Investment analysis and portfolio management:
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Mason, Ohio
Thomson South-Western
2006
|
| Edition: | 8. ed., international student ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | 9. ed. u.d.T.: Brown, Keith C. (2009): Analysis of investments and management of portfolios |
| Physical Description: | XXVII, 1174 S. graph. Darst. |
| ISBN: | 0324405898 0324407459 |
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MARC
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| 245 | 1 | 0 | |a Investment analysis and portfolio management |c Frank K. Reilly ; Keith C. Brown |
| 250 | |a 8. ed., international student ed. | ||
| 264 | 1 | |a Mason, Ohio |b Thomson South-Western |c 2006 | |
| 300 | |a XXVII, 1174 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a 9. ed. u.d.T.: Brown, Keith C. (2009): Analysis of investments and management of portfolios | ||
| 650 | 7 | |a Analyse financière |2 ram | |
| 650 | 7 | |a Gestion de portefeuille |2 ram | |
| 650 | 7 | |a Gestion financière |2 ram | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Portfolio management | |
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| adam_text | Part 1 The Investment Background 2
Chapter 1 The Investment Setting 5
Chapter 2 The Asset Allocation Decision 37
Chapter 3 Selecting Investments in a Global Market 69
Chapter 4 Organization and Functioning of Securities Markets 104
Chapter 5 Security Market Indexes 140
Part 2 Developments in Investment Theory 166
Chapter 6 Efficient Capital Markets 169
Chapter 7 An Introduction to Portfolio Management 200
Chapter 8 An Introduction to Asset Pricing Models 229
Chapter 9 Multifactor Models of Risk and Return 269
Part 3 Valuation Principles and Practices 298
Chapter 10 Analysis of Financial Statements 300
Chapter 11 An Introduction to Security Valuation 359
Part 4 Analysis and Management of Common Stocks 400
Chapter 12 Macroanalysis and Microvaluation of the Stock Market 403
Chapter 13 Industry Analysis 459
Chapter 14 Company Analysis and Stock Valuation 513
Chapter 15 Technical Analysis 582
Chapter 16 Equity Portfolio Management Strategies 606
Part 5 Analysis and Management of Bonds 646
Chapter 17 Bond Fundamentals 649
Chapter 18 The Analysis and Valuation of Bonds 682
Chapter 19 Bond Portfolio Management Strategies 757
Part 6 Derivative Security Analysis 802
Chapter 20 An Introduction to Derivative Markets and Securities 805
Chapter 21 Forward and Futures Contracts 847
Chapter 22 Option Contracts 892
Chapter 23 Swap Contracts, Convertible Securities, and Other Embedded Derivatives 945
Part 7 Specification and Evaluation of Asset Management 992
Chapter 24 Professional Asset Management 995
Chapter 25 Evaluation of Portfolio Performance 1040
Appendixes A D 1097
Comprehensive References List 1106
Glossary 1132
Index 1147
Part 1 The Investment Background
Chapter 1 The Investment Setting !
What Is an Investment? c.
Investment Defined 6
Measures of Return and Risk 7
Measures ofHistorical Rates of Return 7, Computing
Mean Historical Retums 10, Calculating Expected Rates of
Return 12, Measuring the Risk of Expected Rates ofRetun
15, Risk Measures for Historical Returns 17
Determinants of Required Rates of Return 17
The Real Risk Free Rate 18, Factors Influencing the
Nominal Risk Free Rate (NRFR) 19, Risk Premium 21, Risk
Premium and Portfolio Theory 23, Fundamental Risk
versus Systematic Risk 24, Summary of Required Rate of
Return 24
Relationship Between Risk and Return 25
Movements Along the SML 25, Changes in the Slope of
the SML 26, Changes in Capital Market Conditions or
Expected Inflation 28, Summary of Changes in the
Required Rate of Return 28
Chapter 1 Appendix 33
Computation of Variance and Standard Deviation
Chapter 2 The Asset Allocation Decision 37
Individual Investor Life Cycle 38
The Preliminaries 38, Life Cycle Net Worth and
Investment Strategies 39, Life Cycle Investment Goals 41
The Portfolio Management Process 41
The Need for a Policy Statement 42
Understand and Articulate Realistic Investor Goals 43,
Standards for Evaluating Portfolio Performance 44, Other
