Investment analysis and portfolio management:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Mason, Ohio
Thomson, South-Western
2003
|
| Ausgabe: | 7. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | getr. Zählung graph. Darst. |
| ISBN: | 0324171730 |
Internformat
MARC
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| 245 | 1 | 0 | |a Investment analysis and portfolio management |c Frank K. Reilly ; Keith C. Brown |
| 250 | |a 7. ed. | ||
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Datensatz im Suchindex
| _version_ | 1804129654559211520 |
|---|---|
| adam_text | Contents In Brief
Chapter 1 The Investment Setting 4
Chapter 2 The Asset Allocation Decision 35
Chapter 3 Selecting Investments in a Global Market 67
Chapter 4 Organization and Functioning of Securities Markets 105
Chapter 5 Security Market Indicator Series 149
Chapter 6 Efficient Capital Markets 176
Chapter 7 An Introduction to Portfolio Management 209
Chapter 8 An Introduction to Asset Pricing Models 237
Chapter 9 Multifactor Models of Risk and Return 279
Chapter 10 Analysis of Financial Statements 312
Chapter 11 An Introduction to Security Valuation 368
Chapter 12 Macroeconomic and Market Analysis: The Global Asset
Allocation Decision 407
B9^^^BESEBOE15IBIIflflBI5IBIB!HEEBI3BEKHSffl
Chapter 13 Stock Market Analysis 436
Chapter 14 Industry Analysis 486
Chapter 15 Company Analysis and Stock Valuation 540
Chapter 16 Technical Analysis 625
Chapter 17 Equity Portfolio Management Strategies 652
Chapter 18 Bond Fundamentals 696
Chapter 19 The Analysis and Valuation of Bonds 730
Chapter 20 Bond Portfolio Management Strategies 808
Chapter 21 An Introduction to Derivative Markets and Securities 862
Chapter 22 Forward and Futures Contracts 904
Chapter 23 Option Contracts 954
Chapter 24 Swap Contracts, Convertible Securities,
and Other Embedded Derivatives 1013
Chapter 25 Professional Asset Management 1066
Chapter 26 Evaluation of Portfolio Performance 1106
Appendixes A D A l
Glossary G l
Indexes 1 1
Contents
Part 1 THE INVESTMENT
BACKGROUND 2
Chapter 1 The Investment Setting 4
What Is an Investment? 4
Investment Defined 5
Measures of Return and Risk 6
Measures of Historical Rates of Return 6
Computing Mean Historical Returns 8
Calculating Expected Rates of Return 10
Measuring the Risk of Expected Rates of Return 13
Risk Measures for Historical Returns 15
Determinants of Required Rates of Return 16
The Real Risk Free Rate 17
Factors Influencing the Nominal Risk Free
Rate(NRFR) 17
Risk Premium 19
Risk Premium and Portfolio Theory 22
Fundamental Risk versus Systematic Risk 22
Summary of Required Rate of Return 23
Relationship between Risk and Return 23
Movements along the SML 23
Changes in the Slope of the SML 24
Changes in Capital Market Conditions
or Expected Inflation 25
Summary of Changes in the Required Rate
of Return 27
Investments Online 27
Chapter 1 Appendix 31
Computation of Variance and Standard Deviation
Chapter 2 The Asset Allocation Decision 35
Individual Investor Life Cycle 36
The Preliminaries 36
Life Cycle Net Worth and Investment Strategies 37
Life Cycle Investment Goals 38
The Portfolio Management Process 38
The Need for a Policy Statement 40
Understand and Articulate Realistic Investor Goals 40
Standards for Evaluating Portfolio Performance 41
Other Benefits 41
Input to the Policy Statement 42
Investment Objectives 42
Investment Constraints 46
Constructing the Policy Statement 52
The Importance of Asset Allocation 52
Real Investment Returns after Taxes and Costs 55
Returns and Risks of Different Asset Classes 57
Asset Allocation Summary 59
Asset Allocation and Cultural Differences 59
Investments Online 61
Chapter 2 Appendix 63
Objectives and Constraints of Institutional Investors
Chapter 3 Selecting Investments
in a Global Market 67
The Case for Global Investments 68
Relative Size of U.S. Financial Markets 69
Rates of Return on U.S. and Foreign Securities 69
Individual Country Risk and Return 71
Risk of Combined Country Investments 73
