Fundamentals of Investments Valuation and Management 10t.pdf
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投资估值与管理基础资料合集，一共700多页，2024年，内容新颖精彩丰富
Fundamentals of Investments Valuation and Management 10t
To give some examples of our additional new content within individual chapters:
• Chapter 1 contains updates on historical returns for small-company stocks, large-company stocks, long-term government bonds, and Treasury bills, as well as U.S. inflation
rates.
• Chapter 2 provides an updated calculation of margin interest to reflect the industry
standard methodology, as well as a discussion of “meme risk” with regard to short
selling.
• Chapter 4 contains an expanded treatment of exchange traded funds (ETFs), including discussion of the latest types.
• Chapter 5 expands the section on alternative sources of public funding (crowdfunding, ICOs) to include SPACs (special purpose acquisition companies). There is also
updated material on the organization of the NYSE.
• Chapter 6 contains an updated example featuring CVS Health Corporation.
• Chapter 7 contains a screen showing a history of earnings surprises for Under Armour, Inc. Also included is a graph of the dramatic COVID-19 Crash of 2020.
• Chapter 9 contains a discussion of the new Secured Overnight Financing Rate
(SOFR), which is replacing the familiar London Interbank Offered Rate (LIBOR). It
also has a brief discussion on negative government bond yields and an updated discussion of inflation indexed TIPS bonds.
• Chapter 12 contains new discussion about tracking earnings surprises.
• Chapter 13 provides an updated calculation of the Information Ratio to match the
industry standard, as well as a new section on finding performance measures using
industry sources.
• Chapter 14 contains an explanation of futures quotes for Ultra T-Bonds. Also, the
initial spot-futures parity example is now about gold, and it expands to include storage
costs. The final spot-futures parity example is about stock indexes and the treatment
of dividends.
• Chapter 17 contains a new section on cryptocurrency and its role as an alterna

ART ONE Introduction 1
1 A Brief History of Risk and Return 1
1.1 Returns 2
Dollar Returns 2
Percentage Returns 4
A Note on Annualizing Returns 5
1.2 The Historical Record 7
A First Look 7
A Longer-Range Look 8
A Closer Look 9
2008: The Bear Growled and Investors
Howled 12
1.3 Average Returns: The First Lesson 14
Calculating Average Returns 15
Average Returns: The Historical Record 15
Risk Premiums 15
The First Lesson 16
1.4 Return Variability: The Second Lesson 17
Frequency Distributions and Variability 17
The Historical Variance and Standard
Deviation 18
The Historical Record 19
Normal Distribution 20
The Second Lesson 21
1.5 More on Average Returns 24
Arithmetic versus Geometric Averages 24
Calculating Geometric Average Returns 24
Arithmetic Average Return or Geometric
Average Return? 26
Dollar-Weighted Average Returns 27
1.6 Risk and Return 29
The Risk-Return Trade-off 29
A Look Ahead 30
1.7 Summary and Conclusions 30
Contents
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3.3 Equities 79
Common Stock 79
Preferred Stock 80
Common Stock Price Quotes 81
3.4 Derivatives: Futures Contracts 83
Futures Contracts 84
Futures Price Quotes 84
Gains and Losses on Futures Contracts 85
3.5 Derivatives: Option Contracts 86
Option Terminology 87
Options versus Futures 87
Option Price Quotes 87
Gains and Losses on Option Contracts 88
Investing in Stocks versus Options 89
3.6 Summary and Conclusions 90
4 Mutual Funds, ETFs, and Other Fund Types 98
