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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Englewood Cliffs, NJ
Prentice Hall
1995
|
| Edition: | 5. ed. |
| Series: | Prentice Hall international editions
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXIX, 1058 S. graph. Darst. |
| ISBN: | 0131833448 |
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MARC
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| 100 | 1 | |a Sharpe, William F. |d 1934- |e Verfasser |0 (DE-588)124374107 |4 aut | |
| 245 | 1 | 0 | |a Investments |c William F. Sharpe ; Gordon J. Alexander ; Jeffery V. Bailey |
| 250 | |a 5. ed. | ||
| 264 | 1 | |a Englewood Cliffs, NJ |b Prentice Hall |c 1995 | |
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Record in the Search Index
| _version_ | 1804124700514713600 |
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| adam_text | Preface xxv
About the Authors xxix
1 Introduction i
2 Buying and Selling Securities 21
3 Security Markets 44
4 Investment Value and Market Price 92
5 The Valuation of Riskless Securities i 12
6 The Valuation of Risky Securities 143
7 The Portfolio Selection Problem 167
8 Portfolio Analysis 193
9 Riskfree Lending and Borrowing 232
10 The Capital Asset Pricing Model 261
11 Factors Models 293
12 Arbitrage Pricing Theory 322
13 Taxes and Inflation 346
f 4 Fixed income Securities 384
15 Bond Analysis 430
16 Bond Portfolio Management 462
17 Common Stocks 501
18 The Valuation of Common Stocks 568
19 Earnings 610
20 Options 662
21 Futures 724
22 Investment Companies 776
23 Financial Analysis 827
24 Investment Management 880
25 Portfolio Performance Evaluation 917
26 Extended Diversification 965
Glossary 1001
Selected Solutions to End of chapter Questions
and Problems 1029
Index 1035
Preface xxv
About the Authors xxix
1 Introduction i
1.1 The Investment Environment 2
1.1.1 Securities 2
1.1.2 Security Markets 9
1.1.3 Financial Intermediaries 9
1.2 The Investment Process 1 o
1.2.1 Investment Policy 10
Institutional Issues: Institutional Investors 11
1.2.2 Security Analysis 12
1.2.3 Portfolio Construction 13
1.2.4 Portfolio Revision 14
1.2.5 Portfolio Performance Evaluation 14
1.3 Asset Ownership by Individual Investors 14
1.4 The Investment Industry 15
1.5 Summary 17
2 Buying and Selling Securities 21
2.1 Order Size 22
2.2 Time Limit 22
2.3 Types of Orders 23
2.3.1 Market Orders 23
2.3.2 Limit Orders 23
2.3.3 Stop Orders 24
2.3.4 Stop Limit Orders 24
2.4 Margin Accounts 25
2.4.1 Margin Purchases 26
2.4.2 Short Sales 29
Institutional Issues: Market Neutral Strategies 35
2.4.3 Aggregation 37
2.5 Summary 38
3 Security Markets 44
3.1 Call and Continuous Markets 44
3.1.1 Call Markets 44
3.1.2 Continuous Markets 44
3.2 Major Markets in the United States 45
3.2.1 New York Stock Exchange 45
3.2.2 Other Exchanges 53
3.2.3 Over the Counter Market 54
3.2.4 Third and Fourth Markets 56
3.2.5 Foreign Markets 56
Institutional Issues: Crossing Systems:
Evolution of the Fourth Market 57
3.3 Information motivated and Liquidity motivated
Traders 60
Institutional Issues: The Stock Exchange of Hong
Kong: Another Asian Exchange Switches to
Automated Matching 61
3.4 Prices as Information Sources 63
3.5 Central Market 64
3.6 Clearing Procedures 65
3.6.1 Clearinghouses 65
3.7 Insurance 66
3.7.1 Securities Investor Protection Corporation 67
3.8 Commissions 67
3.8.1 Fixed Commissions 67
3.8.2 Competitive Commissions 67
Institutional Issues: Soft Dollars 69
3.9 Transaction Costs 70
3.9.1 Bid Ask Spread 70
3.9.2 Price Impact 72
3.10 Investment Banking 73
3.10.1 Private Placements 73
3.10.2 Public Sale 75
3.10.3 Underpricing of ipo s 76
3.10.4 Seasoned Offerings 77
3.10.5 Shelf Registration 78
3.10.6 Rule 144A Securities 79
3.10.7 Secondary Distributions 79
