博迪《投资学》第十版·英文版（全套讲义+课后习题答案）
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博迪投资学课后答案
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课后习题答案
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博迪投资学课后习题答案
博迪投资学第10版讲义
课后习题答案英文版
博迪《投资学》
博迪《投资学》第10版
《投资学》第10版
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Chapter Twenty Five,International Diversification,Background,By 2011, 52 countries have stock markets with a mkt. cap over $1 billion. U.S. accounts for 40% Developed countries account for 85%,Total mkt. cap of corporate equity in 2011 was $38.2 trillion (U.S. = 36.4%). Top six countries make up 64% of the world portfolio. But is this diversified enough?,Table 25.1, Market Capitalization of Stock Exchanges in Developed Countries,Table 25.2, Market Capitalization of Stock Exchanges in Emerging Markets,Background,Clearly, U.S. stocks do not comprise a fully diversified equity portfolio. International investing provides greater diversification opportunities. It also carries some special risks.,Issues,A developed stock market enriches the population (Figure 25.1). However, certain issues still remain. Home-country bias: Investors frequently overweight home-country stocks.,Figure 25.1 Per Capita GDP and Market Capitalization as Percentage of GDP,Risk Factors in International Investing,Foreign Exchange Risk Variation in return due to changes in the exchange rate. Foreign investments may yield more or less home currency than expected. A foreign investment is simultaneously an investment in an overseas asset and in a foreign currency.,Risk Factors in International Investing,Return expressed in local currency Return obtained when local currency is exchanged for home currency.,Two sources of variation or risk:,Example 25.1 Exchange Rate Risk,Suppose the risk-free rate in U.K. is 10% and the current exchange rate is $2/1. A U.S. investor with $20,000 can buy 10,000 and invest them to obtain 11,000 in one year. If the depreciates to $1.80, the investment will yield only $19, 800, a $200 loss. The investment was not risk free to a U.S. investor!,Example 25.1 Exchange Rate Risk,The equation shows that the return to the U.S. investor is: The pound-denominated return Multiplied by The exchange rate “return”,Figure 25.2 Stock Market Returns in U.S. Dollars and Local Currencies for 2010,Hedging Exchange Rate Risk,Futures or forward markets are used to hedge the risk. The U.S. investor can make a riskless dollar return either by investing in UK bills and hedging exchange rate risk or by investing in riskless U.S. assets.,Political Risk,In principle, security analysis at the macroeconomic, industry, and firm-specific level is similar in all countries. In practice, getting good information about foreign investments can be more difficult. PRS Group (Political Risk Services) assesses political risk by country.,Table 25.5 Variables used in PRSs Political Risk Score,Table 25.6 Current Risk Ratings and Composite Risk Forecasts,Table 25.7 Composite and Political Risk Forecasts,Table 25.7 Interpretation,The table captures country risk through scenario analysis. Risk stability is based on the difference in the rating between the best- and worst-case scenarios.,Table 25.8 Political Risk Points by Component,Foreign Investment Avenues,Purchase securities directly in the capital markets of other countries. American depository receipts (ADR) International mutual funds International ETFs,Risk and Return: Summary Statistics,Analysis focuses on excess returns over the risk-free rate, but differs across countries. Aggregated country-index portfolios, via value-weighted portfolios of developed and emerging markets based on mkt. cap.,Risk and Return: Summary Statistics,Are Investments in Emerging Markets Riskier?,For the overall portfolio, standard deviation of excess returns is the appropriate measure of risk. For an asset to be added to the current portfolio, beta (covariance with U.S. portfolio) is the appropriate measure of risk.,Figure 25.3 Monthly Std Deviation of Excess Returns in Developed, Emerging Markets,Figure 25.4 Index Dollar Return Beta on U.S. Stocks, 20022011,Figure 25.5 Average Dollar-Denominated Excess Returns,Average Country-Index Returns and Capital Asset Pricing Theory,Figure 25.5 shows a clear advantage to investing in emerging markets. Results are consistent with risk ranking by standard deviation, but not with ranking by beta. Beta rankings may fail because of home-country bias, which dominates international investing.,Benefits from International Diversification,Figure 25.11 International Diversification,Figure 25.13 Efficient Frontier of Country Portfolios,Are Benefits Preserved in Bear Markets?,Correlations between countries may increase in a crisis. Rolls model suggests a common factor underlying the movement of stocks around the world.,Prediction: Diversification only protects against country-specific events. What happened in 1987? In 2008?,Figure 25.14 Regional Indexes around the Crash, October 14October 26, 1987,Figure 25.15 Beta and SD of Portfolios,Three Rules of Thumb,To passively diversify your portfolio, include country indexes in order of: Market capitalization (from high to low) Beta against the U.S. (from low to high) Country index standard deviation (from high to low),Figure 25.16 Risks and rewards of international portfolios, 2000
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