投資學(xué)英文版課件Ch1 An Introduction to Investments

Chapter1

AnIntroductiontoInvestments---February,2015Chapter1

AnIntroductiontoInvestmentsWhat’sinvestmentFinancialAssetsandRealAssetsInvestmentgoalsSourceofRisksEfficientandCompetitiveMarketsAboutthissubjectAboutthetextbookAssessmentWhatisInvestment?Ifyouhave1000yuan,whatwillyoudo?10,000100,0001,000,000Differentchoices:PresentConsumption?Ameal?Acoat?Atwo-daycitysightseeing?Depositsinbankaccounts?Purchaseofstocksorbonds?Otherchoices?AntiqueRealestatesRentasmallstoreForfutureconsumptionYourpurposeforthesechoices?PresentConsumptionCurrentsatisfactionofdifferentneedsUtilitiesOtherchoicesFutureprofits/futureconsumptionWhatisanInvestment?AnInvestmentisthecurrentcommitmentofmoneyorotherresourcesintheexpectationofreapingfuturebenefits.Anindividualpurchased1000sharesofstockanticipatingthatthefutureproceedsfromtheshareswilljustifythetimethathermoneyistiedup;theriskoftheinvestment;Inflation;ExcessiveMoneyCurrentConsumptionInvestmentsStocksbondsOtherfinancialinstrumentsBuygoodsorservicesFutureconsumption漢姆·列維《投資學(xué)》

投資是利用金融資本努力創(chuàng)造更多的財(cái)富。威廉·F.夏普《投資學(xué)基礎(chǔ)》投資是為未來(lái)收入貨幣而奉獻(xiàn)當(dāng)前的貨幣。

投資是指經(jīng)濟(jì)主體將一定的資金或資源投入某項(xiàng)事業(yè)，以獲得未來(lái)經(jīng)濟(jì)效益的經(jīng)濟(jì)活動(dòng)。OtherdefinitionsMacroeconomicsGNP=C+I+G+(X–M)MoneyorotherresourcesusedbybusinessestopurchasecapitalgoodsTwotypes:InvestmentonfixedassetsInvestmentoninventoryFormationofcapital;

increase

ofsocialcapitalIncreaseofplants,equipment,inventoriesandbuildingsBroaddefinitionofinvestmentFinancialInvestment：investmentinfinancialmarkets;deposits,bonds,stocks,funds,foreignexchange,insurance,futures...Investmentincommoditymarkets;realestate,treasuries,stamps,antiques...Industrialinvestment;stores,businesses...FinancialInvestmentDefinition:

Investmentonfinancialassets;Transformationofmoneyfundsintofinancialassets;Separationoffundsownersandusers;Noincreaseofsocialproductionortotalinvestment—zerosumgameFinancialAssetsDefinition:Financialinstruments;securities;DocumentsorcertificateswhichrepresentfuturereturnsorlegalclaimsonsomeassetsRealAssetsvs.FinancialAssetsRealAssets:materialwealthofaneconomy;land,building,machinesandknowledgethatcanbeusedtoproducegoodsandservices;contributedirectlytotheproductivecapacityoftheeconomylandbuildingmachineknowledgeRealassetsFinancialassets:sheetsof

paper

orcomputerentries;claims

ontheincomegeneratedbyrealassetsorincomefromthegovernment;notcontributedirectlytotheproductivecapacityoftheeconomy;ROIultimatelycomefromtheincomeproducedbytherealassets;Allocationofincomeorwealthamonginvestors;FinancialassetsPricesforbothrealassetsandfinancialassetsaredeterminedbysupplyanddemand人民幣存款利率表Table1.1BalanceSheetofUSHouseholds,2007

Assets$Billion%TotalRealassts

Realestate22,87432.9%Consumerdurables3,9665.7%Other247

0.4%

Totalrealassets27,08638.9%FinancialassetsDeposits6,6299.5%Lifeinsurance1,1741.7%Pension12,18817.5%Corporateequity5,3917.7%Equityinnoncorp.Business7,55310.9%Mutualfundshares5,1237.4%Debtsecurities3,1604.5%Other1,305

1.9%

Totalfinancialassets

42,522

61.1%

Total$69,608100.0%

Liabilities&NetWorth$Billion%Total

Mortgages10,07014.5%Consumercredit2,4133.5%Bank&otherloans2220.3%Securitycredit3100.4%Other418

0.6%

Totalliabilities$13,43119.3%

Networth

56,177

80.7%Total$69,608100.0%Table1.2Domesticnetworth

Assets$BillionNonresidentialrealestate$9,549Residentialrealestate28,265Equipmentandsoftware4,498Inventories1,759Consumerdurables3,966