Global Investment Choices 78
Fixed Income Investments 79
International Bond Investing 82
Equity Instruments 83
Special Equity Instruments: Options 85
Futures Contracts 85
Investment Companies 86
Real Estate 87
Low Liquidity Investments 89
Historical Risk Returns on Alternative
Investments 90
Stocks, Bonds, and T Bills 90
World Portfolio Performance 92
Art and Antiques 94
Real Estate 96
Investments Online 98
Chapter 3 Appendix 102
Covariance and Correlation
Chapter 4 Organization and Functioning
of Securities Markets 105
What Is a Market? 106
Characteristics of a Good Market 106
Decimal Pricing 107
Organization of the Securities Market 108
Primary Capital Markets 108
Government Bond Issues 108
Municipal Bond Issues 108
Corporate Bond Issues 109
Corporate Stock Issues 110
Private Placements and Rule 144A 111
Secondary Financial Markets 111
Why Secondary Markets Are Important 111
Secondary Bond Markets 112
Financial Futures 112
Secondary Equity Markets 113
Regional Exchanges and the Over the Counter
Market 119
Regional Securities Exchanges 120
Over the Counter (OTC) Market 120
Third Market 124
Fourth Market 124
Detailed Analysis of Exchange Markets 124
Exchange Membership 125
Types of Orders 125
Exchange Market Makers 130
xxi
Contents
Changes in the Securities Markets 133
Evidence and Effect of Institutionalization 133
Negotiated Commission Rates 133
The Impact of Block Trades 135
Institutions and Stock Price Volatility 135
National Market System (NMS) 136
New Trading Systems 138
Global Market Changes 139
Future Developments 140
Investments Online 142
Chapter 4 Appendix 145
Characteristics of Developed and Developing Markets
around the World
Chapter 5 Security Market Indicator
Series 149
Uses of Security Market Indexes 150
Differentiating Factors in Constructing
Market Indexes 151
The Sample 151
Weighting Sample Members 151
Computational Procedure 151
Stock Market Indicator Series 151
Price Weighted Series 151
Market Value Weighted Series 153
Unweighted Price Indicator Series 155
Style Indexes 157
Global Equity Indexes 159
Bond Market Indicator Series 163
Investment Grade Bond Indexes 163
High Yield Bond Indexes 163
Global Government Bond Market Indexes 166
Composite Stock Bond Indexes 166
Merrill Lynch Wilshire U.S. Capital Markets
Index (ML WCMI) 166
Brinson Partners Global Security Market
Index (GSMI) 166
Mean Annual Security Risk Returns
and Correlations 167
Investments Online 168
Chapter 5 Appendix 171
Foreign Stock Market Indexes
Part 2 DEVELOPMENTS IN
INVESTMENT THEORY 174
Chapter 6 Efficient Capital Markets 176
Why Should Capital Markets Be Efficient? 177
Alternative Efficient Market Hypotheses 178
Weak Form Efficient Market Hypothesis 178
Semistrong Form Efficient Market Hypothesis 178
Strong Form Efficient Market Hypothesis 179
Tests and Results of Efficient Market
Hypotheses 179
Weak Form Hypothesis: Tests and Results 179
Semistrong Form Hypothesis: Tests and Results 181
Strong Form Hypothesis: Tests and Results 193
Behavioral Finance 196
Explaining Biases 197
Implications of Efficient Capital Markets 198
Efficient Markets and Technical Analysis 198
Efficient Markets and Fundamental Analysis 198
Efficient Markets and Portfolio Management 200
Insights from Behavioral Finance 202
Efficiency in European Equity Markets 202
Investments Online 203
Chapter 7 An Introduction to Portfolio
Management 209
Some Background Assumptions 210
Risk Aversion 210
Definition of Risk 210
Markowitz Portfolio Theory 211
Alternative Measures of Risk 211
Expected Rates of Return 212
Variance (Standard Deviation) of Returns
for an Individual Investment 213
Variance (Standard Deviation) of Returns
for a Portfolio 213
Standard Deviation of a Portfolio 219
A Three Asset Portfolio 227
Estimation Issues 228
The Efficient Frontier 228
The Efficient Frontier and Investor Utility 229
Investments Online 231
Chapter 7 Appendix 235
A. Proof That Minimum Portfolio Variance Occurs with
Equal Weights When Securities Have Equal Variance