3.11 Regulation of Security Markets 80
3.12 Summary 82
4 Investment Value and Market Price 92
4.1 Demand and Supply Schedules 93
4.1.1 Demand to Buy Schedule 93
4.1.2 Supply to Sell Schedule 94
4.1.3 Interaction of Schedules 96
4.2 Demand to Hold Securities 98
4.2.1 Demand to Hold Schedule 98
4.2.2 Elasticity of Schedule 99
Institutional Issues: The Arizona Stock Exchange:
A Better Mousetrap 100
4.2.3 Shifts of Schedule 101
4.3 Effects of Procedures for Short Sales 101
4.4 Price as a Consensus 103
4.5 Market Efficiency 105
4.6 Summary 107
5 The Valuation of Riskless Securities i 12
5.1 Nominal versus Real Interest Rates 112
5.2 Yield to maturity 114
5.3 Spot Rates 116
5.4 Discount Factors 117
Institutional Issues: Almost Riskless Securities 118
5.5 Forward Rates 120
5.6 Forward Rates and Discount Factors 122
5.7 Compounding 123
5.8 The Bank Discount Method 124
5.9 Yield Curves 125
5.10 Term Structure Theories 127
5.10.1 The Unbiased Expectations Theory 127
5.10.2 The Liquidity Preference Theory 129
5.10.3 The Market Segmentation Theory 132
5.10.4 Empirical Evidence on the Theories 133
5.11 Summary 134
Appendix Continuous: Compounding 138
6 The Valuation of Risky Securities i 43
6.1 Market versus Personal Valuation 144
6.2 Approaches to Security Valuation 145
6.3 Explicit Valuation of Contingent Payments 146
6.3.) Insurance 146
6.3.2 Valuation in a Complete Market 147
6.3.3 The Limitations of Insurance 148
6.4 Probabilistic Forecasting 149
6.4.1 Assessing Probabilities 149
6.4.2 Probability Distributions 150
6.4.3 Event Trees 153
6.4.4 Expected Value 154
Institutional Issues Cognitive Psychology 156
6.4.5 Expected versus Promised Yield to Maturity 157
6.5 Expected Holding Period Return 159
6.5.1 Calculating Holding Period Return 159
6.5.2 Estimating Expected Holding Period Return 161
6.6 Expected Return and Security Valuation 162
6.7 Summary 162
7 The Portfolio Selection Problem 167
7.1 Initial and Terminal Wealth 168
7.1.1 Determining the Rate of Return on a Portfolio 168
7.1.2 An Example 169
7.2 Indifference Curves 169
7.3 Nonsatiation and Risk Aversion 172
7.3.1 Nonsatiation 172
7.3.2 Risk Aversion 173
7.4 Calculating Expected Returns and Standard
Deviations for Portfolios 174
7.4.1 Expected Returns 175
7.4.2 Standard Deviations 177
Institutional Issues: Alternative Risk Measures 178
7.5 Summary 183
Appendix: Risk neutral and Risk Seeking Investors 188
8 Portfolio Analysis i 93
8.1 The Efficient Set Theorem 194
8.1.1 The Feasible Set 194
8.1.2 The Efficient Set Theorem Applied
to the Feasible Set 194
8.1.3 Selection of the Optimal Portfolio 195
Institutional Issues The Trouble with Optimizers 198
8.2 Concavity of the Efficient Set 199
8.2.1 Bounds on the Location of Portfolios 199
8.2.2 Actual Locations of the Portfolios 203
8.2.3 Impossibility of Having Dents
in the Efficient Set 204
8.3 The Market Model 206
Institutional Issues: The Active Manager Portfolio
Selection Problem 207
8.3.1 Random Error Terms 208
8.3.2 Graphical Representation of the Market
Model 209
8.3.3 Beta 211
8.3.4 Actual Returns 211
8.4 Diversification 212
8.4.1 Portfolio Total Risk 212
8.4.2 Portfolio Market Risk 214
8.4.3 Portfolio Unique Risk 214
8.4.4 An Example 215
8.5 Summary 217
Appendix A: The Markowitz Model 220
A. 1 Determining the Composition and Location
of the Efficient Set 220
A.2 Determining the Composition of the
Optimal Portfolio 224
Appendix B: Determining the Inputs Needed for
Locating the Efficient Set 225
9 Riskfree Lending and Borrowing 232
9.1 Defining the Riskfree Asset 233
9.2 Allowing for Riskfree Lending 234
9.2.1 Investing in Both a Riskfree Asset and
a Risky Asset 234
9.2.2 Investing in Both the Riskfree Asset
and a Risky Portfolio 237
9.2.3 The Effect of Riskfree Lending on
