【正版书籍】投资学精要
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作者(美)兹维·博迪,(美)亚历克斯·凯恩,(美)艾伦·马科斯
出版社清华大学出版社
ISBN9787302608769
出版时间2022-07
装帧其他
开本16开
定价115元
货号L9787302608769
上书时间2024-05-30
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本书由美国三位著名的金融学教授撰写，是美国商学院和管理学院的**教材，在世界各国都有很大的影响，被广泛采用。本书详细讲解了投资领域中的风险组合理论、资本资产定价模型、套利定价理论、市场有效性、证券评估、衍生证券等重要内容。本书阐述详尽，结构清楚，设计独特，语言生动活泼，学生易于理解，内容上注重理论与实践的结合。 本书适合作为金融专业高年级本科生、研究生、MBA教材，也可供金融领域的研究人员、从业人员参考。
作者简介:
兹维•博迪毕业于麻省理工学院经济系，获经济学博士学位。先后任教于哈佛管理学院和斯隆管理学院。现为美国波士顿大学管理学院的金融经济学教授。
亚历克斯•凯恩是美国加利福尼亚州大学圣迭哥分校国际关系研究生院及太平洋研究所的金融与经济学教授。凯恩教授在金融学与管理学方面的期刊上发表了很多文章，他的主要研究领域是公司财务、资产组合管理和资本市场。
艾伦•马科斯是波士顿学院华莱士•卡罗尔管理学院金融系主任及金融学教授，麻省理工学院斯隆管理学院访问教授。马库斯教授在资本市场以及投资组合领域发表过多篇文章。他的咨询工作也包括新产品研发以及为效用测评提供专业测试。
目录:
简 明 目 录
Brief Contents
Part ONE
ELEMENTS OF INVESTMENTS 1
1 Investments: Background and Issues 2
2 Asset Classes and Financial Instruments 28
3 Securities Markets 55
4 Mutual Funds and Other Investment Companies 86
Part TWO
PORTFOLIO THEORY 111
5 Risk, Return, and the Historical Record 112
6 Efficient Diversification 147
7 Capital Asset Pricing and Arbitrage Pricing Theory 194
8 The Efficient Market Hypothesis 226
9 Behavioral Finance and Technical Analysis 258
Part THREE
DEBT SECURITIES 283
10 Bond Prices and Yields 284
11 Managing Bond Portfolios 328
Part FOUR
SECURITY ANALYSIS 363
12 Macroeconomic and Industry Analysis 364
13 Equity Valuation 395
14 Financial Statement Analysis 436
Part FIVE
DERIVATIVE MARKETS 475
15 Options Markets 476
16 Option Valuation 509
17 Futures Markets and Risk Management 547
Part SIX
ACTIVE INVESTMENT MANAGEMENT 581
18 Evaluating Investment Performance 582
Appendixes
A References 619
B References to CFA Questions 625
vi
Part ONE
ELEMENTS OF INVESTMENTS 1
1 Investments: Background
and Issues 2
1.1 Real Assets versus Financial Assets 3
1.2 Financial Assets 5
1.3 Financial Markets and the Economy 6
The Informational Role of Financial Markets 6 Consumption Timing 6
Allocation of Risk 7
Separation of Ownership and Management 7 Corporate Governance and Corporate Ethics 9
1.4 The Investment Process 10
1.5 Markets are Competitive 11 The Risk-Return Trade-off 11 Efficient Markets 12
1.6 The Players 12
Financial Intermediaries 13
Investment Bankers 14
Venture Capital and Private Equity 16 Fintech and Financial Innovation 17
1.7 The Financial Crisis of 2008–2009 17
Antecedents of the Crisis 17 Changes in Housing Finance 19 Mortgage Derivatives 20
Credit Default Swaps 21 The Rise of Systemic Risk 21 The Shoe Drops 22
The Dodd-Frank Reform Act 23
1.8 Outline of the Text 23
End-of-Chapter Material 24–27
2 Asset Classes and Financial Instruments 28
2.1 The Money Market 29
Treasury Bills 29
Certificates of Deposit 30 Commercial Paper 30
Bankers’ Acceptances 31
Eurodollars 31
Repos and Reverses 31 Brokers’ Calls 31
Federal Funds 32
The LIBOR Market 32 Money Market Funds 33
Yields on Money Market Instruments 34
2.2 The Bond Market 34
Treasury Notes and Bonds 34 Inflation-Protected Treasury Bonds 35 Federal Agency Debt 35
International Bonds 36
Municipal Bonds 36
Corporate Bonds 39
Mortgage- and Asset-Backed Securities 39
2.3 Equity Securities 40
Common Stock as Ownership Shares 40 Characteristics of Common Stock 41 Stock Market Listings 41
Preferred Stock 42
Depositary Receipts 42
2.4 Stock and Bond Market Indexes 43
Stock Market Indexes 43
The Dow Jones Industrial Average 43 The Standard & Poor’s 500 Index 45 Other U.S. Market Value Indexes 46 Equally Weighted Indexes 47
