《国际投资英》PPT课件

Francis & Ibbotson,Chapter 1: The Investment Setting,1,Chapter 1,The Investment Setting,Francis & Ibbotson,Chapter 1: The Investment Setting,2,What is Investing?,Criteria used to determine whether an investment of money is investing or something else, including: Is it short-term or long-term? Is it productive or unproductive? Is it legal or illegal? Is it rational or irrational?,Francis & Ibbotson,Chapter 1: The Investment Setting,3,Gambling vs. Speculating,Gambling occurs when Outcome is determined very quickly (a roll of the dice, for instance) A source of entertainment Outcome is not based on an economic endeavor, but, rather, random outcomes Creates risk without expectation of economic benefit Speculation occurs when An asset is purchased with hope that price will rise rapidly, leading to quick profit Not based on random outcomes Example: Buying an IPO of a stock on the first day hoping to sell it in several days at a higher price,Francis & Ibbotson,Chapter 1: The Investment Setting,4,Assets of Choice,Major asset classes include Primary securities such as common and preferred stock, government bonds, corporate bonds, Treasury bills, commercial paper Derived instruments such as mutual funds, put and call options, forward and futures contracts Physical assets such as houses, land, buildings, diamonds, gold,Francis & Ibbotson,Chapter 1: The Investment Setting,5,Other Issues,Large international corporations have their securities traded somewhere in the world 24 hours a day While other areassuch as China and Africa have a larger population than the U.S., the U.S. has the highest Gross National Product (GNP) a measure of a nations income However, when allocating a countrys GNP across the countrys population, the U.S. ranks 6th But after adjusting for each countrys cost of living, the U.S. ranks 2nd behind Luxembourg,Francis & Ibbotson,Chapter 1: The Investment Setting,6,The Worlds Equity Capital,Worlds equity capital is concentrated in North America, western and central Europe and the Pacific Rim (mostly Japan),Because market prices are rather volatile, this situation can change rapidly. For instance, from 1989-1990 Japans stock market was worth more than the U.S. stock market.,Francis & Ibbotson,Chapter 1: The Investment Setting,7,The Worlds Bond Market,Francis & Ibbotson,Chapter 1: The Investment Setting,8,The Worlds Bond Market,Francis & Ibbotson,Chapter 1: The Investment Setting,9,Worlds Real & Human Capital,Value of worlds real assets financial assets Worlds human capital greatly exceeds combined worlds real and financial capital Income from human capital is 80% of the worlds income Human capital represents the stock of ideas and information possessed by humans For instance, the capital contained within a tool doesnt come from the tool itself, but from the knowledge of how to build and use the tool,Francis & Ibbotson,Chapter 1: The Investment Setting,10,The U.S. Financial Markets,Residential real estate is one of the larger investments made by U.S. citizens. However, this may change in the future.,Francis & Ibbotson,Chapter 1: The Investment Setting,11,U.S. Equity Investors,Individual investors Over 50 million in the U.S. Typically own only a few stocks with aggregate value of $15,000 Have a small impact on U.S. equities market Mostly amateurs who play the market Institutional investors Include pension funds, mutual funds, life insurance companies, commercial bank trust departments, etc. In 1998 controlled 60% of market value of U.S. equities with individual investors controlling remainder Households own much of the money managed by institutional investors Frequently buy shares in blocks of 10,000 or more Block trades account for 51% of volume on NYSE,Francis & Ibbotson,Chapter 1: The Investment Setting,12,U.S. Market for Bonds,Francis & Ibbotson,Chapter 1: The Investment Setting,13,The Bottom Line,In determining whether a gamble, a speculation or an investment has occurred, it is useful to examine the length of the holding period Even though there are millions of individual investors, their impact on the U.S. equities market is small Institutional investors (such as pension funds, insurance companies, mutual funds) have a much greater impact on the U.S. markets,Francis & Ibbotson,Chapter 1: The Investment Setting,14,Appendix: Opportunities and Salaries in Investments,Francis & Ibbotson,Chapter 2: Rates of Return,15,Chapter 2,Rates of Return,Francis & Ibbotson,Chapter 2: Rates of Return,16,Background,Investors want to maximize their returns (or wealth) Chapter discusses The calculation of a return Historical returns offered by different types of investments,Francis & Ibbotson,Chapter 2: Rates of Return,17,The Investors Goal,Goal is to maximize what is earned relative to the amount put into an investment Maximize either the Rate of return,Investments terminal value,Equivalent,Francis & Ibbotson,Chapter 2: Rates of Return,18,The Investors Goal,Some claim wealth-maximizing investors are performing