B. Derivation of Weights That Will Give Zero Variance
When Correlation Equals 1.00
Chapter 8 An Introduction to Asset
Pricing Models 237
Capital Market Theory: An Overview 238
Background for Capital Market Theory 239
Risk Free Asset 240
The Market Portfolio 243
The Capital Asset Pricing Model:
Expected Return and Risk 247
The Security Market Line (SML) 247
Relaxing the Assumptions 256
Differential Borrowing and Lending Rates 256
Zero Beta Model 256
Transaction Costs 258
Heterogeneous Expectations and Planning Periods 259
Taxes 259
Empirical Tests of the CAPM 260
Stability of Beta 260
Comparability of Published Estimates of Beta 261
Relationship between Systematic Risk
and Return 261
Effect of Skewness on the Relationship 262
Effect of Size, P/E, and Leverage 262
Effect of Book to Market Value:
The Fama French Study 263
Summary of CAPM Risk Return Empirical Results 264
The Market Portfolio: Theory versus Practice 266
What Is Next? 271
Investments Online 271
Chapter 9 Multifactor Models of Risk
and Return 279
Arbitrage Pricing Theory 280
Using the APT 282
Security Valuation with the APT: An Example 284
Empirical Tests of the APT 286
Multifactor Models and Risk Estimation 291
Multifactor Models in Practice 292
Estimating Risk in a Multifactor Setting: Examples 298
Investments Online 303
Part 3 VALUATION PRINCIPLES
AND PRACTICES 310
Chapter 10 Analysis of Financial
Statements 312
Major Financial Statements 313
Generally Accepted Accounting Principles 313
Balance Sheet 313
Income Statement 315
Statement of Cash Flows 315
Alternative Measures of Cash Flow 316
Purpose of Financial Statement Analysis 319
Analysis of Financial Ratios 319
Importance of Relative Financial Ratios 319
Computation of Financial Ratios 320
Common Size Statements 320
Evaluating Internal Liquidity 323
Internal Liquidity Ratios 323
Evaluating Operating Performance 327
Operating Efficiency Ratios 327
Operating Profitability Ratios 328
Risk Analysis 337
Business Risk 338
Financial Risk 340
Proportion of Debt (Balance Sheet) Ratios 341
Earnings Flow Ratios 343
Cash Flow Ratios 344
External Liquidity Risk 346
Contents xxiii
Analysis of Growth Potential 348
Importance of Growth Potential 348
Determinants of Growth 348
Comparative Analysis of Ratios 350
Internal Liquidity 350
Operating Performance 350
Risk Analysis 350
Growth Analysis 352
Analysis of Non U.S. Financial Statements 352
The Quality of Financial Statements 352
Balance Sheet 352
Income Statement 353
Footnotes 353
The Value of Financial Statement Analysis 353
Specific Uses of Financial Ratios 354
Stock Valuation Models 354
Estimating Systematic Risk 355
Estimating the Credit Ratings on Bonds 355
Predicting Insolvency (Bankruptcy) 356
Limitations of Financial Ratios 357
Investments Online 357
Chapter 10 Appendix 364
A. Computation of Present Value of Lease Payments
for Walgreens as of September 1, 2001 (Discount
Rate of 8%)
B. Computation of Operating Lease Obligations for
Walgreens for 1998, 1999, 2000, 2001 (8% Debt
Rate, 15 year Amortization Period)
C. Volatility
Chapter 11 An Introduction to Security
Valuation 368
An Overview of the Valuation Process 369
Why a Three Step Valuation Process? 371
General Economic Influences 371
Industry Influences 372
Company Analysis 372
Does the Three Step Process Work? 373
Theory of Valuation 374
Stream of Expected Returns (Cash Flows) 374
Required Rate of Return 374
Investment Decision Process: A Comparison
of Estimated Values and Market Prices 374
Valuation of Alternative Investments 375
Valuation of Bonds 375
Valuation of Preferred Stock 376
Approaches to the Valuation of Common Stock 377
Why and When to Use the Discounted Cash Flow
Valuation Approach 378
Why and When to Use the Relative Valuation
Techniques 378
Discounted Cash Flow Valuation Techniques 379
Infinite Period DDM and Growth Companies 384
Valuation with Temporary Supernormal Growth 385
Present Value of Operating Free Cash Flows 387
Present Value of Free Cash Rows to Equity 388
Contents