the Efficient Set 238
9.2.4 The Effect of Riskfree Lending on
Portfolio Selection 239
9.3 Allowing for Riskfree Borrowing 241
9.3.1 Borrowing and Investing in a Risky Security 241
9.3.2 Borrowing and Investing in a Risky Portfolio 244
9.4 Allowing for Both Riskfree Borrowing
and Lending 245
9.4.1 The Effect of Riskfree Borrowing and
Lending on the Efficient Set 245
9.4.2 The Effect of Riskfree Borrowing and
Lending on Portfolio Selection 246
Institutional Issues: The Cost of Short term Borrowing 248
9.5 Summary 248
Appendix A: Allowing for Different Borrowing
and Lending Rates 251
Appendix B: Determining the Composition of the Tangency
Portfolio T 254
B. 1 Corner Portfolios and T 254
B.2 The Market Model and T 255
Appendix C: Determining the Composition of the Investor s
Optimal Portfolio O* 257
10 The Capital Asset Pricing Model 261
10.1 Assumptions 262
10.2 The Capital Market Line 263
10.2.1 The Separation Theorem 263
10.2.2 The Market Portfolio 264
Institutional Issues: The Elusive Market Portfolio 266
10.2.3 The Efficient Set 266
10.3 The Security Market Line 268
10.3.1 Implications for Individual Risky Assets 268
10.3.2 An Example 272
10.4 The Market Model 274
10.4.1 Market Indices 275
10.4.2 Market and Non market Risk 276
10.4.3 An Example 277
10.4.4 Motivation for the Partitioning of Risk 277
10.5 Summary 278
Appendix A: Some Extended Versions of the CAPM 281
A. 1 Imposing Restrictions on Riskfree Borrowing 281
A. 1.1 The Capital Market Line 281
A. 1.2 The Security Market Line 282
A.2 Introducing Heterogeneous Expectations 284
A.3 Liquidity 285
Appendix B: A Derivation of the Security Market Line 287
11 Factor Models 293
11.1 Factor Models and Return Generating Processes 293
11.1.1 Factor Models 294
11.1.2 Application 294
11.2 One Factor Models 295
11.2.1 An Example 296
1 1.2.2 Generalizing the Example 297
11.2.3 The Market Model 298
11.2.4 Two Important Features of One Factor
Models 298
11.3 Multiple Factor Models 300
11.3.1 Two Factor Models 300
11.3.2 Sector Factor Models 303
11.3.3 Extending the Model 304
11.4 Estimating Factor Models 305
11.4.1 Time Series Approaches 305
Institutional Issues: The Barra U.S. Equity
Multiple Factor Model 306
11.4.2 Cross Sectional Approaches 309
11.4.3 Factor Analytic Approaches 313
11.4.4 Limitations 314
11.5 Factor Models and Equilibrium 314
11.6 Summary 315
12 Arbitrage Pricing Theory 322
12.1 Factor Models 322
12.1.1 Principle of Arbitrage 323
12.1.2 Arbitrage Portfolios 324
12.1.3 The Investor s Position 325
12.2 Pricing Effects 326
12.2.1 A Graphical Illustration 327
12.2.2 Interpreting the APT Pricing Equation 328
12.3 Two Factor Models 329
12.3.1 Arbitrage Portfolios 329
12.3.2 Pricinq Effects 330
12.4 Multiple Factor Models 331
12.5 A Synthesis of the APT and the CAPM 332
12.5.1 One Factor Models 332
Institutional Issues: Applying APT 333
12.5.2 Multiple Factor Models 336
12.6 Identifying the Factors 337
12.7 Summary 337
13 Taxes and Inflation 346
13.1 Taxes in the United States 347
13.1.1 Corporate Income Taxes 347
13.1.2 Personal Income Taxes 351
13.1.3 Before Tax Investing 360
13.2 Inflation in the United States 362
13.2.1 Measuring Inflation 362
Institutional Issues: Taxing Pension Funds 363
13.2.2 Price Indices 364
13.3 Nominal and Real Returns 367
13.3.1 Nominal Returns 367
13.3.2 Fisher Model of Real Returns 367
13.3.3 The Effect of Investor Expectations 368
13.4 Interest Rates and Inflation 369
13.5 The Effect of Inflation on Borrowers
and Lenders 369
13.6 Indexation 370
Institutional Issues: Adjusting Capital Gains for Inflation 371
13.7 Stock Returns and Inflation 373
13.7.1 Long Term Historical Relationships 373
13.7.2 Short Term Historical Relationships 374
13.7.3 Relationships Involving Expected Inflation 374
