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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Englewood Cliffs, N.J.
Prentice-Hall Internat.
1990
|
| Edition: | 4. ed. |
| Series: | Prentice-Hall international editions
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIX, 833 S. graph. Darst. |
| ISBN: | 0134775554 0135043824 |
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MARC
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Record in the Search Index
| _version_ | 1804121101341556736 |
|---|---|
| adam_text | BRIEF CONTENTS
PREFACE xxv
ABOUT THE AUTHORS xxix
1 INTRODUCTION 1
2 SECURITIES AND MARKETS 17
3 INVESTMENT VALUE AND MARKET PRICE 67
4 THE VALUATION OF RISKLESS SECURITIES 82
5 THE VALUATION OF RISKY SECURITIES 112
6 THE PORTFOLIO SELECTION PROBLEM 134
7 PORTFOLIO ANALYSIS 154
8 THE CAPITAL ASSET PRICING MODEL 194
9 FACTOR MODELS AND ARBITRAGE PRICING THEORY 241
10 TAXES 268
1 1 INFLATION 292
12 FIXED INCOME SECURITIES 316
1 3 BOND ANALYSIS 355
14 BOND PORTFOLIO MANAGEMENT 378
15 COMMON STOCKS 403
1 6 THE VALUATION OF COMMON STOCKS 461
17 EARNINGS 497
18 OPTIONS 533
19 FUTURES 594
20 INVESTMENT COMPANIES 633
21 FINANCIAL ANALYSIS 666
22 INVESTMENT MANAGEMENT 711
23 PORTFOLIO PERFORMANCE EVALUATION 733
24 EXTENDED DIVERSIFICATION 744
GLOSSARY 795
INDEX 817
v
CONTENTS
PREFACE xxv
ABOUT THE AUTHORS xxix
I INTRODUCTION 1
1.1 The Investment Environment 2
1.1.1 Securities 2
1.1.2 Security Markets 8
1.1.3 Financial Intermediaries 9
1.2 The Investment Process 9
1.2.1 Investment Policy 10
1.2.2 Security Analysis 10
1.2.3 Portfolio Construction 11
1.2.4 Portfolio Revision 11
1.2.5 Portfolio Performance Evaluation 12
1.3 Asset Ownership 12
1.4 The Investment Industry 13
1.5 Summary 15
Questions and Problems 15
2. SECURITIES AND MARKETS 17
2.1 Order Size 18
2.2* Time Limit 18 ~
2.3 Types of Orders 19
2.3.1 Market Orders 19
2.3.2 Limit Orders 19
vii
2.3.3 Stop Orders 19
2.3.4 Stop Limit Orders 20
2.4 Margin Accounts 21
2.4.1 Margin Purchases 22
2.4.2 Short Sales 25
2.4.3 Aggregation 30
2.5 Call and Continuous Security Markets 32
2.5.1 Call Markets 32
2.5.2 Continuous Markets 32
2.6 Major Markets in the United States 33
2.6.1 The New York Stock Exchange 33
2.6.2 Other Exchanges 41
2.6.3 The Over the Counter Market 42
2.6.4 The Third and Fourth Markets 44
2.7 Information Motivated and Liquidity Motivated Traders 45
2.8 Prices as Information Sources 45
2.9 The Central Market 46
2.10 Clearing Procedures 48
2.10.1 Clearinghouses 48
2.11 Insurance 49
2.12 Commissions 50
2.12.1 Fixed Commissions 50
2.12.2 Competitive Commissions 50
2.13 Transactions Costs 52
2.13.1 The Bid Ask Spread 52
2.13.2 Price Impact 54
2.14 Investment Banking 54
2.14.1 Underpricing of Ipo s 57
2.14.2 Seasoned Offerings 59
2.14.3 Shelf Registration 59
2.14.4 Secondary Distributions 60
2.15 Regulation of Security Markets 61
2.16 Summary 63
Questions and Problems 64
^3 INVESTMENT VALUE AND MARKET PRICE 67.