Relative Valuation Techniques 388
Earnings Multiplier Model 388
The Price/Cash Flow Ratio 391
The Price/Book Value Ratio 391
The Price/Sales Ratio 392
Implementing the Relative Valuation Technique 393
Estimating the Inputs: The Required Rate
of Return and the Expected Growth Rate
of Valuation Variables 393
Required Rate of Return (k) 393
Estimating the Required Return for Foreign
Securities 395
Expected Growth Rates 399
Estimating Dividend Growth for Foreign Stocks 402
Investments Online 403
Chapter 11 Appendix 406
Derivation of Constant Growth Dividend
Discount Model (DDM)
Chapter 12 Macroeconomic and Market
Analysis: The Global Asset
Allocation Decision 407
Economic Activity and Security Markets 408
Cyclical Indicator Approach to Forecasting
the Economy 409
Cyclical Indicator Categories 410
Analytical Measures of Performance 413
Limitations of the Cyclical Indicator Approach 413
Other Leading Indicator Series 414
Monetary Variables, the Economy,
and Stock Prices 416
Money Supply and the Economy 416
Financial Conditions Index 416
Money Supply and Stock Prices 417
Other Economic Variables and Stock Prices 419
Inflation, Interest Rates, and Security Prices 419
Summary of Macroeconomic Analysis 422
Analysis of World Security Markets 422
Inflation and Exchange Rates 423
Correlations among Returns 423
Individual Country Stock Price Changes 425
Individual Country Analysis 427
World Asset Allocation 428
Investments Online 429
Part 4 ANALYSIS AND MANAGEMENT
OF COMMON STOCKS 434
Chapter 13 Stock Market Analysis 436
Applying the DDM Valuation Model
to the Market 437
Market Valuation Using the Reduced Form DDM 438
Estimating the Growth Rate ofDividends (g) 442
Market Valuation Using the Free Cash Flow
to Equity (FCFE) Model 447
Valuation Using the Relative Valuation
Approach 449
Two Part Valuation Procedure 449
Importance of Both Components of Value 450
Estimating Expected Earnings per Share 452
Estimating Gross Domestic Product 453
Estimating Sales per Share for a Market Series 453
Alternative Estimates of Corporate Net Profits 455
Estimating Aggregate Operating Profit Margin 455
Estimating Depreciation Expense 459
Estimating Interest Expense 460
Estimating the Tax Rate 464
Calculating Earnings per Share: An Example 464
Estimating the Earnings Multiplier
for a Stock Market Series 466
Determinants of the Earnings Multiplier 466
Estimating the Required Rate of Return (k) 466
Estimating the Growth Rate of Dividends (g) 467
Estimating the Dividend Payout Ratio (D,/£,) 467
Estimating an Earnings Multiplier: An Example 468
Calculating an Estimate of the Value
for the Market Series 471
Calculating the Expected Rate of Return
on Common Stocks 472
Other Relative Valuation Ratios 473
Analysis of World Markets 477
Individual Country Analysis 477
Investments Online 481
Chapter 14 Industry Analysis 486
Why Do Industry Analysis? 487
Cross Sectional Industry Performance 488
Industry Performance over Time 489
Performance of the Companies
within an Industry 489
Differences in Industry Risk 489
Summary of Research on Industry Analysis 490
Industry Analysis Process 490
The Business Cycle and Industry Sectors 490
Inflation 492
Interest Rates 492
International Economics 493
Consumer Sentiment 493
Structural Economic Changes
and Alternative Industries 493
Demographics 493
Lifestyles 493
Technology 494
Politics and Regulations 494
Evaluating the Industry Life Cycle 495
Analysis of Industry Competition 497
Competition and Expected Industry Returns 497
Estimating Industry Rates of Return 499
Valuation Using the Reduced Form DDM 500
Industry Valuation Using the Free Cash Flow
to Equity (FCFE) Model 508
Industry Analysis Using the Relative
Valuation Approach 510
The Earnings Multiple Technique 510
Other Relative Valuation Ratios 524
The Price/Book Value Ratio 526
The Price/Cash Flow Ratio 527
The Price/Sales Ratio 527
Global Industry Analysis 529
Investments Online 530
Chapter 14 Appendix 536
A Preparing an Industry Analysis: What Is an Industry?