Total

$48,038FinancialAssetsinChinaFinancialassetsinSNA(國(guó)民經(jīng)濟(jì)核算),1993:monetarygoldandSDRscurrencyanddepositssecuritiesexceptstocksloansstocksandotherequitiesinsurancereservesAccountsReceivablesandPayables

金融資產(chǎn)與金融投資金融資產(chǎn)

金融資產(chǎn)是指一切代表未來(lái)收益或資產(chǎn)合法要求權(quán)的憑證，亦稱為金融工具或證券金融投資

金融投資主要是以金融資產(chǎn)為投資對(duì)象的投資。實(shí)質(zhì)是資金所有者和資金使用者的分離，是資產(chǎn)所有權(quán)和資產(chǎn)經(jīng)營(yíng)權(quán)的分離

實(shí)物投資與金融投資

實(shí)物投資主要是以實(shí)物資產(chǎn)為對(duì)象，是投入資金以建造或購(gòu)置固定資產(chǎn)和與之相聯(lián)系的流動(dòng)資產(chǎn)而取得收益的一種實(shí)際資產(chǎn)化的過程。實(shí)物資產(chǎn)是金融資產(chǎn)存在和發(fā)展的基礎(chǔ).

金融資產(chǎn)的收益最終來(lái)源于實(shí)物資產(chǎn)在社會(huì)再生產(chǎn)過程中的創(chuàng)造。金融投資是將貨幣資金轉(zhuǎn)化為金融資產(chǎn)，而不是轉(zhuǎn)化為實(shí)物資產(chǎn)，因而沒有引起社會(huì)再生產(chǎn)擴(kuò)大和社會(huì)總投資的增加。只有當(dāng)金融投資被直接投資者運(yùn)用于直接投資時(shí)，才會(huì)使社會(huì)總投資增加和社會(huì)再生產(chǎn)規(guī)模擴(kuò)大。FurtherThoughtsFinancialassetskeepveryclosetieswithrealassets.Thebreakupoffinancialassetsfromrealassetsmaycausebubblesinfinancialmarkets!1990sJapanesefinancialbubbles2007AmericanfinancialbubblesThebiggerbubbleoffinancialassets,themoredamagesofrealassets!ConceptCheck-1Arethefollowingassetsfinancial?

Patentsleaseobligationscustomergoodwillacollegeeducationa$5billWhatcanyouinveston?案例：假設(shè)你要結(jié)婚了，你太太想要拍婚紗照，預(yù)算資金為人民幣5000元。作為一名投資家，你有更好的投資方案嗎？一個(gè)投資家的婚紗照

——金融工具無(wú)所不在出同樣的錢，請(qǐng)一位現(xiàn)在還默默無(wú)聞的畫師來(lái)給你們畫一幅婚禮盛裝的油畫。好處：滿足太太的需要；創(chuàng)造了一個(gè)期權(quán)：畫師、你和你太太三個(gè)人中間，只要有一個(gè)人將來(lái)出名了，那么這幅油畫就價(jià)值連城了。

