投资学 分析与管理 第10版 英文版PDF电子书下载

PART ONE BACKGROUND 1

1 Understanding Investments 1

An Overall Perspective on Investing 2

Establishing a Framework for Investing 3

Some Definitions 3

A Perspective on Investing in Financial Assets 4

Why Do We Invest? 4

The Importance of Studying Investments 5

The Personal Aspects 5

Investments as a Profession 7

Understanding the Investment Decision Process 8

The Basis of Investment Decisions—Return and Risk 9

Structuring the Decision Process 12

Important Considerations in the Investment Decision Process for Today's Investors 13

The Great Unknown 13

The Global Investments Arena 14

The Importance of the Internet 15

Individual Investors Versus Institutional Investors 15

Ethics in Investing 16

Organizing the Text 17

Summary 18

2 Investment Alternatives 21

Organizing Financial Assets 22

Direct Investing 23

An International Perspective 24

Nonmarketable Financial Assets 24

Money Market Securities 26

The Treasury Bill 26

Money Market Rates 27

Fixed-Income Securities 28

Bonds 28

Types of Bonds 31

Asset-Backed Securities 37

Rates on Fixed-Income Securities 37

Equity Securities 38

Preferred Stock 38

Common Stock 39

Investing Internationally in Equities 42

Derivative Securities 43

Options 43

Futures Contracts 44

A Final Note 45

Summary 45

3 Indirect Investing 49

Investing Indirectly 50

What Is an Investment Company? 51

Types of Investment Companies 53

Unit Investment Trusts 53

Exchange-Traded Funds(ETFs) 53

Closed-End Investment Companies 54

Open-End Investment Companies(Mutual Funds) 55

Types of Mutual Funds 57

Money Market Funds 58

Equity Funds,Bond Funds,and Hybrid Funds 59

The Mechanics of Investing Indirectly 63

Closed-End Funds 63

Mutual Funds 64

Exchange-Traded Funds 69

Investment Company Performance 69

Measures of Fund Performance 70

Morningstar Ratings 71

Benchmarks 72

How Important are Expenses in Affecting Performance? 72

Some Conclusions About Fund Performance 72

Investing Internationally Through Investment Companies 74

Fund Categories for International Investing 75

The Future of Indirect Investing 76

Fund Supermarkets 76

Separately Managed Accounts 76

Hedge Funds 77

Summary 77

4 Securities Markets 82

The Importance of Financial Markets 83

The Primary Markets 83

Initial Public Offerings(IPOs) 84

The Investment Banker 84

Global Investment Banking 86

Private Placements 86

The Secondary Markets 87

U.S. Securities Markets for the Trading of Equities 87

The New York Stock Exchange 89

American Stock Exchange 92

The NASDAQ Stock Market 93

Comparisons of the Three Major Equity Markets 94

Regional Exchanges 95

Over-the-Counter Stocks 95

Electronic Communications Networks(ECNs) 96

In-House Trading 97

Foreign Markets 97

Stock Market Indexes 98

The Dow Jones Averages 98

Standard ＆ Poor's Stock Price Indexes 100

Understanding a Capitalization-Weighted Index 101

NASDAQ Indexes 102

Other Indexes 103

Relationships Between Domestic Stock Indexes 103

Foreign Stock Market Indicators 104

Bond Markets 105

Treasury Bonds 105

Agency Bonds 105

Municipal Bonds 106

Corporate Bonds 106

The Changing Bond Market 106

Derivatives Markets 107

The Changing Securities Markets 107

The National Market System(NMS) 107

The Intermarket Trading System(ITS) 108

Changes in U.S. Markets 108

The Globalization of Securities Markets 108

Summary 109

5 How Securities Are Traded 113

Brokerage Transactions 114

Brokerage Firms 114

Brokerage Accounts 118

Commissions 118

Investing Without a Broker 119

How Orders Work 120

Orders on the Organized Exchanges 120

Orders in the NASDAQ Stock Market 122

Decimalization of Stock Prices 122

Types of Orders 122

Clearing Procedures 124

Investor Protection in the Securities Markets 124

Government Regulation 124

Self-Regulation 126

Other Investor Protections 128

Margin 129

How Margin Accounts Can be Used 129