B. Data Needs for an Industry Analysis
C. Insights on Analyzing Industry ROAs
Chapter 15 Company Analysis
and Stock Valuation 540
Company Analysis versus the Valuation
of Stock 541
Growth Companies and Growth Stocks 541
Defensive Companies and Stocks 542
Cyclical Companies and Stocks 542
Speculative Companies and Stocks 543
Value versus Growth Investing 543
Economic, Industry, and Structural Links
to Company Analysis 544
Economic and Industry Influences 544
Structural Influences 544
Company Analysis 545
Firm Competitive Strategies 545
Focusing a Strategy 546
SWOT Analysis 547
Some Lessons from Lynch 548
Tenets of Warren Buffett 548
Estimating Intrinsic Value 549
Present Value of Dividends 551
Present Value of Dividends Model (DDM) 553
Present Value of Free Cash Flow to Equity 554
Present Value of Operating Free Cash Flow 556
Relative Valuation Ratio Techniques 559
Estimating Company Earnings per Share 559
Company Sales Forecast 562
Estimating the Company Profit Margin 565
Walgreens Competitive Strategies 565
The Internal Performance 565
Importance of Quarterly Estimates 568
Estimating Company Earnings Multipliers 569
Macroanalysis of the Earnings Multiplier 569
Microanalysis of the Earnings Multiplier 570
Making the Investment Decision 575
Contents xxv
Additional Measures of Relative Value 577
Price/Book Value (P/BV) Ratio 577
Price/Cash Flow (P/CF) Ratio 578
Price/Sales (P/S) Ratio 580
Summary of Relative Valuation Ratios 581
Analysis of Growth Companies 582
Growth Company Defined 583
Actual Returns above Required Returns 583
Growth Companies and Growth Stocks 583
Growth Companies and the Dividend
Discount Model 584
Alternative Growth Models 584
No Growth Firm 584
Long Run Growth Models 585
The Real World 587
Measures of Value Added 588
Economic Value Added (EVA) 589
Market Value Added (MVA) 591
Relationships between EVA and MVA 591
The Franchise Factor 591
Growth Duration Model 594
Site Visits and the Art of the Interview 597
When to Sell 598
Influences on Analysts 598
Efficient Markets 599
Paralysis of Analysis 599
Analyst Conflicts of Interest 599
Global Company and Stock Analysis 600
Availability of Data 600
Differential Accounting Conventions 600
Currency Differences (Exchange Rate Risk) 600
Political (Country) Risk 600
Transaction Costs 600
Valuation Differences 601
Summary 601
Investments Online 601
Chapter 16 Technical Analysis 625
Underlying Assumptions of Technical
Analysis 626
Advantages of Technical Analysis 627
Challenges to Technical Analysis 628
Challenges to Technical Analysis Assumptions 629
Challenges to Technical Trading Rules 629
Technical Trading Rules and Indicators 629
Contrary Opinion Rules 630
Follow the Smart Money 634
Other Market Environment Indicators 635
Stock Price and Volume Techniques 637
Technical Analysis of Foreign Markets 644
Technical Analysis of Bond Markets 646
Investments Online 648
i Contents
Chapter 17 Equity Portfolio
Management Strategies 652
Passive versus Active Management 653
An Overview of Passive Equity Portfolio
Management Strategies 654
Index Portfolio Construction Techniques 655
Tracking Error and Index Portfolio Construction 656
Methods of Index Portfolio Investing 658
An Overview of Active Equity Portfolio
Management Strategies 660
Fundamental Strategies 660
Technical Strategies 663
Anomalies and Attributes 665
Miscellaneous Issues 667
Value versus Growth Investing:
A Closer Look 670
An Overview of Style Analysis 675
Asset Allocation Strategies 678
Integrated Asset Allocation 678
Strategic Asset Allocation 682
Tactical Asset Allocation 683
Insured Asset Allocation 685
Selecting an Active Allocation Method 685
Using Futures and Options in Equity
Portfolio Management: An Overview 685
Modifying Portfolio Risk and Return:
An Introduction 685
Using Derivatives in Passive Equity Portfolio
Management 687
Using Derivatives in Active Equity Portfolio
Management 687
Investments Online 689
Part 5 ANALYSIS AND
MANAGEMENT OF BONDS 694
