投资学精要 英文版·第3版PDF电子书下载

CHATER 1

ContentsPART ONEELEMENTS OF INVESTMENTS 1

CHAPTER 2

Investments:Background and Issues 2

CHAPTER 3

1.1 Real Assets versus Financial Assets 3

1.2 A Taxonomy of Financial Assets 4

CHAPTER 4

1.3 Financial Markets and the Economy 5

CHAPTER 5

CHAPTER 6

CHAPTER 7

Consumption Timing 7

Allocation of Risk 7

Separation of Ownership andManagement 7

1.4 The Investment Process 8

1.5 Markets Are Competitive 8

The Risk-Return Trade-Off 8

CHAPTER 8

Efficient Markets 9

CHAPER 9

CHAPTER 10

1.6 The Players 10

Financial Intermediaries 10

CHAPTER 11

CHAPTER 12

1.7 Markets and Market Structure 12

Investment Bankers 12

Auction Markets 13

Brokered Markets 13

Direct Search Markets 13

CHAPTER 13

Dealer Markets 13

Globalization 14

1.8 Recent Trends 14

CHAPTER 14

Securitization 14

CHAPTER 15

CHAPTER 16

CHAPTER 17

Financial Engineering 17

1.9 Outline of the Text 18

CHAPTER 18

Summary 19

CHAPTER 19

CHAPTER 20

CHAPTER 21

Financial Markets and Instruments 23

2.1 The Money Market 23

Treasury Bills 24

Bank Discount Yields 24

Commercial Paper 28

Bankers Acceptances 28

Certifcates of Deposit 28

Brokers Calls 29

Repos and Reverses 29

Eurodollars 29

The LIBOR Market 30

Federal Funds 30

Yields on Money Market Instruments 30

2.2 The Fixed-Income Capital Market 31

Treasury Notes and Bonds 31

Federal Agency Debt 32

Municipal Bands 33

Mortgages and Mortage-BackedSecurities 36

Corporate Bonds 36

Common Stock as Ownership Shares 38

2.3 Equity Securities 38

Stock Market Listings 39

Characteristics of Common Stock 39

Preferred Stock 40

Stock Market Indexes 41

2.4 Stock and Bond Market Indexes 41

Dow Jones Averages 44

Standard Poor s Indexes 45

Other Market Value Indexes 46

Foreign and International Stock MarketIndexes 48

Equally Weighted Indexes 48

Bond Market Indicators 49

2.5 Derivative Markets 49

Options 49

Futures Contracts 51

Summary 52

3.1 How Firms Issue Securities 57

How Securities Are Traded 57

Investment Banking 58

Shelf Registration 59

Initial Public Offerings 59

The Secondary Markets 61

3.2 Where Securities Are Traded 61

The Third and Fourth Markets 64

The Over-the-Counter Market 64

The Participants 65

3.3 Trading on Exchanges 65

The National Market System 65

Types of Orders 66

Specialists and the Execution of Trades 67

Block Sales 69

The DOT System 69

Settlement 69

3.4 Trading on the OTC Market 70

Market Structure in Other Countries 71

3.5 Trading Costs 72

3.6 Buying on Margin 74

3.7 Short Sales 76

3.8 Regulation of Securities Markets 77

Self-Regulation and Circuit Breakers 78

Insider Trading 80

Summary 82

Mutual Funds and Other InvestmentComPanies 88

4.1 Investment Companies 89

4.2 Types of Investment Companies 89

Unit Investment Trusts 90

Managed Investment Companies 90

Other Investment Organizations 92

4.3 Mutual Funds 93

Investment Policies 93

How Funds Are Sold 94

Fee Structure 95

4.4 Costs of Investing in Mutual Funds 95

Fees and Mutual Fund Returns 97

4.5 Taxation of Mutual Fund Income 99

4.6 Mutual Fund Investment Performance:AFirst Look 101

4.7 Information on Mutual Funds 104

Summary 108

Investors and the Investment Process 112

5.1 Investors and Objectives 113

Professional Investors 115

Individual lnvestors 115

Pension Funds 116

Nonlife lnsurance Companies 117

Banks 117

Life Insurance Companies 117

5.2 Investor Constraints 118

Endowment Funds 118

Liquidity 119

Investment Horizon 119

Regulations 119

