INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap001 The Investment Environment.ppt

Chapter1,TheInvestmentEnvironment,2,RealAssetsVersusFinancialAssets,RealAssetsDeterminetheproductivecapacityandnetincomeoftheeconomyExamples:Land,buildings,machines,knowledgeusedtoproducegoodsandservicesFinancialAssetsClaimsonrealassets,3,FinancialAssets,Threetypes:FixedincomeordebtCommonstockorequityDerivativesecurities,4,FixedIncome,PaymentsfixedordeterminedbyaformulaMoneymarketdebt:shortterm,highlymarketable,usuallylowcreditriskCapitalmarketdebt:longtermbonds,canbesafeorrisky,5,CommonStockandDerivatives,CommonStockisequityorownershipinacorporation.Paymentstostockholdersarenotfixed,butdependonthesuccessofthefirmDerivativesValuederivesfrompricesofothersecurities,suchasstocksandbondsUsedtotransferrisk,6,FinancialMarketsandtheEconomy,InformationRole:CapitalflowstocompanieswithbestprospectsConsumptionTiming:Usesecuritiestostorewealthandtransferconsumptiontothefuture,7,FinancialMarketsandtheEconomy(Ctd.),AllocationofRisk:InvestorscanselectsecuritiesconsistentwiththeirtastesforriskSeparationofOwnershipandManagement:Withstabilitycomesagencyproblems,8,FinancialMarketsandtheEconomy(Ctd.),CorporateGovernanceandCorporateEthicsAccountingScandalsExamplesEnron,RiteAid,HealthSouthAuditorswatchdogsofthefirmsAnalystScandalsArthurAndersenSarbanes-OxleyActTightentherulesofcorporategovernance,9,TheInvestmentProcess,AssetallocationChoiceamongbroadassetclassesSecurityselectionChoiceofwhichsecuritiestoholdwithinassetclassSecurityanalysistovaluesecuritiesanddetermineinvestmentattractiveness,10,MarketsareCompetitive,Risk-ReturnTrade-OffEfficientMarketsActiveManagementFindingmispricedsecuritiesTimingthemarket,11,MarketsareCompetitive(Ctd.),PassiveManagementNoattempttofindundervaluedsecuritiesNoattempttotimethemarketHoldingahighlydiversifiedportfolio,12,ThePlayers,BusinessFirmsnetborrowersHouseholdsnetsaversGovernmentscanbebothborrowersandsavers,13,ThePlayers(Ctd.),FinancialIntermediaries:PoolandinvestfundsInvestmentCompaniesBanksInsurancecompaniesCreditunions,14,UniversalBankActivities,InvestmentBanking,UnderwritenewstockandbondissuesSellnewlyissuedsecuritiestopublicintheprimarymarketInvestorstradepreviouslyissuedsecuritiesamongthemselvesinthesecondarymarkets,CommercialBanking,Takedepositsandmakeloans,15,FinancialCrisisof2008,AntecedentsoftheCrisis:“TheGreatModeration”:atimeinwhichtheU.S.hadastableeconomywithlowinterestratesandatamebusinesscyclewithonlymildrecessionsHistoricboominhousingmarket,16,Figure1.3TheCase-ShillerIndexofU.S.HousingPrices,17,ChangesinHousingFinance,OldWay,LocalthriftinstitutionmademortgageloanstohomeownersThriftsmajorasset:aportfoliooflong-termmortgageloansThriftsmainliability:deposits“Originatetohold”,NewWay,Securitization:FannieMaeandFreddieMacboughtmortgageloansandbundledthemintolargepoolsMortgage-backedsecuritiesaretradableclaimsagainsttheunderlyingmortgagepool“Originatetodistribute”,18,Figure1.4CashFlowsinaMortgagePass-ThroughSecurity,19,ChangesinHousingFinance(Ctd.),Atfirst,FannieMaeandFreddieMacsecuritizedconformingmortgages,whichwerelowerriskandproperlydocumented.Later,privatefirmsbegansecuritizingnonconforming“subprime”loanswithhigherdefaultrisk.LittleduediligencePlacedhigherdefaultriskoninvestorsGreateruseofARMsand“piggyback”loans,20,MortgageDerivatives,Collateralizeddebtobligations(CDOs)MortgagepooldividedintoslicesortranchestoconcentratedefaultriskSeniortranches:Lowerrisk,highestratingJuniortranches:Highrisk,loworjunkrating,21,MortgageDerivatives,Problem:Ratingswerewrong!Riskwasmuchhigherthananticipated,evenfortheseniortranches,22,WhywasCreditRiskUnderestimated?,NooneexpectedtheentirehousingmarkettocollapseallatonceGeographicdiversificationdidnotreduceriskasmuchasanticipatedAgencyproblemswithratingagenciesCreditDefaultSwaps(CDS)didnotreduceriskasanticipated,23,CreditDefaultSwap(CDS),ACDSisaninsurancecontractagainstthedefaultoftheborrowerInvestorsboughtsub-primeloansandusedCDStoinsuretheirsafety,24,CreditDefaultSwap(CDS),SomebigswapissuersdidnothaveenoughcapitaltobacktheirCDSwhenthemarketcollapsed.Consequence:CDOinsurancefailed,25,RiseofSystemicRisk,SystemicRisk:apotentialbreakdownofthefinancialsysteminwhichproblemsinonemarketspilloveranddisruptothers.OnedefaultmaysetoffachainoffurtherdefaultsWavesofsellingmayoccurinadownwardspiralasassetpricesdropPotentialcontagionfrominstitutiontoinstitution,andfrommarkettomarket,26,RiseofSystemicRisk(Ctd.),Bankshadamismatchbetweenthematurityandliquidityoftheirassetsandliabilities.LiabilitieswereshortandliquidAssetswerelongandilliquidConstantneedtorefinancetheassetportfolioBankswereveryhighlylevered,givingthemalmostnomarginofsafety.,27,RiseofSystemicRisk(Ctd.),Investorsreliedtoomuchon“creditenhancement”throughstructuredproductslikeCDSCDStradedmostly“overthecounter”,solesstransparent,nopostedmarginrequirementsOpaquelinkagesbetweenfinancialinstrumentsandinstitutions,28,TheShoeDrops,2000-2006:Sharpincreaseinhousingpricescausedmanyinvestorstobelievethatcontinuallyrisinghomepriceswouldbailoutpoorlyperformingloans2004:Interestratesbeganrising2006:Homepricespeaked,29,TheShoeDrops,2007:Housingdefaultsandlossesonmortgage-backedsecuritiessurged2007:BearStearnsannouncestroubleatitssubprimemortgagerelatedhedgefunds,30,TheShoeDrops,2008:TroubledfirmsincludeBearStearns,FannieMae,FreddieMac,MerrillLynch,LehmanBrothers,andAIGMoneymarketbreaksdownCreditmarketsfreezeupFederalbailouttostabilizefinancialsystem,3