经济学金融技术分析

1、What is an Investment o“An Investment is the current commitment of money or other resources in the expectation of reaping future benefits” Real Assets Versus Financial Assets oReal Assets nAssets used to produce goods and services (land, buildings, machine, knowledge or patents etc.) oFinancial Asse

2、ts nClaims on real assets (Stocks, Bonds etc.) The success and failure of financial assets we choose to purchase ultimately depend on the performance of the underlying real assets Types Financial Assets oFixed income or debt o Money market instruments nBank certificates of deposit o Capital market i

3、nstruments nBonds oCommon stock or equity oDerivative securities Allocation vs. Selection oAsset allocation oChoice among broad asset classes oChoice of sector within a particular asset class oSecurity selection oChoice of which securities to hold within asset class Active vs. Passive Management oAc

4、tive Management oFinding mispriced securities oTiming the market oPassive Management oNo attempt to find undervalued securities oNo attempt to time the market oHolding a highly diversified portfolio Risk and Return Trade-off “No-Free Lunch Proposition” Primary vs. Secondary Market oNew issues of sec

5、urities are offered to the public in the primary market. IPOs Initial Public Offerings oPreviously issued securities are then traded in the secondary market Market Trends oAmerican Depository Receipts (ADRs) oForeign securities offered in dollars oMutual funds that invest internationally oInstrument

6、s and vehicles continue to develop (WEBs) oExchange Traded Funds (ETFs) Recent TrendsSecuritization oMortgage pass-through securities oOther pass-through arrangements oCar, student, home equity, credit card loans oOffers opportunities for investors and originators Recent TrendsFinancial Engineering

7、oUse of mathematical models and computer-based trading technology to synthesize new financial products oBundling and unbundling of cash flows Recent TrendsComputer Networks oOnline information dissemination oInformation is made cheaply and widely available to the public oAutomated trade crossing nDi

8、rect trading among investors TED Spread The spread between LIBOR rate (Bank borrowing Rate) and T-Bill (U.S. Govt borrowing Rate) is a measure of credit risk in the market place. The Financial Crisis oWorld financial markets have suffered very large, across-the board declines in value. oUnprecedente

9、d declines in residential property values have been experienced in many countries oThe banking systems of most Western countries have been in complete disarray, requiring huge government interventions oA global recession is ongoing, with large negative effects impacting employment, trade and governm

10、ent revenues oPreviously active markets in securitized debt, and related credit risk transfer instruments, have ground to a halt CHAPTER 2 Asset Classes and Financial Investments Two Segments of Financial Markets I.Money market Short-term, marketable, liquid, low-risk debt securities. (cash or cash

11、equivalents) II.Capital market Longer-term riskier securities I) The Money Market Instruments oU.S. T-Bills are the most marketable of all money market instruments. Investors buy the bills at a discount from stated maturity rate oA Certificate of deposit CD is a time deposit at a bank oCommercial Pa

12、per are short-term unsecured debt note issues by large companies. oBankers acceptance are an order to a bank by a banks customer to pay in a future date typically 6 months. oRepos repurchase agreements, usually overnight borrowing oFed Funds bank deposits at the Federal Reserve bank The Money Market

13、 Instruments oEurodollar deposits are dollar-denominated deposits at foreign banks or foreign branches of American banks. oBrokers call are the rate paid on margin accounts oLIBOR Rate at which the banks lend among themselves Figure 2.2 The Spread between 3-month CD and Treasury Bill Rates II Capita

14、l Market 1)Long-term Bond is composed of longer term borrowing or debt instruments than those that trade in the money market 2)Equity Securities represent ownership shares in a corporation (Common Stocks) 3)Market Indices various composites of bonds and stocks 4)Derivatives instruments provide payof

15、fs that depend on the values of other assets such as commodity prices, bond and stock prices, or market index value. Their values derive from the value of other assets 1) The Long-term Bond Market oTreasury Notes and Bonds - Issued by the U.S. Government oInflation-Protected Treasury Bonds TIPS prov

16、ide a constant stream of income in real (inflation adjusted) dollars oFederal Agency Debt Issued by government agencies oInternational Bonds- bonds denominated in currency other than that of the country which it is issued oMunicipal Bonds- I issued and local governments oCorporate Bonds Issued by co

17、rporation oMortgages and Mortgage-Backed Securities- ownership claim in a pool of mortgages or obligations. Treasury Notes and Bonds oMaturities nNotes maturities up to 10 years nBonds maturities in excess of 10 years n30-year bond oPar Value - $1,000 oQuotes percentage of par U.S. Treasury Snapshot

18、 Federal Agency Debt oMajor issuers nFederal Home Loan Bank nFederal National Mortgage Association nGovernment National Mortgage Association nFederal Home Loan Mortgage Corporation Municipal Bonds oIssued by state and local governments oTypes nGeneral obligation bonds nRevenue bonds oIndustrial reve

19、nue bonds oMaturities range up to 30 years Municipal Bond Yields oInterest income on municipal bonds is not subject to federal and sometimes not to state and local tax oTo compare yields on taxable securities a Taxable Equivalent Yield is constructed Table 2.2 Equivalent Taxable Yields Corresponding

20、 to Various Tax-Exempt Yields Tax Exempt Yield = Taxable Yield * (1 Tax Rate) International Bonds oA Eurobond is a bond denominated in a currency other than that of the country in which it is issue. A dollar denominated bond sold in UK would be call a Eurodollar bond. (No relation to Euro currency).