Chapter 18 Bond Fundamentals 696
Basic Features of a Bond 697
Bond Characteristics 697
Rates of Return on Bonds 699
The Global Bond Market Structure 700
Participating Issuers 700
Participating Investors 703
Bond Ratings 704
Alternative Bond Issues 705
Domestic Government Bonds 706
Government Agency Issues 708
Municipal Bonds 711
Corporate Bonds 713
International Bonds 721
Obtaining Information on Bond Prices 722
Interpreting Bond Quotes 722
Investments Online 727
Chapter 19 The Analysis and Valuation
of Bonds 730
The Fundamentals of Bond Valuation 731
The Present Value Model 731
The Yield Model 733
Computing Bond Yields 734
Nominal Yield 735
Current Yield 735
Promised Yield to Maturity 735
Promised Yield to Call 738
Realized (Horizon) Yield 739
Calculating Future Bond Prices 740
Realized (Horizon) Yield with Differential
Reinvestment Rates 741
Price and Yield Determination
on Noninterest Dates 743
Yield Adjustments for Tax Exempt Bonds 743
Bond Yield Books 744
Bond Valuation Using Spot Rates 744
What Determines Interest Rates? 746
Forecasting Interest Rates 747
Fundamental Determinants of Interest Rates 748
Term Structure of Interest Rates 751
Calculating Forward Rates
from the Spot Rate Curve 756
Term Structure Theories 759
Expectations Hypothesis 759
Liquidity Preference Hypothesis 761
Segmented Market Hypothesis 762
Trading Implications of the Term Structure 763
Yield Spreads 763
What Determines the Price Volatility
for Bonds? 764
Trading Strategies 767
Duration Measures 767
Modified Duration and Bond Price Volatility 771
Bond Convexity 772
Duration and Convexity for Callable Bonds 778
Limitations of Macaulay and Modified Duration 781
Yield Spreads with Embedded Options 789
Static Yield Spreads 789
Option Adjusted Spread 790
Investments Online 792
Chapter 19 Appendix 807
Calculation of Duration and Convexity
Chapter 20 Bond Portfolio
Management Strategies 808
Alternative Bond Portfolio Strategies 808
Passive Management Strategies 809
Active Management Strategies 810
A Global Fixed Income Investment Strategy 821
Core Plus Bond Portfolio Management 824
Matched Funding Techniques 825
Contingent Procedures 834
Implications of Capital Market Theory and
the EMH on Bond Portfolio Management 840
Bonds and Total Portfolio Theory 841
Bonds and Capital Market Theory 841
Bond Price Behavior in a CAPM Framework 842
Bond Market Efficiency 844
Investments Online 845
Part 6 DERIVATIVE SECURITY
ANALYSIS 860
Chapter 21 An Introduction to Derivative
Markets and Securities 862
Overview of Derivative Markets 863
The Language and Structure of Forward
and Futures Markets 864
Interpreting Futures Price Quotations:
An Example 866
The Language and Structure of Option Markets 868
Interpreting Option Price Quotations:
An Example 869
Investing with Derivative Securities 872
The Basic Nature of Derivative Investing 872
Basic Payoff Diagrams for Forward Contracts 874
Basic Payoff Diagrams for Call and Put Options 875
Option Payoff Diagrams: An Example 878
The Relationship between Forward
and Option Contracts 880
Put Call Spot Parity 881
Put Call Parity: An Example 882
Creating Synthetic Securities Using Put Call Parity 884
Adjusting Put Call Spot Parity for Dividends 885
Put Call Forward Parity 886
An Introduction to the Use of Derivatives
in Portfolio Management 888
Restructuring Asset Portfolios with Forward
Contracts 888
Protecting Portfolio Value with Put Options 889
An Alternative Way to Pay for a Protective Put 892
Investments Online 894
Chapter 22 Forward and Futures
Contracts 904
An Overview of Forward and Futures
Trading 905
Futures Contract Mechanics 905
Comparing Forward and Futures Contracts 908
Hedging with Forwards and Futures 909
Hedging and the Basis 909
Understanding Basis Risk 910
Calculating the Optimal Hedge Ratio 911
Forward and Futures Contracts:
Basic Valuation Concepts 912
Valuing Forwards and Futures 912
Contents xxvii
The Relationship between Spot
and Forward Prices 914
Financial Forwards and Futures:
