投资学完整教学课件.ppt

1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin 投资学完整教学课件 INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Chapter 1 The Investment Environment INVESTM

2、ENTS | BODIE, KANE, MARCUS 1-3 Real Assets Versus Financial Assets Real Assets Determine the productive capacity and net income of the economy Examples: Land, buildings, machines, knowledge used to produce goods and services Financial Assets Claims on real assets INVESTMENTS | BODIE, KANE, MARCUS 1-

3、4 Financial Assets Three types: 1. Fixed income or debt 2. Common stock or equity 3. Derivative securities INVESTMENTS | BODIE, KANE, MARCUS 1-5 Fixed Income Payments fixed or determined by a formula Money market debt: short term, highly marketable, usually low credit risk Capital market debt: long

4、term bonds, can be safe or risky INVESTMENTS | BODIE, KANE, MARCUS 1-6 Common Stock and Derivatives Common Stock is equity or ownership in a corporation. Payments to stockholders are not fixed, but depend on the success of the firm Derivatives Value derives from prices of other securities, such as s

5、tocks and bonds Used to transfer risk INVESTMENTS | BODIE, KANE, MARCUS 1-7 Financial Markets and the Economy Information Role: Capital flows to companies with best prospects Consumption Timing: Use securities to store wealth and transfer consumption to the future INVESTMENTS | BODIE, KANE, MARCUS 1

6、-8 Financial Markets and the Economy (Ctd.) Allocation of Risk: Investors can select securities consistent with their tastes for risk Separation of Ownership and Management: With stability comes agency problems INVESTMENTS | BODIE, KANE, MARCUS 1-9 Financial Markets and the Economy (Ctd.) Corporate

7、Governance and Corporate Ethics Accounting Scandals Examples Enron, Rite Aid, HealthSouth Auditors watchdogs of the firms Analyst Scandals Arthur Andersen Sarbanes-Oxley Act Tighten the rules of corporate governance INVESTMENTS | BODIE, KANE, MARCUS 1-10 The Investment Process Asset allocation Choic

8、e among broad asset classes Security selection Choice of which securities to hold within asset class Security analysis to value securities and determine investment attractiveness INVESTMENTS | BODIE, KANE, MARCUS 1-11 Markets are Competitive Risk-Return Trade-Off Efficient Markets Active Management

9、Finding mispriced securities Timing the market INVESTMENTS | BODIE, KANE, MARCUS 1-12 Markets are Competitive (Ctd.) Passive Management No attempt to find undervalued securities No attempt to time the market Holding a highly diversified portfolio INVESTMENTS | BODIE, KANE, MARCUS 1-13 The Players Bu

10、siness Firms net borrowers Households net savers Governments can be both borrowers and savers INVESTMENTS | BODIE, KANE, MARCUS 1-14 The Players (Ctd.) Financial Intermediaries: Pool and invest funds Investment Companies Banks Insurance companies Credit unions INVESTMENTS | BODIE, KANE, MARCUS 1-15

11、Universal Bank Activities Investment Banking Underwrite new stock and bond issues Sell newly issued securities to public in the primary market Investors trade previously issued securities among themselves in the secondary markets Commercial Banking Take deposits and make loans INVESTMENTS | BODIE, K

12、ANE, MARCUS 1-16 Financial Crisis of 2008 Antecedents of the Crisis: “The Great Moderation”: a time in which the U.S. had a stable economy with low interest rates and a tame business cycle with only mild recessions Historic boom in housing market INVESTMENTS | BODIE, KANE, MARCUS 1-17 Figure 1.3 The

13、 Case-Shiller Index of U.S. Housing Prices INVESTMENTS | BODIE, KANE, MARCUS 1-18 Changes in Housing Finance Old Way Local thrift institution made mortgage loans to homeowners Thrifts major asset: a portfolio of long-term mortgage loans Thrifts main liability: deposits “Originate to hold” New Way Se

14、curitization: Fannie Mae and Freddie Mac bought mortgage loans and bundled them into large pools Mortgage-backed securities are tradable claims against the underlying mortgage pool “Originate to distribute” INVESTMENTS | BODIE, KANE, MARCUS 1-19 Figure 1.4 Cash Flows in a Mortgage Pass-Through Secur

15、ity INVESTMENTS | BODIE, KANE, MARCUS 1-20 Changes in Housing Finance (Ctd.) At first, Fannie Mae and Freddie Mac securitized conforming mortgages, which were lower risk and properly documented. Later, private firms began securitizing nonconforming “subprime” loans with higher default risk. Little d

16、ue diligence Placed higher default risk on investors Greater use of ARMs and “piggyback” loans INVESTMENTS | BODIE, KANE, MARCUS 1-21 Mortgage Derivatives Collateralized debt obligations (CDOs) Mortgage pool divided into slices or tranches to concentrate default risk Senior tranches: Lower risk, hig

