投资学期末复习资料

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•分离性质：概念，意义•资本资产定价模型：基本公式及其解释•被动投资策略：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的基本计算应用•免税债券等价收益率的计算论述•组合投资理论的分析思路•CAPM的假设框架及其推导思路•基础分析的框架与要点•要求：框架完整，逻辑清晰，表达准确。6.1DiversificationandPortfolioRisk•Firm-specificrisk–Diversifiable,uniqueriskornonsystematicrisk–Riskthatcanbeeliminatedbydiversification.–E.g.R&D,managementstyle.•Marketrisk–SystematicorNondiversifiablerisk–Riskfactorscommontothewholeeconomy(securitymarket).–Businesscycle,inflationrate,interestrate,exchangerate…ifMifierrrr)(8.1RandomWalksandtheEfficientMarketHypothesis•Efficientmarkethypothesis–Thehypothesisthatpricesofsecuritiesfullyreflectavailableinformationaboutsecurities.•Ifstockpricemovementswerepredictable,thatwouldbedamningevidenceofstockmarketinefficiency,becausetheabilitytopredictpriceswouldindicatethatallavailableinformationwasnotalreadyimpoundedinstockprices.8.1RandomWalksandtheEfficientMarketHypothesis•VersionsoftheEfficientMarketHypothesis–Weak-formEMH•Theassertionthatstockpricesalreadyreflectallinformationcontainedinthehistoryofpasttrading(Volumeandprice).–Semistrong-formEMH•Theassertionthatstockpricesalreadyreflectallpubliclyavailableinformation.–Strong-formEMH•Theassertionthatstockpricesreflectallrelevantinformation,includinginsideinformation.–Anyonetradingoninformationsuppliedbyinsidersisconsideredin8.1RandomWalksandtheEfficientMarketHypothesis所有可获得的信息(包括内幕信息)全部公开的信息全部交易信息8.1RandomWalksandtheEfficientMarketHypothesis•CompetitionastheSourceofEfficiency–Investorswillhaveanincentivetospendtimeandresourcestoanalyzeanduncovernewinformationonlyifsuchactivityislikelytogeneratehigherinvestmentreturns.–Competition(tocollectandanalyzeanddignewinformation)amongmanywell-backed,highlypaid,aggressiveanalystsensuresthat,stockpricesoughttoreflectavailableinformationregardingtheirproperlevels.–Degreeofefficiencyacrossvariousmarketsmaydiffer.•Emergingmarkets,whicharelessintensivelyanalyzedthanU.S.markets,maybelessefficientthanU.S.markets.•Smallstocks,whichreceivelesscoveragebyanalysts,maybelessefficientlypricedthanlargeones.8.1RandomWalksandtheEfficientMarketHypothesis•Arestockprices(movements)predictable?–Anypubliclyavailableinformationthatmightbeusedtopredictstockperformance,includinginformationonthemacroeconomy,thefirm’sindustry,anditsoperations,plans,andmanagement,shouldalreadybereflectedinstockprices.–Assoonasthereisanyinformationindicatingastockisunderpricedandoffersaprofitopportunity,investorsflocktobuythestockandimmediatelybidupitspricetoafairlevel,whereagainonlyordinaryratesofreturncanbeexpected.These“ordinaryrates”aresimplyratesofreturncommensuratewiththeriskofthestock.8.1RandomWalksandtheEfficientMarketHypothesis•Stockprices(movements)shouldfollowarandomwalk–Newinformation,bydefinition,mustbeunpredictable;–Ifitcouldbepredicted,thenthatpredictionwouldbepartoftoday’sinformation.–Thus,stockpricesthatchangeinresponsetonew(unpredictable)informationalsomustmoveunpredictably.–Randomwalk：Thenotionthatstockpricechangesarerandomandunpredictable.6.4EfficientDiversificationwithManyRiskyAssets•separationproperty–Allinvestorswillchoosethesameriskyportfolio(O),nomatterwhattheirdegreesofriskaversion(风险态度与风险资产选择无关).–Thepropertyimpliesportfoliochoicecanbeseparatedintotwoindependenttasks:•(1)determinationoftheoptimalriskyportfolio(stockselection),whichisapurelytechnicalproblem,and•(2)thepersonalchoiceofthebestmix(capitalallocation)oftheriskyportfolioandtherisk-freeasset.6.4EfficientDiversificationwithManyRiskyAssets•separationpropertyisthetheoreticalbasisofthemutualfundindustry(why?)–Althoughtheoptimalriskyportfoliofordifferentclientsmayvarybecauseofportfolioconstraintssuchasdividendyieldrequirements,taxconsiderations,orotherclientpreferences–The(computerized)optimizationtechniqueistheeasiestpartofportfolioconstruction,therealarenaofthecompetitionamongportfoliomanagersisinthesophisticatedsecurityanalysisthatproducedifferentinputdata(precisepredictofstockreturns).XCorp$7050%InitialMargin40%MaintenanceMargin1000SharesPurchasedInitialPosition?Stock$70,000Borrowed$35,000Equity$35,000BuyingonMarginStockpricefallsto$60pershareNewPosition?Stock$60,000Borrowed$35,000Equity$25,000Margin=$25,000/$60,000=41.67%BuyingonMarginStockpricerisesto$80pershareNewPosition?Stock$80,000Borrowed$35,000Equity$45,000Margin=$45,000/$80,000=56.2%BuyingonMarginHowfarcanthestockpricefallbeforeamargincall?(1000P-$35,000)/1000P=40%P=$58.33BuyingonMarginMunicipalBonds•Tocompareyieldsontaxablebondsandtax-exemptbonds(municipalbonds),aTaxableEquivalentYieldisconstructed.trrrtrmm1)1(6.2AssetAllocationwithTwoRiskyAssets•TheThreeRulesofTwo-Risky-AssetsPortfolios–SupposeaproportiondenotedbywBisinvestedinthebondfund,andtheremainder1－wB,denotedbywS,isinvestedinthestockfund.–Rule1:Therateofreturnontheportfolioisaweightedaverageofthereturnsonthecomponentsecurities,withtheinvestmentproportionsasweights.rP=wBrB+wSrS6.2AssetAllocationwithTwoRiskyAssets•Rule2:Theexpectedrateofreturnontheportfolioisaweightedaverageoftheexpectedreturnsonthecomponentsecu