Benefits 44
Input to the Policy Statement 45
Investment Objectives 46, Investment Constraints 49
Constructing the Policy Statement 55
General Guidelines 55, Some Common Mistakes 56
2 The Importance of Asset Allocation 56
Real Investment Returns after Taxes and Costs 58, Returns
5 and Risks of Different Asset Classes 60, Asset Allocation
Summary 61
Chapter 2 Appendix 65
r Objectives and Constraints of Institutional Investors
Chapter 3 Selecting Investments in a
Global Market 69
i
The Case for Global Investments 70
Relative Size of U.S. Financial Markets 71, Rates of Return
on U.S. andForeign Securities 72, Risk ofCombined
Country Investments 72
Global Investment Choices 79
Fixed Income Investments 80, International Bond Investing
83, Equity Instruments 84, Special Equity Instruments:
Options 86, Futures Contracts 86, Investment Companies
87, Real Estate 88, Low Liquidity Investments 90
Historical Risk Returns on Alternative
Investments 91
World Portfolio Performance 91, Art and Antiques 95,
Real Estate 95
Chapter 3 Appendix 101
Covariance and Correlation
Chapter 4 Organization and Functioning of
Securities Markets 104
What Is a Market? 105
Characteristics of a Good Market 105, Decimal Pricing
106, Organization of the Securities Market 107
Primary Capital Markets 107
Government Bond Issues 107, Municipal Bond Issues 107,
Corporate Bond Issues 108, Corporate Stock Issues 108,
Private Placements and Rule 144A 110
Secondary Financial Markets 110
Why Secondary Markets are Important 110, Secondary
Bond Markets 111, Financial Futures 111, Secondary
Equity Markets 112
Primary Listing Markets 114, Regional Stock Exchanges
120, The Third Market 121, Alternative Trading Systems
(ATSs) 121
Detailed Analysis of Exchange Markets 122
Exchange Membership 122, Types of Orders 122, Exchange
Market Makers 126, New Trading Systems 128, Innovations
for Competition 129, Where Do We Go From Here? 130
Chapter 4 Appendix 134
Characteristics of Developed and Developing Markets
around the World
Chapter 5 Security Market Indexes 140
Uses of Security Market Indexes 141
Differentiating Factors in Constructing
Market Indexes 142
The Sample 142, Weighting Sample Members 142,
Computational Procedure 142
Stock Market Indexes 142
Price Weighted Index 143, Value Weighted Index 144,
Unweighted Index 146, Style Indexes 147, Global Equity
Indexes 148
Bond Market Indexes 153
U.S. Investment Grade Bond Indexes 153, High Yield
Bond Indexes 156, Global Government Bond
Indexes 156
Composite Stock Bond Indexes 156
Comparison of Indexes Over Time 157
Correlations between Monthly Equity Price Changes 157,
Correlations between Monthly Bond Indexes 157, Mean
Annual Security Returns and Risk 157
Chapter 5 Appendix 162
Stock Market Indexes
Part 2 Developments in Investment Theory 166
Chapter 6 Efficient Capital Markets 169
Why Should Capital Markets Be Efficient? 170
Alternative Efficient Market Hypotheses 171
Weak Form Efficient Market Hypothesis 171, Semistrong
Form Efficient Market Hypothesis 172, Strong Form
Efficient Market Hypothesis 172
Weak Form Hypothesis: Tests and Results 1 72,
Semistrong Form Hypothesis: Tests and Results 7 75,
Strong Form Hypothesis: Tests and Results 185
Behavioral Finance 189
Explaining Biases 190, Fusion Investing 190
Implications of Efficient Capital Markets 191
Efficient Markets and Technical Analysis 191, Efficient
Markets and Fundamental Analysis 192, Efficient
Markets and Portfolio Management 193
Chapter 7 An Introduction to Portfolio
Management 200
Some Background Assumptions 201
Risk Aversion 201, Definition of Risk 202
Markowitz Portfolio Theory 202
Alternative Measures of Risk 202, Expected Rates of
Return 203, Variance (Standard Deviation) of Returns
for an Individual Investment 204, Variance (Standard
Deviation) of Returns for a Portfolio 205, Standard
Deviation of a Portfolio 211, A Three Asset Portfolio 218,
Estimation Issues 219, The Efficient Frontier 220, The
Efficient Frontier and Investor Utility 22 7
Chapter 7 Appendix 227
A. Proof that Minimum Portfolio Variance Occurs with
Equal Weights When Securities Have Equal Variance