Margin Requirements and Obligations 130

Margin Requirements on Other Securities 131

Some Misconceptions About Margin 132

Short Sales 132

Selling Short as an Investor 134

Summary 136

PART TWO PORTFOLIO AND CAPITAL MARKET THEORY 136

6 Returns and Risks from Investing 140

An Overview 141

Return 142

The Two Components of Return 142

Risk 143

Sources of Risk 143

Measuring Returns 145

Total Return 145

Return Relative 147

Cumulative Wealth Index 149

Taking a Global Perspective 150

International Returns and Currency Risk 151

Summary Statistics for Returns 153

Arithmetic Mean 153

Geometric Mean 154

Arithmetic Mean Versus Geometric Mean 154

Inflation-Adjusted Returns 155

Measuring Risk 157

Variance and Standard Deviation 158

Risk Premiums 159

Realized Returns and Risks from Investing 161

Total Returns and Standard Deviations for the Major Financial Assets 161

Cumulative Wealth Indexes 163

The Components of Cumulative Wealth 164

Compounding and Discounting 165

Summary 165

7 Portfolio Theory 173

Dealing with Uncertainty 174

Using Probabilities 175

Probability Distributions 175

Calculating Expected Return for a Security 177

Calculating Risk for a Security 177

Introduction to Modern Portfolio Theory(MPT) 179

Portfolio Return and Risk 179

Portfolio Expected Return 180

Portfolio Risk 180

Analyzing Portfolio Risk 181

Risk Reduction—The Insurance Principle 181

Diversification 182

The Components of Portfolio Risk 184

The Correlation Coefficient 184

Covariance 187

Relating the Correlation Coefficient and the Covariance 188

Calculating Portfolio Risk 188

The Two-Security Case 188

The n-Security Case 191

The Importance of Covariance 192

Obtaining the Data 192

Simplifying the Markowitz Calculations 193

Summary 194

8 Portfolio Selection 201

Building a Portfolio Using Markowitz Principles 202

Identifying Optimal Risk-Return Combinations 202

Selecting an Optimal Portfolio of Risky Assets 204

The Global Perspective—International Diversification 206

Some Important Conclusions About the Markowitz Model 207

Alternative Methods of Obtaining the Efficient Frontier 207

The Single-Index Model 208

Multi-Index Models 211

Selecting Optimal Asset Classes—The Asset Allocation Decision 211

Some Major Asset Classes 212

Combining Asset Classes 214

Asset Allocation and the Individual Investor 215

Owning Stocks and Bonds 216

Return and Risk Combinations 217

Life-Cycle Analysis 219

The Impact of Diversification on Risk 219

Systematic and Nonsystematic Risk 219

How Many Securities are Enough to Diversify Properly? 220

The Implications of Reducing Risk by Holding Portfolios 222

Summary 222

9 Asset Pricing Models 228

Capital Market Theory 229

Capital Market Theory Assumptions 229

Introduction of the Risk-Free Asset 230

Risk-Free Borrowing and Lending 231

The Equilibrium Return-Risk Trade-off 232

The Capital Market Line 233

The Security Market Line 237

Beta 238

The CAPM's Expected Return—Beta Relationship 239

Over-and-Undervalued Securities 240

Estimating the SML 242

Estimating Beta 242

Tests of the.CAPM 245

Arbitrage Pricing Theory 246

The Law of One Price 246

Assumptions of APT 247

Factor Models 247

Understanding the APT Model 248

Identifying the Factors 249

Using APT in Investment Decisions 250

Some Conclusions about Asset Pricing 251

Summary 251

PART THREE COMMON STOCKS:ANALYSIS,VALUATION,AND MANAGEMENT 251

10 Common Stock Valuation 259

Overview 260

Discounted Cash Flow Techniques 260

Two DCF Approaches 261

The Dividend Discount Model 262

Dividends Dividends—What about Capital Gains? 271

The Dividend Discount Model in Practice 272

Other Discounted Cash Flow Approaches 273

Intrinsic Value and Market Price 275

Relative Valuation Techniques 276

The P/E Ratio or Earnings Multiplier Approach 277

Price/Book Value 281

Price/Sales Ratio(PRS) 281

Economic Value Added 283

Which Approach to Use? 283

