經(jīng)濟學金融技術分析

WhatisanInvestment“AnInvestmentisthecurrentcommitmentofmoneyorotherresourcesintheexpectationofreapingfuturebenefits”RealAssetsVersusFinancialAssetsRealAssetsAssetsusedtoproducegoodsandservices(land,buildings,machine,knowledgeorpatentsetc.)FinancialAssetsClaimsonrealassets(Stocks,Bondsetc.) ThesuccessandfailureoffinancialassetswechoosetopurchaseultimatelydependontheperformanceoftheunderlyingrealassetsTypesFinancialAssetsFixedincomeordebtMoneymarketinstrumentsBankcertificatesofdepositCapitalmarketinstrumentsBondsCommonstockorequityDerivativesecuritiesAllocationvs.SelectionAssetallocationChoiceamongbroadassetclassesChoiceofsectorwithinaparticularassetclassSecurityselectionChoiceofwhichsecuritiestoholdwithinassetclassActivevs.PassiveManagementActiveManagementFindingmispricedsecuritiesTimingthemarketPassiveManagementNoattempttofindundervaluedsecuritiesNoattempttotimethemarketHoldingahighlydiversifiedportfolioRiskandReturnTrade-off“No-FreeLunchProposition”Primaryvs.SecondaryMarketNewissuesofsecuritiesareofferedtothepublicintheprimarymarket.IPOs–InitialPublicOfferingsPreviouslyissuedsecuritiesarethentradedinthesecondarymarketMarketTrendsAmericanDepositoryReceipts(ADRs)ForeignsecuritiesofferedindollarsMutualfundsthatinvestinternationallyInstrumentsandvehiclescontinuetodevelop(WEBs)ExchangeTradedFunds(ETFs)RecentTrends—SecuritizationMortgagepass-throughsecuritiesOtherpass-througharrangementsCar,student,homeequity,creditcardloansOffersopportunitiesforinvestorsandoriginatorsRecentTrends—FinancialEngineeringUseofmathematicalmodelsandcomputer-basedtradingtechnologytosynthesizenewfinancialproductsBundlingandunbundlingofcashflowsRecentTrends—ComputerNetworksOnlineinformationdisseminationInformationismadecheaplyandwidelyavailabletothepublicAutomatedtradecrossingDirecttradingamonginvestorsTEDSpreadThespreadbetweenLIBORrate(BankborrowingRate)andT-Bill(U.S.Gov’tborrowingRate)isameasureofcreditriskinthemarketplace.TheFinancialCrisisWorldfinancialmarketshavesufferedverylarge,across-theboarddeclinesinvalue.UnprecedenteddeclinesinresidentialpropertyvalueshavebeenexperiencedinmanycountriesThebankingsystemsofmostWesterncountrieshavebeenincompletedisarray,requiringhugegovernmentinterventionsAglobalrecessionisongoing,withlargenegativeeffectsimpactingemployment,tradeandgovernmentrevenuesPreviouslyactivemarketsinsecuritizeddebt,andrelatedcreditrisktransferinstruments,havegroundtoahaltCHAPTER2AssetClassesandFinancialInvestmentsTwoSegmentsofFinancialMarketsMoneymarket–Short-term,marketable,liquid,low-riskdebtsecurities.(cashorcashequivalents)Capitalmarket–Longer-termriskiersecuritiesI)TheMoneyMarketInstrumentsU.S.T-Billsarethemostmarketableofallmoneymarketinstruments.InvestorsbuythebillsatadiscountfromstatedmaturityrateACertificateofdepositCDisatimedepositatabankCommercialPaperareshort-termunsecureddebtnoteissuesbylargecompanies.Banker’sacceptanceareanordertoabankbyabank’scustomertopayinafuturedatetypically6months.Repos–repurchaseagreements,usuallyovernightborrowingFedFunds–bankdepositsattheFederalReservebankTheMoneyMarketInstrumentsEurodollardepositsaredollar-denominateddepositsatforeignbanksorforeignbranchesofAmericanbanks.Broker’scallaretheratepaidonmarginaccountsLIBOR–RateatwhichthebankslendamongthemselvesFigure2.2TheSpreadbetween3-monthCDandTreasuryBillRatesIICapitalMarketLong-termBondiscomposedoflongertermborrowingordebtinstrumentsthanthosethattradeinthemoneymarketEquitySecuritiesrepresentownershipsharesinacorporation(CommonStocks)MarketIndicesvariouscompositesofbondsandstocksDerivativesinstrumentsprovidepayoffsthatdependonthevaluesofotherassetssuchascommodityprices,bondandstockprices,ormarketindexvalue.Theirvaluesderivefromthevalueofotherassets1)TheLong-termBondMarketTreasuryNotesandBonds-IssuedbytheU.S.GovernmentInflation-ProtectedTreasuryBondsTIPS–provideaconstantstreamofincomeinreal(inflationadjusted)dollarsFederalAgencyDebt–IssuedbygovernmentagenciesInternationalBonds-bondsdenominatedincurrencyotherthanthatofthecountrywhichitisissuedMunicipalBonds-IissuedandlocalgovernmentsCorporateBonds–IssuedbycorporationMortgagesandMortgage-BackedSecurities-ownershipclaiminapoolofmortgagesorobligations.TreasuryNotesandBondsMaturitiesNotes–maturitiesupto10yearsBonds–maturitiesinexcessof10years30-yearbondParValue-$1,000Quotes–percentageofparU.S.TreasurySnapshotFederalAgencyDebtMajorissuersFederalHomeLoanBankFederalNationalMortgageAssociationGovernmentNationalMortgageAssociationFederalHomeLoanMortgageCorporationMunicipalBondsIssuedbystateandlocalgovernmentsTypesGeneralobligationbondsRevenuebondsIndustrialrevenuebondsMaturities–rangeupto30yearsMunicipalBondYieldsInterestincomeonmunicipalbondsisnotsubjecttofederalandsometimesnottostateandlocaltaxTocompareyieldsontaxablesecuritiesaTaxableEquivalentYieldisconstructedTable2.2EquivalentTaxableYieldsCorrespondingtoVariousTax-ExemptYieldsTaxExemptYield=TaxableYield*(1–TaxRate)InternationalBondsAEurobondisabonddenominatedinacurrencyotherthanthatofthecountryinwhichitisissue.AdollardenominatedbondsoldinUKwouldbecallaEurodollarbond.(NorelationtoEurocurrency).AYankeebondisdollardenominatedbondsoldintheU.S.byanonU.S.issuer.ASamuraibondareyendenominatedbondsoldinJapanbynonJapaneseissuers.CorporateBondsIssuedbyprivatefirmsSemi-annualinterestpaymentsSubjecttolargerdefaultriskthangovernmentsecuritiesOptionsincorporatebondsCallableConvertibleDevelopedinthe1970stohelpliquidityoffinancialinstitutionsProportionalownershipofapooloraspecifiedobligationsecuredbyapoolMarkethasexperiencedveryhighratesofgrowthMortgagesandMortgage-BackedSecuritiesCommonstockResidualclaimLimitedliabilityPreferredstockFixeddividends-limitedPriorityovercommonTaxtreatmentDepositoryreceipts2)EquitySecuritiesThereareseveralbroadlybasedindexescomputedandpublisheddailyThereareseveralindexesofbondmarketperformance3)MarketIndexesDowJonesIndustrialAverageIncludes30largeblue-chipcorporationsComputedsince1896Price-weightedaverageExample2.2Price-WeightedAveragePortfolio:Initialvalue$25+$100=$125 Finalvalue$30+$90=$120Percentagechangeinportfoliovalue=5/125=-.04=-4%Index:Initialindexvalue(25+100)/2=62.5 Finalindexvalue(30+90)/2=60 Percentagechangeinindex-2.5/62.5=-.04=-4%Broadlybasedindexof500firmsMarket-value-weightedindexIndexfundsExchangeTradedFunds(ETFs)Standard&Poor’sIndexesOtherU.S.Market-ValueIndexesNASDAQCompositeNYSECompositeWilshire5000ForeignandInt’lStockMarketIndexesNikkei(Japan)FTSE(FinancialTimesofLondon)Dax(Germany)MSCI(MorganStanleyCapitalInternational)HangSeng(HongKong)TSX(Canada)ForeignandInt’lStockMarketIndexesGlobalEquityMarketSnapshot4)DerivativesMarketsOptionsBasicPositionsCall(Buy)Put(Sell)TermsExercisePriceExpirationDateAssetsFuturesBasicPositionsLong(Buy)Short(Sell)TermsDeliveryDateAssetsFigure2.10TradingDataonIntelOptionsOpenInterestisthetotalnumberofoptionscontractsthatarenotclosedordeliveredonaparticularday.

