投資學講義MBA課件.ppt

1、Investments,Reading materials,Modern Portfolio Theory and Investment Analysis by Elton and Gruber, 5th (or 6th) Edition, John Wiley Investment Process is about the way investors should decide on the marketable instruments they will invest in, when to invest, etc.,Financial Securities,Money Market Se

2、curities,Rates of Returns,Capital Market Securities,Fixed income securities Equity market Preferred stock,Derivatives,Futures Options Exotic options Structured instruments: FX, etc,Rates of returns versus time for major security types,Investments Over the Long-Term,What is the current value of $1 in

3、vested between 1926-2002 in Portfolio of large U.S. stocks (Standard and Poors Composite Index) Portfolio of long-term Treasury bonds? Assume that the dividends and the interest payments are reinvested in the asset,Wealth Accumulation of Stocks and Bonds (1926-2002),What About Investment Expenses?,T

4、he previous performance ignores investment expenses How much would investors have accumulated with a 1 percent annual expense ratio?,Wealth Accumulation after Expenses,What About Taxes?,The government taxes interest, dividend income, and realized capital gains How much do taxes affect our wealth acc

5、umulations? I assumed that dividends and interest income is taxed at the marginal tax rate of the average stock and bond holder and that capital gains are not taxed,Wealth Accumulation after Expenses and Taxes,What About Inflation?,$1 in 1926 could buy much more than $1 in 2002 Consumer prices incre

6、ased over this period about ten-fold How much does inflation affect our wealth accumulations?,Real Wealth Accumulation after Expenses and Taxes,Stock and Bond Returns Between 1926 and 2002,Large Stocks,Long-term Treasury Bonds,Risk,Founding Dates for World Equity Market,How are securities traded,Pri

7、mary Market Market for new issues of securities Initial Public Offerings (IPO) Seasoned Public Offerings Private Placements Secondary Market Existing securities are traded,Buying and Selling Securities,Investors purchase securities through brokers for a commission Investor must specify Obvious thing

8、s: Name of firm Buy or sell order Size of order Other characteristics: Type of order How long order is to be outstanding,Order Specification,Order type Market order Buy or sell immediately Limit order Limit price specifies lowest selling price (or highest purchase price) Stop order Stop price specif

9、ies highest selling price (or lowest purchase price),Sell Orders,bid,ask,Limit Sell,Stop-loss,Market Sell,25.00,25,20,30,25.25,Order Specification,Time limit Day orders If order is not filled by end of day, order expires. Good through orders Valid for a specified number of days and automatically exp

10、ires if it has not been executed by expiry date Open orders (good-till-cancelled) Valid until either filled or cancelled by investor. All or none orders Must be fully executed or not accepted (as opposed to any part order) Discretionary order Broker decides on specifications,Margin,A brokerage firm

11、may allow customers to purchase securities on margin. You put up the margin in cash and borrow the remainder (the debit balance) from the broker.,Buying on Margin,Securities law mandates limitations on borrowing, e.g.: Initial margin must exceed 50% Maintenance margin must exceed 30% The margin is d

12、efined as:,Margin Purchases,Margin is marked to market daily Margin shortfalls result in margin calls. Purchasing on margin levers up returns: e.g. purchase 100 shares for $50/share and sell in one year for $65 Return is 30% With 60% margin purchase and an 8% borrowing rate the return is 44.7% (15x1

13、00-.08x$2000)/$3000),Risks of Margin Purchases,Broker gives you a margin call if the maintenance margin is not met Broker can sell your securities without asking for your permission The potential losses can exceed your initial investment,Short Sales,Can use a short sale to sell a stock you dont own.

14、 Broker effectively arranges to borrow the shares you want to sell from another investor. Some details Uptick rule stock price must rise before you can short. Must put up some margin that depends on stock price.,Short Sale Example,XYZ,Broker, Inc.,Mr. Original,XYZ,Broker, Inc.,Mr. Original,Mr. Jones

15、,Mr. Jones,Ms. Short,Ms. Short,Dividends, annual reports and voting rights,Forwards everything,Notified that Jones owns stock,Allows stock to be lent,Pays purchase price,Receives stock certificate,Provides initial margin,Annual Report,Dividends Annual Report Voting Rights,Provides cash to make up fo

16、r dividends,Annual report and dividends,融資融券,試點 維持擔保比例：例如130% 融資保證金比例：如0.5 融資融券可充抵保證金證券范圍和折算率：如成分指數(shù)股不超過70%,例子,假設(shè):客戶擁有資金100萬元;融資保證金比例為0.5。那么客戶可以先普通買入股票100萬元,再將普通買入的股票作為擔保物向證券公司融資買入股票 融資買入金額保證金/融資保證金比例擔保物市值折算率/融資保證金比例=140萬 維持擔保比例擔保物/負債（現(xiàn)金+擔保證券市值）/(融資買入金額+融券賣出證券數(shù)量市價利息及費用 ）=？ 對應(yīng)Margin是多少？,Homework 1,Ple

17、ase draw the cumulative return of the Shanghai Composite index from 1997 to 2009 and the density function of the return. (I want very nice pictures! Monthly return),Homework 2 (exercise),Suppose you have $10,000 and you are very bullish in Microsoft. You can borrow $10,000 from your broker at a 10%

18、interest rate. Buy $20,000 worth of MSFT stock What are the returns of this trading strategy if Microsoft stock increases or falls by 25% during the next year?,Homework 3 (exercise),Short sell 1,000 GM stocks in October 2004 and close position in January 2005:,Your broker requires an initial margin of 50%