17、hest rating Junior tranches: High risk, low or junk rating INVESTMENTS | BODIE, KANE, MARCUS 1-22 Mortgage Derivatives Problem: Ratings were wrong! Risk was much higher than anticipated, even for the senior tranches INVESTMENTS | BODIE, KANE, MARCUS 1-23 Why was Credit Risk Underestimated? No one ex

18、pected the entire housing market to collapse all at once Geographic diversification did not reduce risk as much as anticipated Agency problems with rating agencies Credit Default Swaps (CDS) did not reduce risk as anticipated INVESTMENTS | BODIE, KANE, MARCUS 1-24 Credit Default Swap (CDS) A CDS is

19、an insurance contract against the default of the borrower Investors bought sub-prime loans and used CDS to insure their safety INVESTMENTS | BODIE, KANE, MARCUS 1-25 Credit Default Swap (CDS) Some big swap issuers did not have enough capital to back their CDS when the market collapsed. Consequence:

20、CDO insurance failed INVESTMENTS | BODIE, KANE, MARCUS 1-26 Rise of Systemic Risk Systemic Risk: a potential breakdown of the financial system in which problems in one market spill over and disrupt others. One default may set off a chain of further defaults Waves of selling may occur in a downward s

21、piral as asset prices drop Potential contagion from institution to institution, and from market to market INVESTMENTS | BODIE, KANE, MARCUS 1-27 Rise of Systemic Risk (Ctd.) Banks had a mismatch between the maturity and liquidity of their assets and liabilities. Liabilities were short and liquid Ass

22、ets were long and illiquid Constant need to refinance the asset portfolio Banks were very highly levered, giving them almost no margin of safety. INVESTMENTS | BODIE, KANE, MARCUS 1-28 Rise of Systemic Risk (Ctd.) Investors relied too much on “credit enhancement” through structured products like CDS

23、 CDS traded mostly “over the counter”, so less transparent, no posted margin requirements Opaque linkages between financial instruments and institutions INVESTMENTS | BODIE, KANE, MARCUS 1-29 The Shoe Drops 2000-2006: Sharp increase in housing prices caused many investors to believe that continually

24、 rising home prices would bail out poorly performing loans 2004: Interest rates began rising 2006: Home prices peaked INVESTMENTS | BODIE, KANE, MARCUS 1-30 The Shoe Drops 2007: Housing defaults and losses on mortgage-backed securities surged 2007: Bear Stearns announces trouble at its subprime mort

25、gagerelated hedge funds INVESTMENTS | BODIE, KANE, MARCUS 1-31 The Shoe Drops 2008: Troubled firms include Bear Stearns, Fannie Mae, Freddie Mac, Merrill Lynch, Lehman Brothers, and AIG Money market breaks down Credit markets freeze up Federal bailout to stabilize financial system INVESTMENTS | BODI

26、E, KANE, MARCUS 1-32 Systemic Risk and the Real Economy Add liquidity to reduce insolvency risk and break a vicious circle of valuation risk/counterparty risk/liquidity risk Increase transparency of structured products like CDS contracts Change incentives to discourage excessive risk-taking and to r

27、educe agency problems at rating agencies INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 2 Asset Classes and Financial Instruments INVESTMENTS | BODIE, KANE, MARCUS 2-34 Asset Classes Money market instruments Capital

28、market instruments Bonds Equity Securities Derivative Securities INVESTMENTS | BODIE, KANE, MARCUS 2-35 The Money Market Subsector of the fixed-income market: Securities are short-term, liquid, low risk, and often have large denominations Money market mutual funds allow individuals to access the mon

29、ey market. INVESTMENTS | BODIE, KANE, MARCUS 2-36 Table 2.1 Major Components of the Money Market INVESTMENTS | BODIE, KANE, MARCUS 2-37 Money Market Securities Treasury bills: Short-term debt of U.S. government Bid and asked price Bank discount method Certificates of Deposit: Time deposit with a ban

30、k Commercial Paper: Short-term, unsecured debt of a company INVESTMENTS | BODIE, KANE, MARCUS 2-38 Money Market Securities Bankers Acceptances: An order to a bank by a banks customer to pay a sum of money on a future date Eurodollars: dollar-denominated time deposits in banks outside the U.S. Repos

31、and Reverses: Short-term loan backed by government securities. Fed Funds: Very short-term loans between banks INVESTMENTS | BODIE, KANE, MARCUS 2-39 Yields on Money Market Instruments Except for Treasury bills, money market securities are not free of default risk Both the premium on bank CDs and the

32、 TED spread have often become greater during periods of financial crisis During the credit crisis of 2008, the federal government offered insurance to money market mutual funds after some funds experienced losses INVESTMENTS | BODIE, KANE, MARCUS 2-40 The Bond Market Treasury Notes and Bonds Inflati

33、on-Protected Treasury Bonds Federal Agency Debt International Bonds INVESTMENTS | BODIE, KANE, MARCUS 2-41 The Bond Market Municipal Bonds Corporate Bonds Mortgages and Mortgage-Backed Securities INVESTMENTS | BODIE, KANE, MARCUS 2-42 Treasury Notes and Bonds Maturities Notes maturities up to 10 yea

