacroandindustryanalysisFinancialstatementanalysisStockvaluationmodelsCourseoutlineBondValuation47CourseassessmentAttendance10%Caseandpresentation30%Final-exam60%CourseassessmentAttendance1048Theimportanceoffinancialassets$Billion%totalRealassetsRealestate2287429.7%Totalrealassets1738735.9%FinancialAssetsdeposit489510.1%debt24025%institutionholdings2203845%Totalfinancialassets

3100964.1%Theimportanceoffinancialas49FunctionoffinancialmarketsChannelfundsfromsaverswhohaveexcessoffundstolenderswhohaveashortageoffundsfundsurplusunits(savings)funddeficitunits(capitalinvestment)financialintermediariesFunctionoffinancialmarketsC50ParticipantsinthefinancialmarketsHouseholdBusinesssectorGovernmentFinancialintermediariesBanksinsuranceMutualfundInvestmentbanksParticipantsinthefinancial51FunctionoffinancialmarketsAllocationofrisksShiftconsumptionovertheperiodoflifeSeparationofownershipandmanagementImproveinformationalefficiencyFunctionoffinancialmarketsA52TwofundamentalprinciplesRisk-returntrade-off:higher-riskassetprovidehigherexpectedrateofreturnthanlower-riskassetMarketEfficiency:allassetsarecorrectlypricedwithrespectedtoavailableinformationTwofundamentalprinciplesRisk53DowJonesIndustrialAverage(1900-2010)DowJonesIndustrialAverage19006819108119207319302451940150195019819606761970797198082219902732200011180201011577DowJonesIndustrialAverage(154HistoricalperformanceofFidelityFundHistoricalperformanceofFide55PeterLynch’sinvestmentrulesStayedfullyinvested(minimalcash)PickstocksbasedontheirfundamentalsEmphasizeongrowthTradefrequentlyPeterLynch’sinvestmentrules56In1965,oneshareofBerkshireHathawaywasworth$19,todayasingleshareisworth$11691,becauseofWarrenBuffett.WarrenBuffettbelievesinmakingmoney.Hebelievesinfairness.Hebelievesintheabilityofgovernmenttomakepeople’slivesbetter.Butmostofall,hebelievesinluck.

Time,January23,2012In1965,oneshareofBerkshir57對外經(jīng)濟(jì)貿(mào)易大學(xué)投資學(xué)課件58TypesofFinancialMarketsMoneymarketismarketfortradingshort-term(usuallylessthanoneyear)securities;Capitalmarketismarketfortradinglong-termsecurities.Capitalmarketincludeslong-termbondmarketandequitymarketAprimarymarketismarketinwhichnewissuesofasecurity,suchasbondorstock,aresoldtoinitialbuyers;thesecondarymarketismarketinwhichsecuritiesthathavebeenpreviouslyissuedcanberesoldTypesofFinancialMarketsMone59FeaturesoftheMoneyMarketLackofDefaultRisksHighLiquidityUsuallylargedenominationThemoneymarketissometimescalled“cashequivalents”marketFeaturesoftheMoneyMarketLa60MoneyMarketInstrumentU.S.Treasurybill(T-bill)Minimumdenominationsof$1000sellatthediscountoftheparvalueEasilyconvertedtocashLowtransactioncostMoneyMarketInstrumentU.S.Tr61UnderstandingWall-StreetquotesTreasuryBillsWhatisT-billdiscountrate,whatisT-billequivalentyield,whatistheT-billprice.Bidpriceis998.82,askpriceis998.84.MaturityDaystoMaturityBidAskChgAskYieldSep303?Dec16874.584.57?UnderstandingWall-Streetquot62T-billPriceandequivalentyieldT-billarequotedusingthebankdiscountrate.Inthisapproach,thebill’sdiscountfromparvalue,isannualizedbasedona360-dayyearThediscountrateisR=[(1000-P)/1000]*(360/n)Todeterminethebill’struemarketprice,solvefollowingequationP=1000*[1-r*(n/360)]TocalculatethetrueyieldofaTreasurybill,thediscountmustbedividedbythepriceanda365-dayyearused.bid(ask)yield=[(1000-P)/P]*(365/n)T-billPriceandequivalentyi63MoneyMarketInstrumentsCD:Acertificateofdepositisatimedepositwithabank.Thecertificatestatestheamountofthedeposit,thedateonwhichitmatures,theinterestrateandthemethodunderwhichtheinterestiscalculated.LargenegotiableCDsaregenerallyissuedindenominationsof$100,000ormore.