因?yàn)橛彤嬍潜日掌玫慕鹑诠ぞ?，吸收更多市?chǎng)信息，承載著更多有關(guān)畫師是否出名的不確定性。OurtextfocusesonfinancialinvestmentYouneedtoknowmoreaboutthevariousfinancialproducts/assetsinthemarketsDomesticForeignOryoumayentrustyourmoneywithanprofessionalagenttoinvestTypesofFinancialAssetsThreebroadtypesoffinancialassetsA.FixedincomeB.EquityC.DerivativesA.FixedIncomeFixed-incomeordebtsecuritiespromiseeitherafixedstreamofincomeorastreamofincomethatisdeterminedaccordingtoaspecifiedformula.BondsissuedbyChinesegovernmentExample:Fixed-ratebonds:acorporatebond--afixedamountofinteresteachyear;Floating-ratebondsabond--aninterestratethatisfixedat2%abovetheratepaidonUST-bills;Fixed-incomesecuritiescomeinatremendousvarietyofmaturitiesandpaymentprovisions.short-term,highlymarketable,lower-riskydebtsecuritiesinthemoneymarket;UST-bills(Treasurybills)CDsShort-termdebtsLong-termsecuritiesinthefixed-incomecapitalmarketT-bonds(Treasurybond)bondsissuedbyfederalagencies,stateandlocalmunicipalities,andcorporationsLong-termbondsThesebondsrangefromverysafeintermsofdefaultrisktorelativelyrisky.T-bonds(leastdefaultrisk)Junkbonds(relativelyhighdefaultrisk)B.EquitiesEquityorcommonstockinafirmrepresentsanownershipshareinthecorporation.CharacteristicsEquityholdersarenotpromisedanyparticularpayment;Theyreceiveanydividendsthefirmmaypayandhaveproratedownershipintherealassetsofthefirm;Theperformanceofequityinvestmentsistieddirectlytothesuccessofthefirmanditsrealassets;riskierthaninvestmentsindebtsecurities;C.DerivativeSecuritiesDerivativesecuritiesprovidepayoffsthataredeterminedbythepricesofotherassets.Types:options;futures;swaps;Example:AcalloptiononashareofIntelstockworthless--ifIntel'ssharepriceremainsbelowathresholdor"exercise"price;valuable--ifIntel'ssharepricerisesabovethelevel;Derivativesecuritiesaresonamedbecausetheirvaluesderivefromthepricesofotherassets.Example--formercaseThevalueofthecalloptionwilldependonthepriceofIntelstock;Derivativeshavebecomeanintegralpartoftheinvestmentenvironment.Usesofderivatives:(primaryuse)tohedgerisksortransferthemtootherparties;riskmanagementroutinelytakenmultitrillion-dollarmarkettotakehighlyspeculativepositions;一家美國(guó)公司在3月以優(yōu)惠利率借入1000萬(wàn)加拿大元，借期3個(gè)月，公司將借入的加元在外匯市場(chǎng)上按即期匯率1加元=0．835美元換成835萬(wàn)美元使用。公司擔(dān)心3個(gè)月后加元對(duì)美元升值，會(huì)使還款的美元成本加大，因此決定同時(shí)在期貨市場(chǎng)上買進(jìn)加元的期貨合約，3個(gè)月后再賣出相同數(shù)量的加元期貨合約，以期保值。

日期 現(xiàn)匯市場(chǎng) 期貨市場(chǎng)

3月 將借入的1000萬(wàn)加元換成835萬(wàn)美元買進(jìn)100份6月加元期貨合約按即期匯率1加元=0．835美元（每份合約10萬(wàn)加元）價(jià)格：1加元=0．834美元

100份合約共834萬(wàn)美元

6月 買進(jìn)1000萬(wàn)加元以償還借款賣出100份6月加元期貨合約按即期匯率1加元=0．838美元價(jià)格：1加元=0．8377美元共用838萬(wàn)美元100份合約共837．7萬(wàn)美元

交易損益 由于加元升值公司損失3萬(wàn)美元 獲利3.7（837.7-834）萬(wàn)美元（不考慮手續(xù)費(fèi)） 結(jié)果 以期貨交易的獲利彌補(bǔ)現(xiàn)匯交易的損失，相抵后仍獲利7000美元 Otherinvestments:preciousmetals;agriculturalproducts;53IntroductiontoPortfolioConstructionIncomeiseitherspentorsaved.Savingsareinvested.Theinvestmentsconstituteaportfolio(acombinationofassetsdesignedtoserveasastoreofvalue)54IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities55IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities56TheGoalsoftheInvestorFundstomeetemergenciesFundstofinanceeducationexpensesFundstomakeaspecifiedpurchase(e.g.,ahome)FundsforretirementIndividualInvestorLifeCycleNetWorth－assetminusdebtAgeAccumulationPhaseLong-term: Retirement Children’scollege Short-term: House CarConsolidationPhaseLong-term: RetirementShort-term:VacationsChildren’sCollegeSpendingPhaseGiftingPhaseLong-term: EstatePlanningShort-term: LifestyleNeedsGifts

Mayo/BasicInvestments,1e58FinancialGoals?Futurereturns/benefits/gains?Incomedividend,interest…Cash,shares…CapitalgainsTheamountofprofitrealizedwhenanassetsoldatapricehigherthanthepurchaseprice.Mayo/BasicInvestments,1e59Howtoachieveyourfinancialgoal?ValueandvaluationValue:Valuation:RateofreturnTheearningsorprofitonmoneywelendorinvestexpressedasapercentageoftheamountofmoneyloanedorinvested;Differentwaytoevaluateyourrateofreturn?60IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestor

therisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities61Exhibit1.1TheSourcesofRiskDefinitionDiversifiableriskTheriskassociatedwiththespecificassetandisreducedthroughtheconstructionofadiversifiedportfolio.NondiversifiableRiskTheriskassociatedwith(1)fluctuatingsecuritypricesingeneral(2)fluctuatinginterestrates(3)reinvestmentrates(4)thelossofpurchasingpowerthroughinflation(5)lossfromchangesinthevalueofexchangerates.Theyarenotaffectedbytheconstructionofadiversifiedportfolio.A.NondiversifiableRisk12345FluctuatingsecuritypricesingeneralFluctuatinginterestratesReinvestmentsratesThelossofpurchasingpowerThelossfromchangesinthevalueofexchangerates1-Fluctuatingsecuritypricesingeneral