4.1 Advantages and Drawbacks of Mutual
Fund Investing 99
Advantages 99
Drawbacks 100
4.2 Investment Companies and Fund
Types 100
Open-End versus Closed-End Funds 100
Net Asset Value 101
4.3 Mutual Fund Operations 102
Mutual Fund Organization and
Creation 102
Taxation of Investment Companies 103
The Fund Prospectus and Annual
Report 103
Mutual Fund Transactions 103
4.4 Mutual Fund Costs and Fees 104
Types of Expenses and Fees 104
Expense Reporting 106
Why Pay Loads and Fees? 107
The Impact of Fees on Portfolio
Values 108
4.5 Short-Term Funds 108
Money Market Mutual Funds 108
Money Market Deposit Accounts 110
4.6 Long-Term Funds 110
Stock Funds 110
Taxable and Municipal Bond Funds 113
Stock and Bond Funds 114
Mutual Fund Objectives: Recent
Developments 115
4.7 Mutual Fund Performance 117
Mutual Fund Performance Information 117
How Useful are Fund Performance
Ratings? 118
4.8 Exchange-Traded Funds 119
4.9 Closed-End Funds 123
The Closed-End Fund Discount
Mystery 124
4.10 Hedge Funds 125
4.11 Summary and Conclusions 127
PART TWO Stock Markets 137
5 The Stock Market 137
5.1 Private Equity versus Selling Securities to
the Public 138
Private Equity 138
The Structure of Private Equity
Funds 138
Types of Private Equity Funds 139
Selling Securities to the Public 140
The Primary Market for Common
Stock 140
Alternative Sources of Public
Funding 143
The Secondary Market for Common
Stock 146
Dealers and Brokers 146
5.2 The New York Stock Exchange 147
NYSE Members 147
NYSE-Listed Stocks 149
5.3 Operation of the New York Stock
Exchange 149
NYSE Floor Activity 149
Special Order Types 150
5.4 NASDAQ 153
NASDAQ Operations 153
NASDAQ Participants 155
5.5 NYSE and NASDAQ Competitors 155
5.6 Stock Market Information 156
The Dow Jones Industrial Average 156
Stock Market Indexes 159
More on Price-Weighted Indexes 161
The Dow Jones Divisors 161
More on Index Formation: Base-Year
Values 162
5.7 Summary and Conclusions 163
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6 Common Stock Valuation 173
6.1 Security Analysis: Be Careful Out
There 174
6.2 The Dividend Discount Model 174
Constant Perpetual Growth 175
Historical Growth Rates 177
The Sustainable Growth Rate 179
Analyzing Roe 180
6.3 The Two-Stage Dividend Growth
Model 182
Nonconstant Growth in the First
Stage 183
The H-Model 185
Discount Rates for Dividend Discount
Models 185
Observations on Dividend Discount
Models 186
6.4 The Residual Income Model 187
Residual Income 187
The RIM versus the Constant Growth
DDM 187
6.5 The Free Cash Flow Model 189
Free Cash Flow 189
The FCF Model versus the Constant
Growth DDM 190
6.6 Price Ratio Analysis 192
Price-Earnings Ratios 192
Price-Cash Flow Ratios 193
Price-Sales Ratios 194
Price-Book Ratios 194
Applications of Price Ratio Analysis 194
Enterprise Value Ratios 196
6.7 An Analysis of CVS Health
Corporation 197
Using the Dividend Discount Model 197
Using the Residual Income Model 199
Using the Free Cash Flow Model 200
Using Price Ratio Analysis 201
6.8 Summary and Conclusions 202
7 Stock Price Behavior and Market
Efficiency 214
7.1 Introduction to Market Efficiency 215
7.2 What Does “Beat the Market”
Mean? 215
7.3 Foundations of Market Efficiency 215
7.4 Forms of Market Efficiency 216
7.5 Why Would a Market Be Efficient? 217
7.6 Some Implications of Market
Efficiency 218
Does Old Information Help Predict Future
Stock Prices? 218
Random Walks and Stock Prices 218
How Do Stock Prices React To New
Information? 219
Event Studies 219
7.7 Informed Traders and Insider
Trading 222
Informed Trading 222