B. Derivation of Weights That Will Cive lern Variance
When Correlation Equals 1.00
Chapter 8 An Introduction to Asset
Pricing Models 229
Capital Market Theory: An Overview 230
Background for Capital Market Theory 231, Risk Free
Asset 232, The Market Portfolio 236
The Capital Asset Pricing Model:
Expected Return and Risk 239
The Security Market Line (SML) 240
Relaxing the Assumptions 246
Differential Borrowing and Lending Rates 246, Zero Beta
Model 249, Transaction Costs 250, Heterogeneous
Expectations and Planning Periods 250, Taxes 251
Empirical Test of the CAPM 252
Stability of Beta 252
Comparability of Published Estimates of Beta 252
Relationship between Systematic Risk
and Return 253
Effect ofSkewness on the Relationship 253, Effect ofSize,
P/E, and Leverage 253, Effect of Book to Market Value:
The Fama French Study 254, Summary of CAPM Risk
Return Empiral Results 255
The Market Portfolio: Theory versus Practice 257
What is Next? 261
Chapter 9 Multifactor Models of Risk
and Return 269
Arbitrage Pricing Theory 270
Using theAPT272, Security Valuation with theAPT:
An Example 274, Empirical Test of the APT276
Multifactor Models and Risk Estirnation 279
Multifactor Models in Practice 280, Estimating Risk in a
Multifactor Setting: Examples 286
Part 3 Valuation Principles and Practices 298
Chapter 10 Analysis of Financial
Statements 300
Major Financial Statements 301
Generally Accepted Accounting Principles 301, Balance
Sheet 302, Income Statement 302, Statement of Cash
Flows302, Measures ofCash Flow304, Purpose of
Financial Statement Analysis 307
Analysis of Financial Ratios 307
Importance of Relative Financial Ratios 308
Computation of Financial Ratios 309
Common Size Statements 309
Evaluating Internal Liquidity 309
Infernal Liquidity Ratios 312, Inventory Turnover 314
Evaluating Operating Performance 315
Operating Efficiency Ratios 316, Operating
Profitability Ratios 317
Risk Analysis 323
Business Risk 325, Financial Risk 326, Proportion of Debt
(Balance Sheet) Ratios 329, Earnings and Cash Flow ,
Coverage Ratios 331, External Market Liquidity Risk 334 i
Analysis of Growth Potential 335
Importance of Growth Analysis 335, Determinants of
I Growth 336
Comparative Analysis of Ratios 337
Infernal Liquidity 337, Operating Performance 338,
Risk Analysis 340, Growth Analysis 340
Analysis of Non U.S. Financial Statements 340
The Quality of Financial Statements 341
Balance Sheet 341, Income Statement 341, Footnotes 342
The Value of Financial Statement Analysis 342
Specific Uses of Financial Ratios 342
Stock Valuation Models 342, Estimating Systematic Risk
343, Estimating the Ratings on Bonds 344, Predicting
Insolvency (Bankruptcy) 344, Limitations of Financial
Ratios 345
Chapter 11 An Introduction to
Security Valuation 359
An Overview of the Valuation Process 361
Why a Three Step Valuation Process? 361
General Economics Influences 361, Industry Influences
363, Company Analysis 364, Does the Three Step
Process Work? 364
Theory of Valuation 365
Stream of Expected Returns (Cash Flows) 365, Required
Rate of Return 366, Investment Decision Process: A
Comparison of Estimated Values and Market Prices 366
Valuation of Alternative Investments 367
Valuation of Bonds 367, Valuation of Preferred Stock
368, Approaches to the Valuation of Common Stock
369, Why and When to Use the Discounted Cash Flow
Valuation Approach 370, Why and When to Use the
Relative Valuation Techniques 370, Discounted Cash
Flow Valuation Techniques 371, Infinite Period DDM and
Growth Companies 376, Valuation with Temporary
Supernormal Growth 377, Present Value of Operating
Free Cash Flows 378, Present Value ofFree Cash Flows
to Equity 379
Relative Valuation Techniques 380
Earnings Multiplier Model 380, The Price/Cash Flow
Ratio 383, The Price/Book Value Ratio 383, The
Price/Sales Ratio 384, Implementing the Relative
Valuation Technique 384
Estimating the Inputs: The Required Rate of
Return and the Expected Growth Rate of
Valuation Variables 385
Required Rate of Return (k) 385, Estimating the Required
Return for Foreign Securities 387, Expected Growth Rates