13.8 Summary 376
14 Fixed Income Securities 384
14.1 Saving Deposits 385
14.1.1 Commercial Banks 385
14.1.2 Savings and Loan Companies
and Mutual Savings Banks 386
14.1.3 Credit Unions 386
14.1.4 Other Types of Personal Savings Accounts 388
14.2 Money Market Instruments 388
14.2.1 Commercial Paper 388
14.2.2 Certificates of Deposit 390
14.2.3 Bankers Acceptances 390
14.2.4 Eurodollars 390
14.2.5 Repurchase Agreements 390
14.3 U.S. Government Securities 391
14.3.1 U.S. Treasury Bills 393
14.3.2 U.S. Treasury Notes 396
14.3.3 U.S. Treasury Bonds 397
14.3.4 U.S. Savings Bonds 397
14.3.5 Zero Coupon Treasury Security Receipts 398
14.4 Federal Agency Securities 400
14.4.1 Bonds of Federal Agencies 400
14.4.2 Bonds of Federally Sponsored Agencies 401
14.4.3 Participation Certificates 403
14.5 State and Local Government Securities 404
Institutional Issues: Collaterauzed Mortgage
Obligations 405
14.5.1 Issuing Agencies 407
14.5.2 Types of Municipal Bonds 408
14.5.3 Tax Treatment 409
14.5.4 The Market for Municipal Bonds 41 1
14.5.5 Municipal Bond Insurance 411
14.6 Corporate Bonds 412
14.6.1 Tax Treatment 412
14.6.2 The Indenture 412
14.6.3 Types of Bonds 413
14.6.4 Call Provisions 414
14.6.5 Sinking Funds 415
14.6.6 Private Placements 415
14.6.7 Bankruptcy 415
14.6.8 Trading in Corporate Bonds 417
14.7 Foreign Bonds 419
14.8 Eurobonds 419
14.9 Preferred Stock 420
14.10 Summary 421
15 Bond Analysis 430
15.1 Applying the Capitalization of Income Method
to Bonds 431
15.1.1 Promised Yield to Maturity 431
15.1.2 Intrinsic Value 432
15.2 Bond Attributes 433
1 5.2.1 Coupon Rate and Length of Time
until Maturity 433
15.2.2 Call Provisions 434
15.2.3 Tax Status 436
15.2.4 Marketability 436
15.2.5 Likelihood of Default 437
Institutional Issues: Taking advantage of the Bond
Rating Process 440
15.3 The Risk Structure of Interest Rates 447
Institutional Issues: Matrix Bond Pricing 449
15.4 Determinants of Yield Spreads 450
15.5 Financial Ratios as Predictors of Default 451
15.5.1 Univariate Methods 452
15.5.2 Multivariate Methods 453
15.5.3 Investment Implications 453
15.6 Summary 454
16 Bond Portfolio Management 462
16. T Bond Market Efficiency 463
16.1.1 Price Behavior of Treasury Bills 463
16.1.2 Expert Predictions of Interest Rates 463
16.1.3 Price Reaction to Bond Rating Changes 464
16.1.4 Money Supply Announcements 465
16.1.5 Summary 465
16.2 Bond Pricing Theorems 465
16.3 Convexity 468
16.4 Duration 469
16.4.1 The Formula 469
16.4.2 Relationship to Bond Price Changes 471
16.4.3 Relationship between Convexity
and Duration 471
16.4.4 Changes in the Term Structure 473
16.5 Immunization 473
16.5.1 How Immunization Is Accomplished 474
16.5.2 Problems with Immunization 475
Institutional Issues: Surplus Management 477
16.6 Active Management 479
16.6.1 Horizon Analysis 480
16.6.2 Bond Swaps 482
16.6.3 Contingent Immunization 484
16.6.4 Riding the Yield Curve 484
16.7 Bonds versus Stocks 486
16.8 Summary 487
Appendix: Empirical Regularities in the Bond Market 491
A. 1 The January Effect 491
A.2 The Day of the Week Effect 492
17 Common Stocks soi
17.1 The Corporate Form 502
17.1.1 Stock Certificates 502
17.1.2 Voting 502
17.1.3 Proxy Fight 503
17.1.4 Takeovers 504
17.1.5 Ownership versus Control 505
17.1.6 Stockholders Equity 506
Institutional Issues: Corporate Governance 507
17.2 Cash Dividends 511
17.3 Stock Dividends and Stock Splits 512
17.3.1 Ex Distribution Dates 513
17.3.2 Reasons for Stock Dividends and Splits 513
17.4 Preemptive Rights 515
17.5 Stock Quotations 517
17.5.1 Nasdaq 517
17.5.2 U.S. Stock Exchanges 517
17.5.3 Foreign Stock Exchanges 520
17.6 Insider Trading 522
17.7 Ex Ante and Ex Post Values 524
17.8 Common Stocks Betas 524
17.8.1 Adjusting Beta 529
17.8.2 Leverage and Beta 532