Foreign and International Stock Market Indexes 47
Bond Market Indicators 48
2.5 Derivative Markets 48
Options 48
Futures Contracts 49
End-of-Chapter Material 50–54
3 Securities Markets 55
3.1 How Firms Issue Securities 56 Privately Held Firms 56 Publicly Traded Companies 57 Shelf Registration 57
Initial Public Offerings 58
3.2 How Securities are Traded 59
Types of Markets 59 Types of Orders 60 Trading Mechanisms 62
3.3 The Rise of Electronic Trading 63
3.4 U.S. Markets 65
NASDAQ 66
The New York Stock Exchange 66 ECNs 66
3.5 New Trading Strategies 67 Algorithmic Trading 67 High-Frequency Trading 67 Dark Pools 68
Bond Trading 69
3.6 Globalization of Stock Markets 70
3.7 Trading Costs 71
3.8 Buying on Margin 71
3.9 Short Sales 74
3.10 Regulation of Securities Markets 77
Self-Regulation 78
The Sarbanes–Oxley Act 79 Insider Trading 80
End-of-Chapter Material 81–85
4 Mutual Funds and Other Investment Companies 86
4.1 Investment Companies 87
4.2 Types Of Investment Companies 87
Unit Investment Trusts 88
Managed Investment Companies 88 Exchange-Traded Funds 89
Other Investment Organizations 89
4.3 Mutual Funds 90 Investment Policies 90 How Funds Are Sold 92
4.4 Costs of Investing in Mutual Funds 93
Fee Structure 93
Fees and Mutual Fund Returns 95
4.5 Taxation of Mutual Fund Income 97
4.6 Exchange-Traded Funds 98
4.7 Mutual Fund Investment Performance: A First Look 100
4.8 Information on Mutual Funds 103
End-of-Chapter Material 105–110
Part TWO
PORTFOLIO THEORY 111
5 Risk, Return, and the Historical Record 112
5.1 Rates of Return 113
Measuring Investment Returns over Multiple Periods 113
Conventions for Annualizing Rates of Return 115
5.2 Inflation and the Real Rate of Interest 116
The Equilibrium Nominal Rate of Interest 117
5.3 Risk and Risk Premiums 118 Scenario Analysis and Probability Distributions 119
The Normal Distribution 121
Normality and the Investment Horizon 123 Deviation from Normality and Tail Risk 123 Risk Premiums and Risk Aversion 124
The Sharpe Ratio 125
5.4 The Historical Record 126
Using Time Series of Returns 126 Risk and Return: A First Look 127
5.5 Asset Allocation Across Risky and Risk-Free Portfolios 132
The Risk-Free Asset 133
Portfolio Expected Return and Risk 133 The Capital Allocation Line 135
Risk Aversion and Capital Allocation 136
5.6 Passive Strategies and the Capital Market Line 137 Historical Evidence on the Capital Market Line 137 Costs and Benefits of Passive Investing 138
End-of-Chapter Material 139–146
6 Efficient Diversification 147
6.1 Diversification and Portfolio Risk 148
6.2 Asset Allocation with Two Risky Assets 149
Covariance and Correlation 150 Using Historical Data 153
The Three Rules of Two-Risky-Assets
Portfolios 154
The Risk-Return Trade-Off with Two-Risky-Assets Portfolios 155 The Mean-Variance Criterion 156
6.3 The Optimal Risky Portfolio with a Risk-Free Asset 159
6.4 Efficient Diversification with many Risky Assets 163
The Efficient Frontier of Risky Assets 163 Choosing the Optimal Risky Portfolio 165
The Preferred Complete Portfolio and a Separation Property 166
Constructing the Optimal Risky Portfolio: an Illustration 166
6.5 A Single-Index Stock Market 168 Statistical Interpretation of the Single-Index Model 171
Learning from the Index Model 173
Using Security Analysis with the Index Model 176
6.6 Risk Pooling, Risk Sharing, and Time Diversification 177
Time Diversification 180