390, Estimated Dividend Growth for Foreign Stock 393
Chapter 11 Appendix 397
Derivation of Constant Growth Dividend Discount
Model (DDM)
Part 4 Analysis and Management of
Common Stocks 400
Chapter 12 Macroanalysis and Micro
valuation of the Stock Market 403
The Components of Market Analysis 404
Macromarket Analysis 404
Economic Activity and Security Markets 405, Economic
Series and Stock Prices 406, The Cydical Indicator
Approach 406, Monetary Variables, the Economy, and
Stock Prices 410, Money Supply and the Economy 410,
Money Supply and Stock Prices 411, Inflation, Interest
Rates, and Security Prices 412, Analysis of World Security
Markets 415
Microvaluation Analysis 415
Applying the DDM Valuation Model to the Market 416,
Market Valuation Using the Free Cash Flow to Equity
(FCFE) Model 423
Valuation Using the Earnings
Multiplier Approach 425
Two Part Valuation Procedure 425, Importance ofBoth
Components of Value 426
Estimating Expected Earnings per Share 428
Estimating Gross Domestic Product 429, Estimating Sales
per Share for a Market Series 429, Alternative Estimates of
Corporate Net Profits 431, Estimating Aggregate Operating
Profit Margin 431, Estimating Depreciation Expense 435,
Estimating Interest Expense 437, Estimating the Tax Rate
437, Calculating Earnings per Share: An Example 440
Estimating the Stock Market Earnings Multiplier 441
Determinants ofthe Earnings Multiplier 441, Estimating
the Required Rate of Return (k) 442, Estimating the
Growth Rate of Dividends (g) 442, Estimating the
Dividend Payout Ratio (DJEy) 442, Estimating an Earnings
Multiplier: An Example 444, Calculating an Estimate of the
Value for the Market Series 447, Using Other Relative
Valuation Ratios 447
Microvaluation of World Markets 450
Chapter 13 Industry Analysis 459
Why Do Industry Analysis? 460
Cross Sectional Industry Performance 461, Industry
Performance over Time 462, Performance of the
Companies within an Industry 462, Differences in Industry
Risk 462, Summary of Research on Industry Analysis 463,
Industry Analysis Process 463
The Business Cycle and Industry Sectors 463
Inflation 465, Interest Rates 465, International Economics
466, Consumer Sentiment 466
Structural Economic Changes and
Alternative Industries 466
Demographics 466, Lifestyles 467, Technology 467,
Politics and Regulations 467
Evaluating the Industry Life Cycle 468
Analysis of Industry Competition 470
Competition and Expected Industry Returns 470
Estimating Industry Rates of Return 472
Valuation Using the Reduced Form DDM 473, Industry
Valuation Using the Free Cash Flow to Equity (FCFE)
Model 481
Industry Analysis Using the Relative
Valuation Approach 484
The Earnings Multiple Technique 484
Other Relative Valuation Ratios 498
The Price/Book Value Ratio 501, The Price/Cash Flow
Ratio 501, The Price/Sales Ratio 502
Global Industry Analysis 504
Chapter 13 Appendix 510
A. Preparing an Industry Analysis: What Is an Industry?
B. Insights on Analyzing Industry ROAs
Chapter 14 Company Analysis and Stock
Valuation 513
Company Analysis versus the Valuation of Stock 514
Growth Companies and Growth Stocks 514, Defensive
Companies and Stocks 515, Cydical Companies and
Stocks 516, Speculative Companies and Stocks 516,
Value versus Growth Investing 516
Economic, Industry, and Structural Links to
Company Analysis 517
Economic and Industry Influences 517, Structural
Influences 517
Company Analysis 518
Firm Competitive Strategies 518, Focusing a Strategy 519,
SWOTAnalysis 520, Some Lessons from Lynch 521, Tenets
of Warren Buffett 521
Estimating Intrinsic Value 522
Present Value of Dividends 524, Present Value of
Dividends Model (DDM) 526, Present Value ofFree Cash
Flow to Equity 527, Present Value of Operating Free Cash
Flow 529, Relative Valuation Ratio Techniques 533
Estimating Company Eamings per Share 533
Company Sales Forecast 535, Estimating the Company
Profit Margin 538
Walgreen Co. s Competitive Strategies 538
The Infernal Performance 538, Importance of
Quarterly Estimates 540
Estimating Company Earnings Multipliers 541
Macroanalysis of the Earnings Multiplier 541,
Microanalysis of the Earnings Multiplier 542, Making the