harmful greedy activities Law abiding wealth maximization is beneficial to both investor and general population Seek out securities issued by firms producing high quality goods and services Capital is used to benefit general population Investors can request management actions at stockholder meetings Helps nation compete internationally Creates new job opportunities,Francis & Ibbotson,Chapter 2: Rates of Return,19,Ethics Box: The Need for Ethics in Investment,Some level of ethics is necessary Ethics concerned with standards of right and wrong Concepts of trust and fairness are relevant to investments Investors trust investment firms to act in their best interest and to safeguard their assets Fairness means a level playing field and the absence of fraud Decreasing information asymmetry increases efficiency and fairness An investment professional should Be loyal Act with due care Keep information confidential Avoid conflicts of interest,Francis & Ibbotson,Chapter 2: Rates of Return,20,The One-Period Rate of Return,Rate of return measures change in an investors wealth over time Measures the success or failure of the investment Measures holding period return Defined as,Francis & Ibbotson,Chapter 2: Rates of Return,21,Examples: One Period Return,You purchased one share of Coca-Cola one year ago for $54. You sold it today for $64, and you received dividends of $0.80 during the year Your income from dividends = 80 Your capital gain is $10 ($64 - $54) Your return is $10.80 $54 = 20%,Francis & Ibbotson,Chapter 2: Rates of Return,22,Examples: One Period Return,You purchased a U.S. T-bond for $900. One year later you sold the bond for $910. You received $35 in interest during the year. Your rate of return is,You bought a six-month T-bill for $9,800 with a maturity value of $10,000. After the bond matures your six-month return is,Since there are two six-month periods in one year, your annual return is 1.02042 1 = 1.0412 1 = 4.12%,Francis & Ibbotson,Chapter 2: Rates of Return,23,Figure 2-1:Wealth Indices for Average U.S. Investments in Different Asset Classes Compared to Inflation, 1926-99,If you had invested $1 on December 31, 1925 in each of the following, you would have,In some years inflation exceeds T-bill returnsleading to a drop in purchasing power for T-bill investors.,Small company stocks are the most risky, but offer the highest return.,T-bills are the least riskysmoothest growth path, but lowest return.,Francis & Ibbotson,Chapter 2: Rates of Return,24,Table 2-1:Average Annual Rate of Return and Risk Statistics for Asset Classes and Inflation in the U.S., 1926-99,Francis & Ibbotson,Chapter 2: Rates of Return,25,Realized One-Period Rates of Return,We can calculate one period rates of change for the indexes,Includes dividends, coupon interest on bonds,Francis & Ibbotson,Chapter 2: Rates of Return,26,Average Rates of Return,Arithmetic mean return (AMR) measures average historical one-period rates of return,Compound average rate of return, or geometric mean return (GMR) is,AMR GMR because compound interest grows more rapidly than simple interest,Francis & Ibbotson,Chapter 2: Rates of Return,27,Example: Average Rates of Return,A three-year investment earned the following annual returns:,If you placed $100 in this investment at the beginning of year 1, at the end of the third year it would be worth $100 (1.0428)3 = $113.40,Francis & Ibbotson,Chapter 2: Rates of Return,28,Assessing Risk,An asset is riskier if Its one-period rates of return fluctuate over a wide range Such as small company stocks Measures of risk include Variancethe average of squared deviations from AMR,Standard deviationsquare root of variance,Both measure total risk,Francis & Ibbotson,Chapter 2: Rates of Return,29,Example: Variance & SD,Calculate the variance and standard deviation of the previous example,Francis & Ibbotson,Chapter 2: Rates of Return,30,Risk Rankings,Both standard deviation and variance result in the same risk rankings Advantages of standard deviation Considers every outcome Unlike range which only considers high and low values Well known by statisticians Programmed into calculators and software Measures the wideness of probability distributions Measure of dispersion around arithmetic mean Also widely used in mathematics, econometrics, etc.,Francis & Ibbotson,Chapter 2: Rates of Return,31,Interpreting Historical Return and Risk,Examining the historical returns and risk leads to the following observations: Large company common stocks Earn higher returns than bonds If a firm is declared bankrupt, all creditors are paid in full before common stockholders receive any proceeds Common stockholders usually receive nothing which makes it more risky than debt Stockholders demand a higher average rate of return,Francis & Ibbotson,Chapter 2: Rates of Return,32,Interpreting Historical Return and Risk,Small company stocks Earned highest returns of all other investments But, riskier than any of the other investments The percentage of small firms