V, 3.1 Security Price Determination 67
^ 3.1.1 The Demand to Buy Schedule 68
3.1.2 The Supply to Sell Schedule 68
3.1.3 Interaction of the Schedules 70
3.2 Demand to Hold Securities 72
3.2.1 The Demand to Hold Schedule 73 _
3.2.2 The Elasticity of the Schedule 74
3.2.3 Shifts of the Schedule 74
3.3 The Effects of Procedures for Short Sales 75
3.4 Price as a Consensus 77
^3.5 Market Efficiency 77
3.6 Summary 80
Questions and Problems 80
4 THE VALUATION OF RISKLESS SECURITIES 82
4.1 Investment 82
4.1.1 Deciding How Much to Invest 82
4.1.2 Using Indifference Curves 84
4.2 Investment and Interest 85
4.2.1 Demand and Supply of Capital 85
4.3 Nominal Versus Real Interest Rates 87
4.4 Yield to Maturity 88
4.5 Spot Rates 91
4.6 Discount Factors 92
4.7 Forward Rates 93
4.8 Forward Rates and Discount Factors 95
4.9 Duration 95
4.10 Compounding 96
4.11 The Bank Discount Method 97
4.12 Continuous Compounding 98
4.13 Yield Curves 99
4.14 Term Structure Theories 101
4.14.1 The Unbiased Expectations Theory 101
4.14.2 The Liquidity Preference Theory 104
4.14.3 The Market Segmentation Theory 107
4.14.4 Empirical Evidence of the Theories 108
4.15 Summary 109
Questions and Problems 110
CONTENTS IX
5 THE VALUATION OF RISKY SECURITIES 112
5.1 Market Versus Personal Valuation 113
5.2 Approaches to Security Valuation 114
5.3 Explicit Valuation of Contingent Payments 114
5.3.1 Insurance 114
5.3.2 Valuation in a Complete Market 116
5.3.3 The Limitations of Insurance 117
5.4 Probabilistic Forecasting 118
5.4.1 Assessing Probabilities 118
5.4.2 Probability Distributions 119
5.4.3 Event Trees 122
5.4.4 Expected Value 123
5.4.5 Expected Versus Promised Yield to Maturity 125
5.5 Expected Holding Period Return 127
5.5.1 Calculating Holding Period Return 127
5.5.2 Estimating Expected Holding Period Return 129
5.5.3 Estimating a Bond s Expected Holding Period Return 130
5.6 Expected Return and Security Valuation 131
5.7 Summary 131
Questions and Problems 131
O THE PORTFOLIO SELECTION PROBLEM 134
6.1 Initial and Terminal Wealth 135
6.1.1 Determining the Rate of Return on a Portfolio 135
6.2 Indifference Curves 137
v/ 6.3 Nonsatiation and Risk Aversion 140
*¦ 6.3.1 Nonsatiation 140 ;