34、rs Bonds maturities from 10 to 30 years Par Value - $1,000 Interest paid semiannually Quotes percentage of par INVESTMENTS | BODIE, KANE, MARCUS 2-43 The Bond Market Inflation-Protected Treasury Bonds TIPS: Provide inflation protection Federal Agency Debt Debt of mortgage-related agencies such as Fa

35、nnie Mae and Freddie Mac International Bonds Eurobonds and Yankee bonds INVESTMENTS | BODIE, KANE, MARCUS 2-44 Municipal Bonds Issued by state and local governments Interest is exempt from federal income tax and sometimes from state and local tax INVESTMENTS | BODIE, KANE, MARCUS 2-45 Municipal Bond

36、s Types General obligation bonds: Backed by taxing power of issuer Revenue bonds: backed by projects revenues or by the municipal agency operating the project. INVESTMENTS | BODIE, KANE, MARCUS 2-46 Figure 2.4 Tax-exempt Debt Outstanding INVESTMENTS | BODIE, KANE, MARCUS 2-47 Municipal Bond Yields T

37、o choose between taxable and tax-exempt bonds, compare after-tax returns on each bond. Let t equal the investors marginal tax bracket Let r equal the before-tax return on the taxable bond and r m denote the municipal bond rate. If r (1 - t ) r m then the taxable bond gives a higher return; otherwise

38、, the municipal bond is preferred. INVESTMENTS | BODIE, KANE, MARCUS 2-48 Table 2.2 Tax-Exempt Yield Table The equivalent taxable yield is simply the tax-free rate, rm , divided by (1-t). INVESTMENTS | BODIE, KANE, MARCUS 2-49 Corporate Bonds Issued by private firms Semi-annual interest payments Sub

39、ject to larger default risk than government securities Options in corporate bonds Callable Convertible INVESTMENTS | BODIE, KANE, MARCUS 2-50 Proportional ownership of a mortgage pool or a specified obligation secured by a pool Produced by securitizing mortgages Mortgage-backed securities are called

40、 pass-throughs because the cash flows produced by homeowners paying off their mortgages are passed through to investors. Mortgage-Backed Securities INVESTMENTS | BODIE, KANE, MARCUS 2-51 Mortgage-Backed Securities Most mortgage-backed securities were issued by Fannie Mae and Freddie Mac. Traditional

41、ly, pass-throughs were comprised of conforming mortgages, which met standards of credit worthiness. INVESTMENTS | BODIE, KANE, MARCUS 2-52 Mortgage-Backed Securities Eventually, “Private-label” issuers securitized large amounts of subprime mortgages, made to financially weak borrowers. Finally, Fann

42、ie and Freddie were allowed and even encouraged to buy subprime mortgage pools. September, 2008: Fannie and Freddie got taken over by the federal government. INVESTMENTS | BODIE, KANE, MARCUS 2-53 Figure 2.6 Mortgage-backed securities outstanding INVESTMENTS | BODIE, KANE, MARCUS 2-54 Equity Securit

43、ies Common stock: Ownership Residual claim Limited liability Preferred stock: Perpetuity Fixed dividends Priority over common Tax treatment American Depository Receipts INVESTMENTS | BODIE, KANE, MARCUS 2-55 Stock Market Indexes Dow Jones Industrial Average Includes 30 large blue-chip corporations C

44、omputed since 1896 Price-weighted average INVESTMENTS | BODIE, KANE, MARCUS 2-56 Example 2.2 Price-Weighted Average Portfolio: Initial value $25 + $100 = $125 Final value $30 + $ 90 = $120 Percentage change in portfolio value = 5/125 = -.04 = -4% Index: Initial index value (25+100)/2 = 62.5 Final in

45、dex value (30 + 90)/2 = 60 Percentage change in index -2.5/62.5 = -.04 = -4% INVESTMENTS | BODIE, KANE, MARCUS 2-57 S pronounced “footsie”) DAX (Germany), Hang Seng (Hong Kong) TSX (Canada) INVESTMENTS | BODIE, KANE, MARCUS 2-59 Derivatives Markets Options and futures provide payoffs that depend on

46、the values of other assets such as commodity prices, bond and stock prices, or market index values. A derivative is a security that gets its value from the values of another asset. INVESTMENTS | BODIE, KANE, MARCUS 2-60 Options Call: Right to buy underlying asset at the strike or exercise price. Val

47、ue of calls decrease as strike price increases Put: Right to sell underlying asset at the strike or exercise price. Value of puts increase with strike price Value of both calls and puts increase with time until expiration. INVESTMENTS | BODIE, KANE, MARCUS 2-61 Futures Contracts A futures contract calls for delivery of an asset (or in some cases, its cash value) at a specified delivery or maturity date for an agreed-upon price, called the futures price, to be paid at contract maturity. Long position: Take delivery at maturity Short position: Make delivery at maturity INVESTMENTS | BODIE, K