Assetreturnstendtomovetogether.GeneralsecuritypricesAspecificsecurityGeneralsecuritypricesAspecificsecurity2-Fluctuatinginterestrates

Asystematicnegativerelationshipexistsbetweenthepricesoffixed-incomesecuritiesandchangesininterestrates.InterestratesPricesoffixed-incomesecurities

Thesamerelationshipexistsbetweencommonstockandinterestrates.reasonsFuturecashflowsfromcommonstocksarebeingdiscountedathigherrates,sotheirpresentvaluesarelower.Themovementfromstocktohigher-payingdebtinstrumentstendstodepressstockprices.SubstituteeffectDDM的總公式及評(píng)價(jià)公式特點(diǎn)：只包含股利這一個(gè)因素。DMM最重要的性質(zhì)：任意一期的預(yù)期收益率都等于市場(chǎng)資本報(bào)酬率k。3-ReinvestmentsratesWhenreinvestmentrateschange,theamountreceivedonthesereinvestedfundsalsochanges.

early1980s-relativelyhighinterestrates-highreinvestedyields2000s-lowestinterestrates—earnedlossonreinvestedfunds

2examples4-Thelossofpurchasingpower

Investorsmustalsoendurethelossofpurchasingpowerthroughinflation.

Risingpricesofgoods&servicesReducingpurchasingpowerDecliningincomeandassetvaluesInvestorsshouldearnareturnthatexceedstherateofinflation.5-Thelossfromchangesinthevalueofexchangerates

Ifinvestorsacquireforeigninvestments,theproceedsofthesaleoftheforeignassetmustbeconvertedfromtheforeigncurrencyintothedomesticcurrencybeforetheymaybespent.ValueofforeigncurrencyValueofforeigninvestment(inhomecurrency)DomesticinvestorgainsYoucanavoidexchange-rateriskbynotacquiringforeignassets.Otherrisks—politicalrisksB.DiversifiableRisk

SourcesofunsystematicriskBusinessriskFinancialrisk1-businessrisk

definitionThenatureofthefirm’soperations.e.g.forairlines—costoffuel,legalandregulatoryenvironment,capacityofplanes,seasonalchangesindemand…2-financialrisk

definitionHowthefirmfinancesitsassets.Whetherthefirmusesasubstantialormodestamountofdebtfinancing.(choicesamongissuingbonds,preferredstock,commonstock,leasing,borrowing…)Attention:Unsystematicriskappliestoallclassesofinvestments.Youcannotanticipatealltheeventsthatwillaffectaparticularfirmorgovernment.ExampleofamunicipalsecuritiesBusinessrisk:Thesafetyprotectionorordermaintenance;Financialrisk:Taxes(relyingonpropertytaxesorincometaxes);DecliningpropertyvaluesIncreasingunemployment

DiversificationDiversifiedindustriesDiversifiedassetsC.TotalRiskThecombinationofsystematicandunsystematicriskisdefinedasthetotalriskorportfoliorisk.Unsystematicriskmaybesignificantlyreducedthroughdiversification.Topurchasethesecuritiesoffirmsofdifferentindustries.Mayo/BasicInvestments,1e81RiskToleranceRisk:Thepossibilitythataninvestmentwillnotproducethereturnweexpectorthatwewillactuallylosemoney.Differentrisktolerance:Risk-taker(speculator)Risk-avoidance(conservatives)In-the-middleRiskversusSpeculationMayo/BasicInvestments,1e82CharacteristicsMorerisksRiskscouldbeexpectedFunctionsTakerisksBalancepricesActivatemarketsSpeculationFormoreprofitsBasedoninformationcollectionandanalysisMoreprofessional