6.3.2 Risk Aversion 141
6.4 Calculating Expected Returns and Standard Deviations for
Portfolios 142
6.4.1 Expected Returns 143
6.4.2 Standard Deviations 145
6.5 Summary 150
Appendix A Risk Neutral and Risk Seeking Investors 150
Questions and Problems 152
/ PORTFOLIO ANALYSIS 154
7.1 The Efficient Set Theorem 154
7.1.1 The Feasible Set 155
7.1.2 The Efficient Set Theorem Applied to the Feasible Set 156
7.1.3 Selection of the Optimal Portfolio 156
7.2 Concavity of the Efficient Set 158
7.3 Allowing for Risk free Investing 166
7.3.1 Defining the Risk free Asset 166
7.3.2 Investing in Both the Risk free Asset and a Risky
Asset 167
7.3.3 Investing in Both the Risk free Asset and a Risky
Portfolio 170
7.3.4 The Effect of Risk free Investing on the Efficient Set 171
7.3.5 The Effect of Risk free Investing on Portfolio Selection 173
7.4 Allowing for Risk free Borrowing 175
7.4.1 Borrowing and Investing in a Risky Security 176
7.4.2 Borrowing and Investing in a Risky Portfolio 178
7.5 Allowing for Both Risk free Investing and Borrowing 180
7.5.1 The Effect of Risk free Investing and Borrowing on the
Efficient Set 180
7.5.2 The Effect of Risk free Investing and Borrowing on the
Portfolio Selection 181
7.6 Summary 181
Appendix A Determining the Investor s Optimal ? I^;j
V 1 A.1 The Markowitz Model 184
; A.1.1 Determining the Composition and Location of the
Efficient Set 184
A.I.2 Determining the Composition of the Optimal
Portfolio 188
A.2 Introducing Risk free Opportunities 189
A.2.1 Determining the Composition and Location of the
Efficient Set 189
A.2.2 Determining the Composition of the Optimal
Portfolio 189
Appendix B Allowing for Different Borrowing and Lending
Rates 191
Questions and Problems 193
8 THE CAPITAL ASSET PRICING MODEL 194
8.1 Assumptions 195
8.2 The Capital Market Line 196
/ 8.2.1 The Separation Theorem 196
1 8.2.2 The Market Portfolio 197
8.2.3 The Efficient Set 200
CONTENTS XI
8.3 The Security Market Line 202
8.3.1 Implications for Individual Risky Assets 202
8.3.2 An Example 206
8.4 Market and Unique Risk 208
8.5 Expected Versus Actual Values 209
8.6 Equilibrium Expected Returns 210
8.7 Return Generating Processes 211
8.7.1 The Characteristic Line 211
8.7.2 Actual Excess Returns 212
8.8 Diversification 216
8.8.1 Portfolio Total Risk 216
8.8.2 Portfolio Market Risk 217
8.8.3 Portfolio Unique Risk 218
8.8.4 An Example 219
8.9 Disequilibrium 221
8.9.1 Alpha 221
8.9.2 The Return Generating Process 223
8.9.3 Graphing Characteristic Lines 224
8.10 Determining the Efficient Set 225
8.11 Summary 228
Appendix A Some Extended Versions of the CAPM 230
A.1 Efficient Investment Policies When Borrowing Is
Restricted or Expensive 230
A.1.1 The Capital Market Line 230
A.1.2 The Security Market Line 231
A. 2 Heterogeneous Expectations 232
A.3 Liquidity 233
Appendix B A Derivation of the Security Market Line 236
Questions and Problems 238
9 FACTOR MODELS AND ARBITRAGE PRICING THEORY 241
9.1 Single Factor Models 242
9.1.1 The Important Features of Single Factor Models 243
9.2 Multiple Factor Models 245
9.2.1 Two Factor Models 245
9.2.2 Sector Factor Models 247
9.2.3 General Factor Models 248
9.2.4 Factor Models and Equilibrium 248
9.3 Arbitrage Pricing Theory 249
9.3.1 Factor Portfolios 249
9.3.2 Expected Returns on Factor Portfolios 251
9.3.3 Expected Returns on Securities 252
9.4 A Synthesis of APT and the CAPM 254
9.4.1 Beta Coefficients and Factor Sensitivities 254
9.4.2 Expected Returns, Factor Betas, and Security
Sensitivities 256
9.5 Summary 257
Appendix A Testing Equilibrium Theories of Asset
Pricing 258
A.1 Tests of the Capital Asset Pricing Model 259
A.2 Tests of the Arbitrage Pricing Theory 264