declared bankrupt is greater than the percentage of large firms Investors require a higher rate of return for investing in a small firm Long-term corporate bonds Bonds issued by the U.S. Treasury are unlikely to be defaulted However, bonds issued by corporations are more likely to be defaulted,Francis & Ibbotson,Chapter 2: Rates of Return,33,Interpreting Historical Return and Risk,Long-term U.S. Treasury bonds Mature about 20 years from initial offering date Involve no default risk Intermediate-term U.S. Treasury Bonds Mature about 5 years after issue date Experience smaller price fluctuations than long-term U.S. Treasury bonds U.S. Treasury bills Mature in less than one year No horizon premium necessary U.S. Treasury is unlikely to default No default premium needed AKA risk-free assets Probably no other security in world with less risk,Francis & Ibbotson,Chapter 2: Rates of Return,34,Interpreting Historical Return and Risk,Opportunity cost What it could earn in its highest paying alternative use Example: The opportunity cost of attending college includes foregone wages Less obvious expenses than out-of-pocket expenses Example: The opportunity cost of holding cash rather than investing in large company stocks was 13.3% a year,Francis & Ibbotson,Chapter 2: Rates of Return,35,Required Rate of Return,Should only invest if you expect to earn a return greater than your cost of capital Interest expense paid for borrowed funds Cash dividend payment paid to stockholders Opportunity costs AKA required rate of return Minimum rate of return an investment must earn to increase investors wealth RRR r leads to a wealth decrease,Francis & Ibbotson,Chapter 2: Rates of Return,36,Combining Risk Premiums To Compute Required Rate of Return,Francis & Ibbotson,Chapter 2: Rates of Return,37,Combining Risk Premiums To Compute Required Rate of Return,Francis & Ibbotson,Chapter 2: Rates of Return,38,The Largest Investors in the World,U.S. pension funds are the largest investors in the world Hire professional money managers Owners/sponsors of largest pensions,Francis & Ibbotson,Chapter 2: Rates of Return,39,The Largest Investors in the World,Firms hired to manage pension assets include,Francis & Ibbotson,Chapter 2: Rates of Return,40,Ethics and Pension Funds,Managers of defined benefit plans (guarantee fixed income in retirement) Have duty to maintain sufficient funds for future obligations Some funds become overfunded Should these funds be allowed to divest excess funds? Managers of defined contribution plans (employee and employer contributions accumulate in individual accounts) Must offer at least three different funds Must seek to maximize risk-adjusted return Have a fiduciary duty to vote funds stock solely in beneficiaries interests,Francis & Ibbotson,Chapter 2: Rates of Return,41,The Bottom Line,Investors wish to maximize their wealth (return) over the long-run Arithmetic mean is not a compounded return like the geometric mean AMR GMR Realized returns represent historical data Investors desire investments with an expected return greater than their required rate of return or hurdle rate,Francis & Ibbotson,Chapter 3: Introduction to Valuation,42,Introduction to Valuation,Chapter 3,Francis & Ibbotson,Chapter 3: Introduction to Valuation,43,Background,Determining current price of a security is easy Ask the seller Look in newspaper, television, Internet Much more difficult to determine the value of an investment How much is an investment worth? Need to know so you can determine if the investment is over- or under-valued Chapter presents the discounted present value model to estimate value of an investment Demonstrates examples of valuing stock, bond and rental property,Francis & Ibbotson,Chapter 3: Introduction to Valuation,44,Background,Security price fluctuations may appear chaotic Responses to markets reaction to random arrival of new information When you buy or sell a security you are part of market Hedging is a technique that reduces risk One form of hedging is arbitrage Aligns prices with respect to law of one price Informed buying, selling, hedging and arbitrage tends to make a securitys price move closer to its value,Francis & Ibbotson,Chapter 3: Introduction to Valuation,45,Time Value of Money,One-period rate of return,Rearranging this equation gives us the time value model,The two models are equivalent because The interest rate on the investment equals lenders one-period rate of return The present value of an investment is,Francis & Ibbotson,Chapter 3: Introduction to Valuation,46,Time Value of Money,If the rate of return differs from the discount rate, we can rewrite the equation as,Situations in which the discount rate (k) differs from the rate of return (r) are common Different people have different opinions, different resources, etc. If k E(r) asset is over-priced Present value of asset its price,Francis & Ibbotson,Chapter 3: Introduction to Valuation,47,An Exchange,Francois deposits 100 euros in a French bank He receives