Equity Investments 融仕国际教育2013介绍

Instructor ChenGuang EquityInvestments SecuritiesMarkets证券市场 SchweserNotesSession13MarketOrganizationandStructureSecurity MarketIndicesMarketEfficiency 2 Functionsofthefinancialsystem 1 Allowentitiestosaveandborrowmoney raiseequitycapital managerisks tradeassetscurrentlyorinthefuture andtradebasedontheirestimatesofassetvalues 2 Determinethereturns i e interestrates thatequatethetotalsupplyofsavingswiththetotaldemandforborrowing 3 Allocatecapitaltoitsmostefficientuses 3 Classificationsofassetsandmarkets Financialassets e g securities currencies derivatives versusrealassets e g realestate equipment Debtsecuritiesversusequitysecurities Publicsecuritiesthattradeonexchangesversusprivatesecurities Physicalderivativecontracts e g ongrainsormetals versusfinancialderivativecontracts e g onbondsorequityindexes Spotversusfuturedeliverymarkets Primarymarkets issuanceofnewsecurities versussecondarymarkets tradingofpreviouslyissuedsecurities Moneymarkets short termdebtinstruments versuscapitalmarkets longer termdebtinstrumentsandequities Traditionalinvestmentmarkets bonds stocks versusalternativeinvestmentmarkets e g realestate hedgefunds fineart 4 Classificationsofassets Securitiesincludefixedincome e g bonds notes commercialpaper equity commonstock preferredstock warrants andpooledinvestmentvehicles mutualfunds exchange tradedfunds hedgefunds asset backedsecurities Contractsincludefutures forwards options swaps andinsurancecontracts Commoditiesincludeagriculturalproducts industrialandpreciousmetals andenergyproducts andaretradedinspot forward andfuturesmarkets Mostnationalcurrenciesaretradedinspotmarketsandsomearealsotradedinforwardandfuturesmarkets Realassetsarerealestate equipment andmachinery 5 Financialintermediaries BrokershelptheirclientsbuyandsellsecuritiesBlockbrokershelpwiththeplacementoflargetrades Investmentbankshelpcorporationssellsecuritiestoinvestors Exchangeprovideavenuewheretraderscanmeet Alternativetradingsystemsservethesametradingfunctionasexchangesbuthavenoregulatoryfunction arealsoknownaselectroniccommunicationnetworks ECNs Dealersfacilitatetradingbybuyingfororsellingfromtheirowninventory providingliquidityandprofitfromthespread Securitizerspoollargeamountsofsecuritiesorotherassetsandsellinterestsinthepool e g Mortgage Carloan Depositoryinstitutionsincludebanks creditunionsInsurancecompany ArbitrageursprovideliquidityinthemarketClearinghousesandcustodians 6 Short SalesPositions LongPosition owninganasset orhastherightorobligationtopurchaseShortsalesareorderstosellsecuritiesthatthesellerdoesnotownInvestorborrowssecuritiesandsellsitthroughabrokerLater repurchasethesecuritiesandreturnsitattherequestofthelenderDepositaportionoftheproceedsoftheshortsaleascollateraltoguaranteePayments in lieu thepaymentsofinterestordividendsShortrebaterate thebrokerearnsinterestonthesefundandreturnaportion onlytoinstitutions 0 1 lessthanovernightinterestrates Short seller sprofit loss istheoriginalsellingpriceminustherepurchaseprice 7 LeveragedPositions Margintransaction buysecuritieswithborrowedmoney marginloan brokerslendthemoney andusethesecurityascollateralInitialMarginRequirement stockbyFederalReserveBoard MaintenanceMarginRequirement theinvestor srequiredequitypositionintheaccountMarginCallExample MSFTstockatmarketprice 100onmargin initialmarginrequirement50 maintenancemarginrequirement30 8 Margincallprice Example Ifaninvestorpurchasesastockfor 100persharewithaninitialmarginRequirementof50 andthemaintenancemarginrequirementis30 atwhatpricewilltheinvestorgetamargincall Answer 100 1 50 1 30 71 42Amargincallistriggeredatapricebelow 