Questions and Problems 265
I 0 TAXES 268
10.1 Taxes in the United States 268
10.2 Corporate Income Taxes 269
10.2.1 Corporate Tax Rates 269
10.2.2 Defining Income 271
10.2.3 Depreciation 271
10.2.4 Inventory Valuation 273
10.2.5 Amortization and Depletion 274
10.2.6 Deductibility of Interest Payments 275
10.2.7 Corporate Income from Dividends, Interest, and Capital
Gains 276
10.2.8 Tax Exempt Organizations 277
10.3 Personal Income Taxes 278
10.3.1 Personal Tax Rates 278
10.3.2 Tax Exempt Bonds 282
10.3.3 Alternative Minimum Tax 283
10.3.4 Deductible Expenses 284
10.3.5 Capital Gains and Losses 284
10.3.6 State Income Taxes 287
10.4 Tax Shelters 288
10.5 Summary 288
Appendix A Federal Estate and Gift Taxes 289
A.1 Estate Taxes 289
A.2 Gift Taxes 290
Questions and Problems 291
CONTENTS Xiii
I I INFLATION 292
11.1 Inflation in the United States 292
11.1.1 Measuring Inflation 292
11.2 Price Indices 295
11.3 Nominal and Real Returns 295
11.3.1 Nominal Returns 295
11.3.2 Real Returns 296
11.3.3 The Effect of Investor Expectations 297
11.4 Interest Rates and Inflation 297
11.5 The Effect of Inflation on Borrowers and Lenders 298
11.6 Indexation 299
11.7 Replacement Cost Accounting 301
11.8 Taxation, Inflation, and the Return on Capital 304
11.9 Securities as Hedges Against Inflation 305
11.10 Inflation Hedging and Expected Return 310
11.11 Summary 312
Appendix A Expected Returns, Betas, and Inflation
Hedging 312
Questions and Problems 314
I 2 FIXED INCOME SECURITIES 316
12.1 Savings Deposits 316
12.1.1 Commercial Banks 316
12.1.2 Savings and Loan Companies and Mutual Savings
Banks 319
12.1.3 Credit Unions 319
12.1.4 Other Types of Personal Savings Accounts 320
12.2 Money Market Instruments 320
12.2.1 Commercial Paper 321
12.2.2 Certificates of Deposit 322
12.2.3 Bankers Acceptances 322
12.2.4 Eurodollars 322
12.2.5 Repurchase Agreements 323
12.3 U.S. Government Securities 323
12.3.1 U.S. Treasury Bills 325
12.3.2 U.S. Treasury Notes 328
12.3.3 U.S. Treasury Bonds 329
12.3.4 U.S. Savings Bonds 330
12.3.5 Zero Coupon Treasury Security Receipts 330
12.4 Federal Agency Securities 332
12.4.1 Bonds of Federal Agencies 333
12.4.2 Bonds of Federally Sponsored Agencies 333
12.4.3 Participation Certificates 335
12.5 State and Local Government Securities 336
12.5.1 Issuing Agencies 337
12.5.2 Types of Municipal Bonds 339
12.5.3 Tax Treatment 340
12.5.4 Ownership of Municipal Securities 342
12.5.5 The Market for Municipal Bonds 342
12.5.6 Municipal Bond Insurance 343
12.6 Eurobonds 343
12.7 Corporate Bonds 343
12.7.1 The Indenture 344
12.7.2 Types of Bonds 345
12.7.3 Call Provisions 346
12.7.4 Sinking Funds 347
12.7.5 Private Placements 347
12.7.6 Bankruptcy 347
12.7.7 Ownership of Corporate Bonds 349
12.7.8 Trading in Corporate Bonds 349
12.8 Preferred Stock 351
12.9 Summary 352
Questions and Problems 353
1 3 BOND ANALYSIS 355
13.1 Applying the Capitalization of Income Method to Bonds 355
13.2 Bond Attributes 357
13.2.1 Coupon Rate and the Length of Time Until Maturity 358
13.2.2 Call Provisions 358
13.2.3 Tax Status 360
13.2.4 Marketability 361
13.2.5 Likelihood of Default 361
13.3 The Risk Structure of Interest Rates 370
13.4 Determinants of Yield Spreads 372
13.5 Financial Ratios as Predicator of Default 373
13.5.1 Univariate Methods 373
13.5.2 Multivariate Methods 374
13.5.3 Investment Implications 375
13.6 Summary 376
Questions and Problems 376
CONTENTS XV
I 4 BOND PORTFOLIO MANAGEMENT 378
14.1 Bond Market Efficiency 378
14.1.1 Price Behavior of Treasury Bills 379
14.1.2 Experts Predictions of Interest Rates 379
14.1.3 Price Reaction to Bond Rating Changes 381
14.1.4 Money Supply Announcements 381
14.1.5 Summary 381