HarmonizedifferentmarketsorproductsMayo/BasicInvestments,1e83交易目的不同股票投資者在本金安全的基礎(chǔ)上獲得長(zhǎng)期穩(wěn)定的股息收入；投機(jī)者期望在短期的價(jià)格漲跌中取得資本所得。持有時(shí)間不同投資者一般持有股票時(shí)間都在一年以上；投機(jī)者可能只有幾月、幾周，甚至幾天、幾小時(shí)。風(fēng)險(xiǎn)傾向不同交易方式不同決策依據(jù)不同投資者的準(zhǔn)則是“安全第一”，寧可少一點(diǎn)收益也不愿承擔(dān)過大的風(fēng)險(xiǎn)；投機(jī)者多以“收益第一”作為投資準(zhǔn)則，為了可觀的收益，寧愿冒很大的風(fēng)險(xiǎn)。投資者買賣股票的同時(shí)進(jìn)行貨幣收付；用于投機(jī)的資金多從他人處借得，主要是買空和賣空，并不伴隨實(shí)際的交割行為。投資行為的做出基于對(duì)股票發(fā)行公司的分析考察；投機(jī)行為側(cè)重于對(duì)市場(chǎng)行情短期變化的預(yù)測(cè)。投機(jī)與投資的區(qū)別84IntroductiontoPortfolioConstructionThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunitiesMayo/BasicInvestments,1e85TaxationTaxationSpendingofaninvestment;Differentforms;Governmentearnings;OtherformsofinvestmentcostThecompositionofaportfoliodependsonthegoalsoftheinvestortherisksinvolvedtaxesthatwillbeimposedonanygainKnowledgeoftheavailableinvestmentopportunities86IntroductiontoPortfolioConstructionLearnmoreaboutthefinancialproductsinthemarkets.UnderstandyourselfYourmoneyandotherresourcesthatcanbeinvested.Howmuchriskcanyoutake?YourinvestmentgoalsBuildupyourowninvestmentphylosophyKnowledgeoftheAvailable

InvestmentOpportunities

Mayo/BasicInvestments,1e88Wheredoweinvest?FinancialMarkets:PrimarymarketsorSecondarymarketsSecuritymarkets,goldmarkets,foreignexchangemarkets,moneymarkets,bankborrowingandlendingmarkets,insurancemarket….DefinitionofTheEfficientMarketHypothesisEMHAtheorythatsecuritypricescorrectlymeasurethefirm’sfutureearningsanddividendsandthatinvestorsshouldnotconsistentlyoutperformthemarketonarisk-adjustedbasis.ShouldoccasionallyoutperformOveranextendedperiodoftimeAssumptionsTherearealargenumberofcompetingparticipantsinthesecuritiesmarket.Informationisreadilyavailableandvirtuallycostlesstoobtain.Transactioncostsaresmall.SecuritiesMarketsHighlycompetitive;Informationisreadilyavailable;Minimaltransactioncosts;StockPrices

TheEMHarguesthatsecuritypricesadjustrapidlytonewinformationandmustreflectallknowinformationconcerningthefirm.Followinarandomwalkovertime.UnpredictablepricechangesRandomWalkNotsuitabletodescribethepatternofchangesinsecuritypricesdueto:Overaperiodoftime,stockpriceswillriskasfirmsandtheeconomygrow.Itisthechangesinsecuritypricesthatarerandom.AllknowninformationThenewinformationrandomSpeedofPriceAdjustmentDisseminatenewinformationStockpricesadjustimmediatelyInvestorsthenknowitNoprofitfromactingontheinformationFormsoftheEMHTheweakformFormsoftheEMHSemistrongformStrongformMayo/BasicInvestments,1e96弱式有

效市場(chǎng)證券價(jià)格充分反映了歷史上一系列交易價(jià)格和交易量中所隱含的信息，從而投資者不可能通過對(duì)以往的價(jià)格進(jìn)行分析而獲得超額利潤(rùn)。證券當(dāng)前價(jià)格完全反映所有公開信息，不僅包括證券價(jià)格序列信息，還包括有關(guān)公司價(jià)值的信息、有關(guān)宏觀經(jīng)濟(jì)形勢(shì)和政策方面的信息。證券價(jià)格總是能及時(shí)、充分地反映所有相關(guān)信息，包括所有公開的信息和內(nèi)幕信息。半強(qiáng)式

有效市場(chǎng)強(qiáng)式有

效市場(chǎng)有效市場(chǎng)分類TheWeakFormThehistoricalinformationconcerningthefirmshasalreadyreflectedinthestockprice.Fundamentalanalysisdoeswork;Technicalanalysiswillnot.TheSemi-strongFormAllthepublic’sinformationconcerningthefirmshasalreadyreflectedinthestockprice.Boththe

FundamentalandTechnicalanalysisdonotwork.TheStrongFormAllknown,allprivilegedorinsideinformationconcerningthefirmshasalreadyreflectedinthestockprice.Nobodywillachievesuperiorresults.ImplicationsoftheEMH

TheEMHbringstoyourattentiontheenvironmentinwhichyoumakefinancialdecisions.

Itsuggeststhatyouwillnotconsistentlymakeinvestmentsthatproducesupe