The Considerations 120

Unique Needs 120

5.3 Objectives and Constraints of VariousInvestors 121

Objectives 121

Constraints 122

5.4 Investment Policies 123

Top-Down Policies for InstitutionalInvestors 124

Active versus Passive Policies 125

Tax-Shelter Options 127

5.5 Taxes and Investment Strategy 127

5.6 Monitoring and Revising InvestmentPortfolios 129

Summary 130

PARTTWOPORTFOLIO THEORY 136

Measuring Investment Returns over MultiplePeriods 137

6.1 Rates of Retum 137

Risk and Return:Past and Prologue 137

Conventions for Quoting Rates ofReturn 140

Scenario Analysis and ProbabilityDistributions 141

6.2 Risk and Risk Premiums 141

Bills,Bonds,and Stocks,1926-1996 145

6.3 The Historical Record 145

6.4 Inflation and Real Rates of Return 146

The Equilibrium Nominal Rate ofInterest 150

6.5 Asset Allocation Across Risky and Risk-FreePortfolios 151

The Risky Asset 151

The Risk-Free Asset 152

Portfolio Expected Return and Risk 153

The Capital Allocation Line 155

Risk Tolerance and Asset Allocation 156

6.6 Passive Strategies and the Capital MarketLine 157

Historical Evidence on the Capital MarketLine 159

Summary 160

Costs and Benefits of Passive Investing 160

Efficient Diversification 166

7.1 Diversification and Portfolio Risk 167

7.2 Asset Allocation with Two RiskyAssets 168

Covariance and Correlation 168

The Three Rules of Two-Risky-AssetPortfolios 171

The Risk-Return Trade-Off with TWo-Risky-Asset Portfolios 172

Mean-Variance Criteria 173

Using Historical Data 176

7.3 The Optimal Risky Portfolio with a Risk-Free Asset 177

The Efficient Frontier of Risky Assets 180

7 4 Edducient Diversification with Many RiskyAssets 180

Choosing the Optimal Risky Portfolio 181

7.5 A Single-Factor Asset Market 182

The Preferred Complete Portfolio and theSeparation Property 182

Specification of a Single-Index Model ofSecurity Returns 183

Statistical and Graphical Representation ofthe Single-Index Model 184

Summary 188

Diversification in a Single-Factor SecurityMarket 188

Appendix:The Fallacy of TimeDiversification 196

Capital Asset Pricing and Arbitrage PricingTheory 198

8.1 The Capital Asset Pricing Model 199

Why All Investors Would Hold the MarketPortfolio 200

The Risk Premium of the MarketPortfolio 201

The Passive Strategy Is Efficient 201

Expected Returns on IndividualSecurities 202

The Security Market Line 204

Applications of the CAPM 205

8.2 The CAPM and Index Models 206

The Index Model,Realized Returns,and theExpected Return-Beta Relationship 206

Estimating the Index Model 207

The CAPM and the Index Model 209

Predicting Betas 213

8.3 The CAPM and the Real World 215

8.4 Arbitrage Pricing Theory 217

Arbitrage Opportunities and Profits 217

Well-Diversified Portfolios and the ArbitragePricing Theory 219

Multifactor Generalization of the APT andCAPM 222

The APT and the CAPM 222

Summary 224

The Efficient Market Hypothesis 231

9.1 Random Walks and the Efficient MarketHypothesis 232

Competition as the Source of Efficiency 232

Versions of the Efficient MarketHypothesis 233

Technical Analysis 234

9.2 Implications of the EMH for InvestmentPolicy 234

Active versus Passive PortfolioManagement 235

Fundamental Analysis 235

The Role of Portfolio Management in anEfficient Market 236

The Issues 237

9.3 Are Markets Efficient? 237

Tests of Predictability in Stock MarketReturns 239

Predictors of Broad Market Movements 240

Portfolio Strategies and MarketAnomalies 240

Scientific and Computing Power in Search ofAbnormal Returns 251