14.2 Bond Pricing Theorems 382
14.3 Duration 384
14.3.1 Calculation 384
14.3.2 Changes in the Term Structure 386
14.4 Immunization 387
14.4.1 How Immunization Is Accomplished 387
14.4.2 Problems with Immunization 390
14.5 Active Management 393
14.5.1 Horizon Analysis 393
14.5.2 Bond Swaps 396
14.5.3 Contingent Immunization 397
14.5.4 Riding the Yield Curve 398
14.6 Bonds Versus Stocks 399
14.7 Summary 401
Questions and Problems 402
1 5 COMMON STOCKS 403
15.1 The Corporate Form 403
15.1.1 Stock Certificates 403
15.1.2 Voting 404
15.1.3 Tender Offers 406
V 15.1.4 Ownership Versus Control 407
15.1.5 Stockholders Equity 408
15.2 Cash Dividends 410
15.3 Stock Dividends and Stock Splits 410
15.3.1 Reasons for Stock Dividends and Splits 411
15.4 Preemptive Rights 413
15.5 Stock Price and Volume Quotations 415
15.6 Insider Trading 417
j/15.7 Ex Ante and Ex Post Values 419
15.8 Common Stock Betas 420
15.8.1 Adjusting Beta 427
15.8.2 Industry Beta Values 430
15.8.3 Beta Prediction Equations 431
15.8.4 Beta Services 433
15.9 Factor Models of Stock Returns 434
15.9.1 A One Factor Model 434
15.9.2 A Two Factor Model 435
15.9.3 Multifactor Models 437
15.9.4 Zero One Attributes 437
/(15.10 Estimating Risks and Correlations 438
15.11 Estimating Sensitivities to Factors 439
15.11.1 Homogeneous Security Groups 439
15.11.2 Group Factors 441
15.11.3 Composite Attributes 442
15.11.4 Scenario Approaches 442
15.11.5 Sensitivities to Macroecomic Variables 443
15.11.6 Factor Analysis 445
15.12 Summary 446
Appendix A Empirical Regularities 446
A.I The Size Effect 447
A. 2 Seasonality in Stock Returns 448
A.2.1 The January Effect 448
A.2.2 The Day of the Week Effect 449
A. 3 Interrelationships 451
A.3.1 Size and January Effects 451
A.3.2 Size and Day of the Week Effects 454
A.3.3 January and Day of the Week Effects 456
A.4 Summary of Empirical Regularities 457
Appendix B Empirical and Fundamental Factors 457
Questions and Problems 458
1 6 THE VALUATION OF COMMON STOCKS 461
( ( i 16.1 Capitalization of Income Method of Valuation 461
^ 16.1.1 Net Present Value 462
v 16.1.2 Internal Rate of Returns 463
16.1.3 An Application to Common Stocks 463
16.2 The Zero Growth Model 464
16.2.1 Internal Rate of Return 465
16.2.2 An Application 466
16.3 The Constant Growth Model 466
16.3.1 Internal Rate of Return 467
16.3.2 Relationship to the Zero Growth Model 468
CONTENTS XVli
16.4 The Multiple Growth Model 468
16.4.1 Internal Rate of Return 470
16.4.2 Relationship to the Constant Growth Model 471
16.4.3 Two Phase and Three Phase Models 472
16.5 Valuation Based on a Finite Holding Period 472
16.6 Models Based on Price Earnings Ratios 474
16.6.1 The Zero Growth Model 476
16.6.2 The Constant Growth Model 477
16.7 Sources of Earnings Growth 478
16.7.1 An Example 480
16.8 A Commonly Used Approach 481
16.8.1 An Example 482
16.8.2 Implied Returns 485
16.8.3 The Security Market Line 485
16.8.4 Required Returns and Alphas 486
16.8.5 The Implied Return on the Stock Market 486
16.9 Dividend Discount Models and Expected Returns 487
16.10 Summary 491
Appendix A The Graham Rea Model 491
Appendix B The Multiple Growth Model and the
Price Earnings Model 494
Questions and Problems 495
I 7 EARNINGS 497
17.1 Stock Valuation Based on Earnings 497
17.1.1 Earnings, Dividends, and Investment 498
17.1.2 Earnings Determine Market Value 501
17.2 Determinants of Dividends 503
17.3 The Information Content of Dividends 506
17.4 Accounting Earnings Versus Economic Earnings 508
X 17.4.1 Accounting Earnings 508
17.4.2 Economic Earnings 509
17.5 Price Earnings Ratios 511
17.5.1 Permanent and Temporary Components of Earnings 511
17.6 Relative Growth Rates of Firms Earnings 515
17.6.1 Annual Earnings 516
