投资学 分析与管理 第10版 英文版PDF|Epub|txt|kindle电子书版本网盘下载

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PART ONE BACKGROUND1

1 Understanding Investments1

An Overall Perspective on Investing2

Establishing a Framework for Investing3

Some Definitions3

A Perspective on Investing in Financial Assets4

Why Do We Invest?4

The Importance of Studying Investments5

The Personal Aspects5

Investments as a Profession7

Understanding the Investment Decision Process8

The Basis of Investment Decisions—Return and Risk9

Structuring the Decision Process12

Important Considerations in the Investment Decision Process for Today's Investors13

The Great Unknown13

The Global Investments Arena14

The Importance of the Internet15

Individual Investors Versus Institutional Investors15

Ethics in Investing16

Organizing the Text17

Summary18

2 Investment Alternatives21

Organizing Financial Assets22

Direct Investing23

An International Perspective24

Nonmarketable Financial Assets24

Money Market Securities26

The Treasury Bill26

Money Market Rates27

Fixed-Income Securities28

Bonds28

Types of Bonds31

Asset-Backed Securities37

Rates on Fixed-Income Securities37

Equity Securities38

Preferred Stock38

Common Stock39

Investing Internationally in Equities42

Derivative Securities43

Options43

Futures Contracts44

A Final Note45

Summary45

3 Indirect Investing49

Investing Indirectly50

What Is an Investment Company?51

Types of Investment Companies53

Unit Investment Trusts53

Exchange-Traded Funds(ETFs)53

Closed-End Investment Companies54

Open-End Investment Companies(Mutual Funds)55

Types of Mutual Funds57

Money Market Funds58

Equity Funds,Bond Funds,and Hybrid Funds59

The Mechanics of Investing Indirectly63

Closed-End Funds63

Mutual Funds64

Exchange-Traded Funds69

Investment Company Performance69

Measures of Fund Performance70

Morningstar Ratings71

Benchmarks72

How Important are Expenses in Affecting Performance?72

Some Conclusions About Fund Performance72

Investing Internationally Through Investment Companies74

Fund Categories for International Investing75

The Future of Indirect Investing76

Fund Supermarkets76

Separately Managed Accounts76

Hedge Funds77

Summary77

4 Securities Markets82

The Importance of Financial Markets83

The Primary Markets83

Initial Public Offerings(IPOs)84

The Investment Banker84

Global Investment Banking86

Private Placements86

The Secondary Markets87

U.S. Securities Markets for the Trading of Equities87

The New York Stock Exchange89

American Stock Exchange92

The NASDAQ Stock Market93

Comparisons of the Three Major Equity Markets94

Regional Exchanges95

Over-the-Counter Stocks95

Electronic Communications Networks(ECNs)96

In-House Trading97

Foreign Markets97

Stock Market Indexes98

The Dow Jones Averages98

Standard ＆ Poor's Stock Price Indexes100

Understanding a Capitalization-Weighted Index101

NASDAQ Indexes102

Other Indexes103

Relationships Between Domestic Stock Indexes103

Foreign Stock Market Indicators104

Bond Markets105

Treasury Bonds105

Agency Bonds105

Municipal Bonds106

Corporate Bonds106

The Changing Bond Market106

Derivatives Markets107

The Changing Securities Markets107

The National Market System(NMS)107

The Intermarket Trading System(ITS)108

Changes in U.S. Markets108

The Globalization of Securities Markets108

Summary109

5 How Securities Are Traded113

Brokerage Transactions114

Brokerage Firms114

Brokerage Accounts118

Commissions118

Investing Without a Broker119

How Orders Work120

Orders on the Organized Exchanges120

Orders in the NASDAQ Stock Market122

Decimalization of Stock Prices122

Types of Orders122

Clearing Procedures124

Investor Protection in the Securities Markets124

Government Regulation124

Self-Regulation126

Other Investor Protections128

Margin129