Bursting the Bubble on New Economy Stocks—A Lesson in Valuation 284

Some Final Thoughts on Valuation 286

Summary 286

11 Common Stocks:Analysis and Strategy 296

Taking a Global Perspective 297

Analyzing Some Important Issues Involving Common Stocks 297

The Impact of the Overall Market on Individual Stocks 298

The Required Rate of Return 299

Building Stock Portfolios 301

The Passive Strategy 302

Buy-and-Hold Strategy 302

Index Funds 303

The Active Strategy 305

Security Selection 305

Sector Rotation 311

Market Timing 313

Rational Markets and Active Strategies 315

A Simple Strategy—The Coffeehouse Portfolio 316

Summary 316

12 Market Efficiency 320

Overview 321

The Concept of an Efficient Market 321

What is an Efficient Market? 321

Why The U.S. Stock Market can be Expected to be Efficient 323

The International Perspective 323

Forms of Market Efficiency 324

How to Test for Market Efficiency 327

Weak-Form Tests 328

Semistrong-Form Tests 330

Strong-Form Evidence 331

Behavioral Finance and Market Anomalies 334

Earnings Announcements 336

Low P/E Ratios 338

The Size Effect 338

The January Effect 339

The Value Line Ranking System 340

Other Anomalies 342

Some Conclusions about Market Efficiency 343

Data Mining 344

Some Remaining Issues 345

Behavioral Finance and Efficient Markets 345

A Final Argument for Market Efficiency 347

Summary 347

PART FOUR SECURITY ANALYSIS 347

13 Economy/Market Analysis 352

Taking a Global Perspective 353

Assessing the Economy 354

The Business Cycle 354

Forecasts of the Economy 358

Understanding the Stock Market 361

What Do We Mean by the "Market"? 361

Making Market Forecasts 365

Focus on the Important Variables 365

Using the Business Cycle to Make Market Forecasts 369

Other Approaches to Assessing the Market's Direction 370

Summary 374

14 Sector/Industry Analysis 377

What Is an Industry? 378

Classifying Industries 379

A New Classification System—NAICS 379

Other Industry Classifications 379

The Importance of Sector/Industry Analysis 380

Why Industry Analysis is Important Over the Long Run 380

Industry Performance Over Shorter Periods 381

How One Industry Can Have a Major Impact on Investors—The Telecom Industry 382

Cross-Sectional Volatility Has Increased 383

Analyzing Sectors/Industries 383

The Industry Life Cycle 383

Qualitative Aspects of Industry Analysis 385

Using Sector/Industry Analysis as an Investor 387

Sector Rotation 387

Evaluating Future Industry Prospects 387

Business Cycle Analysis 388

Picking Industries for Next Year 390

Summary 392

15 Company Analysis 395

Fundamental Analysis 396

The Accounting Aspects of Earnings 397

The Financial Statements 397

The Problems with EPS 404

Has the Situation Improved? 405

The Global Arena—International Accounting 409

Analyzing a Company's Profitability 409

Analyzing Return on Equity(ROE) 410

Analyzing Return on Assets(ROA) 411

Using ROE—Estimating the Internal(Sustainable)Growth Rate 412

Earnings Estimates 413

A Forecast of EPS 414

The Accuracy of Earnings Forecasts 414

Earnings Surprises 415

Earnings Guidance 416

The Earnings Game 417

Useful Information for Investors about Earnings Estimates 418

Sales Growth—An Alternative to Earnings 418

The P/E Ratio 419

Which P/E Ratio is Being Used? 419

Determinants of the P/E Ratio 419

Why P/E Ratios Vary Among Companies 420

The PEG Ratio 421

Fundamental Security Analysis in Practice 421

Summary 424

16 Technical Analysis 431

What Is Technical Analysis? 432

A Framework for Technical Analysis 434

Stock Price and Volume Techniques 435

The Dow Theory 435

Charts of Price Patterns 436

Moving Averages 441

Relative Strength 443

Using the Computer for Technical Analysis 444

Technical Indicators 445

Breadth Indicators 445

Sentiment Indicators 445

Testing Technical Analysis Strategies 447

The EBB and Flow of Technical Analysis 449

Some Conclusions about Technical Analysis 449