17.6.2 Quarterly Earnings 517
17.7 Comovement of Earnings 517
17.8 Earnings Announcements and Price Changes 519
17.8.1 Deviations from Time Series Models of Earnings 521
17.8.2 Security Analysts Estimates of Future Earnings 524
17.8.3 Revisions in Security Analysts Forecasts 525
17.8.4 Sources of Errors in Forecasting 527
17.8.5 Unexpected Earnings and Abnormal Returns 527
17.9 Summary 528
Appendix A Value Line Rankings 529
Questions and Problems 531
I O OPTIONS 533 18.1 Types of Option Contracts 533
18.1.1 Call Options 533
18.1.2 Put Options 536
18.2 Option Trading 537
18.3 Margin 541
18.4 Taxation of Option Profits and Losses 544
18.5 Valuation of Options 545
18.5.1 Valuation at Expiration 545
18.5.2 Profits and Losses at Expiration 546
18.5.3 Limits on the Value of a Call Option 548
18.5.4 Valuation with Simple Price Changes 553
18.6 The Black Scholes Model for Call Options 558
18.6.1 Limitations on the Model s Use 558
18.6.2 The Formula 560
18.6.3 Static Analysis 562
18.6.4 Estimating a Stock s Risk from Historical Prices 563
18.6.5 The Market Consensus of a Stock s Risk 564
18.6.6 Hedge Ratios 565
18.6.7 Adjustments for Dividends 566
18.7 The Valuation of Put Options 568
18.7.1 Limits on the Value of a Put Option 569
18.7.2 Put Call Parity 573
18.7.3 Static Analysis 575
18.7.4 Early Exercise and Dividends 575
18.8 Options on Other Kinds of Assets 577
18.8.1 Index Options 577
18.8.2 Interest Rate Options 579
18.8.3 Foreign Currency Options 579
18.9 Portfolio Insurance 580
18.9.1 Purchasing an Insurance Policy 582
18.9.2 Purchasing a Protective Put 583
18.9.3 Creating a Synthetic Put 583
CONTENTS Xix
18.10 Summary 587
Appendix A Securities with Optionlike Features 588
A.I Warrants 588
A.2 Rights 590
A.3 Bond Call Provisions 590
A. 4 Convertible Securities 591
Questions and Problems 592
1 y FUTURES 594
19.1 The Futures Contract 595
19.1.1 Futures Markets 598
19.1.2 The Clearinghouse 599
19.1.3 Futures Positions 602
19.1.4 Taxation 602
19.1.5 Open Interest 603
19.1.6 Price Limits 604
19.2 Basis 605
19.3 Spreads 605
19.4 Spot Prices 606
19.5 Futures Prices 607
19.5.1 Certainty 607
19.5.2 Uncertainty 609
19.6 Returns on Futures 611
19.7 Financial Futures 612
19.7.1 Foreign Currency Futures 612
19.7.2 Interest Rate Futures 615
19.7.3 Market Index Futures 617
19.8 Futures Versus Call Options 624
19.9 Synthetic Futures 625
19.10 Summary 627
Appendix A Futures Options 628
A.I Options on Futures Contracts 628
A.2 Put Options on Futures Contracts 630
A.3 Comparison with Futures and Options 631
Questions and Problems 631
ZU INVESTMENT COMPANIES 633
20.1 Net Asset Value 634
20.2 Major Types of Investment Companies 635
20.2.1 Unit Investment Trusts 635
20.2.2 Managed Companies 636
20.3 Similar Types of Investments 643
20.3.1 Fixed and Variable Annuities 643
20.3.2 Commingled Funds 644
20.3.3 Real Estate Investment Trusts 645
20.4 Investment Policies 646
20.5 Mutual Fund Accounts 649
20.5.1 Accumulation Plans 650
20.5.2 Retirement Plans 651
20.6 Mutual Fund Performance 651
20.6.1 Risk Control 653
20.6.2 Diversification 654
20.6.3 Average Return 655
20.6.4 Consistency of Performance 657
20.6.5 Expenses 659
20.6.6 Market Timing. 661 .
20.7 Closed End Fund Premiums and Discounts 661
20.8 Summary 663
Questions and Problems 664
2 1 FINANCIAL ANALYSIS 666
21.1 Professional Organizations 666
21.2 Reasons for Financial Analysis 667
21.2.1 Determining Security Characteristics 667
21.2.2 Attempting to Identify Mispriced Securities 667
21.2.3 Beating the Market 670
21.2.4 Financial Analysis and Market Efficiency 674
21.2.5 Needed Skills 675
21.3 Evaluating Investment Systems 675
21.3.1 Failure to Adjust for Risk 676
