投资期末复习重点资料

单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,投资期末复习资料,分析,系统风险与非系统风险,市场有效性：概念，成因，涵义,分离性质：概念，意义,资本资产定价模型：基本公式及其解释,被动投资策略：概念及其运用,计算题,两风险资产组合的收益与风险,常数增长股利贴现模型,保证金购买与卖空计算,CAPM,的基本计算应用,免税债券等价收益率的计算,论述,组合投资理论的分析思路,CAPM,的假设框架及其推导思路,基础分析的框架与要点,要求：框架完整，逻辑清晰，表达准确。,6.1 Diversification and Portfolio Risk,Firm-specific risk,Diversifiable, unique risk or nonsystematic risk,Risk that can be eliminated by diversification.,E.g. R&D, management style.,Market risk,Systematic or Nondiversifiable risk,Risk factors common to the whole economy (security market).,Business cycle, inflation rate, interest rate, exchange rate,8.1 Random Walks and the Efficient Market Hypothesis,Efficient market hypothesis,The hypothesis that prices of securities fully reflect available information about securities.,If stock price movements were,predictable,that would be damning evidence of stock market,inefficiency, because the ability to predict prices would indicate that all available information was not already impounded in stock prices.,8.1 Random Walks and the Efficient Market Hypothesis,Versions of the Efficient Market Hypothesis,Weak-form EMH,The assertion that stock prices already reflect,all information contained in the history of past trading,(Volume and price).,Semistrong-form EMH,The assertion that stock prices already reflect all publicly available information.,Strong-form EMH,The assertion that stock prices reflect,all relevant information, including inside information.,Anyone trading on information supplied by insiders is considered in,8.1 Random Walks and the Efficient Market Hypothesis,所有可获得,的信息,(,包括内幕信息,),全部公开的信息,全部交易信息,8.1 Random Walks and the Efficient Market Hypothesis,Competition as the Source of Efficiency,Investors will have an incentive to spend time and resources to analyze and uncover new information only if such activity is likely to generate higher investment returns.,Competition,(,to collect and analyze and dig new information,),among many well-backed, highly paid, aggressive analysts ensures that, stock prices ought to reflect available information regarding their proper levels.,Degree of efficiency across various markets may differ.,Emerging markets, which are less intensively analyzed than U.S. markets, may be less efficient than U.S. markets.,Small stocks, which receive less coverage by analysts, may be less efficiently priced than large ones.,8.1 Random Walks and the Efficient Market Hypothesis,Are stock prices (movements) predictable ?,Any,publicly available information,that might be used to predict stock performance, including information on the macroeconomy, the firms industry, and its operations, plans, and management,should already be reflected in stock prices.,As soon as there is any information indicating a stock is underpriced and offers a profit opportunity, investors flock to buy the stock and,immediately,bid up its price to a fair level, where again only ordinary rates of return can be expected. These “ordinary rates” are simply rates of return commensurate with the risk of the stock.,8.1 Random Walks and the Efficient Market Hypothesis,Stock prices (movements) should follow a,random walk,New information, by definition, must be unpredictable;,If it could be predicted, then that prediction would be part of todays information.,Thus, stock prices that change in response to new (unpredictable) information also must,move unpredictably.,R,andom,walk,：,The notion that stock price changes are random and unpredictable.,6.4 Efficient Diversification with Many Risky Assets,separation property,All investors will choose the same risky portfolio (,O,),no matter what their degrees of risk,aversion (,风险态度与风险资产选择无关,).,The property implies portfolio choice can be separated into two independent tasks:,(1) determination of the,optimal risky portfolio (stock selection), which is a purely technical problem, and,(2) the,personal choice,of the best mix (capital allocation),of the risky portfolio and the risk-free asset.,6.4 Efficient Diversification with Many Risky Assets,separation property,is,the theoretical basis of the mutual fund industry (why?),Although the optimal risky portfolio for different clients may vary because of portfolio constraints such as dividend yield requirements, tax considerations, or other client preferences,The (computerized) optimization technique is the easiest part of portfolio construction, the,real arena of the competition among portfolio managers is in the sophisticated security analysis,that produce,different input data,(precise predict of stock returns).,X Corp$70,50%Initial Margin,40%Maintenance Margin,1000Shares Purchased,Initial Position?,Stock $70,000 Borrowed $35,000,Equity $35,000,Buying on Margin,Stock price falls to $60 per share,New Position?,Stock $60,000 Borrowed $35,000,Equity $25,000,Margin= $25,000/$60,000 = 41.67%,Buying on Margin,Stock price rises to $80 per share,New Position?,Stock $80,000 Borrowed $35,000,Equity $45,000,Margin= $45,000/$80,000 = 56.2%,Buying on Margin,How far can the stock price fall before amargin call?,(1000P - $35,000) / 1000P = 40%,P = $58.33,Buying on Margin,Municipal Bonds,To compare yields on taxable bonds and tax-exempt bonds (municipal bonds), a,Taxable Equivalent Yield,is constructed.,6.2 Asset Allocation with Two Risky Assets,The,Three Rules,of Two-Risky-Assets Portfolios,Suppose a proportion denoted by,w,B,is invested in the,bond fund, and the remainder 1,w,B,denoted by,w,S,is invested in the,stock fund.,Rule 1: The rate of return on the portfolio is a weighted average of the returns on the component securities, with the investment proportions as weights.,r,P,=w,B,r,B,+w,S,r,S,6.2 Asset Allocation with Two Risky Assets,Rule 2: The expected rate of return on the portfolio is a weighted average of the expected returns on the component securities, with the same portfolio proportions as weights.,E,(,r,P,)=,w,B,E,(,r,B,)+,w,S,E,(,r,S,),6.2 Asset Allocation with Two Risky Assets,Rule 3: The variance of the rate of return on the two-risky-assets portfolio is,where,BS,is the correlation coefficient between the returns on the stock and bond funds.,7.1 The Capital Asset Pricing Model,EXAMPLE 7.2,：,Suppose the risk premium of the market portfolio is 9%, and we estimate the beta of Dell as,D,=1.3. The expected rate of return on Dell is the risk-free rate plus the risk premium. If the T-bill rate were 5%, the expected rate of return would be,E,(,r,D,)=,r,f,+,D,Market risk premium,=5%+1.39%,=16.7%,12.3 DIVIDEND DISCOUNT MODELS,EXAMPLE,High Flyer Industries has just paid its annual dividend of $3 per share. The dividend is expected to grow at a constant rate of 8% indefinitely.,The beta of High Flyer stock is 1.0, the risk-free rate is 6% and the market risk premium is 8%.,What is the intrinsic value of the stock?,What would be your estimate of intrinsic value if you believed that the stock was riskier,with a beta of 1.25,?,