How Margin Accounts Can be Used129

Margin Requirements and Obligations130

Margin Requirements on Other Securities131

Some Misconceptions About Margin132

Short Sales132

Selling Short as an Investor134

Summary136

PART TWO PORTFOLIO AND CAPITAL MARKET THEORY136

6 Returns and Risks from Investing140

An Overview141

Return142

The Two Components of Return142

Risk143

Sources of Risk143

Measuring Returns145

Total Return145

Return Relative147

Cumulative Wealth Index149

Taking a Global Perspective150

International Returns and Currency Risk151

Summary Statistics for Returns153

Arithmetic Mean153

Geometric Mean154

Arithmetic Mean Versus Geometric Mean154

Inflation-Adjusted Returns155

Measuring Risk157

Variance and Standard Deviation158

Risk Premiums159

Realized Returns and Risks from Investing161

Total Returns and Standard Deviations for the Major Financial Assets161

Cumulative Wealth Indexes163

The Components of Cumulative Wealth164

Compounding and Discounting165

Summary165

7 Portfolio Theory173

Dealing with Uncertainty174

Using Probabilities175

Probability Distributions175

Calculating Expected Return for a Security177

Calculating Risk for a Security177

Introduction to Modern Portfolio Theory(MPT)179

Portfolio Return and Risk179

Portfolio Expected Return180

Portfolio Risk180

Analyzing Portfolio Risk181

Risk Reduction—The Insurance Principle181

Diversification182

The Components of Portfolio Risk184

The Correlation Coefficient184

Covariance187

Relating the Correlation Coefficient and the Covariance188

Calculating Portfolio Risk188

The Two-Security Case188

The n-Security Case191

The Importance of Covariance192

Obtaining the Data192

Simplifying the Markowitz Calculations193

Summary194

8 Portfolio Selection201

Building a Portfolio Using Markowitz Principles202

Identifying Optimal Risk-Return Combinations202

Selecting an Optimal Portfolio of Risky Assets204

The Global Perspective—International Diversification206

Some Important Conclusions About the Markowitz Model207

Alternative Methods of Obtaining the Efficient Frontier207

The Single-Index Model208

Multi-Index Models211

Selecting Optimal Asset Classes—The Asset Allocation Decision211

Some Major Asset Classes212

Combining Asset Classes214

Asset Allocation and the Individual Investor215

Owning Stocks and Bonds216

Return and Risk Combinations217

Life-Cycle Analysis219

The Impact of Diversification on Risk219

Systematic and Nonsystematic Risk219

How Many Securities are Enough to Diversify Properly?220

The Implications of Reducing Risk by Holding Portfolios222

Summary222

9 Asset Pricing Models228

Capital Market Theory229

Capital Market Theory Assumptions229

Introduction of the Risk-Free Asset230

Risk-Free Borrowing and Lending231

The Equilibrium Return-Risk Trade-off232

The Capital Market Line233

The Security Market Line237

Beta238

The CAPM's Expected Return—Beta Relationship239

Over-and-Undervalued Securities240

Estimating the SML242

Estimating Beta242

Tests of the.CAPM245

Arbitrage Pricing Theory246

The Law of One Price246

Assumptions of APT247

Factor Models247

Understanding the APT Model248

Identifying the Factors249

Using APT in Investment Decisions250

Some Conclusions about Asset Pricing251

Summary251

PART THREE COMMON STOCKS:ANALYSIS,VALUATION,AND MANAGEMENT251

10 Common Stock Valuation259

Overview260

Discounted Cash Flow Techniques260

Two DCF Approaches261

The Dividend Discount Model262

Dividends Dividends—What about Capital Gains?271

The Dividend Discount Model in Practice272

Other Discounted Cash Flow Approaches273

Intrinsic Value and Market Price275

Relative Valuation Techniques276

The P/E Ratio or Earnings Multiplier Approach277

Price/Book Value281

Price/Sales Ratio(PRS)281

Economic Value Added283

Which Approach to Use?283