Summary 452

PART FIVE FIXED-INCOME SECURITIES:ANALYSIS, VALUATION,AND MANAGEMENT 452

17 Bond Yields and Prices 455

Bond Yields 456

The Basic Components of Interest Rates 457

Measuring Bond Yields 458

Bond Prices 467

The Valuation Principle 467

Bond Valuation 468

Bond Price Changes 469

Bond Price Changes Over Time 469

Bond Price Changes as a Result of Interest Rate Changes 470

Measuring Bond Price Volatility: Duration 473

Summary 480

18 Bonds:Analysis and Strategy 488

Why Buy Bonds? 489

Buying Foreign Bonds 490

Important Considerations in Managing a Bond Portfolio 491

Understanding the Bond Market 491

The Term Structure of Interest Rates 492

The Risk Structure of Interest Rates—Yield Spreads 497

Bond Strategies 499

Passive Management Strategies 500

Immunization—A Structured Portfolio Strategy 502

Active Management Strategies 505

Building a Fixed-Income Portfolio 507

Conservative Investors 508

Aggressive Investors 508

The International Perspective 509

Summary 510

PART SIX DERIVATIVE SECURITIES 510

19 Options 514

Why Have Derivative Securities? 515

Why Options Markets? 515

Introduction to Options 516

Understanding Options 517

Options Terminology 517

How Options Work 518

The Mechanics of Trading 519

Payoffs and Profits from Basic Option Positions 521

Calls 521

Puts 523

Some Basic Options Strategies 525

Covered Calls 526

Protective Puts 529

Portfolio Insurance 531

Option Valuation 532

A General Framework 532

Intrinsic Values and Time Values 532

Boundaries on Option Prices 534

The Black-Scholes Model 536

Put Option Valuation 539

Summarizing the Factors Affecting Options Prices 539

Hedge Ratios 540

Using the Black-Scholes Model 540

An Investor's Perspective on Puts and Calls 541

What Puts and Calls Mean to Investors 541

The Evolutionary Use of Options 541

Stock-Index Options 542

The Basics of Stock-Index Options 542

Strategies with Stock-Index Options 543

The Popularity of Stock-Index Options 545

Summary 545

20 Futures 552

Understanding Futures Markets 553

Why Futures Markets ? 553

Current U.S. Futures Markets 554

Foreign Futures Markets 555

Futures Contracts 555

The Structure of Futures Markets 556

Futures Exchanges 556

The Clearinghouse 556

The Mechanics of Trading 557

Basic Procedures 557

Margin 559

Using Futures Contracts 562

Hedgers 562

How to Hedge with Futures 563

Speculators 564

Financial Futures 564

Interest Rate Futures 565

Stock-Index Futures 568

Single Stock Futures 573

Summary 574

PART SEVEN INVESTMENT MANAGEMENT 574

21 Portfolio Management 579

Portfolio Management as a Process 580

Individual Investors Versus Institutional Investors 582

Formulate an Appropriate Investment Policy 584

Objectives 584

Constraints and Preferences 586

Determine and Quantify Capital Market Expectations 589

Forming Expectations 589

Rate of Return Assumptions 590

Developing and Implementing Investing Strategies 593

Asset Allocation 593

Portfolio Optimization 595

Monitor Market Conditions and Investor Circumstances 596

Monitoring Market Conditions 596

Changes in Investor's Circumstances 596

Rebalancing the Portfolio 596

Performance Measurement 598

Summary 599

22 Evaluation of Investment Performance 602

A Framework for Evaluating and Assessing Portfolio Performance 603

Performance Measurement Issues 604

Three Questions to Answer in Measuring Portfolio Performance 604

Return Calculations 605

Risk Considerations 607

Performance Benchmarks and Performance Universes 608

Performance Universes 608

Performance Benchmarks 609

Risk-Adjusted Measures of Performance 610

The Sharpe Performance Measure 610

The Treynor Performance Measure 612

Jensen's Differential Return Measure 615

M2 617

Style Analysis and Performance Attribution 619

Style Analysis 619

Performance Attribution 620

Money Managers and Performance Presentations 621

An Overview on Performance Evaluation 622

Summary 622