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ISBN 9780073530703 Author Bodie Kane Marcus Title Investments 9e Front endsheets Color 4c Pages 2 3 Less managing More teaching Greater learning STUDENTS GET Easy online access to homework tests and quizzes assigned by your instructor Immediate feedback on how you re doing No more wishing you could call your instructor at 1 a m Quick access to lectures practice materials eBook and more All the material you need to be successful is right at your fi ngertips A Self Quiz and Study tool that assesses your knowledge and recommends specifi c readings supplemental study materials and additional practice work Available with select McGraw Hill titles With McGraw Hill s Connect Plus Finance INSTRUCTORS GET Simple assignment management allowing you to spend more time teaching Auto graded assignments quizzes and tests Detailed Visual Reporting where student and section results can be viewed and analyzed Sophisticated online testing capability A fi ltering and reporting function that allows you to easily assign and report on materials that are correlated to accreditation standards learning outcomes and Bloom s taxonomy An easy to use lecture capture tool The option to upload course documents for student access With McGraw Hill s Connect Plus Finance Would you like your students to show up for class more prepared Let s face it class is much more fun if everyone is engaged and prepared Want an easy way to assign homework online and track student progress Less time grading means more time teaching Want an instant view of student or class performance No more wondering if students understand Need to collect data and generate reports required for administration or accreditation Say goodbye to manually tracking student learning outcomes Want to record and post your lectures for students to view online Want to get better grades Who doesn t Prefer to do your homework online After all you are online anyway Need a better way to study before the big test A little peace of mind is a good thing STUDENTS INSTRUCTORS finance ISBN 9780073530703 Author Bodie Kane Marcus Title Investments 9e Front endsheets Color 4c Pages 2 3 Less managing More teaching Greater learning STUDENTS GET Easy online access to homework tests and quizzes assigned by your instructor Immediate feedback on how you re doing No more wishing you could call your instructor at 1 a m Quick access to lectures practice materials eBook and more All the material you need to be successful is right at your fi ngertips A Self Quiz and Study tool that assesses your knowledge and recommends specifi c readings supplemental study materials and additional practice work Available with select McGraw Hill titles With McGraw Hill s Connect Plus Finance INSTRUCTORS GET Simple assignment management allowing you to spend more time teaching Auto graded assignments quizzes and tests Detailed Visual Reporting where student and section results can be viewed and analyzed Sophisticated online testing capability A fi ltering and reporting function that allows you to easily assign and report on materials that are correlated to accreditation standards learning outcomes and Bloom s taxonomy An easy to use lecture capture tool The option to upload course documents for student access With McGraw Hill s Connect Plus Finance Would you like your students to show up for class more prepared Let s face it class is much more fun if everyone is engaged and prepared Want an easy way to assign homework online and track student progress Less time grading means more time teaching Want an instant view of student or class performance No more wondering if students understand Need to collect data and generate reports required for administration or accreditation Say goodbye to manually tracking student learning outcomes Want to record and post your lectures for students to view online Want to get better grades Who doesn t Prefer to do your homework online After all you are online anyway Need a better way to study before the big test A little peace of mind is a good thing STUDENTS INSTRUCTORS finance ISBN 9780073530703 Author Bodie Kane Marcus Title Investments 9e Front endsheets Color 4c Page 4 Insert Want an online searchable version of your textbook Wish your textbook could be available online while you re doing your assignments Want to get more value from your textbook purchase Think learning fi nance should be a bit more interesting Connect Plus Finance eBook If you choose to use Connect Plus Finance you have an affordable and searchable online version of your book integrated with your other online tools Connect Plus Finance eBook offers features like Topic search Direct links from assignments Adjustable text size Jump to page number Print by section Check out the STUDENT RESOURCES section under the Connect Library tab Here you ll fi nd a wealth of resources designed to help you achieve your goals in the course Every student has different needs so explore the STUDENT RESOURCES to fi nd