投资学期末复习资料ppt课件

1、投资期末复习资料.分析系统风险与非系统风险市场有效性：概念，成因，涵义分别性质：概念，意义资本资产定价模型：根本公式及其解释被动投资战略：概念及其运用.计算题两风险资产组合的收益与风险常数增长股利贴现模型保证金购买与卖空计算CAPM的根本计算运用免税债券等价收益率的计算.论述组合投资实际的分析思绪CAPM的假设框架及其推导思绪根底分析的框架与要点要求：框架完好，逻辑明晰，表达准确。.6.1 Diversification and Portfolio RiskFirm-specific riskDiversifiable, unique risk or nonsystematic riskRis

2、k that can be eliminated by diversification.E.g. R&D, management style. Market riskSystematic or Nondiversifiable riskRisk factors common to the whole economy (security market).Business cycle, inflation rate, interest rate, exchange rate.8.1 Random Walks and the Efficient Market Hypothesis Efficient

3、 market hypothesis The hypothesis that prices of securities fully reflect available information about securities.If stock price movements were predictable, that would be damning evidence of stock market inefficiency, because the ability to predict prices would indicate that all available information

4、 was not already impounded in stock prices.8.1 Random Walks and the Efficient Market Hypothesis Versions of the Efficient Market HypothesisWeak-form EMHThe assertion that stock prices already reflect all information contained in the history of past trading (Volume and price).Semistrong-form EMHThe a

5、ssertion that stock prices already reflect all publicly available information.Strong-form EMHThe assertion that stock prices reflect all relevant information, including inside information.Anyone trading on information supplied by insiders is considered in.8.1 Random Walks and the Efficient Market Hy

6、pothesis 一切可获得 的信息 (包括内幕信息) 全部公开的信息全部买卖信息.8.1 Random Walks and the Efficient Market Hypothesis Competition as the Source of EfficiencyInvestors will have an incentive to spend time and resources to analyze and uncover new information only if such activity is likely to generate higher investment retu

7、rns.Competition (to collect and analyze and dig new information) among many well-backed, highly paid, aggressive analysts ensures that, stock prices ought to reflect available information regarding their proper levels.Degree of efficiency across various markets may differ.Emerging markets, which are

8、 less intensively analyzed than U.S. markets, may be less efficient than U.S. markets. Small stocks, which receive less coverage by analysts, may be less efficiently priced than large ones.8.1 Random Walks and the Efficient Market Hypothesis Are stock prices (movements) predictable ?Any publicly ava

9、ilable information that might be used to predict stock performance, including information on the macroeconomy, the firms industry, and its operations, plans, and management, should already be reflected in stock prices.As soon as there is any information indicating a stock is underpriced and offers a

10、 profit opportunity, investors flock to buy the stock and immediately bid up its price to a fair level, where again only ordinary rates of return can be expected. These “ordinary rates are simply rates of return commensurate with the risk of the stock.8.1 Random Walks and the Efficient Market Hypoth

11、esis Stock prices (movements) should follow a random walkNew information, by definition, must be unpredictable; If it could be predicted, then that prediction would be part of todays information. Thus, stock prices that change in response to new (unpredictable) information also must move unpredictab

12、ly.Random walk：The notion that stock price changes are random and unpredictable.6.4 Efficient Diversification with Many Risky Assetsseparation propertyAll investors will choose the same risky portfolio (O), no matter what their degrees of risk aversion (风险态度与风险资产选择无关). The property implies portfolio

13、 choice can be separated into two independent tasks:(1) determination of the optimal risky portfolio (stock selection), which is a purely technical problem, and (2) the personal choice of the best mix (capital allocation) of the risky portfolio and the risk-free asset.6.4 Efficient Diversification w

14、ith Many Risky Assetsseparation property is the theoretical basis of the mutual fund industry (why?)Although the optimal risky portfolio for different clients may vary because of portfolio constraints such as dividend yield requirements, tax considerations, or other client preferencesThe (computeriz

15、ed) optimization technique is the easiest part of portfolio construction, the real arena of the competition among portfolio managers is in the sophisticated security analysis that produce different input data (precise predict of stock returns).X Corp$7050%Initial Margin40%Maintenance Margin1000Share

16、s PurchasedInitial Position?Stock $70,000 Borrowed $35,000 Equity $35,000Buying on Margin.Stock price falls to $60 per shareNew Position?Stock $60,000 Borrowed $35,000 Equity $25,000Margin= $25,000/$60,000 = 41.67%Buying on Margin.Stock price rises to $80 per shareNew Position?Stock $80,000 Borrowed

17、 $35,000 Equity $45,000Margin= $45,000/$80,000 = 56.2%Buying on Margin.How far can the stock price fall before amargin call?(1000P - $35,000) / 1000P = 40% P = $58.33Buying on Margin.Municipal BondsTo compare yields on taxable bonds and tax-exempt bonds (municipal bonds), a Taxable Equivalent Yield

18、is constructed.6.2 Asset Allocation with Two Risky Assets The Three Rules of Two-Risky-Assets PortfoliosSuppose a proportion denoted by wB is invested in the bond fund, and the remainder 1wB,denoted by wS, is invested in the stock fund. Rule 1: The rate of return on the portfolio is a weighted avera

19、ge of the returns on the component securities, with the investment proportions as weights.rP=wBrB+wSrS.6.2 Asset Allocation with Two Risky Assets Rule 2: The expected rate of return on the portfolio is a weighted average of the expected returns on the component securities, with the same portfolio pr

20、oportions as weights. E(rP)=wBE(rB)+wSE(rS).6.2 Asset Allocation with Two Risky Assets Rule 3: The variance of the rate of return on the two-risky-assets portfolio iswhereBS is the correlation coefficient between the returns on the stock and bond funds.7.1 The Capital Asset Pricing ModelEXAMPLE 7.2：Suppose the risk premium of the market portfolio is 9%