17.8.3 Industry Beta Values 534
1 7.8.4 Beta Services 538
17.9 Growth versus Value 538
17.9.1 Book Value to Market Value Ratio 538
17.9.2 Earnings to Price Ratio 540
17.9.3 Size 541
17.9.4 Interrelationships 541
17.10 Summary 543
Appendix: Empirical Regularities in the Stock Market 548
A. 1 Seasonality in Stock Returns 548
A. 1.1 January Effect 548
A. 1.2 Day of the Week Effect 549
A.2 Interrelationships 551
A.2.1 Size and January Effects 551
A. 3 International Evidence 553
A.3.1 Size Effect 553
A.3.2 January Effect 554
A.3.3 Day of the Week Effect 554
A.3.4 Size and January Effects 555
A.4 Summary of Empirical Regularities 555
18 The Valuation of Common Stocks 568
18.1 Capitalization of Income Method of Valuation 568
18.1.1 Net Present Value 569
18.1.2 Internal Rate of Return 570
18.1.3 Application to Common Stocks 570
18.2 The Zero Growth Model 571
18.2.1 Net Present Value 571
18.2.2 Internal Rate of Return 572
18.2.3 Application 573
18.3 The Constant Growth Model 573
18.3.1 Net Present Value 573
18.3.2 Internal Rate of Return 574
18.3.3 Relationship to the Zero Growth Model 575
18.4 The Multiple Growth Model 575
18.4.1 Net Present Value 576
18.4.2 Internal Rate of Return 578
] 8.4.3 Relationship to the Constant Growth
Model 579
] 8.4.4 Two Stage and Three Stage Model 579
18.5 Valuation Based on a Finite Holding Period 579
18.6 Models Based on Price Earnings Ratios 581
18.6.1 The Zero Growth Model 583
18.6.2 The Constant Growth Model 584
18.6.3 The Multiple Growth Model 585
18.7 Sources of Earnings Growth 587
18.8 A Three Stage DDM 589
18.8.1 Making Forecasts 589
Institutional Issues: Applying Dividend Discount Models 590
18.8.2 Estimating the Intrinsic Value 592
18.8.3 Implied Returns 593
18.8.4 The Security Market Line 593
18.8.5 Required Returns and Alphas 594
18.8.6 The Implied Return on the Stock Market 595
18.9 Dividend Discount Models and Expected
Returns 595
18.9.1 Rate of Convergence of Investors
Predictions 595
18.9.2 Predicted versus Actual Returns 597
18.10 Summary 598
Appendix: The Graham rea Model 603
19 Earnings 61 o
19.1 Stock Valuation Based on Earnings 610
19.1.1 Earnings, Dividends, and Investment 61 1
19.1.2 Earnings Determine Market Value 614
19.2 Determinants of Dividends 616
19.2.1 Changes in Earnings and Dividends 617
19.2.2 The Untner Model 617
19.2.3 Test Results 618
19.3 The Information Content of Dividends 619
19.3.1 Signaling 619
19.3.2 Dividend Initiations and Omissions 620
19.3.3 Dividends and Losses 621
19.4 Accounting Earnings versus Economic
Earnings 622
19.4.1 Accounting Earnings 622
19.4.2 Economic Earnings 623
19.5 Price Earnings Ratios 626
19.5.1 The Historical Record 626
19.5.2 Permanent and Transitory Components
of Earnings 626
19.6 Relative Growth Rates of Firms Earnings 629
19.6.1 Earnings Growth Rates 630
19.6.2 Annual Earnings 631
19.6.3 Quarterly Earnings 631
19.7 Comovement of Earnings 632
19.8 Earnings Announcements and Price Changes 633
19.8.1 Deviations from Time Series Models
of Earnings 635
19.8.2 Unexpected Earnings and Abnormal
Returns 638
Institutional Issues: Consensus Earnings Expectations 639
19.8.3 Security Analysts Forecasts of Future
Earnings 640
19.8.4 Management Forecasts of Future
Earnings 644
19.8.5 Sources of Errors in Forecasting 645
19.9 Summary 646
Appendix: Value Ijne Rankings 649
20 Options 662
20.1 Types of Option Contracts 662
20.1.1 Call Options 663
20.1.2 Put Options 665
20.2 Option Trading 666
20.2.1 Trading Activity 667
20.2.2 Most Active Options 668
20.2.3 Trading on Exchanges 669
20.2.4 Commissions 670
20.3 Margin 670
Institutional Issues: Open Outcry 671
20.3.1 Calls 672
20.3.2 Puts 673
20.4 Taxation of Option Profits and Losses 674
20.5 Valuation of Options 675
20.5.1 Valuation at Expiration 675