the materials best suited to you ISBN 9780073530703 Author Bodie Kane Marcus Title Investments 9e Front endsheets Color 4c Page 4 Insert Want an online searchable version of your textbook Wish your textbook could be available online while you re doing your assignments Want to get more value from your textbook purchase Think learning fi nance should be a bit more interesting Connect Plus Finance eBook If you choose to use Connect Plus Finance you have an affordable and searchable online version of your book integrated with your other online tools Connect Plus Finance eBook offers features like Topic search Direct links from assignments Adjustable text size Jump to page number Print by section Check out the STUDENT RESOURCES section under the Connect Library tab Here you ll fi nd a wealth of resources designed to help you achieve your goals in the course Every student has different needs so explore the STUDENT RESOURCES to fi nd the materials best suited to you Confirming Pages Investments bod30700 fm i xxviii indd ibod30700 fm i xxviii indd i7 23 10 4 37 PM7 23 10 4 37 PM Confirming Pages Saunders and Cornett Financial Institutions Management A Risk Management Approach Seventh Edition Saunders and Cornett Financial Markets and Institutions Fourth Edition International Finance Eun and Resnick International Financial Management Fifth Edition Kuemmerle Case Studies in International Entrepreneurship Managing and Financing Ventures in the Global Economy First Edition Robin International Corporate Finance First Edition Real Estate Brueggeman and Fisher Real Estate Finance and Investments Fourteenth Edition Ling and Archer Real Estate Principles A Value Approach Third Edition Financial Planning and Insurance Allen Melone Rosenbloom and Mahoney Retirement Plans 401 k s IRAs and Other Deferred Compensation Approaches Tenth Edition Altfest Personal Financial Planning First Edition Harrington and Niehaus Risk Management and Insurance Second Edition Kapoor Dlabay and Hughes Focus on Personal Finance An Active Approach to Help You Develop Successful Financial Skills Third Edition Kapoor Dlabay and Hughes Personal Finance Ninth Edition Ross Westerfield Jaffe and Jordan Corporate Finance Core Principles and Applications Third Edition Ross Westerfield and Jordan Essentials of Corporate Finance Seventh Edition Ross Westerfield and Jordan Fundamentals of Corporate Finance Ninth Edition Shefrin Behavioral Corporate Finance Decisions that Create Value First Edition White Financial Analysis with an Electronic Calculator Sixth Edition Investments Bodie Kane and Marcus Essentials of Investments Eighth Edition Bodie Kane and Marcus Investments Ninth Edition Hirschey and Nofsinger Investments Analysis and Behavior Second Edition Hirt and Block Fundamentals of Investment Management Ninth Edition Jordan and Miller Fundamentals of Investments Valuation and Management Fifth Edition Stewart Piros and Hiesler Running Money Professional Portfolio Management First Edition Sundaram and Das Derivatives Principles and Practice First Edition Financial Institutions and Markets Rose and Hudgins Bank Management and Financial Services Eighth Edition Rose and Marquis Money and Capital Markets Financial Institutions and Instruments in a Global Marketplace Eleventh Edition Financial Management Adair Excel Applications for Corporate Finance First Edition Block Hirt and Danielsen Foundations of Financial Management Fourteenth Edition Brealey Myers and Allen Principles of Corporate Finance Tenth Edition Brealey Myers and Allen Principles of Corporate Finance Concise Edition Second Edition Brealey Myers and Marcus Fundamentals of Corporate Finance Sixth Edition Brooks FinGame Online 5 0 Bruner Case Studies in Finance Managing for Corporate Value Creation Sixth Edition Chew The New Corporate Finance Where Theory Meets Practice Third Edition Cornett Adair and Nofsinger Finance Applications and Theory First Edition DeMello Cases in Finance Second Edition Grinblatt editor Stephen A Ross Mentor Influence through Generations Grinblatt and Titman Financial Markets and Corporate Strategy Second Edition Higgins Analysis for Financial Management Ninth Edition Kellison Theory of Interest Third Edition Kester Ruback and Tufano Case Problems in Finance Twelfth Edition Ross Westerfield and Jaffe Corporate Finance Ninth Edition Stephen A Ross Franco Modigliani Professor of Finance and Economics Sloan School of Management Massachusetts Institute of Technology Consulting Editor The McGraw Hill Irwin Series in Finance Insurance and Real Estate bod30700 fm i xxviii indd iibod30700 fm i xxviii indd ii7 23 10 4 37 PM7 23 10 4 37 PM Confirming Pages ZVI BODIE Boston University ALEX KANE University of California San Diego ALAN J MARCUS Boston College NINTH EDITION Investments bod30700 fm i xxviii indd iiibod30700 fm i xxviii indd iii7 23 10 4 37 PM7 23 10 4 37 PM Confirming Pages INVESTMENTS Published by McGraw Hill Irwin a business unit of The McGraw Hill Companies Inc 1221 Avenue of the Americas