Summary 253

So,Are Markets Efficient? 253

PAR THREEFIXED-INCOME SECURITIES 258

Bond Prices and Yields 259

10.1 Bond Characteristics 260

Treasury Bonds and Notes 260

Corporate Bonds 262

Preferred Stock 264

International Bonds 265

Other Domestic Issuers 265

Innovation in the Bond Market 265

10.2 Default Risk 266

Junk Bonds 267

Determinants of Bond Safety 268

Bond Indentures 269

10.3 Bond Pricing 270

Yield to Matmity 273

10.4 Bond Yields 273

Yield to Call 275

Yield to Maturity and Default Risk 277

Realized Compound Yield versus Yield toMaturity 278

Yield to Maturity versus Holding-PeriodReturn 279

10.5 Bond Prices over Time 280

Zero-Coupon Bonds 281

After-Tax Recturns 282

The Expectations Theory 283

10.6 The Yield Curve 283

The Liquidity Preference Theory 285

Market Segmentation Theory 286

A Synthesis 286

Summary 288

Managing Fixed-Income Investments 296

11.1 Interest Rate Risk 297

Interest Rate Sensitivity 297

Duration 299

What Determines Duration? 301

11.2 Passive Bond Management 303

Target Date Immunization 304

Net worth Immunization 304

Cash Flow Matching and Dedication 309

11.3 Convexity 310

Sources of Potential Profit 313

11.4 Active Bond Management 313

Contingent Immunization 315

Horizon Analysis 315

An Example of a Fixed-Income ImestmentStrategy 316

11.5 Interest Rate Swaps 318

Summary 320

PARTFOURSECURITY ANALYSIS 327

Macroeconomic and Industry Analysis 328

12.1 The Global Economy 329

12.2 The Domestic Macroeconomy 329

Inflation 331

Employment 331

Gross Domestic Product 331

Budget Deficit 332

12.3 Interest Rates 332

Interest Rates 332

Sentiment 332

12.4 Demand and Supply Shocks 334

12.5 Federal Govemment Policy 334

Fiscal Policy 335

Monetary Policy 336

Supply-Side Policies 336

The Business Cycle 337

12.6 Business Cycles 337

Economic Indicators 340

Defining an Industry 341

12.7 Industry Analysis 341

Sensitivity to the Business Cycle 344

Industry Life Cycles 346

Industry Structure and Performance 349

Summary 350

Equity Valuation 355

13.1 Balance Sheet Valuation Methods 355

13.2 Intrinsic Value versus Market Price 356

13.3 Dividend Discount Models 358

The Constant Growth DDM 359

Stock Prices and InvestmentOpportunities 362

Life Cycles and Multistage GrowthModels 364

13.4 Price/Earnings Ratios 368

The Price/Earnings Ratio and GrowthOpportunities 368

P/E Ratios and Stock Risk 371

Pitfalls in P/E Analysis 371

13.5 The Aggregate Stock Market 374

Combining P/E Analysis and the DDM 374

Summary 377

Financial Statement Analysis 383

The Balance Sheet 384

The Income Statement 384

14.1 The Major Financial Statements 384

The Statement of Cash Flows 385

14.2 Accounting versus Economic Earnings 387

14.3 Return on Equity 388

Financial Leverage attd ROE 388

Past versus Future ROE 388

Decomposition of ROE 390

14.4 Ratio Analysis 390

Turnover and Other Asset UtilizationRatios 392

Liquidity and Coverage Ratios 393

Market Pric e Ratios 394

14.5 An Illustration of Financial StatementAnalysis 396

14.6 Comparability Problems 398

Inventory Valuation 398

Depreciation 400

Inflation and Interest Expense 401

International Accunting Conventions 401

Inflation Accounting 402

14.7 Value Investing:The GrahamTechnique 404

Summary 404

Technical Analysis 413

15.1 Technical Analysis 413

15.2 Charting 414

The Dow Theory 414

Other Charring Techniques 417

A Warning 418

15.3 Technical Indicators 421

Sentiment Indicators 422

Market Structure 424

Flow of Funds 424