71 42 9 Leverageratio Sharespurchased1 000Purchasepricepershare 100Annualdividendpershare 2 00Initialmarginrequirement40 1 Leverageratio asset equityTheleverageratio 1 0 40 2 5Callmoneyrate4 Commissionpershare 0 05Stockpriceafteroneyear 1102 Thetotalpurchasepriceis1 000 100 100 000 Theinvestormustpostinitialmarginof40 10 000 40 000 Theremaining 60 000isborrowed Thecommissiononthepurchaseis1 000 0 05 50 Thus thetotalinitialequityinvestmentis 40 050 Attheendofoneyear thesalesproceedsare1 000 100 110 000 Dividendsreceivedare1 000 2 00 2 000 Interestpaidis 60 000 4 2 400 Thecommissiononthesaleis1 000 0 05 50 Thegainonthetransactioninoneyearis 110 000 100 000 50 2 000 2 400 50 9 500 Thereturnontheequityinvestmentis 9 500 40 050 23 7 10 PrimaryCapitalMarkets PrimaryCapitalMarket saleofnewissuesofsecuritiesSeasonedOffering secondaryissue andIPO initialpublicofferings PublicofferingsandprivateplacementUnderwriterprovidesorigination riskbearinganddistributionservicestoanissuer Theychargeanunderwritingfee Inanunderwrittenoffering theinvestmentbankguaranteesthattheissuewillbesoldatapricethatisnegotiatedbetweentheissuerandbank Inabesteffortsoffering thebankactsonlyasabroker Inaprivateplacement afirmsellssecuritiesdirectlytoqualifiedinvestors withoutthedisclosuresofapublicoffering ashelfregistration afirmmakesitspublicdisclosuresasinaregularofferingbutthenissuestheregisteredsecuritiesovertimewhenitneedscapitalandwhenthemarketsarefavorable SecondaryCapitalMarket e g NYSE NASDAQ providesliquidityandinformation thebettersecondarymarket theeasiertoraisecapitalinprimarymarket 11 Order drivenmarketsvs Quote drivenmarkets CallMarket onlytradeatspecifictimes allbidsandasksarepresented thenpriceissetthatclearsthemarket usedinsmallermarketsContinuousMarket tradesoccuratanytimethemarketisopenOrder drivenMarkets orpureauctionmarkets NYSEbuyersandsellerssubmittheirorderstoacentrallocationQuote drivenmarkets orDealermarket NASDAQtherearedealerswhocontinuouslyprovidebidandaskpricesbuyersandsellerscantransactatthebestbidandaskprices BrokeredMarket Brokersfindthecounterpartyinordertoexecuteatrade 12 Instructions Executioninstructionsspecifyhowtotrade MarketOrders executethetradeimmediatelyLimitOrder限价盘 tobuy Atlimitpricebelowthecurrentprice tosell AtlimitpriceabovethecurrentpriceValidityinstructionsspecifywhenanordercanbefilled E g Dayorders good til cancelledorders andstopordersStoplossorder止蚀盘 tosell Sellifstockgoesdowntostopprice limitslossonlongposition tobuy Buyifstockgoesuptostopprice limitslossonshortpositionClearinginstructionsspecifyhowtosettleatrade brokersorcustodians 13 Awell functioningfinancialsystem Completemarkets Saversreceiveareturn borrowerscanobtaincapital hedgerscanmanagerisks andtraderscanacquireneededassets Operationalefficiency Tradingcostsarelow Informationalefficiency Pricesreflectfundamentalinformationquickly Allocationalefficiency Capitalisdirectedtoitshighestvalueduse Theobjectivesofmarketregulationareto Protectunsophisticatedinvestors Establishminimumstandardsofcompetency Helpinvestorstoevaluateperformance Preventinsidersfromexploitingotherinvestors Promotecommonfinancialreportingrequirementssothatinformationgatheringislessexpensive Requireminimumlevelsofcapitalsothatmarketparticipantswillbeabletohonortheircommitmentsandbemorecarefulabouttheirrisks 14 SecurityMarketIndex ConstituentsecuritiesIndexesareusedforthefollowingpurposes Reflectionofmarketsentiment Benchmarkofmanagerperformance Measureofmarketreturn Measureofbetaandexcessreturn Modelportfolioforindexfunds Apriceindexusesonlythepricesoftheconstituentsecuritiesinthereturncalculation