投资期末复习资料投资期末复习资料 分析 系统风险与非系统风险 市场有效性：概念，成因，涵义 分离性质：概念，意义 资本资产定价模型：基本公式及其解释 被动投资策略：概念及其运用 计算题 两风险资产组合的收益与风险 常数增长股利贴现模型 保证金购买与卖空计算 CAPM的基本计算应用 免税债券等价收益率的计算 论述 组合投资理论的分析思路 CAPM的假设框架及其推导思路 基础分析的框架与要点 要求：框架完整，逻辑清晰，表达准确 。 6.1 Diversification and Portfolio Risk Firm-specific risk Diversifiable, unique risk or nonsystematic risk Risk that can be eliminated by diversification. E.g. R If it could be predicted, then that prediction would be part of todays information. Thus, stock prices that change in response to new (unpredictable) information also must move unpredictably. Random walk：The notion that stock price changes are random and unpredictable. 6.4 Efficient Diversification with Many Risky Assets separation property All investors will choose the same risky portfolio (O), no matter what their degrees of risk aversion (风险态度与风险资产选择无关). The property implies portfolio choice can be separated into two independent tasks: (1) determination of the optimal risky portfolio (stock selection), which is a purely technical problem, and (2) the personal choice of the best mix (capital allocation) of the risky portfolio and the risk-free asset. 6.4 Efficient Diversification with Many Risky Assets separation property is the theoretical basis of the mutual fund industry (why?) Although the optimal risky portfolio for different clients may vary because of portfolio constraints such as dividend yield requirements, tax considerations, or other client preferences The (computerized) optimization technique is the easiest part of portfolio construction, the real arena of the competition among portfolio managers is in the sophisticated security analysis that produce different input data (precise predict of stock returns). X Corp$70 50%Initial Margin 40%Maintenance Margin 1000Shares Purchased Initial Position? Stock $70,000 Borrowed $35,000 Equity $35,000 Buying on Margin Stock price falls to $60 per share New Position? Stock $60,000 Borrowed $35,000 Equity $25,000 Margin= $25,000/$60,000 = 41.67% Buying on Margin Stock price rises to $80 per share New Position? Stock $80,000 Borrowed $35,000 Equity $45,000 Margin= $45,000/$80,000 = 56.2% Buying on Margin How far can the stock price fall before a margin call? (1000P - $35,000) / 1000P = 40% P = $58.33 Buying on Margin Municipal Bonds To compare yields on taxable bonds and tax- exempt bonds (municipal bonds), a Taxable Equivalent Yield is constructed. 6.2 Asset Allocation with Two Risky Assets The Three Rules of Two-Risky-Assets Portfolios Suppose a proportion denoted by wB is invested in the bond fund, and the remainder 1 wB,denoted by wS, is invested in the stock fund. Rule 1: The rate of return on the portfolio is a weighted average of the returns on the component securities, with the investment proportions as weights. rP=wBrB+wSrS 6.2 Asset Allocation with Two Risky Assets Rule 2: The expected rate of return on the portfolio is a weighted average of the expected returns on the component securities, with the same portfolio proportions as weights. E(rP)=wBE(rB)+wSE(rS) 6.2 Asset Allocation with Two Risky Assets Rule 3: The variance of the rate of return on the two-risky-assets portfolio is whereBS is the correlation coefficient between the returns on the stock and bond funds. 7.1 The Capital Asset Pricing Model EXAMPLE 7.2： Suppose the risk premium of the market portfolio is 9%, and we estimate the beta of Dell as D=1.3. The expected rate of return on Dell is the risk-free rate plus the risk premium. If the T-bill rate were 5%, the expected rate of return would be E(rD)=rf +D Market risk premium =5%+1.39% =16.7% 12.3 DIVIDEND DISCOUNT MODELS EXAMPLE High Flyer Industries has just paid its annual dividend of $3 per share. The dividend is expected to grow at a constant rate of 8% indefinitely. The beta of High Flyer stock is 1.0, the risk-free rate is 6% and the market risk premium is 8%. What is the intrinsic value of the stock? What would be your estimate of intrinsic value if you believed that the stock was riskier, with a beta of 1.25? 本资料来源