Investment Decision 548
Additional Measures of Relative Value 548
Price/Book Value (P/BV) Ratio 548, Price/Cash Flow (P/CF)
Ratio 549, Price/Sales (P/S) Ratio 550, Summary of Relative
Valuation Ratios 552
Analysis of Growth Companies 553
Growth Company Defined 554, Actual Returns above
Required Returns 554, Growth Companies and Growth
Stocks 554, Alternative Growth Models 555, No Growth
Firm 555, Long Run Growth Models 555, The Real World
558
Measures of Value Added 559
Economic Value Added (EVA) 559, Market Value Added
(MVA) 561, Relationship between EVA and MVA 562, The
Franchise Factor 562, Growth Duration Model 563
Site Visits and the Art of the Interview 566
When to Seil 567
Influences on Analysts 568
Efficient Markets 568, Paralysis ofAnalysis 568, Analyst
Conflicts oflnterest 569
Global Company and Stock Analysis 569
Availability of Data 569, DifferentialAccounting
Conventions 569, Currency Differences (Exchange Rate
Risk) 570, Political (Country) Risk 570, Transaction Costs
570, Valuation Differences 570, Summary 570
Chapter 15 Technical Analysis 582
Underlying Assumptions of Technical Analysis 583
Advantages of Technical Analysis 585
Challenges to Technical Analysis 586
Challenges to Technical Analysis Assumptions 586,
Challenges to Technical Trading Rules 586
Technical Trading Rules and Indicators 587
Contrary Opinion Rules 588, Follow the Smart Money
591, Momentum Indicators 592, Stock Price and Volume
Techniques 593
Technical Analysis of Foreign Markets 600
Foreign Stock Market Indexes 600, Technical Analysis of
Foreign Exchange Rates 601
Technical Analysis of Bond Markets 601
Chapter 16 Equity Portfolio Management
Strategies 606
Passive versus Active Management 607
An Overview of Passive Equity Portfolio
Management Strategies 608
Index Portfolio Construction Techniques 609, Tracking
Error and Index Portfolio Construction 610, Methods of
Index Portfolio Investing 612
An Overview of Active Equity Portfolio
Management Strategies 615
Fundamental Strategies 617, Technical Strategies 619,
Anomalies and Attributes 620, Miscellaneous Issues 622
Value versus Growth Investing: A Closer Look 625
An Overview of Style Analysis 629
Asset Allocation Strategies 634
Integrated Asset Allocation 634, Strategie Asset
Allocation 637, Tactical Asset Allocation 638, Insured
Asset Allocation 640, Selecting an Active Allocation
Method 640
Part 5 Analysis and Management of Bonds 646
Chapter 17 Bond Fundamentals 649
Basic Features of a Bond 650
Bond Characteristics 650, Rates of Return on
Bonds 652
The Global Bond Market Structure 653
Participating Issuers 654, Participating Investors 656, Bond
Ratings 656
Alternative Bond Issues 657
Domestic Government Bonds 657, Government Agency
Issues 661, Municipal Bonds 663, Corporate Bonds 665,
International Bonds 672
Obtaining Information on Bond Prices 673
Interpreting Bond Quotes 673
Chapter 18 The Analysis and Valuation
of Bonds 682
The Fundamentals of Bond Valuation 683
The Present Value Model 683, The Yield Model 686
Computing Bond Yields 687
Nominal Yield 687, Current Yield 687, Promised Yield to
Maturity 688, Promised Yield to Call 690, Realized
(Horizon) Yield 691
Calculating Future Bond Prices 692
Realized (Horizon) Yield with Differential Reinvestment
Rates 693, Price and Yield Determination on Noninterest
Dates 695, Yield Adjustments for Tax Exempt Bonds 695,
Bond Yield Books 696
Bond Valuation Using Spot Rates 696
What Determines Interest Rates? 699
Forecasting Interest Rates 699, Fundamental
Determinants of Interest Rates 700, The Term Structure
of Interest Rates 703
Calculating Forward Rates from the Spot
Rate Curve 708
Term Structure Theories 711
Expectations Hypothesis 711, Liquidity Preference
Hypothesis 713, Segmented Market Hypothesis 714,
Trading Implications ofthe Term Structure 715, Yield
Spreads 715
What Determines the Price Volatility for Bonds? 716
Trading Strategies 719, Duration Measures 719,
Modified Duration and Bond Price Volatility 723, Bond
Convexity 724, Duration and Convexity for Callable
Bonds 730, Limitations of Macauley and Modified
Duration 733