Therateofreturniscalledapricereturn Atotalreturnindexusesboththepriceofandtheincomefromtheindexsecuritiesinthereturncalculation theywouldbegeometricallylinkedtoproduce1 55 15 Price weighted Price weighted Arithmeticaverageofcurrentsecurityprices thedenominatormustbeadjustedforstocksplits canbematchedbypurchasinganequalnumberofsharesofeachstockrepresentedintheindex high pricedstockhasgreatereffectontheindex DowJonesIndustrialAverage DJIA NIKKEIDow225Atthemarketcloseonday1 StockAhasapriceof 10 StockBhasapriceof 20 andStockChasapriceof 90 Thevalueofaprice weightedindexofthesethreestocksis 10 20 90 3 40atthecloseoftrading IfStockCsplits2 for 1 effectiveonday2 whatisthenewdenominatorfortheindex TheeffectofthesplitonthepriceofStockC intheabsenceofanychangefromthepriceattheendofday1 wouldbetoreduceitto 90 2 45 Theindexdenominatorwillbeadjustedsothattheindexvaluewouldremainat40iftherewerenochangesinthestockpricesotherthantoadjustforthesplit Thenewdenominator d mustsatisfy 10 20 45 d 40andequals1 875 16 Example Theprice weightedindexis 10 20 60 3 30asofDecember31and 20 15 40 3 a25asofJanuary31 Hence theprice weighted1 monthpercentagereturnis 17 Market valueweighted Value weighted Assumesyoumakeaninvestmentineachindexstockproportionaltoits oftotalindexvalue bias largermarketcapfirmshasgreaterinfluencethansmallmarketcapfirms e g S P500 NYSEIndex Wilshire5000 18 Example Price weightedvs marketedindexes 19 Equal weighted Equal weighted placesanequalweightonthereturnsofallstocks makeandmaintainanequaldollarinvestmentineachstockintheindex indexreturncanbecalculatedusingarithmeticmean E g thevalueLine VL thefinancialTimes FT 20 OtherweightingIndices Float adjustedmarketcapitalization weightedindexTheweightsarebasedonthesharesthatareavailabletoinvestors Marketfloat thetotalvalueofthesharesthatareactuallyavailabletotheinvestingpublicandexcludesthevalueofsharesheldbycontrollingstockholders Freefloat marketfloatexcludessharesthatarenotavailabletoforeignbuyersFundamentalweightingWeightsbasedonfirmfundamentals suchasearning cashflow 21 RebalanceandReconstitution Fortheportfolioreturntomatchtheindexreturn periodicallyrebalancetheweightsoftheconstituentsecuritiesismostimportant speciallyforequal weightedindexes Reconstitutionreferstochangingthesecuritiesthatareincludedinanindex Thisisnecessarywhensecuritiesmature orwhentheynolongerhavetherequiredcharacteristicstobeincluded 22 Equityindices Fixed incomeindices EquityindicesBroadmarketindex Wilshire5000Multi marketindex LatinAmericaindex emergingmarketsindex Sectorindex healthcare financialsectorStyleIndexes small cap mid cap large cap growthstocks valuestocksFixed incomeindices largeuniverseofsecurities maturity rating coupon embeddedoptions Dealermarketsandinfrequenttrading Alternativeinvestmentindices Commodity Realestate Hedgefund 23 Marketefficiencyrelatedconcepts Inaninformationalefficientcapitalmarket securitypricesreflectallavailableinformationfully quickly andrationally Onlyunexpectedinformationshouldmoveprice Ifthemarketisfullyefficient activeinvestmentstrategiescannotearnpositiverisk adjustedreturnsconsistently andinvestorsshouldthereforeuseapassivestrategy Youcan tbeatthemarket MarketvalueVS Intrinsicvalue fundamentalvalue Factorsaffectingamarket sefficiency Largenumbersofmarketparticipantsandgreaterinformationavailabilitytendtomakemarketsmoreefficient Impedimentstoarbitrageandshortsellingandhighcostsoftradingandgatheringinformationtendtomakemarketslessefficient 24 ThethreeformsofEfficientMarketHypothesis Weak formefficientmarkets pricefullyreflectallcurrentlyavailablesecuritymarketinformation