21.3.2 Failure to Consider Transaction Costs 676
21.3.3 Failure to Consider Dividends 677
21.3.4 Nonoperational Systems 677
21.3.5 Spurious Fits 678
21.3.6 Comparisons with Easily Beaten Systems 678
21.3.7 Reliance on Misleading Visual Comparisons 679 21.3.8 Ex Post Selection Bias 680
21.3.9 Failure to Use Out of Sample Data 681
^y 21.4 Fundamental Versus Technical Analysis 681
jf 21.4.1 Top Down Versus Bottom Up Forecasting 683
^ 21.4.2 Probabilistic Forecasting 684
21.4.3 Econometric Models 684
21.4.4 Financial Statement Analysis 685
CONTENTS xxj
21.5 Analysts Recommendations and Stock Prices 688
21.6 Sources of Investment Information 690
21.6.1 Publications 691
21.6.2 Computer Readable Data 695
21.7 Summary 696
Appendix A Technical Analysis 696
A.1 Charts 697
A.2 Moving Averages 700
A.3 Relative Strength Measures 700
A.4 Contrary Opinion 700
Appendix B Sources of Investment Information 701
Questions and Problems 708
22 INVESTMENT MANAGEMENT 711
22.1 Traditional Investment Management Organizations 711
22.2 Investment Management Functions 713
22.3 Setting Investment Policy 713
22.3.1 Estimating Risk Tolerance 714
22.3.2 The Trade Off Between Risk and Expected Return 715
22.3.3 Constant Risk Tolerance 717
22.3.4 Certainty Equivalent Return 720
22.4 Security Analysis and Portfolio Construction 720
22.4.1 Passive and Active Management 720
22.4.2 Security Selection, Asset Allocation, and Market
Timing 722
22.5 Portfolio Revision 726
22.6 Manager Client Relations 727
22.7 Summary 728
Appendix A Determining the Risk Tolerance of an
Investor 729
Questions and Problems 731
2 3 PORTFOLIO PERFORMANCE EVALUATION 733
23.1 Measures of Return 733
23.1.1 Dollar Weighted Returns 735
23.1.2 Time Weighted Returns 735
23.1.3 Comparing Dollar Weighted and Time Weighted
Returns 736
23.1.4 Annualizing Returns 737
23.2 Making Relevant Comparisons 737
VII ^^rrurc
23.3 Risk Adjusted Measures of Performance for Equity
Portfolios 739
23.3.1 Ex Post Characteristic Lines 742
23.3.2 The Reward to Volatility Ratio 749
23.3.3 The Reward to Variability Ratio 750
23.3.4 Comparing the Risk Adjusted Measures of
Performance 753
23.4 Market Timing 754
23.4.1 Quadratic Regression 755
23.4.2 Dummy Variable Regression 756
23.4.3 Predictions of Market Direction 758
23.5 Criticisms of These Risk Adjusted Performance Measures 760
23.5.1 Use of a Market Surrogate 760
23.5.2 Distinguishing Skill from Luck 761
23.5.3 Measuring the Risk free Rate 761
23.5.4 Validity of the CAPM 762
23.5.5 Performance Attribution 762
23.6 Bond Portfolio Performance Evaluation 762
23.6.1 Bond Indices 763
23.6.2 Time Series and Cross Sectional Comparisons 763
23.6.3 Bond Market Line 763
23.7 Summary 765
Appendix A Performance Attribution 767
Questions and Problems 770
A4 EXTENDED DIVERSIFICATION 774
24.1 International Investment 774
• 24.1.1 The World Market Wealth Portfolio 774
[ 24.1.2 International Equity Indices 776
f^ 24.1.3 Risk and Return from Foreign Investing.778
: 24.1.4 Multinational Firms 783
24.1.5 International Listings 784
24.1.6 Correlations Between Equity Markets 785
24.2 Tangible Assets 786
24.2.1 Collectible Assets 787
24.2.2 Gold 788
24.3 Sports Betting 789
24.3.1 Spread Betting 790
24.3.2 Odds Betting 790
24.3.3 The Efficiency of Horse Race Betting 792
24.4 Summary 793
Questions and Problems 793
contents xxiii
GLOSSARY 795
INDEX 817
|
| any_adam_object | 1 |
| author | Sharpe, William F. 1934- Alexander, Gordon J. |
| author_GND | (DE-588)124374107 |
| author_facet | Sharpe, William F. 1934- Alexander, Gordon J. |
| author_role | aut aut |
| author_sort | Sharpe, William F. 1934- |
| author_variant | w f s wf wfs g j a gj gja |
| building | Verbundindex |