Insider Trading 222
7.8 How Efficient are Markets? 224
Are Financial Markets Efficient? 224
Some Implications of Market
Efficiency 225
7.9 Market Efficiency and the Performance of
Professional Money Managers 226
7.10 Anomalies 229
The Day-of-the-Week Effect 229
The Amazing January Effect 230
Turn-of-the-Year Effect 232
Turn-of-the-Month Effect 233
The Earnings Announcement Puzzle 233
The Price-Earnings (PE) Puzzle 233
7.11 Bubbles and Crashes 234
The Crash of 1929 235
The Crash of October 1987 235
The Asian Crash 237
The “Dot-Com” Bubble and Crash 238
The Crash of October 2008 239
The “Covid-19” Crash of 2020 240
7.12 Summary and Conclusions 241
8 Behavioral Finance and the Psychology of
Investing 251
8.1 Introduction to Behavioral Finance 252
8.2 Prospect Theory 252
A Note on Investor Biases 253
Frame Dependence 253
Mental Accounting and House
Money 254
Loss Aversion 254
8.3 Overconfidence 256
Overconfidence and Trading
Frequency 257
Overtrading and Gender: “It’s (Basically) a
Guy Thing” 257
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What Is a Diversified Portfolio to the
Everyday Investor? 257
Illusion of Knowledge 258
Snakebite Effect 259
8.4 Misperceiving Randomness and
Overreacting to Chance Events 259
The “Hot-Hand” Fallacy 261
The Gambler’s Fallacy 262
8.5 More on Behavioral Finance 263
Heuristics 263
Herding 264
How do we Overcome Bias? 264
8.6 Sentiment-Based Risk and Limits to
Arbitrage 265
Limits to Arbitrage 265
The 3Com/Palm Mispricing 266
The Royal Dutch/Shell Price Ratio 267
8.7 Technical Analysis 268
Why Does Technical Analysis Continue to
Thrive? 268
Dow Theory 269
Elliott Waves 270
Support and Resistance Levels 270
Technical Indicators 271
Relative Strength Charts 272
Charting 273
Fibonacci Numbers 279
Other Technical Indicators 279
8.8 Summary and Conclusions 280
PART THREE Interest Rates and Bond
Valuation 292
9 Interest Rates 292
9.1 Interest Rate History and Money Market
Rates 293
Interest Rate History 293
Money Market Rates 295
9.2 Money Market Prices and Rates 298
Bank Discount Rate Quotes 298
Treasury Bill Quotes 299
Bank Discount Yields versus Bond
Equivalent Yields 301
Bond Equivalent Yields, APRs, and EARs 302
9.3 Rates and Yields on Fixed-Income
Securities 304
The Treasury Yield Curve 304
Rates on Global Fixed-Income
Investments 304
9.4 The Term Structure of Interest Rates 307
Treasury STRIPS 307
Yields for U.S. Treasury STRIPS 308
9.5 Nominal versus Real Interest Rates 309
Real Interest Rates 309
The Fisher Hypothesis 310
Inflation-Indexed Treasury Securities 310
9.6 Traditional Theories of the Term
Structure 313
Expectations Theory 313
Maturity Preference Theory 314
Market Segmentation Theory 315
9.7 Determinants of Nominal Interest Rates: A
Modern Perspective 315
Problems with Traditional Theories 316
Modern Term Structure Theory 316
Liquidity and Default Risk 317
9.8 Summary and Conclusions 318
10 Bond Prices and Yields 328
10.1 Bond Basics 329
Straight Bonds 329
Coupon Rate and Current Yield 329
10.2 Straight Bond Prices and Yield to
Maturity 330
Straight Bond Prices 330
Premium and Discount Bonds 332
Relationships among Yield Measures 334
A Note on Bond Price Quotes 334
10.3 More on Yields 335
Calculating Yields 336
Yield to Call 336
Using a Financial Calculator 339
10.4 Interest Rate Risk and Malkiel’s
Theorems 340
Promised Yield and Realized Yield 340
Interest Rate Risk and Maturity 341
Malkiel’s Theorems 341
10.5 Duration 343
Macaulay Duration 343
Modified Duration 343
Calculating Macaulay Duration 344
Properties of Duration 346