20.5.2 Profits and Losses on Calls and Puts 677
20.5.3 Profits and Losses from Some Option
Strategies 679
20.6 The Binomial Option Pricing Model 680
20.6.1 Call Options 681
20.6.2 Put Options 686
20.6.3 Put Call Parity 687
20.7 The Black Scholes Model for Call Options 688
20.7.1 Limitations on Its Use 688
20.7.2 The Formula 689
20.7.3 Comparison to BOPM 692
20.7.4 Static Analysis 692
20.7.5 Estimating a Stock s Risk from Historical
Prices 693
20.7.6 The Market Consensus of a Stocks Risk 694
20.7.7 More on Hedge Ratios 695
20.7.8 Adjustments for Dividends 696
20.8 The Valuation of Put Options 698
20.8.1 Put Call Parity 698
20.8.2 Static Analysis 699
20.8.3 Early Exercise and Dividends 700
20.9 Index Options 701
20.9.1 Cash Settlement 701
20.9.2 The Contract 702
20.9.3 Flex Options 702
20.10 Portfolio Insurance 704
20.10.1 Purchase an Insurance Policy 704
20.10.2 Purchase a Protective Put 704
20.10.3 Create a Synthetic Put 705
20.11 Summary 709
Appendix: Securities with Optionlike Features 713
A. 1 Warrants 713
A. 2 Rights 714
A.3 Bond Call Provisions 715
A. 4 Convertible Securities 715
21 Futures 724
21.1 Hedgers and Speculators 724
21.1.1 Example of Hedging 725
21.1.2 Example of Speculating 725
21.2 The Futures Contract 726
21.3 Futures Markets 728
21.3.1 The Clearinghouse 729
21.3.2 Initial Margin 730
21.3.3 Marking to Market 730
21.3.4 Maintenance Margin 731
21.3.5 Reversing Trades 732
21.3.6 /futures Positions 733
21.3.7 taxation 733
21.3.8 Open Interest 733
21.3.9 Price Limits 735
21.4 Basis 735
21.4.1 Speculating on the Basis 736
21.4.2 Spreads 737
21.5 Returns on Futures 737
21.6 Futures Prices and Expected Spot Prices 738
21.6.1 Certainty 738
21.6.2 Uncertainty 738
21.7 Futures Prices and Current Spot Prices 740
Institutional Issues: Commodity Futures:
The Selling of an Asset Class 741
21.7.1 Introducing the Problem 743
21.7.2 No Costs or Benefits of Ownership 743
21.7.3 Benefits from Ownership 743
21.7.4 Costs of Ownership 744
21.8 Financial Futures 745
21.8.1 Foreign Currency Futures 745
218 2 Interest Rate Futures 749
21.8.3 Market Index Futures 751
21.9 Futures versus Options 757
Institutional Issues: Transportable Alpha 758
21.10 Synthetic Futures 760
21.11 Summary 762
Appendix: Futures Options 766
A. 1 Call Options on Futures Contracts 766
A.2 Put Options on Futures Contracts 768
A3 Comparison with Futures 769
A.4 Comparison with Options 769
22 Investment Companies 776
22.1 Net Asset Value 777
22.2 Major Types of Investment Companies 778
22.2.1 Unit Investment Trusts 778
22.2.2 Managed Companies 779
22.3 Investment Poucies 788
Institutional Issues: Real Estate Investment Trusts 789
22.4 Mutual Fund Accounts 793
22.4.1 Taxation 793
22.4.2 Accumulation Plans 793
22.4.3 Retirement Plans 794
22.4.4 Exchange Privileges 794
22.4.5 Withdrawal Plans 795
22.5 Mutual Fund Performance 795
22.5.1 Calculating Returns 795
22.5.2 Risk Control 796
22.5.3 Diversification 796
22.5.4 Average Return 798
22.5.5 Expenses 801
22.5.6 Market Timing 803
22.5.7 Bond Mutual Funds 804
22.5.8 Persistence of Performance 804
22.6 Evaluating Mutual Funds 807
22.6.1 Performance/Risk Analysis 807
22.6.2 Ratings 808
22.6.3 Historical Profile 810
22.6.4 MPT Statistics 810
22.6.5 Investment Style 811
22.6.6 Caveats 812
22.7 Closed end Fund Premiums and Discounts 813
22.7.1 Pricing of Shares 813
22.7.2 Investing in Fund Shares 814
22.7.3 Open Ending Closed End Funds 815
22.8 Summary 815
23 Financial Analysis 827
23.1 Professional Organizations 828
23.2 Reasons for Financial Analysis 828
23.2.1 Determining Security Characteristics 828
Institutional Issues: The Chartered Financial
Analyst Program 829
23.2.2 Attempting to Identify Mispriced
Securities 830
23.2.3 Beating the Market 832