Yield Spreads with Embedded Options 741
Static Yield Spreads 741, Option Adjusted Spread 742
Chapter 18 Appendix 756
Chapter 19 Bond Portfolio Management
Strategies 757
Alternative Bond Portfolio Strategies 757
Passive Management Strategies 758, Active Management
Strategies 759, A Global Fixed Income Investment Strategy
770, Core Plus Bond Portfolio Management 772,
Matched Funding Techniques 773, Contingent
Immunization Procedures 782
Implications of Capital Market Theory and the
EMH on Bond Portfolio Management 788
Bonds and Total Portfolio Theory 789, Bonds and Capital
Market Theory 789, Bond Price Behavior in a CAPM
Framework 790, Bond Market Efficiency 791
Part 6 Derivative Security Analysis 802
Chapter 20 An Introduction to Derivative
Markets and Securities 805
Overview of Derivative Markets 806
The Language and Structure ofForward and Futures
Markets 807, Interpreting Futures Price Quotations: An
Example 809, The Language and Structure of Option
Markets 811, Interpreting Option Price Quotations: An
Example 813
Investing with Derivative Securities 816
The Basic Nature of Derivative Investing 816, Basic Payoff
Diagrams for Forward Contracts 818, Basic Payoff
Diagrams for Call and Put Options 820, Option Payoff
Diagrams: An Example 822
The Relationship between Forward and
Option Contracts 824
Put Call Spot Parity 825, Put Call Parity: An Example 826,
Creating Synthetic Securities Using Put Call Parity 828,
Adjusting Put Call Spot Parity for Dividends 829, Put Call
Forward Parity 830
An Introduction to the Use of Derivatives
in Portfolio Management 832
Restructuring Asset Portfolios with Forward Contracts 832,
Protecting Portfolio Value with Put Options 834, An
Alternative Way to Pay fora Protective Put 837
Chapter 21 Forward and Futures Contracts 847
An Overview of Forward and Futures Trading 848
Futures Contract Mechanics 849, Comparing Forward and
Futures Contracts 852
Hedging with Forwards and Futures 852
Hedging and the Basis 852, Understanding Basis Risk 853,
Calculating the Optimal Hedge Ratio 854
Forward and Futures Contracts: Basic
Valuation Concepts 855
Valuing Forwards and Futures 855, The Relationship
between Spot and Forwarded Prices 857
Financial Forwards and Futures: Applications
and Strategies 858
Interest Rate Forwards and Futures 858, Long Term
Interest Rate Futures 859, Short Term Interest Rate Futures
864, Stock Index Futures 869, Currency Forwards and
Futures 876
Chapter 21 Appendix 888
A A Closed Form Equation for Calculating Duration
B. Calculating Money Market Implied Forward Rates
Chapter 22 Option Contracts 892
An Overview of Option Markets and Contracts 893
Option Market Conventions 893, Price Quotations for
Exchange Traded Options 894
The Fundamentals of Option Valuation 902
The Basic Approach 902, Improving Forecast Accuracy
904, The Binomial Option Pricing Model 909, The Black
Scholes Valuation Model 912, Estimating Volatility 915,
Problems with Black Scholes Valuation 918
Option Valuation: Extensions and
Advanced Topics 918
Valuing European Style Put Options 918, Valuing
Options on Dividend Bearing Securities 919, Valuing
American Style Options 921, Other Extensions of the
Black Scholes Model 923
Option Trading Strategies 925
Protective Put Options 925, Covered Call Options 927,
Straddles, Strips, and Straps 929, Strangles 930, Chooser
Options 932, Spreads 932, Range Forwards 935
Chapter 23 Swap Contracts, Convertible
Securities, and Other
Embedded Derivatives 945
OTC Interest Rate Agreements 946
Forward Based Interest Rate Contracts 946,
Option ßased Interest Rate Contracts 955
A Swap Contracting Extension 958
Equality Index Linked Swaps 958
Warrants and Convertible Securities 961
Warrants961, Convertible Securities 962, Convertible
Preferred Stock 963, Convertible Bonds 964
Other Embedded Derivatives 968
Dual Currency Bonds 969, Equity Index Linked Notes 970,
Commodity Linked Bull and Bear Bonds 974, Swap
Linked Notes 975
Valuing Flexibility: An Introduction to
Real Options 978
Company Valuation with Real Options 979
Part 7 Specification and Evaluation of
Asset Management 992
Chapter 24 Professional Asset