Applications and Strategies 915
Interest Rate Forwards and Futures 915
Long Term Interest Rate Futures 915
Short Term Interest Rate Futures 921
Stock Index Futures 928
Currency Forwards and Futures 934
Investments Online 941
Chapter 22 Appendix 949
A A Closed Form Equation for Calculating Duration
B. Calculating Money Market Implied Forward Rates
Chapter 23 Option Contracts 954
An Overview of Option Markets
and Contracts 955
Option Market Conventions 955
Price Quotations for Exchange Traded Options 956
The Fundamentals of Option Valuation 964
The Basic Approach 964
Improving Forecast Accuracy 966
The Binomial Option Pricing Model 971
The Black Scholes Valuation Model 974
Estimating Volatility 977
Problems with Black Scholes Valuation 980
Option Valuation: Extensions
and Advanced Topics 981
Valuing European Style Put Options 981
Valuing Options on Dividend Bearing Securities 982
Valuing American Style Options 983
Other Extensions of the Black Scholes Model 985
Exotic Options 988
Option Trading Strategies 991
Protective Put Options 992
Covered Call Options 994
Straddles, Strips, and Straps 995
Strangles 997
Chooser Options 998
Spreads 999
Range Forwards 1001
Investments Online 1004
Chapter 24 Swap Contracts, Convertible
Securities, and Other
Embedded Derivatives 1013
OTC Interest Rate Agreements 1014
Forward Based Interest Rate Contracts 1014
Option Based Interest Rate Contracts 1023
Swap Contracting Extensions 1026
Currency Swaps 1026
Equity Index Linked Swaps 1030
Warrants and Convertible Securities 1032
Warrants 1033
Convertible Securities 1035
iii Contents
Convertible Preferred Stock 1035
Convertible Bonds 1036
Other Embedded Derivatives 1041
Dual Currency Bonds 1041
Equity Index Linked Notes 1043
Commodity Linked Bull and Bear Bonds 1045
Swap Linked Notes 1048
valuing Flexibility: An Introduction
to Real Options 1050
Company Valuation with Real Options 1051
Investments Online 1054
Part 7 SPECIFICATION AND
EVALUATION OF ASSET
MANAGEMENT 1064
Chapter 25 Professional Asset
Management 1066
The Asset Management Industry:
Structure and Evolution 1067
Private Management and Advisory Firms 1070
Investment Strategy at a Private Money
Management Firm 1072
Management of Investment Companies 1074
Valuing Investment Company Shares 1074
Closed End versus Open End Investment
Companies 1075
Closed End Investment Companies 1075
Open End Investment Companies 1078
Fund Management Fees 1079
Types of Investment Companies Based
on Portfolio Makeup 1079
Common Stock Funds 1079
Hybrid Funds 1080
Bond Funds 1080
Money Market Funds 1080
Breakdown by Fund Characteristics 1080
Global Investment Companies 1082
Sources of Information 1084
Ethics and Regulation in the Professional
Asset Management Industry 1092
Performance of Investment Companies 1095
Analysis of Overall Performance 1095
Investment Style and the Classification
of Mutual Funds 1096
Investment Style and Performance Persistence 1097
What Performance Studies Mean to You 1098
Investments Online 1099
Chapter 26 Evaluation of Portfolio
Performance 1106
What Is Required of a Portfolio Manager? 1107
Composite Portfolio Performance Measures 1108
Portfolio Evaluation before 1960 1108
Peer Croup Comparisons 1108
Treynor Portfolio Performance Measure 1109
Sharpe Portfolio Performance Measure 1113
Jensen Portfolio Performance Measure 1115
The Information Ratio Performance Measure 1117
Application of Portfolio Performance
Measures 1118
Components of Investment Performance 1125
Performance Attribution Analysis 1130
Asset Class Attribution Analysis: An Example 1131
Performance Attribution Extensions 1133
Measuring Market Timing Skills 1134
Factors That Affect Use of Performance
Measures 1135
A Demonstration of the Global
Benchmark Problem 1137
Implications of the Benchmark Problems 1138
Required Characteristics of Benchmarks 1140
Evaluation of Bond Portfolio Performance 1140
A Bond Market Line 1141
Decomposing Portfolio Returns 1144