End-of-Chapter Material 181–193
7 Capital Asset Pricing and Arbitrage Pricing Theory 194
7.1 The Capital Asset Pricing Model 195
The Model: Assumptions and Implications 195 Why All Investors Would Hold the Market Portfolio 196
The Passive Strategy Is Efficient 197
The Risk Premium of the Market Portfolio 198 Expected Returns on Individual Securities 199 The Security Market Line 200
Applications of the CAPM 201
7.2 The CAPM and Index Models 202
7.3 How Well Does the CAPM Predict Risk Premiums? 203
7.4 Multifactor Models and the CAPM 204 The Fama-French Three-Factor Model 206 Estimating a Three-Factor SML 206
Multifactor Models and the Validity of the CAPM 208
7.5 Arbitrage Pricing Theory 208 Diversification in a Single-Index Security Market 209
Well-Diversified Portfolios 210
The Security Market Line of the APT 210 Individual Assets and the APT 211
Well-Diversified Portfolios in Practice 212 The APT and the CAPM 212
Multifactor Generalization of the APT 213 Smart Betas and Multifactor Models 214
End-of-Chapter Material 215–225
8 The Efficient Market Hypothesis 226
8.1 Random Walks and Efficient Markets 227 Competition as the Source of Efficiency 228 Versions of the Efficient Market Hypothesis 230
8.2 Implications of the EMH 231 Technical Analysis 231 Fundamental Analysis 233
Active versus Passive Portfolio Management 233 The Role of Portfolio Management in
an Efficient Market 234
Resource Allocation 235
8.3 Are Markets Efficient? 235
The Issues 235
Weak-Form Tests: Patterns in Stock Returns 237 Predictors of Broad Market Returns 239 Semistrong Tests: Market Anomalies 239
Other Predictors of Stock Returns 242 Strong-Form Tests: Inside Information 243 Interpreting the Anomalies 243
Bubbles and Market Efficiency 245
8.4 Mutual Fund and Analyst Performance 246
Stock Market Analysts 246 Mutual Fund Managers 247 So, Are Markets Efficient? 251
End-of-Chapter Material 251–257
9 Behavioral Finance and Technical Analysis 258
9.1 The Behavioral Critique 259 Information Processing 260 Behavioral Biases 261 Limits to Arbitrage 264
Limits to Arbitrage and the Law of One Price 265 Bubbles and Behavioral Economics 267 Evaluating the Behavioral Critique 268
9.2 Technical Analysis and Behavioral Finance 268
Trends and Corrections 269 Sentiment Indicators 273
A Warning 274
End-of-Chapter Material 276–282
Part THREE
DEBT SECURITIES 283
10 Bond Prices and Yields 284
10.1 Bond Characteristics 285
Treasury Bonds and Notes 285 Corporate Bonds 287
Preferred Stock 288
Other Domestic Issuers 289 International Bonds 289 Innovation in the Bond Market 289
10.2 Bond Pricing 291
Bond Pricing between Coupon Dates 294 Bond Pricing in Excel 295
10.3 Bond Yields 296 Yield to Maturity 296 Yield to Call 298
Realized Compound Return versus Yield to Maturity 300
10.4 Bond Prices Over Time 301
Yield to Maturity versus Holding-Period Return 303
Zero-Coupon Bonds and Treasury STRIPS 304 After-Tax Returns 304
10.5 Default Risk and Bond Pricing 306
Junk Bonds 306
Determinants of Bond Safety 306 Bond Indentures 308
Yield to Maturity and Default Risk 309 Credit Default Swaps 311
10.6 The Yield Curve 312
The Expectations Theory 313
The Liquidity Preference Theory 316 A Synthesis 317
End-of-Chapter Material 318–327
Managing Bond Portfolios 328
11.1 Interest Rate Risk 329 Interest Rate Sensitivity 329 Duration 331
What Determines Duration? 335
11.2 Passi
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