Management 995
The Asset Management Industry: Structure
and Evolution 996
Private Management and Advisory Firms 1000
Investment Strategy at a Private Money Management
Firm 1001
Organization and Management of
Investment Companies 1004
Valuing Investment Company Shares 1004, Closed End
versus Open End Investment Companies 1005, Fund
Management Fees 1009, Investment Company Portfolio
Objectives 1010, Breakdown by Fund Characteristics
1012, Global Investment Companies 1013, Mutual Fund
Organization and Strategy: An Example 1014
Hedge Funds 1016
Charactehstics ofa Hedge Fund 1019, Hedge Fund
Strategies 1020, Risk Arbitrage Investing: A Closer Look
1022, Hedge Fund Performance 1025
Ethics and Regulation in the Professional
Asset Management Industry 1026
Regulation in the Asset Management Industry 1027,
Standards for Ethical Behavior 1028, Examples of Ethical
Conflicts 1030
What Do You Want from a Professional
Asset Manager? 1031
Chapter 25 Evaluation of Portfolio
Performance 1040
What is Required of a Portfolio Manager? 1041
Early Performance Measurement Techniques 1042
Portfolio Evaluation before 1960 1042, Peer Group
Comparisons 1043
Composite Portfolio Performance Measures 1043
Treynor Portfolio Performance Measure 1043, Sharpe
Portfolio Performance Measure 1047, Jensen Portfolio
Performance Measure 1049, The Information Radio
Performance Measure 1051
Application of Portfolio Performance
Measures 1052
Portfolio Performance Evaluation:
Some Extensions 1061
Components of Investment Performance 1061, Holdings
Based Performance Measurement 1064, Performance Attri¬
bution Analysis 1069, Measuhng Market Timing Skills 1073
Factors That Affect Use of Performance Measures 1074
Demonstration of the Global Benchmark Problem 1075,
Implications of the Benchmark Problems 1077, Required
Characteristics of Benchmarks 1077
Evaluation of Bond Portfolio Performance 1079
Returns Based Bond Performance Measurement 1080,
Bond Performance Attribution 1081
Reporting Investment Performance 1084
Time Weighted and Dollar Weighted Returns 1084,
Performance Presentation Standards 1086
Appendix A How to Become a CFA®
Charterholder 1097
Appendix B Code of Ethics and Standards of
Professional Conduct 1099
Appendix C Interest Tables 1101
Appendix D Standard Normal Probabilities 1105
Comprehensive References List 1106
Glossary 1132
Index 1147
|
| adam_txt |
Part 1 The Investment Background 2
Chapter 1 The Investment Setting 5
Chapter 2 The Asset Allocation Decision 37
Chapter 3 Selecting Investments in a Global Market 69
Chapter 4 Organization and Functioning of Securities Markets 104
Chapter 5 Security Market Indexes 140
Part 2 Developments in Investment Theory 166
Chapter 6 Efficient Capital Markets 169
Chapter 7 An Introduction to Portfolio Management 200
Chapter 8 An Introduction to Asset Pricing Models 229
Chapter 9 Multifactor Models of Risk and Return 269
Part 3 Valuation Principles and Practices 298
Chapter 10 Analysis of Financial Statements 300
Chapter 11 An Introduction to Security Valuation 359
Part 4 Analysis and Management of Common Stocks 400
Chapter 12 Macroanalysis and Microvaluation of the Stock Market 403
Chapter 13 Industry Analysis 459
Chapter 14 Company Analysis and Stock Valuation 513
Chapter 15 Technical Analysis 582
Chapter 16 Equity Portfolio Management Strategies 606
Part 5 Analysis and Management of Bonds 646
Chapter 17 Bond Fundamentals 649
Chapter 18 The Analysis and Valuation of Bonds 682
Chapter 19 Bond Portfolio Management Strategies 757
Part 6 Derivative Security Analysis 802
Chapter 20 An Introduction to Derivative Markets and Securities 805
Chapter 21 Forward and Futures Contracts 847
Chapter 22 Option Contracts 892
Chapter 23 Swap Contracts, Convertible Securities, and Other Embedded Derivatives 945
Part 7 Specification and Evaluation of Asset Management 992
Chapter 24 Professional Asset Management 995
Chapter 25 Evaluation of Portfolio Performance 1040
Appendixes A D 1097
Comprehensive References List 1106
Glossary 1132
Index 1147
Part 1 The Investment Background
Chapter 1 The Investment Setting !
What Is an Investment? c.