Bursting the Bubble on New Economy Stocks—A Lesson in Valuation284

Some Final Thoughts on Valuation286

Summary286

11 Common Stocks:Analysis and Strategy296

Taking a Global Perspective297

Analyzing Some Important Issues Involving Common Stocks297

The Impact of the Overall Market on Individual Stocks298

The Required Rate of Return299

Building Stock Portfolios301

The Passive Strategy302

Buy-and-Hold Strategy302

Index Funds303

The Active Strategy305

Security Selection305

Sector Rotation311

Market Timing313

Rational Markets and Active Strategies315

A Simple Strategy—The Coffeehouse Portfolio316

Summary316

12 Market Efficiency320

Overview321

The Concept of an Efficient Market321

What is an Efficient Market?321

Why The U.S. Stock Market can be Expected to be Efficient323

The International Perspective323

Forms of Market Efficiency324

How to Test for Market Efficiency327

Weak-Form Tests328

Semistrong-Form Tests330

Strong-Form Evidence331

Behavioral Finance and Market Anomalies334

Earnings Announcements336

Low P/E Ratios338

The Size Effect338

The January Effect339

The Value Line Ranking System340

Other Anomalies342

Some Conclusions about Market Efficiency343

Data Mining344

Some Remaining Issues345

Behavioral Finance and Efficient Markets345

A Final Argument for Market Efficiency347

Summary347

PART FOUR SECURITY ANALYSIS347

13 Economy/Market Analysis352

Taking a Global Perspective353

Assessing the Economy354

The Business Cycle354

Forecasts of the Economy358

Understanding the Stock Market361

What Do We Mean by the "Market"?361

Making Market Forecasts365

Focus on the Important Variables365

Using the Business Cycle to Make Market Forecasts369

Other Approaches to Assessing the Market's Direction370

Summary374

14 Sector/Industry Analysis377

What Is an Industry?378

Classifying Industries379

A New Classification System—NAICS379

Other Industry Classifications379

The Importance of Sector/Industry Analysis380

Why Industry Analysis is Important Over the Long Run380

Industry Performance Over Shorter Periods381

How One Industry Can Have a Major Impact on Investors—The Telecom Industry382

Cross-Sectional Volatility Has Increased383

Analyzing Sectors/Industries383

The Industry Life Cycle383

Qualitative Aspects of Industry Analysis385

Using Sector/Industry Analysis as an Investor387

Sector Rotation387

Evaluating Future Industry Prospects387

Business Cycle Analysis388

Picking Industries for Next Year390

Summary392

15 Company Analysis395

Fundamental Analysis396

The Accounting Aspects of Earnings397

The Financial Statements397

The Problems with EPS404

Has the Situation Improved?405

The Global Arena—International Accounting409

Analyzing a Company's Profitability409

Analyzing Return on Equity(ROE)410

Analyzing Return on Assets(ROA)411

Using ROE—Estimating the Internal(Sustainable)Growth Rate412

Earnings Estimates413

A Forecast of EPS414

The Accuracy of Earnings Forecasts414

Earnings Surprises415

Earnings Guidance416

The Earnings Game417

Useful Information for Investors about Earnings Estimates418

Sales Growth—An Alternative to Earnings418

The P/E Ratio419

Which P/E Ratio is Being Used?419

Determinants of the P/E Ratio419

Why P/E Ratios Vary Among Companies420

The PEG Ratio421

Fundamental Security Analysis in Practice421

Summary424

16 Technical Analysis431

What Is Technical Analysis?432

A Framework for Technical Analysis434

Stock Price and Volume Techniques435

The Dow Theory435

Charts of Price Patterns436

Moving Averages441

Relative Strength443

Using the Computer for Technical Analysis444

Technical Indicators445

Breadth Indicators445

Sentiment Indicators445

Testing Technical Analysis Strategies447

The EBB and Flow of Technical Analysis449

Some Conclusions about Technical Analysis449