a negotiable CD with a maturity value of 105 euros Expects to earn 5% a year for one year An American has a required rate of return of 3% Economic conditions are not the same in U.S. as they are in France You and Francois are not concerned with exchange rate risk Believe that exchange rate will remain constant over the next year,Francis & Ibbotson,Chapter 3: Introduction to Valuation,48,An Exchange,Francois values the CD at,You decide to offer to buy Francois CD today What price are you willing to pay?,Will Francois be willing to sell? Yes, because it is worth only 100 to him He would get more than he thinks it is worth Are both parties pleased with the transaction? Yes!,Francis & Ibbotson,Chapter 3: Introduction to Valuation,49,Valuing Coca-Cola at Different Discount Rates,Coca-Cola (ticker symbol: KO) is currently selling for $54 You expect the selling price in one year to be $64 and that KO will pay $0.80 in dividends during the year Based on that information, your expected rate of return would be,Francis & Ibbotson,Chapter 3: Introduction to Valuation,50,Valuing Coca-Cola at Different Discount Rates,If your required rate of return were 19%, you would think that KO was underpriced at $54,The most you are willing to pay, which is greater than the current price of $54.,If your required rate of return were 20%, you would think that KO was correctly priced at $54,Francis & Ibbotson,Chapter 3: Introduction to Valuation,51,Valuing Coca-Cola at Different Discount Rates,If your required rate of return were 21%, you would think that KO was over-priced at $54,The most you are willing to pay, which is less than the current price of $54.,Francis & Ibbotson,Chapter 3: Introduction to Valuation,52,Time Value of Money: Multi-Period Models,Present value model can value investments that span multiple time periods,Since some cash flows can be expected to last forever, sometimes the terminal time period is infinity,The value of a cash flow series is the discounted present value of all future cash flows Where the discount rate, k, represents the cash flows appropriate required rate of return,Francis & Ibbotson,Chapter 3: Introduction to Valuation,53,Time Value of Money: Multi-Period Models,Cash flows can be Cash dividends Coupon interest Rent income from real estate Assets selling price, etc.,Francis & Ibbotson,Chapter 3: Introduction to Valuation,54,Example: PV of a Bond,Bond investors receive periodic coupon payments and a principal repayment upon maturity For a three-year T-note this can be represented as,Francis & Ibbotson,Chapter 3: Introduction to Valuation,55,Example: PV of a Bond,The discount rate is the rate that equates the PV of all future cash flows to the bonds current market value Yield to maturity Par value represents the principal, or face value, of the bond Coupon represent the periodic interest payment Coupon % par value,Francis & Ibbotson,Chapter 3: Introduction to Valuation,56,Example: PV of a Bond,If the bond has a coupon rate of 6%, a yield to maturity of 5.5%, and a par value of $1,000 the bonds present value is,If the bond can be purchased for less than this amount it is a good investment.,Francis & Ibbotson,Chapter 3: Introduction to Valuation,57,Present Value of a Perpetuity,Perpetual investments pay fixed cash flows forever No principal repayment Similar to buying a perpetual annuity that can be sold to another owner Perpetuities are valued using the following formula,Francis & Ibbotson,Chapter 3: Introduction to Valuation,58,Example: Valuing a Consol,A Consol is a bond that pays a constant coupon to infinity with no repayment of principal You are considering investing in a Consol with a yield to maturity of 5.9% The bond pays an annual coupon of 70 What price would you be willing to pay for the bond?,Most you are willing to pay.,Francis & Ibbotson,Chapter 3: Introduction to Valuation,59,Example: Estimating Value of Stock,You are considering purchasing stock You think you should earn a required rate of return of 14.5% based on the stocks risk level You expect to sell the stock for $40 in two years You expect to receive $2 in cash dividends each year for the next 2 years What is the most you would be willing to pay for the stock?,Francis & Ibbotson,Chapter 3: Introduction to Valuation,60,Example: Stock With Constant Perpetual Growth Rate,You are considering purchasing stock in a large corporation with the following attributes The current price of the stock is $51.50 You believe the current dividend of $3 will grow at a 3% rate in the foreseeable future You think 13% is a fair discount rate for stock of its risk level What is the most you would be willing to pay for the stock?,You should decide to not purchase the stock because it is priced far above the maximum you are willing to pay.,Francis & Ibbotson,Chapter 3: Introduction to Valuation,61,Example: Estimating Value of Perpetual Preferred Stock,The current market price of a share of preferred stock is $50 The stock pays an annual cash dividend rate