CDscan’tbewithdrawbeforematuritybutcanbesoldinmoneymarketbeforeitsmaturitydateMoneyMarketInstrumentsCD:A64Fixed-IncomeCapitalMarketTreasuryBond(Notes)T-notesmaturitiesrangeupto10years,T-bondsusuallymaturitiesfrom0to30yearsDenominationsof$1,000ormoreCouponpaymentmadesemiannuallyFixed-IncomeCapitalMarketTre65UnderstandingWall-StreetquotesTreasuryBondsandNotesComputethebondpricebasedonbidoraskquoteRateMaturityMo/YrBidAskChgAskyield6Aug09n100:21100:22-95.9110May05-10117:17117:21-66.24UnderstandingWall-Streetquot66UnderstandingWall-StreetquoteColonsinbidandaskquotesrepresent32nds,thus100:21means10021/32Priceisquotedasapercentageofparvalue,thus10021/32refers100.65625%ofparvalueParvalueusuallyis$1,000,sobondpriceis$1006.5625UnderstandingWall-Streetquot67CorporatebondsCorporateBonds:aninterest-bearingcertificateofdebt,issuedbycorporationMajordifferencefromT-bondisrisk,SometimescomewithoptionsattachedCallablebondsConvertiblebondsCorporatebondsCorporateBonds68UnderstandingWallStreetquoteCorporatebondisquotedinexplicitfractionsRateMaturityMo/YrCurrentyieldVolCloseNetChgATT61/2297.2%37901/2+1/4Thebondhasacouponrateof6.5%andmaturein2029,thebondIssoldat90.5%ofparvalue,whichis905Currentyield=(annualcouponincome/price)=65/905=7.2%UnderstandingWallStreetquot69MortgagesandMortgage-BackedSecuritiesAmortgage-backedsecurityiseitheranownershipclaiminapoolofmortgagesoranobligationthatissecuredbysuchapool.Mortgage-backedpass-throughsecuritieswereintroducedbytheGNMA(GovernmentNationalMortgageAssociation),whichbeartheobligationtopayeveniftheborrowerdefaults.Mortgage-backedsecuritiesmarketisthesecondlargestfixedincomesecuritymarket,largerthancorporatebondmarket,butsmallerthanTreasurymarket.MortgagesandMortgage-Backed70EquityMarketCommonstocksOwnershipinterestincompanyClassesofstocksShareholders’rightsVotingrightsRighttoresidualclaimPreemptiverighttocorporatedistributionsRighttodividendEquityMarketCommonstocks71UnderstandingWall-StreetquotesNewYorkStockExchangeCompositeTransactions52weeksYidVolNetHiLoStockSymDiv%PE100sHiLoCloseChange$5115/16181/16GatewayGTW4041512503/16491/8491/2+25/8UnderstandingWall-Streetquot72EquityMarketPreferredstocksOwnershipinterestincompanyRighttofixeddividendsLimitedvotingrightsCumulativevs.non-cumulativeEquityMarketPreferredstocks73StockMarketIndexMajorStockMarketIndexDowJonesIndustrialAverageS&P500IndexNasdaqNikkeiAverageofTokyoHengSengIndexStockMarketIndexMajorStock74Price-WeightedIndexE.gDowJonesIndustrialAverageI(T)=theindexvalueondayTD(T)=theDivisorondayT(adjustforsplit,etc)P(I,T)thepriceofstockIondayTPrice-WeightedIndexE.gDowJo75AnexampleforstocksplitSupposeDay1Day2A5055B2017C3215Indexatday1is(50+20+32)/3=34Onday2,stockChas1:2split,thedivisoris(50+20+16/34)=2.53Indexonday2is(55+17+15/2.53)=34.39Ifwritteninpercentage