《投资学》章节试读

《投资学》的笔记-第1页

2008

《投资学》的笔记-第184页 - 资本资产定价模型

股权估价模型：
1、股息贴现模型（DDM）：股票的每股內在价值V0=D1/(1+k)+D2/(1+k)^2+D3/(1+k)^3+...
其中，k为市场资本化率（市场必要收益率）=无风险利率+市场风险溢价。我个人一般设为k=同时长的国债收益率+5%。

2、固定增长的股息贴现模型：V0=D0（1+g）/(k-g)=D1/(k-g)
D0为最近支付的股息，D1为下期支付的股息，g为股息增长率股息增长率。

3、现金流贴现（DCF）公式：预期持有期收益率E（r）=股息收益率+资本利得率=D1/P0+（P1-P0）/P0=D1/P0+g
股息收益率=D1/P0，估计股息增长率=g
P0为最近股价

4、V0=D1/(k-g)=D1/（k-ROE*b）
g=ROE*b，ROE为股权收益率，b为再投资率，b=1-股息支付率

5、V0=零增长时的每股价格+增长机会的现值=E1/k+PVGO=每股盈利/市场资本化率+PVGO
零增长时每股价格=E1/k=每股盈利/市场资本化率

6、市盈率P0/E1=(1-b)/(k-ROE*b)

7、公司自由现金流FCFF=EBIT*（1-tc）+折旧-资本性支出-NWC追加额
其中，EBIT=息税前利润，tc=税率，NWC=净营运资本。
股权自由现金流FCFE=FCFF-利息费用*（1-tc）+新增债务

8、稳定增长的公司价值=FCFF*(1+g)/(WACC-g)。
WACC=税后债务成本和股权资本成本的加权平均值

《投资学》的笔记-第50页 - 证券是如何交易的

P50,52的两个关于多头头寸和空头头寸的excel列表很有用，可以用在融资融券中

《投资学》的笔记-第一章 投资环境 - 第一章 投资环境

《投资学》的笔记-第106页 - 風險厭惡與風險資產的資本配置

只有當一個投資組合的確定等價收益certainty equivalent rate大於無風險投資收益時 這個投資才是值得的

《投资学》的笔记-Chap1 The Investment Envrionment - Chap1 The Investment Envrionment

The material wealth of a society is ultimately determined by the productive capacity of its economy, that is, the goods and services its members can create. This capacity is a function of the real assets of the economy: the land, buildings, machines, and knowledge that can be used to produce goods and services.
real assets of the economy: the land, buildings, machines, and knowledge that can be used to produce goods and services
these assets are the means by which individuals in well-developed economies hold their claims on real assets. Financial assets are claims to the income generated by real assets (or claims on income from the government).
While real assets generate net income to the economy, financial assets simply define the allocation of income or wealth among investors. investors’ returns on securities ultimately come from the income produced by the real assets that were financed by the issuance of those securities.
Financial assets allow us to make the most of the economy’s real assets.
You shouldn’t lose sight of the fact that the successes or failures of the financial assets we choose to purchase ultimately depend on the performance of the underlying real assets.
financial assets:
fixed income, equity, and derivatives.
Fixed-income or debt securities promise either a fixed stream of income or a stream of income that is determined according to a specified formula.
floating-rate bonds
least closely tied to the financial condition of the issuer
two extremes:
capital market:
money market: short-term, highly marketable IOUs (usually of very low risk)
equity(common stock):
represents an ownership share in the corporation.
is tied directly to the success of the firm and its real assets.
derivative securities:
such as options and futures contracts provide payoffs that are determined by the prices of other assets such as bond or stock prices.
the primary use, is to hedge risks or transfer them to other parties. Derivatives also can be used to take highly speculative positions
Role of Financial Markets:
Consumption: shift your purchasing power from high-earnings periods to low-earnings periods.“Store” your wealth in financial assets.(student loans, pension funds)
Allocation of Risk: Financial markets and the diverse financial instruments traded in those markets allow investors with the greatest taste for risk to bear that risk, while other, less risk-tolerant individuals can, to a greater extent, stay on the sidelines.When investors are able to select security types with the risk–return characteristics that best suit their preferences, each security can be sold for the best possible price. This facilitates the process of building the economy’s stock of real assets.
Separation of Ownership and Management: These potential conflicts of interest are called agency problems because managers, who are hired as agents of the shareholders, may pursue their own interests instead.
Saving: is often taken to mean investing in safe assets such as an insured bank account.
Two types of decisions in constructing their portfolios: The asset allocation decision is the choice among these broad asset classes, while the security selection decision is the choice of which particular securities to hold within each asset class.
“Top-down” portfolio construction starts with asset allocation.
“bottom-up”: the portfolio is constructed from the securities that seem attractively priced without as much concern for the resultant asset allocation. It might turn out that the portfolio ends up with a very heavy representation of firms in one industry, from one part of the country, or with exposure to one source of uncertainty.
EMH:
Passive management calls for holding highly diversified portfolios without spending effort or other resources attempting to improve investment performance through security analysis. Active management is the attempt to improve performance either by identifying mis-priced securities or by timing the performance of broad asset classes.
Four important trends have changed the contemporary investment environment: (1) globalization, (2) securitization, (3) financial engineering, and (4) information and computer networks.