Analyzing Sources of Return 1145
Consistency of Performance 1147
Reporting Investment Performance 1147
Time Weighted and Dollar Weighted Returns 1147
Performance Presentation Standards 1149
Investments Online 1153
Appendix A How to Become a CFA*
Charterholder A 1
Appendix B AIMR Code of Ethics and
Standards of Professional
Conduct B l
Appendix C Interest Tables C 1
Appendix D Standard Normal
Probabilities D 1
Glossary C 1
Name and Company Index 1 1
Subject Index 1 9
|
| any_adam_object | 1 |
| author | Reilly, Frank K. Brown, Keith C. |
| author_GND | (DE-588)170027376 |
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| author_sort | Reilly, Frank K. |
| author_variant | f k r fk fkr k c b kc kcb |
| building | Verbundindex |
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| callnumber-first | H - Social Science |
| callnumber-label | HG4521 |
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| callnumber-search | HG4521 |
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| callnumber-subject | HG - Finance |
| classification_rvk | QK 810 QP 343 |
| ctrlnum | (OCoLC)56662657 (DE-599)BVBBV014901810 |
| dewey-full | 332.60973 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60973 |
| dewey-search | 332.60973 |
| dewey-sort | 3332.60973 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 7. ed. |
| format | Book |
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| id | DE-604.BV014901810 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:08:34Z |
| institution | BVB |
| isbn | 0324171730 |
| language | English |
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| physical | getr. Zählung graph. Darst. |
| publishDate | 2003 |
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| publisher | Thomson, South-Western |
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| spelling | Reilly, Frank K. Verfasser (DE-588)170027376 aut Investment analysis and portfolio management Frank K. Reilly ; Keith C. Brown 7. ed. Mason, Ohio Thomson, South-Western 2003 getr. Zählung graph. Darst. txt rdacontent n rdamedia nc rdacarrier Investments United States Portfolio management United States Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Wertpapieranlage (DE-588)4189703-1 gnd rswk-swf USA Wertpapieranlage (DE-588)4189703-1 s Portfolio Selection (DE-588)4046834-3 s DE-604 Portfoliomanagement (DE-588)4115601-8 s 1\p DE-604 Investition (DE-588)4027556-5 s 2\p DE-604 Brown, Keith C. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010073075&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 | Reilly, Frank K. Brown, Keith C. Investment analysis and portfolio management Investments United States Portfolio management United States Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Investition (DE-588)4027556-5 gnd Wertpapieranlage (DE-588)4189703-1 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4046834-3 (DE-588)4027556-5 (DE-588)4189703-1 |
| title | Investment analysis and portfolio management |
| title_auth | Investment analysis and portfolio management |
| title_exact_search | Investment analysis and portfolio management |
| title_full | Investment analysis and portfolio management Frank K. Reilly ; Keith C. Brown |
| title_fullStr | Investment analysis and portfolio management Frank K. Reilly ; Keith C. Brown |
| title_full_unstemmed | Investment analysis and portfolio management Frank K. Reilly ; Keith C. Brown |
| title_short | Investment analysis and portfolio management |
| title_sort | investment analysis and portfolio management |
| topic | Investments United States Portfolio management United States Portfoliomanagement (DE-588)4115601-8 gnd Portfolio Selection (DE-588)4046834-3 gnd Investition (DE-588)4027556-5 gnd Wertpapieranlage (DE-588)4189703-1 gnd |
| topic_facet | Investments United States Portfolio management United States Portfoliomanagement Portfolio Selection Investition Wertpapieranlage USA |
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