New York NY 10020 Copyright 2011 2009 2008 2005 2002 1999 1996 1993 1989 by The McGraw Hill Companies Inc All rights reserved No part of this publication may be reproduced or distributed in any form or by any means or stored in a database or retrieval system without the prior written consent of The McGraw Hill Companies Inc including but not limited to in any network or other electronic storage or transmission or broadcast for distance learning Some ancillaries including electronic and print components may not be available to customers outside the United States This book is printed on acid free paper 1 2 3 4 5 6 7 8 9 0 WVR WVR 1 0 9 8 7 6 5 4 3 2 1 0 ISBN 978 0 07 353070 3 MHID 0 07 353070 0 Vice president and editor in chief Brent Gordon Publisher Douglas Reiner Executive editor Michele Janicek Director of development Ann Torbert Development editor II Karen L Fisher Vice president and director of marketing Robin J Zwettler Senior marketing manager Melissa S Caughlin Vice president of editing design and production Sesha Bolisetty Project manager Dana M Pauley Senior buyer Michael R McCormick Interior designer Laurie J Entringer Lead media project manager Brian Nacik Media project manager Joyce J Chappetto Typeface 10 12 Times Roman Compositor Laserwords Private Limited Printer Worldcolor Library of Congress Cataloging in Publication Data Bodie Zvi Investments Zvi Bodie Alex Kane Alan J Marcus 9th ed p cm The McGraw Hill Irwin series in finance insurance and real estate Includes index ISBN 13 978 0 07 353070 3 alk paper ISBN 10 0 07 353070 0 alk paper 1 Investments 2 Portfolio management I Kane Alex II Marcus Alan J III Title HG4521 B564 2011 332 6 dc22 2010018924 bod30700 fm i xxviii indd ivbod30700 fm i xxviii indd iv7 23 10 4 37 PM7 23 10 4 37 PM Confirming Pages v ZVI BODIE Boston University Zvi Bodie is the Norman and Adele Barron Professor of Management at Boston University He holds a PhD from the Massachusetts Institute of Technology and has served on the finance fac ulty at the Harvard Business School and MIT s Sloan School of Management Professor Bodie has published widely on pension finance and investment strategy in leading professional jour nals In cooperation with the Research Foundation of the CFA Institute he has recently produced a series of Webcasts and a monograph entitled The Future of Life Cycle Saving and Investing ALEX KANE University of California San Diego Alex Kane is professor of finance and economics at the Graduate School of International Relations and Pacific Studies at the University of California San Diego He has been visit ing professor at the Faculty of Economics University of Tokyo Graduate School of Business Harvard Kennedy School of Government Harvard and research asso ciate National Bureau of Economic Research An author of many articles in finance and management journals Professor Kane s research is mainly in corpo rate finance portfolio man agement and capital markets most recently in the measure ment of market volatility and pricing of options ALAN J MARCUS Boston College Alan Marcus is the Mario J Gabelli Professor of Finance in the Carroll School of Management at Boston College He received his PhD in economics from MIT Professor Marcus has been a visiting professor at the Athens Laboratory of Business Administration and at MIT s Sloan School of Management and has served as a research associate at the National Bureau of Economic Research Professor Marcus has published widely in the fields of capital markets and portfolio management His consulting work has ranged from new product develop ment to provision of expert testimony in utility rate proceedings He also spent 2 years at the Federal Home Loan Mortgage Corporation Freddie Mac where he developed models of mortgage pricing and credit risk He cur rently serves on the Research Foundation Advisory Board of the CFA Institute About the Authors bod30700 fm i xxviii indd vbod30700 fm i xxviii indd v7 23 10 4 37 PM7 23 10 4 37 PM Confirming Pages vi PART III Equilibrium in Capital Markets 280 9 The Capital Asset Pricing Model 280 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return 318 11 The Efficient Market Hypothesis 343 12 Behavioral Finance and Technical Analysis 381 13 Empirical Evidence on Security Returns 407 PART IV Fixed Income Securities 439 14 Bond Prices and Yields 439 15 The Term Structure of Interest Rates 480 16 Managing Bond Portfolios 508 Preface xvi PART I Introduction 1 1 The Investment Environment 1 2 Asset Classes and Financial Instruments 28 3 How Securities Are Traded 59 4 Mutual Funds and Other Investment Companies 92 PART II Portfolio Theory and Practice 117 5 Introduction to Risk Return and the Historical Record 117 6 Risk Aversion and Capital Allocation to Risky Assets 160 7 Optimal Risky Portfolios 196 8 Index Models 246 Brief Contents bod30700 fm i xxviii indd vibod30700 fm i xxviii indd vi7 23 10 4 37 PM7 23 10 4 37 PM Confirming Pages vii Brief Contents PART VII Applied Portfolio Management 819 24 Portfolio