| bvnumber | BV006951132 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4521 |
| callnumber-raw | HG4521.S48 1990 |
| callnumber-search | HG4521.S48 1990 |
| callnumber-sort | HG 44521 S48 41990 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 800 |
| ctrlnum | (OCoLC)613315307 (DE-599)BVBBV006951132 |
| dewey-full | 332.620 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 20 |
| dewey-search | 332.6 20 |
| dewey-sort | 3332.6 220 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 4. ed. |
| format | Book |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content Matériel didactique |
| genre_facet | Lehrbuch Matériel didactique |
| id | DE-604.BV006951132 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:52:37Z |
| institution | BVB |
| isbn | 0134775554 0135043824 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-004391966 |
| oclc_num | 613315307 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-384 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-N2 DE-20 DE-706 DE-521 DE-83 DE-188 |
| owner_facet | DE-19 DE-BY-UBM DE-384 DE-473 DE-BY-UBG DE-355 DE-BY-UBR DE-N2 DE-20 DE-706 DE-521 DE-83 DE-188 |
| physical | XXIX, 833 S. graph. Darst. |
| publishDate | 1990 |
| publishDateSearch | 1990 |
| publishDateSort | 1990 |
| publisher | Prentice-Hall Internat. |
| record_format | marc |
| series2 | Prentice-Hall international editions |
| spelling | Sharpe, William F. 1934- Verfasser (DE-588)124374107 aut Investments William F. Sharpe ; Gordon J. Alexander 4. ed. Englewood Cliffs, N.J. Prentice-Hall Internat. 1990 XXIX, 833 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Prentice-Hall international editions Analyse financière Investissement Investissements - Canada Investissements ram Investments Investment analysis Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Unternehmen (DE-588)4061963-1 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Matériel didactique Investition (DE-588)4027556-5 s DE-604 Kapitalanlage (DE-588)4073213-7 s 1\p DE-604 Portfolio Selection (DE-588)4046834-3 s 2\p DE-604 Unternehmen (DE-588)4061963-1 s 3\p DE-604 Alexander, Gordon J. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=004391966&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Sharpe, William F. 1934- Alexander, Gordon J. Investments Analyse financière Investissement Investissements - Canada Investissements ram Investments Investment analysis Kapitalanlage (DE-588)4073213-7 gnd Unternehmen (DE-588)4061963-1 gnd Investition (DE-588)4027556-5 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4073213-7 (DE-588)4061963-1 (DE-588)4027556-5 (DE-588)4046834-3 (DE-588)4123623-3 |
| title | Investments |
| title_auth | Investments |
| title_exact_search | Investments |
| title_full | Investments William F. Sharpe ; Gordon J. Alexander |
| title_fullStr | Investments William F. Sharpe ; Gordon J. Alexander |
| title_full_unstemmed | Investments William F. Sharpe ; Gordon J. Alexander |
| title_short | Investments |
| title_sort | investments |
| topic | Analyse financière Investissement Investissements - Canada Investissements ram Investments Investment analysis Kapitalanlage (DE-588)4073213-7 gnd Unternehmen (DE-588)4061963-1 gnd Investition (DE-588)4027556-5 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Analyse financière Investissement Investissements - Canada Investissements Investments Investment analysis Kapitalanlage Unternehmen Investition Portfolio Selection Lehrbuch Matériel didactique |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=004391966&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT sharpewilliamf investments AT alexandergordonj investments |