23.2.4 Financial Analysis and Market Efficiency 836
23.2.5 Needed Skills 837
23.3 Evaluation Investment Systems 837
23.3.1 Failure to Adjust for Risk 838
23.3.2 Failure to Consider Transaction Costs 838
23.3.3 Failure to Consider Dividends 839
23.3.4 Nonoperational Systems 839
23.3.5 Spurious Fits 840
23.3.6 Comparisons with Easily Beaten Systems 840
23.3.7 Reliance on Misleading Visual
Comparisons 841
23.3.8 Ex Post Selection Bias 841
23.3.9 Failure to Use Out of Sample Data 842
23.4 Technical Analysis 844
23.4.1 Momentum and Contrarian Strategies 845
23.4.2 Moving Average and Trading Range
Breakout Strategies 848
23.4.3 The Bottom Line 849
23.5 Fundamental Analysis 850
23.5.1 Top Down versus Bottom Up Forecasting 850
23.5.2 Probabilistic Forecasting 851
23.5.3 Econometric Models 851
23.5.4 Financial Statement Analysis 852
23.6 Analysts Recommendations and Stock Prices 855
23.7 Analyst Following and Stock Returns 856
23.8 Sources of Investment Information 857
23.8.1 Publications 858
23.8.2 Computer Readable Data 862
23.9 Summary 863
Appendix: Technical Analysis 868
A. 1 Charts 869
A.2 Moving Averages 871
A.3 Relative Strength Measures 872
A.4 Contrary Opinion 872
24 Investment Management 880
24.1 Traditional Investment Management
Organizations 880
24.2 Investment Management Functions 882
24.3 Setting Investment Policy 883
24.3.1 Estimating Risk Tolerance 883
24.3.2 Constant Risk Tolerance 884
24.3.3 Certainty Equivalent Return 888
24.4 Security Analysis and Portfolio Construction 888
24.4.1 Passive and Active Management 888
24.4.2 Security Selection, Asset Allocation,
and Market Timing 890
Institutional Issues: The Active versus Passive
Debate 891
24.4.3 International Investing 896
24.5 Portfolio Revision 896
24.5.1 Cost Benefit Analysis 896
24.5.2 Swaps 897
24.6 Manager Client Relations 902
Institutional Issues: Manager Structuring 903
24.7 Summary 905
Appendix: Determining the Risk Tolerance
of an Investor 909
25 Portfolio Performance Evaluation 917
25.1 Measures of Return 918
25.1.1 Dollar Weighted Returns 919
25.1.2 Time Weighted Returns 919
25.1.3 Comparing Dollar Weighted and
Time Weighted Returns 920
25.1.4 Annualizing Returns 921
25.2 Making Relevant Comparisons 921
Institutional Issues: Custom Benchmark Portfolios 923
25.3 Risk Adjusted Measures of Performance 924
25.3.1 Ex Post Characteristic Lines 927
25.3.2 The Reward to Volatility Ratio 934
25.3.3 The Reward to Variability Ratio 935
25.3.4 Comparing the Risk Adjusted Measures
of Performance 937
25.4 Market Timing 938
25.4.1 Quadratic Regression 940
25.4.2 Dummy Variable Regression 941
25.5 Criticisms of Risk Adjusted Performance
Measures 943
25.5.1 Use of a Market Surrogate 943
25.5.2 Distinguishing Skill from Luck 943
25.5.3 Measuring the Riskfree Rate 943
25.5.4 Validity of the CAPM 944
25.5.5 Performance Attribution 944
25.6 Bond Portfolio Performance Evaluation 945
25.6.1 Bond Indices 945
25.6.2 Time Series and Cross Sectional
Comparisons 946
25.6.3 Bond Market Line 947
25.7 Summary 949
Appendix: Performance Attribution 955
26 Extended Diversification 965
26.1 International Investment 965
26.1.1 The Total Investable Capital Market
Portfolio 966
26.1.2 International Equity Indices 967
26.1.3 Risk and Return from Foreign Investing 969
26.1.4 Multinational Firms 975
Institutional Issues: Currency Risk:
To Hedge or Not to Hedge 976
26.1.5 International Listings 977
26.1.6 Correlations between Markets 979
Institutional Issues: Investing in the PRC 980
26.2 Tangible Assets 982
26.2.1 Collectible Assets 982
26.2.2 Gold 983
26.3 Sports Betting 984
Institutional Issues: Alternative Investments 985
26.3.1 Spread Betting 986
26.3.2 Odds Betting 987
26.3.3 The Efficiency of Horse Race Betting 989
26.4 Summary 989
Glossary iooi