15.4 The Value Line System 427

Self-Desnucting Patterns 429

15.5 Can Technical Analysis Work in EfficientMarkets? 429

A New View of Technical Analysis 430

Summary 43lPART FIVEDERIVATIVE ASSETS:OPTIONSAND FUTURES 436

OPtions Markets 437

16.1 The Option Contract 438

Options Trading 439

The Option Clearing Corporation 441

American and European Options 441

Other Listed Options 442

16.2 Values of Options at Expiration 445

Call Options 445

Put Options 446

Options versus Stock Investments 448

The Put-Call Pariy Relationship 450

Option Strategies 453

16.3 Option-Like Securities 459

Callable Bonds 460

Convertible Securities 461

Warrants 463

Collateralized Loans 463

Levered Equity and Risky Debt 464

16.4 Exotic Options 464

Asian Options 465

Binary Options 466

Summary 466

Currency-Translated Options 466

Lookback Options 466

Barrier Options 466

17.1 Option Valuation:Introduction 474

Intrinsic and Time Values 474

Dererminants of Option Values 474

Option Valuation 474

17.2 Binomial Option Pricing 477

TWo-State Option Pricing 477

Generalizing the Two-State Approach 480

17.3 Black-Scholes Option Valuation 482

The Black-Scholes Foemula 482

Put Option Valuation 486

17.4 Using the Black-Scholes Formula 487

Hedge Ratios and the Black-ScholesFormula 487

Portfolio Insurance 488

17.5 Empirical Evidence 492

Summary 493

Futures Markets 498

18.1 The Futures Contract 499

The Basics of Futures Contracts 500

Existing Contracts 500

18.2 Mechanics of Trading in FuturesMarkets 501

The Clearinghouse and Open Interest 501

Marking to Market and the MarginAccount 505

Cash versus Actual Delivery 507

Hedging and Speculation 508

Basis Risk and Hedging 508

18.3 Futures Market Strategies 508

Regulations 508

Taxation 508

18.4 The Determination of Futures Prices 511

The Spot-Futures Parity Theorem 511

Spreads 513

18.5 Financial Futures 514

Stock Index Futures 514

Creating Synthetic Stock Positions 515

Index Arbitrage and the Triple-WitchingHour 516

Foreign Exchange Futures 518

Interest Rate Futures 519

Summary 521

PART SIXACTIVE INVESTMNT MANAGEMENT 526

Performance Evaluation 527

19.1 Risk-Adjusted Returns 527

Comparison Groups 527

Risk Adjustments 529

Risk Adjustments with Changing PortfolioComposition 532

19.2 Market Timing 534

19.3 Performance Attribution Procedures 535

Asset Allocation Decisions 536

Sector and Security Selection Decisions 537

Summing Up Component Contributions 538

Summary 539

International Diversification 544

20.1 Intemational Investments 545

The World Market Portfolio 545

International Diversification 545

Exchange Rate Risk 550

Passive and Active InternationalInvesting 554

Factor Models and InternationalInvesting 555

Equilibrium in International CapitalMarkets 557

Summary 558

Appendix A Investments in Nontraditional AssetGroups 562

Real Estate 562

Precious Metals 562

Other Nontraditional Assets 564

Active Portfolio Management 565

21.1 The Lure of Active Management 565

21.2 Objectives of Active Portfolios 567

21.3 Market Timing 570

The Value of Imperfect Forecasting 572

Valuing Market Timing as an Option 572

21.4 Security Selection:The Treynor-BlackModel 573

Overview of the Treynor-Black Model 573

Portfolio Construction 575

21.5 Multifactor Models and Active PortfolioManagement 577

Summary 578

APPENDIXESA Sources of Financial and EconomicInformation 581

B References 590

C Mathematical Tables 594

D References to CFA Questions 599

NAME INDEX 602

SUBJECT INDEX 604