pastpriceandvolumeinfocan tpredictfutureprice caninvestorachieveexcessreturnusingtechnicalanalysis Yes No Semi strong formefficientmarkets pricefullyreflectallpubliclyavailableinformation securitypricesincludeallsecuritymarketandnonmarketinfo caninvestorsachieveabnormalreturnusingfundamentalanalysis No butitisnecessaryStrong formefficientmarkets pricefullyreflectallinformationfrompublicandprivatesources securitypricesincludealltypesofinformation market nonmarketpublic andprivate inside info Activemanagementdoesnotconsistentlyachieveabnormalreturns Portfoliomanagerscanaddvaluebymatchingportfoliostoeachclient sreturnandriskobjectives providingdiversification assetallocation taxminimization 25 Marketpricinganomalies Amarketanomalyissomethingthatdeviatesfromtheefficientmarkethypothesis Mostevidencesuggestsanomaliesarenotviolationsofmarketefficiencybutareduetothemethodologiesusedinanomalyresearch suchasdataminingorfailingtoadjustadequatelyforrisk Anomaliesintime seriesdatacalendaranomaliessuchastheJanuaryeffectoverreactionanomalies stockreturnssubsequentlyreverse momentumanomalies highshort termreturnsarefollowedbycontinuedhighreturnsviolatetheweakformofmarketefficiency Anomaliesincross sectionalsizeeffectsmall capstocksoutperformlarge capstocksvalueeffect valuestocks lowerP E P B higherdividend outperformgrowthstocks higherP E P B violatethesemi strongformofmarketefficiencyOtheranomaliesinvolveclosed endinvestmentfundssellingatadiscounttoNAV slowadjustmentstoearningssurprises investoroverreactiontoIPOs Identifiedanomalieswilllikelybeunprofitable 26 Exercise Whichofthefollowingbestdescribesthemajorityoftheevidenceregardinganomaliesinstockreturns A Weak formmarketefficiencyholdsbutsemi strongformefficiencydoesnot B Neitherweak formnorsemi strongformmarketefficiencyholds C Reportedanomaliesarenotviolationsofmarketefficiencybutaretheresultofresearchmethodologies BehavioralFinance Behavioralfinancecanaccountforhowsecuritiespricescandeviatefromtheirrationallevelsandbebiasedestimatesofintrinsicvalue LossaversionOverconfidenceInformationcascades herdingbehaviorIfinvestorrationalityisviewedasaprerequisiteformarketefficiency thenmarketsarenotefficient Ifmarketefficiencyonlyrequiresthatinvestorscannotconsistentlyearnabnormalrisk adjustedreturns thentheresearchsupportsthatmarketsareefficient 28 IndustryandCompanyAnalysis行业和公司分析 SchweserNotesSession14OverviewofequitysecuritiesIntroductiontoIndustryanalysisandCompanyanalysisEquityvaluation Conceptsandbasictools 29 Typesofequitysecurities Commonshareholdershavearesidualclaimonfirmassetsandgovernthecorporationthroughvotingrights Commonshareshavevariabledividendswhichthefirmisundernolegalobligationtopay Callablecommonsharesallowthefirmtherighttorepurchasethesharesatapre specifiedprice Putablecommonsharesgivetheshareholdertherighttosellthesharesbacktothefirmatapre specifiedprice Preferredstocktypicallydoesnotmature doesnothavevotingrights andhasdividendsthatarefixedinamountbutarenotacontractualobligationofthefirm Cumulativepreferredsharesrequireanydividendsthatweremissedinthepast dividendsinarrears tobepaidbeforecommonshareholdersreceiveanydividends non cumulative Participatingpreferredsharesreceiveextradividendsiffirmprofitsexceedapre specifiedlevelandavaluegreaterthantheparvalueifthefirmisliquidated Convertiblepreferredstockcanbeconvertedtocommonstockatapre specifiedconversionratio 30 PrivateEquitySecurities Characteristics NegotiatedpriceLessliquidityMorelimitedfirmfinancialdisclosureLowerreportingcostsPotentiallyweakercorporategovernanceMoreattentionsonlongtermprospectsPotentialgreaterreturn ThreeTypesVenturecapital