Summary452

PART FIVE FIXED-INCOME SECURITIES:ANALYSIS, VALUATION,AND MANAGEMENT452

17 Bond Yields and Prices455

Bond Yields456

The Basic Components of Interest Rates457

Measuring Bond Yields458

Bond Prices467

The Valuation Principle467

Bond Valuation468

Bond Price Changes469

Bond Price Changes Over Time469

Bond Price Changes as a Result of Interest Rate Changes470

Measuring Bond Price Volatility: Duration473

Summary480

18 Bonds:Analysis and Strategy488

Why Buy Bonds?489

Buying Foreign Bonds490

Important Considerations in Managing a Bond Portfolio491

Understanding the Bond Market491

The Term Structure of Interest Rates492

The Risk Structure of Interest Rates—Yield Spreads497

Bond Strategies499

Passive Management Strategies500

Immunization—A Structured Portfolio Strategy502

Active Management Strategies505

Building a Fixed-Income Portfolio507

Conservative Investors508

Aggressive Investors508

The International Perspective509

Summary510

PART SIX DERIVATIVE SECURITIES510

19 Options514

Why Have Derivative Securities?515

Why Options Markets?515

Introduction to Options516

Understanding Options517

Options Terminology517

How Options Work518

The Mechanics of Trading519

Payoffs and Profits from Basic Option Positions521

Calls521

Puts523

Some Basic Options Strategies525

Covered Calls526

Protective Puts529

Portfolio Insurance531

Option Valuation532

A General Framework532

Intrinsic Values and Time Values532

Boundaries on Option Prices534

The Black-Scholes Model536

Put Option Valuation539

Summarizing the Factors Affecting Options Prices539

Hedge Ratios540

Using the Black-Scholes Model540

An Investor's Perspective on Puts and Calls541

What Puts and Calls Mean to Investors541

The Evolutionary Use of Options541

Stock-Index Options542

The Basics of Stock-Index Options542

Strategies with Stock-Index Options543

The Popularity of Stock-Index Options545

Summary545

20 Futures552

Understanding Futures Markets553

Why Futures Markets ?553

Current U.S. Futures Markets554

Foreign Futures Markets555

Futures Contracts555

The Structure of Futures Markets556

Futures Exchanges556

The Clearinghouse556

The Mechanics of Trading557

Basic Procedures557

Margin559

Using Futures Contracts562

Hedgers562

How to Hedge with Futures563

Speculators564

Financial Futures564

Interest Rate Futures565

Stock-Index Futures568

Single Stock Futures573

Summary574

PART SEVEN INVESTMENT MANAGEMENT574

21 Portfolio Management579

Portfolio Management as a Process580

Individual Investors Versus Institutional Investors582

Formulate an Appropriate Investment Policy584

Objectives584

Constraints and Preferences586

Determine and Quantify Capital Market Expectations589

Forming Expectations589

Rate of Return Assumptions590

Developing and Implementing Investing Strategies593

Asset Allocation593

Portfolio Optimization595

Monitor Market Conditions and Investor Circumstances596

Monitoring Market Conditions596

Changes in Investor's Circumstances596

Rebalancing the Portfolio596

Performance Measurement598

Summary599

22 Evaluation of Investment Performance602

A Framework for Evaluating and Assessing Portfolio Performance603

Performance Measurement Issues604

Three Questions to Answer in Measuring Portfolio Performance604

Return Calculations605

Risk Considerations607

Performance Benchmarks and Performance Universes608

Performance Universes608

Performance Benchmarks609

Risk-Adjusted Measures of Performance610

The Sharpe Performance Measure610

The Treynor Performance Measure612

Jensen's Differential Return Measure615

M2617

Style Analysis and Performance Attribution619

Style Analysis619

Performance Attribution620

Money Managers and Performance Presentations621

An Overview on Performance Evaluation622

Summary622