10.6 Bond Risk Measures Based on
Duration 347
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Dollar Value of an 01 347
Yield Value of a 32nd 348
10.7 Dedicated Portfolios and Reinvestment
Risk 348
Dedicated Portfolios 349
Reinvestment Risk 349
10.8 Immunization 351
Price Risk versus Reinvestment Rate
Risk 351
Immunization By Duration Matching 351
Dynamic Immunization 352
10.9 Summary and Conclusions 353
PART FOUR Portfolio Management 363
11 Diversification and Risky Asset
Allocation 363
11.1 Expected Returns and Variances 364
Expected Returns 364
Calculating the Variance of Expected
Returns 366
11.2 Portfolios 367
Portfolio Weights 368
Portfolio Expected Returns 368
Portfolio Variance of Expected
Returns 369
11.3 Diversification and Portfolio Risk 370
The Effect of Diversification: Another
Lesson from Market History 371
The Principle of Diversification 372
The Fallacy of Time Diversification 372
11.4 Correlation and Diversification 374
Why Diversification Works 374
Calculating Portfolio Risk 376
The Importance of Asset Allocation,
Part 1 378
More on Correlation and the Risk-Return
Trade-Off 380
11.5 The Markowitz Efficient Frontier 381
The Importance of Asset Allocation,
Part 2 381
11.6 Summary and Conclusions 384
12 Return, Risk, and the Security Market
Line 395
12.1 Announcements, Surprises, and Expected
Returns 396
Expected and Unexpected Returns 396
Announcements and News 396
Tracking Surprises 398
12.2 Risk: Systematic and Unsystematic 399
Systematic and Unsystematic Risk 399
Systematic and Unsystematic Components
of Return 399
12.3 Diversification, Systematic Risk, and
Unsystematic Risk 400
Diversification and Unsystematic Risk 400
Diversification and Systematic Risk 401
12.4 Systematic Risk and Beta 401
The Systematic Risk Principle 401
Measuring Systematic Risk 402
Portfolio Betas 403
12.5 The Security Market Line 405
Beta and the Risk Premium 405
The Reward-to-Risk Ratio 406
The Basic Argument 406
The Fundamental Result 408
The Security Market Line 409
12.6 More on Beta 412
A Closer Look at Beta 412
Where do Betas come from? 414
Another way to Calculate Beta 416
Why do Betas Differ? 417
12.7 Extending CAPM 419
A (Very) Brief History of Testing
CAPM 419
The Fama-French Three-Factor Model 419
Factor Analysis and Style Portfolios 420
12.8 Summary and Conclusions 421
13 Performance Evaluation and Risk
Management 431
13.1 Performance Evaluation 432
Performance Evaluation Measures 432
The Sharpe Ratio 433
The Treynor Ratio 434
Jensen’s Alpha 435
Another Method to Calculate Alpha 436
Information Ratio 438
R-Squared 439
Finding Performance Measures 439
13.2 Comparing Performance Measures 440
Global Investment Performance
Standards 443
Sharpe-Optimal Portfolios 443
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13.3 Investment Risk Management 447
Value-at-Risk 447
13.4 More on Computing Value-at-Risk 448
13.5 Summary and Conclusions 450
PART FIVE Futures and Options 459
14 Futures Contracts 459
14.1 Futures Contract Basics 460
Modern History of Futures Trading 460
Futures Contract Features 461
Futures Prices 462
14.2 Why Futures? 465
Speculating with Futures 465
Hedging with Futures 466
14.3 Futures Trading Accounts 470
14.4 Cash Prices versus Futures Prices 472
Cash Prices 472
Cash-Futures Arbitrage 472
Basic Spot-Futures Parity 474
Spot-Futures Parity with Storage Costs 474
14.5 Stock Index Futures 475
Basics of Stock Index Futures 475
Index Arbitrage 476
Hedging Stock Market Risk with Futures 477
Hedging Interest Rate Risk with
Futures 478
Futures Contract Delivery Options 479