VC Privateinvestmentinpublicequity PIPE Leveragedbuyout LBO Investinginnon domesticequity Obstaclestodirectforeigninvestmentforeigncurrencymustabidebytheforeignstockexchange sregulationsandprocedureslessliquidityandlesstransparencyIndirectmethodsforforeigninvestmentbypurchasingdepositoryreceiptsfortheforeignstockthattradeontheirdomesticexchange Depositoryreceiptsrepresentownershipinaforeignfirmandaretradedinothercountriesinlocalmarketcurrencies AbankdepositssharesoftheforeignfirmandthenissuesreceiptspresentingaspecificnumberofforeignsharesGlobaldepositoryreceipts GDRs areissuedoutsidetheU S andoutsidetheissuer shomecountry MostGDRaretradedinLondonandLuxembourgAmericandepositoryreceipts ADRs aredenominatedinU S dollarsandtradedonU S exchanges 32 ROE MarketvalueandBookvalue BookValueofEquityEquity Asset Debt Dataonthebalancesheet MarketValueofEquityTotalvalueofafirm soutstandingequitysharesbaseonmarketprices Reflectingtheexpectationsaboutfutureperformance Marketvalueandbookvalueofequityareseldomequal ReasonsofanincreaseorandecreaseofROE DuPontformula Price to bookratio P B HighP B GrowthstockLowP B Valuestock Example FiscalYear endDec 3120X920X8Totalstockholderequity18 50317 143Netincomeavailabletocommon3 5263 056Stockprice 16 80 15 30Sharesoutstanding3 7102 790Thereturnonaverageequityfor20X9is Thetotalmarketvalueofthefirm sequityattheendof20X9is 16 80 x3 710 62 328Thebookvaluepershareattheendof20X9is Theprice to bookratioattheendof2OX9is 34 Requirereturnandthecostofequity Investorscanhavedifferentrequiredratesofreturnfordifferentestimatesofafirm sfuturecashflows anddifferentestimatesoftheriskofafirm sequityshares Afirm scostofequitycanbeinterpretedastheminimumrateofreturnrequiredbyinvestors intheaggregate tocompensatethemfortheriskofthefirm sequityshares Ifaninvestorestimatestheexpectedreturnonastocktobegreaterthanherminimumrequiredrateofreturnontheshares giventheirrisk thenthesharesareanattractiveinvestment 35 Industryanalysis Industryanalysisisnecessaryforunderstandingacompany sbusinessenvironmentbeforeengaginginanalysisofthecompany Theindustryenvironmentcanprovideinformationaboutthefirm spotentialgrowth competition risks appropriatedebtlevels andcreditrisk FirmscanbegroupedintoindustriesaccordingtotheirproductsandServices ExamplesareIndustryclassificationsystemsfromcommercialprovidersincludetheGlobalIndustryClassificationStandard GICS RussellGlobalSectors RGS andtheIndustryClassificationBenchmarkbusinesscyclesensitivity cyclicalandnon cyclicalfirmsstatisticalmethodsthatgroupfirmswithhighhistoricalcorrelationinreturns 36 Otherclassification Industriesandfirmscanbeclassifiedascyclicalornon cyclicalAcyclicalfirmhasearningsthatarehighlydependentonthebusinesscycle Autoindustry Anon cyclicalfirmhasearningsthatarelessdependentofthebusinesscycle Industriescanalsobeclassifiedascyclicalornon cyclical Non cyclicalindustriesorfirmscanbefurtherclassifiedDefensive demandfortheproducttendsnottofluctuatewiththebusinesscycle Food cigarette andbeercompany Growth demandissostrongthatitislargelyunaffectedbythebusinesscycle Computersoftwareindustry1990 Limitationsofdescriptorscyclicalindustriesoftenincludegrowthfirms evennon cyclicalindustriescanbeaffectedbysevererecessions defensiveindustriesarenotalwayssafeinvestments e g grocerystores 37 Factorsinfluenceonindustrygrowth Macroeconomicfactors GDP interestrate inflationDemographicinfluencesonindustriesincludethesizeandagedistributionofthepopulation Governmentfactorsincludetaxrates regulations empowermentofself regulatoryorganizations andgovernmentpurchasesofgoodsandservices Socialinfluencesrelatetohow