21、 oA Yankee bond is dollar denominated bond sold in the U.S. by a non U.S. issuer. oA Samurai bond are yen denominated bond sold in Japan by non Japanese issuers. Corporate Bonds oIssued by private firms oSemi-annual interest payments oSubject to larger default risk than government securities oOption

22、s in corporate bonds nCallable nConvertible oDeveloped in the 1970s to help liquidity of financial institutions oProportional ownership of a pool or a specified obligation secured by a pool oMarket has experienced very high rates of growth Mortgages and Mortgage-Backed Securities oCommon stock nResi

23、dual claim nLimited liability oPreferred stock nFixed dividends -limited nPriority over common nTax treatment oDepository receipts 2) Equity Securities oThere are several broadly based indexes computed and published daily oThere are several indexes of bond market performance 3) Market Indexes Dow Jo

24、nes Industrial Average oIncludes 30 large blue-chip corporations oComputed since 1896 oPrice-weighted average Example 2.2 Price-Weighted Average Portfolio: Initial value $25 + $100 = $125 Final value $30 + $ 90 = $120 Percentage change in portfolio value = 5/125 = -.04 = -4% Index: Initial index val

25、ue (25+100)/2 = 62.5 Final index value (30 + 90)/2 = 60 Percentage change in index -2.5/62.5 = -.04 = -4% oBroadly based index of 500 firms oMarket-value-weighted index oIndex funds oExchange Traded Funds (ETFs) Standard you can borrow up to 50% of the stock value nSet by the Fed oMaintenance margin

26、: minimum amount equity in trading can be before additional funds must be put into the account oMargin call: notification from broker that you must put up additional funds Margin Example Margin Example Margin Trading - Margin Call Example 3.2 Table 3.4 Illustration of Buying Stock on Margin Short Sa

27、les oPurpose: to profit from a decline in the price of a stock or security oMechanics nBorrow stock through a dealer nSell it and deposit proceeds and margin in an account nClosing out the position: buy the stock and return to the party from which is was borrowed Short Sale Example Short Sale - Main

28、tenance Margin Short Sale - Margin Call Regulation of Securities Markets oMajor regulations nSecurities Act of 1933 nSecurities Act of 1934 nSecurities Investor Protection Act of 1970 oSelf-Regulation nStock markets are largely self-regulating Regulation Securities Markets Continued oRegulatory Resp

29、onses to Recent Scandals nPublic Company Accounting Oversight Board nFinancial experts to serve on audit committees of boards of directors nCEOs and CFOs personally certify firms financial reports nBoards must have independent directors nSarbanes-Oxley Act Insider Trading oOfficers, directors, major

30、 stockholders must report all transactions in firms stock oInsiders do exploit their knowledge oLeakage of useful information to some traders CHAPTER 4 Mutual Funds and Other Investment Companies Investment Companies oThese companies perform several important functions for investors: nAdministration

31、 & record keeping nDiversification & divisibility nProfessional management nReduced transaction costs Net Asset Value oUsed as a basis for valuation of investment company shares nSelling new shares nRedeeming existing shares Calculation Market Value of Assets - Liabilities Shares Outstanding Types o

32、f Investment Companies oUnit Trusts oManaged Investment Companies nOpen-End oOpen-end: shares outstanding change when new shares are sold or old shares are redeemed oPriced at Net Asset Value(NAV) nClosed-End ono change in shares outstanding unless new stock is offered oPriced at Premium or discount

33、 to NAV Types of Investment Companies oOther investment organizations nCommingled funds nREITs nHedge Funds Mutual FundsInvestment Policies oMoney Market oEquity oSector oBond oBalanced oAsset Allocation and Flexible oIndex oInternational How Funds Are Sold oDirect-marketed funds oSales force distri

34、buted oRevenue sharing on sales force distributed nPotential conflicts of interest oFinancial Supermarkets Costs of Investing in Mutual Funds oFee Structure nOperating expenses nFront-end load nBack-end load n12 b-1 charges odistribution costs paid by the fund oAlternative to a load Fees and Mutual

35、Fund Returns 10 0 NAVNAV Income and capital gain distributions Rate of return = NAV Fees and Mutual Fund Returns: An Example Initial NAV = $20 Income distributions of $.15 Capital gain distributions of $.05 Ending NAV = $20.10: $20.10 - $20.00 + $.15 + $.05 Rate of Return = 1.5% $20.00 Table 4.2 Imp

36、acts of Costs on Investment Performance Trading Scandal with Mutual Funds oLate trading allowing some investors to purchase or sell later than other investors oMarket timing allowing investors to buy or sell on stale net asset values nInternational oNet effect is to transfer value from other shareho

37、lders to privileged traders nReduction in the rate of return of the mutual fund Potential Reforms oStrict 4:00 PM cutoff with late orders executed the following trading day oFair value pricing with net asset values being adjusted for trading in open markets oImposition of redemption fees Taxation on

38、 Mutual Fund Income oPass-through status under the U.S. tax code nTaxes are paid only by the investor oHigh turnover leads to tax inefficiency Exchange Traded Funds oETF allow investors to trade index portfolios like shares of stock oExamples - SPDRs and WEBS oPotential advantages nLower taxes nTrad

39、e continuously nLower costs oPotential disadvantages nPrices can depart by small amounts from NAV Figure 4.2 ETF Growth in U.S. Index vs. ETF or Index Fund Table 4.3 EFT Sponsors and Products Mutual Fund Investment Performance: A First Look oEvidence shows that average mutual fund performance is gen

40、erally less than broad market performance oEvidence that performance is consistent from one period to the next is suggestive but inconclusive Information on Mutual Funds oMorningstar () oYahoo ( oInvestment Company Institute () oDirectory of Mutual Funds I) The Money Market Instruments oU.S. T-Bills are the most marketable of all money market instruments. Investors buy the bills at a discount from stated maturity rate oA Certificate of deposit CD is a time deposit