《投资学》的笔记-第105页 - 風險厭惡與風險資產的資本配置

㈠資產配置問題首要的就是 分析 投資組合的 風險收益
㈡確立一個投資組合的過程
①選擇一個風險資產的組合 比如股票和長期債券
②相對於短期國庫券等安全資產決定多少資金到風險投資組合
㈢投資組合理論中關於風險的兩個重要原則：
①除非投資者能夠預測風險投資的收益 否則他們會極力規避風險
②量化投資者在投資組合風險和期望收益間的權衡
風險溢價：期望超額收益率

《投资学》的笔记-第114页 - 風險厭惡和風險資產的基本配置

杠杆投資組合比非杠杆組合頭寸在風險資產中具有更大的標準差

《投资学》的笔记-第112页 - 風險厭惡和風險資產的基本配置

憑藉 稅收和控制貨幣供給 的能力 只有政府才可以發行無違約風險的債券 但是甚至由自己擔保無違約風險的債券在持有期間也不是完全沒有風險的 在持有期間無風險的資產只能是一種理想的價格指數債券
無違約風險的理想化債券也只有當債券的償還期等於投資者願意持有的期限時 才能對投資者的實際收益率提供擔保
絕大多數投資者使用更廣泛的貨幣市場工具作為無風險資產
所有的貨幣市場工具實際上與利率風險無關 因為償還期短 並且在違約或信用風險方面也是非常安全的
多數貨幣市場基金持有三種類型的證券 短期國庫券 銀行可轉換存單 商業票據 CP
因此 把貨幣市場基金作為絕大多數投資者最容易接受的無風險資產

《投资学》的笔记-第16页 - 資產類別和金融工具

金融市場分為money market和capital market
貨幣市場工具包括 流動債券 短期債券 可售債券和低風險債券（4*）
資本市場分為四大部份 長期債券市場 權益市場 期權和期貨衍生品市場（4*）

《投资学》的笔记-第十七章 宏观经济分析与行业分析 - 第十七章 宏观经济分析与行业分析

《投资学》的笔记-第111页

投資決策中最基本的決策在於如何分配你的資產...你願意投入多少于股票 你願意投入多少于債券 你應該持有多少的現金準備
因此 對於投資者來說 關於風險-收益權衡的討論最開始應該是 檢查最基本的資產配置決策：決定投資組合的多少應用于無風險貨幣市場證券 多少投資于其他風險資產
即期資產 貨幣市場基金

《投资学》的笔记-第17页 - 資產類別與金融工具

美國短期國庫券 T-bill 是貨幣市場所有金融工具中變現能力最強的一種 它代表一種最簡單的借款方式
投資者以面值的一定折扣買國庫券 政府在債券到期日向債券持有者支付等於債券面值的金額
購買價與面值之間的差額就是投資者的收益

《投资学》的笔记-第106页 - 風險厭惡與風險資產的資本配置

投機的定義→在獲取相應的報酬時承擔一定的投資風險
一定的風險→足以影響決策的風險
相應的報酬→正的風險溢價
一個風險溢價為靈的風險投資 有時候稱作公平博弈 也就是一種賭博

《投资学》的笔记-第113页 - 風險厭惡和風險資產的資本配置

把一個風險資產和一個無風險資產構成一個投資組合時 整個投資組合的標準差就是風險組合的標準差乘以它在投資組合中的比例
資本配置線 它表示 對投資者來說所有可行的風險收益的 組合
資本配置線的斜率記為S 等於每增加一單位風險所增加的收益
因此斜率也稱為 報酬-風險比率 reward-to-variability ratio 或者夏普比率