14.6 Summary and Conclusions 480
15 Stock Options 490
15.1 Options on Common Stocks 491
Option Basics 491
Option Price Quotes 492
15.2 The Options Clearing Corporation 494
15.3 Why Options? 495
15.4 Stock Index Options 497
Index Options: Features and
Settlement 497
Index Option Price Quotes 497
15.5 Option Intrinsic Value and
“Moneyness” 498
Intrinsic Value for Call Options 498
Intrinsic Value for Put Options 499
Time Value 499
Three Lessons About Intrinsic Value 500
Show me the Money 500
15.6 Option Payoffs and Profits 501
Option Writing 501
Option Payoffs 502
Option Payoff Diagrams 502
Option Profit Diagrams 504
15.7 Using Options to Manage Risk 505
The Protective Put Strategy 505
Credit Default Swaps 506
The Protective Put Strategy and Corporate
Risk Management 507
Using Call Options in Corporate Risk
Management 507
15.8 Option Trading Strategies 508
The Covered Call Strategy 509
Spreads 509
Combinations 510
15.9 Arbitrage and Option Pricing Bounds 511
The Upper Bound for Call Option
Prices 511
The Upper Bound for Put Option Prices 512
The Lower Bounds for Call and Put Option
Prices 512
15.10 Put-Call Parity 514
Put-Call Parity with Dividends 516
What can we do with Put-call Parity? 517
15.11 Summary and Conclusions 518
16 Option Valuation 529
16.1 A Simple Model to Value Options Before
Expiration 530
16.2 The One-Period Binomial Option Pricing
Model 531
The One-Period Binomial Option Pricing
Model—The Assumptions 531
The One-Period Binomial Option Pricing
Model—The Setup 531
The One-Period Binomial Option Pricing
Model—The Formula 532
What Is Delta? 534
16.3 The Two-Period Binomial Option Pricing
Model 534
Step 1: Build a Price Tree for Stock Prices
Through Time 535
Step 2: Use the Intrinsic Value Formula
to Calculate the Possible Option Prices at
Expiration 535
Step 3: Calculate the Fractional Share
Needed To Form Each Risk-Free Portfolio
At the Next-To-Last Date 535
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Step 4: Calculate all Possible Option Prices
at the Next-to-Last Date 537
Step 5: Repeat this Process by Working
Back to Today 537
16.4 The Binomial Option Pricing Model
with Many Periods 537
16.5 The Black-Scholes Option Pricing Model 539
16.6 Varying the Option Price Input Values 542
Varying the Underlying Stock Price 542
Varying the Option’s Strike Price 542
Varying the Time Remaining Until Option
Expiration 543
Varying the Volatility of the Stock Price 544
Varying the Interest Rate 544
16.7 Measuring the Impact of Stock Price
Changes on Option Prices 545
Interpreting Option Deltas 546
16.8 Hedging Stock with Stock Options 547
Hedging Using Call Options—The
Prediction 548
Hedging Using Call Options—The
Results 548
Hedging Using Put Options—The
Prediction 548
Hedging Using Put Options—The
Results 549
16.9 Hedging a Stock Portfolio with Stock
Index Options 549
16.10 Implied Standard Deviations 551
CBOE Implied Volatilities for Stock
Indexes 552
16.11 Employee Stock Options 553
ESO Features 553
ESO Repricing 554
ESOs at the Gap, Inc. 554
Valuing Employee Stock Options 554
16.12 Summary and Conclusions 556
PART SIX Topics in Investments 565
17 Alternative Investments 565
17.1 Benefits and Risks 566
Benefits of Alternative Investments 566
Risks of Alternative Investments 567
17.2 Hedge Funds 569
Hedge Fund Regulation 569
Hedge Fund Fees 570
Hedge Fund Styles 571
Performance Comparison 573
17.3 Private Equity Funds 573
Private Equity and Venture Capital 573
Private Placement Memorandum 574
The Investment Process 575
Performance Measurement 579
17.4 Commodities 579
