资源描述
Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,11/7/2009,#,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,*,证券投资学,这门课能给我们带来什么？,这门课所属的位置,这门课的主要内容,Why do we study the theory？,Managers learn from experience how to cope with routine problems.But the best manager are also able to respond to change.To do this you need more than time-honored rules of thumb;you must understand why companies and financial markets behave the way they do.In other words,you need a theory of finance.Good theory helps you grasp what is going on in the world around you.It helps you to ask the right questions when times change and new problems must be analyzed.It also tells you what things you do not need to worry about.-Brealey and Myers,Why does not there exists any advice on“guaranteed”ways to beat the market？,Any system designed to beat the market,once known to more than a few people,carries the seeds of its own destruction.,There are two reasons for not including advice on“guaranteed”ways to beat the market in this book.,First,to do so would make a successful system public and hence unsuccessful.,Second,the authors know of such system.,This does not mean that financial analysis is useless.Although individuals should be skeptical when others tell them how to use financial analysis to beat the market,individuals can try to understand the market with the use of financial analysis.-W.Sharpe,etc.,什么是金融学(Finance),Finance is a subfield of economics distinguished by both its focus and its methodology.The primary focus of finance is the workings of the capital markets and the supply and the pricing of capital assets.The methodology of finance is the use of close substitutes to price financial contracts and instruments.This methodology is applied to value instruments whose characteristics extend across time and whose payoffs depend upon the resolution of uncertainty,.,金融学的研究领域,金融市场,宏观层面：金融框架,微观层面：定价、风险管理,公司财务,历史,H.M.Markowitz,均值-方差模型,(Mean-variance model),Harry M.Markowitz,Portfolio Selection,Journal of Finance,7(1):77-91,1952.,W.F.Sharpe,J.Lintner,J.Mossin,资本资产定价模型,Capital Asset Pricing Model,(CAPM),W.F.Sharpe,Capital Asset Prices:A Theory od Market Equilibrium Under Conditions of Risk,Journal of Finance,20(3):425-442,1964.,S.A.Ross,套利定价理论,Arbitrage Pricing Theory,(APT),S.A.Ross,The Arbitrage Theory of Capital Asset Pricing,Journal of Economic Theory,13(3):341-360,1976.,F.Modigliani M.H.Miller,Modigliani-Miller,定理,Modigliani,F.,and M.H.Miller,The Cost of Capital,Corporation Finance,and the Theory of Investment,American Economic Review,June 1958,261-297.,F.Black M.Scholes R.Merton,期权定价的Black-Scholes 公式,F.Black and M.Scholes,The Pricing of Options and Corporate Liabilities,Journal of Political Economy,81(3):637-654.,R.Merton,Theory of Rational Option Pricing,Bell Journal of Economics and Management Science,4(1):141-183.,第一章 金融市场,金融市场表面看起来似乎处于混沌状态，实际上在它的工具和市场安排上有特定的原因和规律,本章目的：讨论金融市场和机构是如何应运投资者的需求、技术和管制约束而发展的？,1.实物投资和金融投资,投资：投资者运用自己持有的资本，用来购买实际资产或金融资产，或者取得这些资产的权利，目的是在一定时期内预期获得资产增值和一定收入。,投资一般具有两个特性：,时间和风险,实资产和金融资产,实资产一般包括有形资产，例如土地、机器、厂房等,金融资产包括写在纸上的各种合约，例如股票、债券等,各自的特点,实资产代表一个经济的生产能力，决定一个社会的财富,金融资产不代表一个社会的财富，但对生产能力具有间接的作用,所有权和经营权的分离,使得资金流向具有好的投资机会的企业,代表持有者的财富,两者之间是一种互补关系，而不是替代关系,例子：房地产,金融资产的价值来源并依赖于实资产的价值,金融资产是投资者拥有实资产的方式,证券投资就是运用投资购买有价证券及其派生工具以期获得收益的一种行为。,2.,金融系统三个组成部分的需求和市场的反映,个人,如何投资证券、金融中介、金融创新、投资基金、衍生证券,需求的多样化，,风险影响的例子：30年后从北京移居青岛,税收影响的例子：印花税、资本利得税、,公司,如何融资投资银行、衍生产业,高价格、低成本,专业发行公司集团投行,发行简单证券,政府,放债 与 管制金融创新,3.投资环境,包括上市证券的种类、在哪里及如何进行证券的买卖,证券：在指定的条件下，获得将来预期利润的权利的一种法律证明,证券种类,货币市场,短期、流动性好、风险小的债券,资本市场,长期固定收益证券,股票,期权、期货及其它衍生证券,回报率与风险之间的关系,一般来说，具有高平均回报率的证券也具有高的风险,The historical variability is not necessarily an indication of prospective risk.,证券市场,一级市场,二级市场,金融中介,银行、投资公司、保险公司、信托公司,特点：,中介,集少成多,分散风险,专业化、规模经济（数量、声誉、搜集信息等）,4.投资过程,对投资的证券种类、数量、投资的时间作出决定,投资政策：决定投资的目标和投资的财富数量,投资的目标：回报和风险,证券分析：技术分析；基本分析,证券组合构造:,selectivity,timing,diversification,证券组合调整,证券组合评估：依据回报率和风险,5.证券发行市场,投资银行,证券的承销,Initial public offering(IPO),Seasoned new issues,public offering and private placement,6.证券交易市场,National and local securities exchanges,broker,dealer,over-the-account market,bid price,ask price,direct trading between two parties,定单,公司的名称,买还是卖,定单的规模,有效时间,定单的类型,定单的类型,按时间划分:,day order,open order,discretionary order,按对价格的限制划分,证券交易方式,现货交易,期货交易,信用交易,期权交易,保证金购买(Margin purchase),预期证券价格将上涨时利用该策略,初始保证金(initial margin requirement),实际保证金(actual margin),盯市(marked to the market),维持保证金(maintenance margin),利用金融杠杆,回报率,卖空,预期证券价格将下跌时利用该策略,初始保证金(initial margin requirement),实际保证金(actual margin),盯市(marked to the market),维持保证金(maintenance margin),回报率,卖空前,X Brock,Inc Mr.Lane,红利，年报,选举权,红利，年报,选举权,卖空,Mr.Jones,X Brock,Inc Mr.Lane,Ms.Smith,红利，年报,选举权,红利，年报,选举权,接受,股票,支付,价格,提供,初始,保证金,卖空后,Mr.Jones,X Brock,Inc Mr.Lane,Ms.Smith,红利，年报,年报,提供,现金,支付,红利,红利,年报,选举权,7.股票价格指数,股票价格指数的作用,股票价格指数的主要计算方法,价格加权平均指数price-weighted average index,市值加权平均指数market-value-weighted index,世界几种重要股票价格指数,道琼斯股票价格指数,标准和普尔股票价格综合指数,纽约证券交易所的股票综合指数,伦敦金融时报的股票价格指数,日本经济新闻道式股票指数,香港恒生股票指数,中
展开阅读全文