Selected Solutions To End of chapter
Questions and Problems i 029
Index i 035
|
| any_adam_object | 1 |
| author | Sharpe, William F. 1934- Alexander, Gordon J. Bailey, Jeffery V. |
| author_GND | (DE-588)124374107 |
| author_facet | Sharpe, William F. 1934- Alexander, Gordon J. Bailey, Jeffery V. |
| author_role | aut aut aut |
| author_sort | Sharpe, William F. 1934- |
| author_variant | w f s wf wfs g j a gj gja j v b jv jvb |
| building | Verbundindex |
| bvnumber | BV010282575 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4521 |
| callnumber-raw | HG4521 |
| callnumber-search | HG4521 |
| callnumber-sort | HG 44521 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 800 QP 720 |
| ctrlnum | (OCoLC)31409709 (DE-599)BVBBV010282575 |
| dewey-full | 332.63/2 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2 |
| dewey-search | 332.63/2 |
| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 5. ed. |
| format | Book |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV010282575 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:49:50Z |
| institution | BVB |
| isbn | 0131833448 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006842187 |
| oclc_num | 31409709 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-703 DE-945 DE-523 |
| owner_facet | DE-19 DE-BY-UBM DE-473 DE-BY-UBG DE-703 DE-945 DE-523 |
| physical | XXIX, 1058 S. graph. Darst. |
| publishDate | 1995 |
| publishDateSearch | 1995 |
| publishDateSort | 1995 |
| publisher | Prentice Hall |
| 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 ; Jeffery V. Bailey 5. ed. Englewood Cliffs, NJ Prentice Hall 1995 XXIX, 1058 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Prentice Hall international editions Analyse financière ram Investeringen gtt Investissements ram Investment analysis Investments Unternehmen (DE-588)4061963-1 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Kapitalanlage (DE-588)4073213-7 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Investition (DE-588)4027556-5 s DE-604 Kapitalanlage (DE-588)4073213-7 s Portfolio Selection (DE-588)4046834-3 s 1\p DE-604 Unternehmen (DE-588)4061963-1 s 2\p DE-604 Alexander, Gordon J. Verfasser aut Bailey, Jeffery V. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006842187&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 |
| spellingShingle | Sharpe, William F. 1934- Alexander, Gordon J. Bailey, Jeffery V. Investments Analyse financière ram Investeringen gtt Investissements ram Investment analysis Investments Unternehmen (DE-588)4061963-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd Investition (DE-588)4027556-5 gnd |
| subject_GND | (DE-588)4061963-1 (DE-588)4046834-3 (DE-588)4073213-7 (DE-588)4027556-5 (DE-588)4123623-3 |
| title | Investments |
| title_auth | Investments |
| title_exact_search | Investments |
| title_full | Investments William F. Sharpe ; Gordon J. Alexander ; Jeffery V. Bailey |
| title_fullStr | Investments William F. Sharpe ; Gordon J. Alexander ; Jeffery V. Bailey |
| title_full_unstemmed | Investments William F. Sharpe ; Gordon J. Alexander ; Jeffery V. Bailey |
| title_short | Investments |
| title_sort | investments |
| topic | Analyse financière ram Investeringen gtt Investissements ram Investment analysis Investments Unternehmen (DE-588)4061963-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Kapitalanlage (DE-588)4073213-7 gnd Investition (DE-588)4027556-5 gnd |
| topic_facet | Analyse financière Investeringen Investissements Investment analysis Investments Unternehmen Portfolio Selection Kapitalanlage Investition Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006842187&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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