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首页 投资学精要(博迪,马库斯,凯恩)

投资学精要(博迪,马库斯,凯恩).pdf

投资学精要(博迪,马库斯,凯恩)

cleverkatty 2010-03-10 评分 0 浏览量 0 0 0 0 暂无简介 简介 举报

简介:本文档为《投资学精要(博迪,马库斯,凯恩)pdf》,可适用于高等教育领域,主题内容包含FinanceMcGrawHillPrimisISBN:Text:Investments,FifthEditionBodieKaneMarcusCo符等。

FinanceMcGrawHillPrimisISBN:Text:Investments,FifthEditionBodieKaneMarcusCourse:InvestmentsInstructor:DavidWhitehurstUMISTVolumeMcGrawHillIrwinFinancehttp:wwwmhhecomprimisonlineCopyrightbyTheMcGrawHillCompanies,IncAllrightsreservedPrintedintheUnitedStatesofAmericaExceptaspermittedundertheUnitedStatesCopyrightActof,nopartofthispublicationmaybereproducedordistributedinanyformorbyanymeans,orstoredinadatabaseorretrievalsystem,withoutpriorwrittenpermissionofthepublisherThisMcGrawHillPrimistextmayincludematerialssubmittedtoMcGrawHillforpublicationbytheinstructorofthiscourseTheinstructorissolelyresponsiblefortheeditorialcontentofsuchmaterialsFINAISBN:ThisbookwasprintedonrecycledpaperFinanceVolumeBodieKaneMarcus•Investments,FifthEditionFrontMatterPrefaceWalkThroughIIntroductionTheInvestmentEnvironmentMarketsandInstrumentsHowSecuritiesAreTradedMutualFundsandOtherInvestmentCompaniesHistoryofInterestRatesandRiskPremiumsIIPortfolioTheoryRiskandRiskAversionCapitalAllocationbetweentheRiskyAssetandtheRiskFreeAssetOptimalRiskyPortfolioIIIEquilibriumInCapitalMarketsTheCapitalAssetPricingModelSingleIndexandMultifactorModelsArbitragePricingTheoryMarketEfficiencyEmpiricalEvidenceonSecurityReturnsIVFixedIncomeSecuritiesBondPricesandYieldsTheTermStructureofInterestRatesManagingBondPortfoliosVSecurityAnalysisMacroeconomicsandIndustryAnalysisEquityandValuationModelsFinancialStatementAnalysisVIOptions,Futures,andOtherDerivativesOptionsMarkets:IntroductionOptionValuationFuturesMarketsFuturesandSwaps:ACloserLookiiiVIIActivePortfolioManagementPortfolioPerformanceEvaluationInternationalDiversificationTheProcessofPortfolioManagementivBodieKaneMarcus:Investments,FifthEditionFrontMatterPrefaceTheMcGrawHillCompanies,PREFACEWewrotethefirsteditionofthistextbookmorethantenyearsagoTheinterveningyearshavebeenaperiodofrapidandprofoundchangeintheinvestmentsindustryThisisdueinparttoanabundanceofnewlydesignedsecurities,inparttothecreationofnewtradingstrategiesthatwouldhavebeenimpossiblewithoutconcurrentadvancesincomputertechnology,andinparttorapidadvancesinthetheoryofinvestmentsthathavecomeoutoftheacademiccommunityInnootherfield,perhaps,isthetransmissionoftheorytorealworldpracticeasrapidasisnowcommonplaceinthefinancialindustryThesedevelopmentsplacenewburdensonpractitionersandteachersofinvestmentsfarbeyondwhatwasrequiredonlyashortwhileagoInvestments,FifthEdition,isintendedprimarilyasatextbookforcoursesininvestmentanalysisOurguidingprinciplehasbeentopresentthematerialinaframeworkthatisorganizedbyacentralcoreofconsistentfundamentalprinciplesWemakeeveryattempttostripawayunnecessarymathematicalandtechnicaldetail,andwehaveconcentratedonprovidingtheintuitionthatmayguidestudentsandpractitionersastheyconfrontnewideasandchallengesintheirprofessionallivesThistextwillintroduceyoutomajorissuescurrentlyofconcerntoallinvestorsItcangiveyoutheskillstoconductasophisticatedassessmentofcurrentissuesanddebatescoveredbyboththepopularmediaaswellasmorespecializedfinancejournalsWhetheryouplantobecomeaninvestmentprofessional,orsimplyasophisticatedindividualinvestor,youwillfindtheseskillsessentialOurprimarygoalistopresentmaterialofpracticalvalue,butallthreeofusareactiveresearchersinthescienceoffinancialeconomicsandfindvirtuallyallofthematerialinthisbooktobeofgreatintellectualinterestFortunately,wethink,thereisnocontradictioninthefieldofinvestmentsbetweenthepursuitoftruthandthepursuitofmoneyQuitetheoppositeThecapitalassetpricingmodel,thearbitragepricingmodel,theefficientmarketshypothesis,theoptionpricingmodel,andtheothercenterpiecesofmodernfinancialresearchareasmuchintellectuallysatisfyingsubjectsofscientificinquiryastheyareofimmensepracticalimportanceforthesophisticatedinvestorInourefforttolinktheorytopractice,wealsohaveattemptedtomakeourapproachconsistentwiththatoftheInstituteofCharteredFinancialAnalysts(ICFA),asubsidiaryoftheAssociationofInvestmentManagementandResearch(AIMR)Inadditiontofosteringresearchinfinance,theAIMRandICFAadministeraneducationandcertificationprogramtocandidatesseekingthetitleofCharteredFinancialAnalyst(CFA)TheCFAcurriculumrepresentstheconsensusofacommitteeofdistinguishedscholarsandpractitionersregardingthecoreofknowledgerequiredbytheinvestmentprofessionalTherearemanyfeaturesofthistextthatmakeitconsistentwithandrelevanttotheCFAcurriculumTheendofchapterproblemsetscontainquestionsfrompastCFAexams,and,forstudentswhowillbetakingtheexam,AppendixBisausefultoolthatlistseachCFAquestioninthetextandtheexamfromwhichithasbeentakenChapterincludesexcerptsfromthe“CodeofEthicsandStandardsofProfessionalConduct”oftheICFAChapter,whichdiscussesinvestorsandtheinvestmentprocess,ismodeledaftertheICFAoutlineIntheFifthEdition,wehaveintroducedasystematiccollectionofExcelspreadsheetsthatgivestudentstoolstoexploreconceptsmoredeeplythanwaspreviouslypossibleTheseviBodieKaneMarcus:Investments,FifthEditionFrontMatterPrefaceTheMcGrawHillCompanies,PREFACEviispreadsheetsareavailablethroughtheWorldWideWeb,andprovideatasteofthesophisticatedanalytictoolsavailabletoprofessionalinvestorsUNDERLYINGPHILOSOPHYOfnecessity,ourtexthasevolvedalongwiththefinancialmarketsIntheFifthEdition,weaddressmanyofthechangesintheinvestmentenvironmentAtthesametime,manybasicprinciplesremainimportantWebelievethatattentiontothesefewimportantprinciplescansimplifythestudyofotherwisedifficultmaterialandthatfundamentalprinciplesshouldorganizeandmotivateallstudyTheseprinciplesarecrucialtounderstandingthesecuritiesalreadytradedinfinancialmarketsandinunderstandingnewsecuritiesthatwillbeintroducedinthefutureForthisreason,wehavemadethisbookthematic,meaningweneverofferrulesofthumbwithoutreferencetothecentraltenetsofthemodernapproachtofinanceThecommonthemeunifyingthisbookisthatsecuritymarketsarenearlyefficient,meaningmostsecuritiesareusuallypricedappropriatelygiventheirriskandreturnattributesTherearefewfreelunchesfoundinmarketsascompetitiveasthefinancialmarketThissimpleobservationis,nevertheless,remarkablypowerfulinitsimplicationsforthedesignofinvestmentstrategiesasaresult,ourdiscussionsofstrategyarealwaysguidedbytheimplicationsoftheefficientmarketshypothesisWhilethedegreeofmarketefficiencyis,andalwayswillbe,amatterofdebate,wehopeourdiscussionsthroughoutthebookconveyagooddoseofhealthycriticismconcerningmuchconventionalwisdomDistinctiveThemesInvestmentsisorganizedaroundseveralimportantthemes:Thecentralthemeisthenearinformationalefficiencyofwelldevelopedsecuritymarkets,suchasthoseintheUnitedStates,andthegeneralawarenessthatcompetitivemarketsdonotoffer“freelunches”toparticipantsAsecondthemeistherisk–returntradeoffThistooisanofreelunchnotion,holdingthatincompetitivesecuritymarkets,higherexpectedreturnscomeonlyataprice:theneedtobeargreaterinvestmentriskHowever,thisnotionleavesseveralquestionsunansweredHowshouldonemeasuretheriskofanassetWhatshouldbethequantitativetradeoffbetweenrisk(properlymeasured)andexpectedreturnTheapproachwepresenttotheseissuesisknownasmodernportfoliotheory,whichisanotherorganizingprincipleofthisbookModernportfoliotheoryfocusesonthetechniquesandimplicationsofefficientdiversification,andwedevoteconsiderableattentiontotheeffectofdiversificationonportfolioriskaswellastheimplicationsofefficientdiversificationforthepropermeasurementofriskandtherisk–returnrelationshipThistextplacesgreateremphasisonassetallocationthanmostofitscompetitorsWepreferthisemphasisfortwoimportantreasonsFirst,itcorrespondstotheprocedurethatmostindividualsactuallyfollowTypically,youstartwithallofyourmoneyinabankaccount,onlythenconsideringhowmuchtoinvestinsomethingriskierthatmightofferahigherexpectedreturnThelogicalstepatthispointistoconsiderotherriskyassetclasses,suchasstock,bonds,orrealestateThisisanassetallocationdecisionSecond,inmostcases,theassetallocationchoiceisfarmoreimportantindeterminingoverallinvestmentperformancethanisthesetofBodieKaneMarcus:Investments,FifthEditionFrontMatterPrefaceTheMcGrawHillCompanies,securityselectiondecisionsAssetallocationistheprimarydeterminantoftheriskreturnprofileoftheinvestmentportfolio,andsoitdeservesprimaryattentioninastudyofinvestmentpolicyThistextoffersamuchbroaderanddeepertreatmentoffutures,options,andotherderivativesecuritymarketsthanmostinvestmentstextsThesemarketshavebecomebothcrucialandintegraltothefinancialuniverseandarethemajorsourcesofinnovationinthatuniverseYouronlychoiceistobecomeconversantinthesemarketswhetheryouaretobeafinanceprofessionalorsimplyasophisticatedindividualinvestorNEWINTHEFIFTHEDITIONFollowingisasummaryofthecontentchangesintheFifthEdition:HowSecuritiesAreTraded(Chapter)Chapterhasbeenthoroughlyupdatedtoreflectchangesinfinancialmarketssuchaselectroniccommunicationnetworks(ECNs),onlineandInternettrading,InternetIPOs,andtheimpactoftheseinnovationsonmarketintegrationThechapteralsocontainsnewmaterialonglobalizationofstockmarketsCapitalAllocationbetweentheRiskyAssetandtheRiskFreeAsset(Chapter)ChaptercontainsnewspreadsheetmaterialtoillustratethecapitalallocationdecisionusingindifferencecurvesthatthestudentcanconstructandmanipulateinExcelTheCapitalAssetPricingModel(Chapter)Thischaptercontainsanewsectionshowingthelinksamongthedeterminationofoptimalportfolios,securityanalysis,investors’buyselldecisions,andequilibriumpricesandexpectedratesofreturnWeillustratehowtheactionsofinvestorsengagedinsecurityanalysisandoptimalportfolioconstructionleadtothestructureofequilibriumpricesMarketEfficiency(Chapter)WehaveaddedanewsectiononbehavioralfinanceanditsimplicationsforsecuritypricingEmpiricalEvidenceonSecurityReturns(Chapter)ThischaptercontainssubstantialnewmaterialontheequitypremiumpuzzleItreviewsnewevidencequestioningwhetherthehistoricalaverageexcessreturnonthestockmarketisindicativeoffutureperformanceThechapteralsoexaminestheimpactofsurvivorshipbiasinourassessmentofsecurityreturnsItconsidersthepotentialeffectsofsurvivorshipbiasonourestimateofthemarketriskpremiumaswellasonourevaluationoftheperformanceofprofessionalportfoliomanagersviiiPREFACEBodieKaneMarcus:Investments,FifthEditionFrontMatterPrefaceTheMcGrawHillCompanies,PREFACEixBondPricesandYields(Chapter)ThischapterhasbeenreorganizedtounifythecoverageofthecorporatebondsectorItalsocontainsnewmaterialoninnovationinthebondmarket,includingmorematerialoninflationprotectedbondsTheTermStructureofInterestRates(Chapter)ThischaptercontainsnewmaterialillustratingthelinkbetweenforwardinterestratesandinterestrateforwardandfuturescontractsManagingBondPortfolios(Chapter)Wehaveaddednewmaterialshowinggraphicalandspreadsheetapproachestoduration,haveextendedourdiscussiononwhyinvestorsareattractedtobondconvexity,andhaveshownhowtogeneralizetheconceptofbonddurationinthepresenceofcallprovisionsEquityValuationModels(Chapter)WehaveaddednewmaterialoncomparativevaluationratiossuchaspricetosalesorpricetocashflowWealsohaveaddednewmaterialontheimportanceofgrowthopportunitiesinsecurityvaluationFinancialStatementAnalysis(Chapter)Thischaptercontainsnewmaterialoneconomicvalueadded,onqualityofearnings,oninternationaldifferencesinaccountingpractices,andoninterpretingfinancialratiosusingindustryorhistoricalbenchmarksOptionValuation(Chapter)WehaveintroducedspreadsheetmaterialontheBlackScholesmodelandestimationofimpliedvolatilityWealsohaveintegratedmaterialondeltahedgingthatpreviouslyappearedinaseparatechapteronhedgingFuturesandSwaps:ACloserLook(Chapter)RiskmanagementtechniquesusingfuturescontractsthatpreviouslyappearedinaseparatechapteronhedginghavebeenintegratedintothischapterInaddition,thischaptercontainsnewmaterialontheEurodollarandotherfuturescontractswrittenoninterestratesPortfolioPerformanceEvaluation(Chapter)WehaveaddedadiscussionofstyleanalysistothischapterTheTheoryofActivePortfolioManagement(Chapter)WehaveexpandedthediscussionoftheTreynorBlackmodelofactiveportfoliomanagement,payingattentiontohowoneshouldoptimallyintegrate“noisy”analystforecastsintotheportfolioconstructionproblemBodieKaneMarcus:Investments,FifthEditionFrontMatterPrefaceTheMcGrawHillCompanies,Inadditiontothesechanges,wehaveupdatedandeditedourtreatmentoftopicswhereveritwaspossibletoimproveexpositionorcoverageORGANIZATIONANDCONTENTThetextiscomposedofsevensectionsthatarefairlyindependentandmaybestudiedinavarietyofsequencesSincethereisenoughmaterialinthebookforatwosemestercourse,clearlyaonesemestercoursewillrequiretheinstructortodecidewhichpartstoincludePartIisintroductoryandcontainsimportantinstitutionalmaterialfocusingonthefinancialenvironmentWediscussthemajorplayersinthefinancialmarkets,provideanoverviewofthetypesofsecuritiestradedinthosemarkets,andexplainhowandwheresecuritiesaretradedWealsodiscussindepthmutualfundsandotherinvestmentcompanies,whichhavebecomeanincreasinglyimportantmeansofinvestingforindividualinvestorsChapterisageneraldiscussionofriskandreturn,makingthegeneralpointthathistoricalreturnsonbroadassetclassesareconsistentwitharisk–returntradeoffThematerialpresentedinPartIshouldmakeitpossibleforinstructorstoassigntermprojectsearlyinthecourseTheseprojectsmightrequirethestudenttoanalyzeindetailaparticulargroupofsecuritiesManyinstructorsliketoinvolvetheirstudentsinsomesortofinvestmentgameandthematerialinthesechapterswillfacilitatethisprocessPartsIIandIIIcontainthecoreofmodernportfoliotheoryWefocusmorecloselyinChapteronhowtodescribeinvestors’riskpreferencesInChapterweprogresstoassetallocationandtheninChaptertoportfoliooptimizationAfterourtreatmentofmodernportfoliotheoryinPartII,weinvestigateinPartIIItheimplicationsofthattheoryfortheequilibriumstructureofexpectedratesofreturnonriskyassetsChaptersandtreatthecapitalassetpricingmodelanditsimplementationusingindexmodels,andChaptercoversthearbitragepricingtheoryWecompletePartIIwithachapterontheefficientmarketshypothesis,includingitsrationaleaswellastheevidenceforandagainstit,andachapteronempiricalevidenceconcerningsecurityreturnsTheempiricalevidencechapterinthiseditionfollowstheefficientmarketschaptersothatthestudentcanusetheperspectiveofefficientmarkettheorytoputotherstudiesonreturnsincontextPartIVisthefirstofthreepartsonsecurityvaluationThisParttreatsfixedincomesecuritiesbondpricing(Chapter),termstructurerelationships(Chapter),andinterestrateriskmanagement(Chapter)ThenexttwoPartsdealwithequitysecuritiesandderivativesecuritiesForacourseemphasizingsecurityanalysisandexcludingportfoliotheory,onemayproceeddirectlyfromPartItoPartIIIwithnolossincontinuityPartVisdevotedtoequitysecuritiesWeproceedina“topdown”manner,startingwiththebroadmacroeconomicenvironment(Chapter),nextmovingontoequityvaluation(Chapter),andthenusingthisanalyticalframework,wetreatfundamentalanalysisincludingfinancialstatementanalysis(Chapter)PartVIcoversderivativeassetssuchasoptions,futures,swaps,andcallableandconvertiblesecuritiesItcontainstwochaptersonoptionsandtwoonfuturesThismaterialcoversbothpricingandriskmanagementapplicationsofderivativesFinally,PartVIIpresentsextensionsofpreviousmaterialTopicscoveredinthisPartincludeevaluationofportfolioperformance(Chapter),portfoliomanagementinaninternationalsetting(Chapter),ageneralframeworkfortheimplementationofinvestmentstrategyinanontechnicalmannermodeledaftertheapproachpresentedinCFAstudymaterials(Chapter),andanoverviewofactiveportfoliomanagement(Chapter)xPREFACEBodieKaneMarcus:Investments,FifthEditionFrontMatterPrefaceTheMcGrawHillCompanies,PREFACExvSUPPLEMENTSFortheInstructorInstructor’sManualTheInstructor’sManual,preparedbyRichardDJohnson,ColoradoStateUniversity,hasbeenrevisedandimprovedinthiseditionEachchapterincludesachapteroverview,areviewoflearningobjectives,anannotatedchapteroutline(organizedtoincludetheTransparencyMastersPowerPointpackage),andteachingtipsandinsightsTransparencyMastersarelocatedatthebackofthebookPowerPointPresentationSoftwareThesepresentationslides,alsodevelopedbyRichardDJohnson,providetheinstructorwithanelectronicformatoftheTransparencyMastersTheseslidesfollowtheorderofthechapters,butifyouhavePowerPointsoftware,youmaycustomizetheprogramtofityourlecturepresentationTestBankTheTestBank,preparedbyMaryellenEpplin,UniversityofCentralOklahoma,hasbeenrevisedtoincreasethequantityandvarietyofquestionsShortansweressayquestionsarealsoprovidedforeachchaptertofurtherteststudentcomprehensionandcriticalthinkingabilitiesTheTestBankisalsoavailableincomputerizedversionTestbankdisksareavailableinWindowscompatibleformatsFortheStudentSolutionsManualTheSolutionsManual,preparedbytheauthors,includesadetailedsolutiontoeachendofchapterproblemThismanualisavailableforpackagingwiththetextPle

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