Performance Evaluation 819 25 International Diversification 863 26 Hedge Funds 903 27 The Theory of Active Portfolio Management 926 28 Investment Policy and the Framework of the CFA Institute 952 REFERENCES TO CFA PROBLEMS 993 GLOSSARY G 1 NAME INDEX I 1 SUBJECT INDEX I 4 PART V Security Analysis 548 17 Macroeconomic and Industry Analysis 548 18 Equity Valuation Models 583 19 Financial Statement Analysis 627 PART VI Options Futures and Other Derivatives 667 20 Options Markets Introduction 667 21 Option Valuation 711 22 Futures Markets 755 23 Futures Swaps and Risk Management 784 bod30700 fm i xxviii indd viibod30700 fm i xxviii indd vii7 23 10 4 37 PM7 23 10 4 37 PM Confirming Pages viii Preface xvi PART I Introduction 1 Chapter 1 The Investment Environment 1 1 1 Real Assets versus Financial Assets 2 1 2 Financial Assets 4 1 3 Financial Markets and the Economy 5 The Informational Role of Financial Markets Consumption Timing Allocation of Risk Separation of Ownership and Management Corporate Governance and Corporate Ethics 1 4 The Investment Process 8 1 5 Markets Are Competitive 9 The Risk Return Trade Off Efficient Markets 1 6 The Players 11 Financial Intermediaries Investment Bankers 1 7 The Financial Crisis of 2008 14 Antecedents of the Crisis Changes in Housing Finance Mortgage Derivatives Credit Default Swaps The Rise of Systemic Risk The Shoe Drops Systemic Risk and the Real Economy 1 8 Outline of the Text 23 End of Chapter Material 24 27 Chapter 2 Asset Classes and Financial Instruments 28 2 1 The Money Market 29 Treasury Bills Certificates of Deposit Commercial Paper Bankers Acceptances Eurodollars Repos and Reverses Federal Funds Brokers Calls The LIBOR Market Yields on Money Market Instruments 2 2 The Bond Market 34 Treasury Notes and Bonds Inflation Protected Treasury Bonds Federal Agency Debt International Bonds Municipal Bonds Corporate Bonds Mortgages and Mortgage Backed Securities 2 3 Equity Securities 41 Common Stock as Ownership Shares Characteristics of Common Stock Stock Market Listings Preferred Stock Depository Receipts 2 4 Stock and Bond Market Indexes 44 Stock Market Indexes Dow Jones Averages Standard as a result our discussions of strategy are always guided by the implications of the efficient markets hypothesis While the degree of market efficiency is and always will be a matter of debate in fact we devote a full chapter to the behavioral challenge to the efficient market hypothesis we hope our discussions throughout the book convey a good dose of healthy criticism concerning much conven tional wisdom Distinctive Themes Investments is organized around several important themes 1 The central theme is the near informational efficiency of well developed security markets such as those in the United States and the general awareness that competitive markets do not offer free lunches to participants A second theme is the risk return trade off This too is a no free lunch notion holding that in competitive security markets higher expected returns come only at a price the need to bear greater investment risk However this notion leaves several questions unan swered How should one measure the risk of an asset What should be the quantitative trade off between risk properly measured and expected return The approach we present to these issues is known as modern portfolio theory which is another organiz ing principle of this book Modern portfolio theory focuses on the techniques and implications of efficient diversification and we devote considerable attention to the effect of diversification on portfolio risk as well as the implications of efficient diversification for the proper measurement of risk and the risk return relationship 2 This text places greater emphasis on asset allocation than most of its competitors We prefer this emphasis for two important reasons First it corresponds to the procedure that most individuals actually follow Typically you start with all of your money in a bank account only then considering how much to invest in something riskier that might offer a higher expected return The logical step at this point is to consider risky asset classes such as stocks bonds or real estate This is an asset allocation decision Second in most cases the asset allocation choice is far more important in determining overall investment perfor mance than is the set of security selection decisions Asset allocation is the primary determinant of the risk return profile of the investment portfolio and so it deserves primary attention in a study of investment policy 3 This text offers a much broader and deeper treatment of futures options and other derivative security mar kets than most investments texts These markets have become both crucial and integral to the financial uni verse and are the major drivers in that universe and in some cases the world at large Your only choice is to become conversant in these markets whether you are to be a finance professional or simply a

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