Figure2.10ListingofCornFuturesContractsCHAPTER3HowSecuritiesareTradedHowFirmsIssueSecuritiesPrimaryNewissueKeyfactor:issuerreceivestheproceedsfromthesaleSecondaryExistingownersellstoanotherpartyIssuingfirmdoesn’treceiveproceedsandisnotdirectlyinvolvedHowFirmsIssueSecuritiesContinuedInvestmentBankingShelfRegistrationPrivatePlacementsInitialPublicOfferings(IPOs)

InvestmentBanking

Underwritten:firmcommitmentonproceedstotheissuingfirmRedherringProspectusFigure3.1RelationshipAmongaFirmIssuingSecurities,theUnderwritersandthePublicShelfRegistrationsSECRule415Introducedin1982Readytobeissued–ontheshelfSaletoalimitednumberofsophisticatedinvestorsnotrequiringtheprotectionofregistrationAllowedunderRule144ADominatedbyinstitutionsVeryactivemarketfordebtsecuritiesNotactiveforstockofferingsPrivatePlacementsInitialPublicOfferingsProcessRoadshowsBookbuildingUnderpricingPostsalereturnsCosttotheissuingfirmFigure3.2AverageInitialReturnofIPOsFigure3.3Long-termRelativePerformanceofInitialPublicOfferingsHowSecuritiesareTradedTypesofMarketsDirectsearchLeastorganizedBrokeredTradinginagoodisactiveDealerTradinginaparticulartypeofassetincreasesAuctionMostintegratedTypesofOrdersMarket—executedimmediatelyBidPriceAskPricePrice-contingentInvestorsspecifypricesStopordersFigure3.5Price-ContingentOrdersTradingMechanismsDealermarketsElectroniccommunicationnetworks(ECNs)SpecialistsmarketsU.S.SecurityMarketsNasdaqandNYSEhaveevolvedinresponsetonewinformationtechnologyBothhaveincreasedtheircommitmenttoautomatedelectronictradingNasdaqNationalMarketSystemNasdaqSmallCapMarketLevelsofsubscribersLevel1–insidequotesLevel2–receivesallquotesbuttheycan’tenterquotesLevel3–dealersmakingmarketsTable3.1PartialRequirementsforListingonNASDAQMarketsNewYorkStockExchangeMemberfunctionsCommissionbrokersFloorbrokersSpecialistsBlockhousesTable3.2SomeInitialListingRequirementsfortheNYSETable3.3BlockTransactionsonthe

NewYorkStockExchangeOtherSystemsElectronicCommunicationNetworksPrivatecomputernetworksthatdirectlylinkbuyerswithsellersNationalMarketSystemSecuritiesActofAmendmentsof1975BondTradingAutomatedBondSystem(ABS)MarketStructureinOtherCountriesLondon-predominatelyelectronictradingEuronext–marketformedbycombinationoftheParis,AmsterdamandBrusselsexchangesTokyoStockExchangeGlobalizationandconsolidationofstockmarketsFigure3.6MarketCapitalizationofMajorWorldStockExchanges,2008TradingCostsCommission:feepaidtobrokerformakingthetransactionSpread:costoftradingwithdealerBid:pricedealerwillbuyfromyouAsk:pricedealerwillselltoyouSpread:ask-bidCombination:onsometradesbotharepaidBuyingonMarginUsingonlyaportionoftheproceedsforaninvestmentBorrowremainingcomponentMarginarrangementsdifferforstocksandfuturesStockMarginTradingMarginiscurrently50%;youcanborrowupto50%ofthestockvalueSetbytheFedMaintenancemargin:minimumamountequityintradingcanbebeforeadditionalfundsmustbeputintotheaccountMargincall:notificationfrombrokerthatyoumustputupadditionalfundsMarginExampleMarginExampleMarginTrading-MarginCallExample3.2Table3.4IllustrationofBuyingStock

onMarginShortSalesPurpose:toprofitfromadeclineinthepriceofastockorsecurityMechanicsBorrowstockthroughadealerSellitanddepositproceedsandmargininanaccountClosingouttheposition:buythestockandreturntothepartyfromwhichiswasborrowedShortSale–ExampleShortSale-MaintenanceMarginShortSale-MarginCallRegulationofSecuritiesMarketsMajorregulationsSecuritiesActof1933SecuritiesActof1934SecuritiesInvestorProtectionActof1970Self-RegulationStockmarketsarelargelyself-regulatingRegulationSecuritiesMarketsContinuedRegulatoryResponsestoRecentScandalsPublicCompanyAccountingOversightBoardFinancialexpertstoserveonauditcommitteesofboardsofdirectorsCEOsandCFOspersonallycertifyfirms’financialreportsBoardsmusthaveindependentdirectorsSarbanes-OxleyActInsiderTradingOfficers,directors,majorstockholdersmustreportalltransactionsinfirm’sstockInsidersdoexploittheirknowledgeLeakageofusefulinformationtosometradersCHAPTER4MutualFundsandOtherInvestmentCompaniesInvestmentCompaniesThesecompaniesperformseveralimportantfunctionsforinvestors:Administration&recordkeepingDiversification&divisibilityProfessionalmanagementReducedtransactioncostsNetAssetValueUsedasabasisforvaluationofinvestmentcompanysharesSellingnewsharesRedeemingexistingsharesCalculation MarketValueofAssets-Liabilities SharesOutstandingTypesofInvestmentCompaniesUnitTrustsManagedInvestmentCompaniesOpen-EndOpen-end:sharesoutstandingchangewhennewsharesaresoldoroldsharesareredeemedPricedatNetAssetValue(NAV)Closed-EndnochangeinsharesoutstandingunlessnewstockisofferedPricedatPremiumordiscounttoNAVTypesofInvestmentCompaniesOtherinvestmentorganizationsCommingledfundsREITsHedgeFundsMutualFunds—InvestmentPoliciesMoneyMarketEquitySectorBondBalancedAssetAllocationandFlexibleIndexInternationalHowFundsAreSoldDirect-marketedfundsSalesforcedistributedRevenuesharingonsalesforcedistributedPotentialconflictsofinterestFinancialSupermarketsCostsofInvestinginMutualFundsFeeStructureOperatingexpensesFront-endloadBack-endload12b-1chargesdistributioncostspaidbythefundAlternativetoaload

FeesandMutualFundReturns

FeesandMutualFundReturns:

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