Spot Market Transactions 580
Futures Contracts 580
Third-Party Managers 582
17.5 Real Estate 584
Forms of Real Estate Investment 584
Real Estate Valuation 584
17.6 Cryptocurrency 586
An Overview 586
Creation of a Bitcoin 586
Blockchain Technology 586
Cryptocurrency as an Investment 587
17.7 Summary and Conclusions 588
18 Corporate and Government Bonds 597
18.1 Corporate Bond Basics 598
18.2 Corporate Bond Indentures 599
Bond Seniority Provisions 600
Call Provisions 600
Put Provisions 602
Bond-To-Stock Conversion Provisions 603
Graphical Analysis of Convertible Bond
Prices 604
Bond Maturity and Principal Payment
Provisions 605
Sinking Fund Provisions 606
Coupon Payment Provisions 606
Protective Covenants 607
Adjustable-Rate Bonds 607
18.3 Government Bond Basics 608
18.4 U.S. Treasury Bills, Notes, Bonds, and
STRIPS 608
Treasury Bond and Note Prices 611
18.5 U.S. Treasury Auctions 613
18.6 Federal Government Agency Securities 614
18.7 Municipal Bonds 614
Municipal Bond Features 615
Types of Municipal Bonds 616
Municipal Bond Insurance 617
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Equivalent Taxable Yield 617
Taxable Municipal Bonds 618
18.8 Bond Credit Ratings 619
Why Bond Ratings are Important 619
An Alternative To Bond Ratings 620
Junk Bonds 621
18.9 Summary and Conclusions 623
19 Projecting Cash Flow and Earnings 634
19.1 Sources of Financial Information 635
19.2 Financial Statements 635
The Balance Sheet 636
The Income Statement 638
The Cash Flow Statement 639
Performance Ratios and Price Ratios 640
19.3 Financial Statement Forecasting 642
The Percentage of Sales Approach 642
The Pro Forma Income Statement 642
The Pro Forma Balance Sheet 643
Scenario One 645
Scenario Two 645
Projected Profitability and Price
Ratios 648
19.4 Starbucks Corporation Case Study 648
Pro Forma Income Statement 650
Pro Forma Balance Sheet 651
Valuing Starbucks Using Ratio
Analysis 654
Valuing Starbucks Using a Two-Stage
Dividend Growth Model 655
Valuing Starbucks: What Does the Market
Say? 656
19.5 Summary and Conclusions 656
20 Global Economic Activity and Industry
Analysis 668
20.1 Top-Down Analysis 669
20.2 Global Macroeconomic Activity 670
Real GDP 670
Business Cycles 671
Economic Indicators 674
The Global Economy and Stock Return
Correlations 674
The Effects of Exchange Rates On Global
Investments 675
20.3 Monitoring Jobs and the Price Level 676
Labor Market Indicators 676
The Consumer Price Index 677
20.4 Monetary and Fiscal Policy 678
Monetary Policy 679
Fiscal Policy 680
20.5 Industry Analysis 681
Identifying Sectors 682
Porter’s Five Forces 684
20.6 Summary and Conclusions 685
21 Mortgage-Backed Securities 693
21.1 A Brief History of Mortgage-Backed
Securities 694
21.2 Fixed-Rate Mortgages 694
Fixed-Rate Mortgage Amortization 695
Fixed-Rate Mortgage Prepayment and
Refinancing 697
21.3 Government National Mortgage
Association 701
GNMA Clones 701
21.4 Public Securities Association Mortgage
Prepayment Model 702
21.5 Cash Flow Analysis of GNMA Fully
Modified Mortgage Pools 704
Macaulay Durations For GNMA MortgageBacked Bonds 705
21.6 Collateralized Mortgage Obligations 708
Interest-Only and Principal-Only Mortgage
Strips 708
Sequential Collateralized Mortgage
Obligations 710
Protected Amortization Class Bonds 712
21.7 Yields for Mortgage-Backed Securities 714
21.8 Summary and Conclusions 714
APPENDICES
A Answers to Test Your Investment Quotient
Questions 723
B Key Equations 725
Name Index 729
Equation Index 730
Subject Index 733
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