Investment Defined 6
Measures of Return and Risk 7
Measures ofHistorical Rates of Return 7, Computing
Mean Historical Retums 10, Calculating Expected Rates of
Return 12, Measuring the Risk of Expected Rates ofRetun
15, Risk Measures for Historical Returns 17
Determinants of Required Rates of Return 17
The Real Risk Free Rate 18, Factors Influencing the
Nominal Risk Free Rate (NRFR) 19, Risk Premium 21, Risk
Premium and Portfolio Theory 23, Fundamental Risk
versus Systematic Risk 24, Summary of Required Rate of
Return 24
Relationship Between Risk and Return 25
Movements Along the SML 25, Changes in the Slope of
the SML 26, Changes in Capital Market Conditions or
Expected Inflation 28, Summary of Changes in the
Required Rate of Return 28
Chapter 1 Appendix 33
Computation of Variance and Standard Deviation
Chapter 2 The Asset Allocation Decision 37
Individual Investor Life Cycle 38
The Preliminaries 38, Life Cycle Net Worth and
Investment Strategies 39, Life Cycle Investment Goals 41
The Portfolio Management Process 41
The Need for a Policy Statement 42
Understand and Articulate Realistic Investor Goals 43,
Standards for Evaluating Portfolio Performance 44, Other
Benefits 44
Input to the Policy Statement 45
Investment Objectives 46, Investment Constraints 49
Constructing the Policy Statement 55
General Guidelines 55, Some Common Mistakes 56
2 The Importance of Asset Allocation 56
Real Investment Returns after Taxes and Costs 58, Returns
5 and Risks of Different Asset Classes 60, Asset Allocation
Summary 61
Chapter 2 Appendix 65
r Objectives and Constraints of Institutional Investors
Chapter 3 Selecting Investments in a
Global Market 69
i
The Case for Global Investments 70
Relative Size of U.S. Financial Markets 71, Rates of Return
on U.S. andForeign Securities 72, Risk ofCombined
Country Investments 72
Global Investment Choices 79
Fixed Income Investments 80, International Bond Investing
83, Equity Instruments 84, Special Equity Instruments:
Options 86, Futures Contracts 86, Investment Companies
87, Real Estate 88, Low Liquidity Investments 90
Historical Risk Returns on Alternative
Investments 91
World Portfolio Performance 91, Art and Antiques 95,
Real Estate 95
Chapter 3 Appendix 101
Covariance and Correlation
Chapter 4 Organization and Functioning of
Securities Markets 104
What Is a Market? 105
Characteristics of a Good Market 105, Decimal Pricing
106, Organization of the Securities Market 107
Primary Capital Markets 107
Government Bond Issues 107, Municipal Bond Issues 107,
Corporate Bond Issues 108, Corporate Stock Issues 108,
Private Placements and Rule 144A 110
Secondary Financial Markets 110
Why Secondary Markets are Important 110, Secondary
Bond Markets 111, Financial Futures 111, Secondary
Equity Markets 112
Primary Listing Markets 114, Regional Stock Exchanges
120, The Third Market 121, Alternative Trading Systems
(ATSs) 121
Detailed Analysis of Exchange Markets 122
Exchange Membership 122, Types of Orders 122, Exchange
Market Makers 126, New Trading Systems 128, Innovations
for Competition 129, Where Do We Go From Here? 130
Chapter 4 Appendix 134
Characteristics of Developed and Developing Markets
around the World
Chapter 5 Security Market Indexes 140
Uses of Security Market Indexes 141
Differentiating Factors in Constructing
Market Indexes 142
The Sample 142, Weighting Sample Members 142,
Computational Procedure 142
Stock Market Indexes 142
Price Weighted Index 143, Value Weighted Index 144,
Unweighted Index 146, Style Indexes 147, Global Equity
Indexes 148
Bond Market Indexes 153
U.S. Investment Grade Bond Indexes 153, High Yield
Bond Indexes 156, Global Government Bond
Indexes 156
Composite Stock Bond Indexes 156
Comparison of Indexes Over Time 157
Correlations between Monthly Equity Price Changes 157,
Correlations between Monthly Bond Indexes 157, Mean
Annual Security Returns and Risk 157
Chapter 5 Appendix 162
Stock Market Indexes
Part 2 Developments in Investment Theory 166
Chapter 6 Efficient Capital Markets 169
Why Should Capital Markets Be Efficient? 170
Alternative Efficient Market Hypotheses 171
Weak Form Efficient Market Hypothesis 171, Semistrong
Form Efficient Market Hypothesis 172, Strong Form
Efficient Market Hypothesis 172
Weak Form Hypothesis: Tests and Results 1 72,
Semistrong Form Hypothesis: Tests and Results 7 75,
Strong Form Hypothesis: Tests and Results 185
Behavioral Finance 189
Explaining Biases 190, Fusion Investing 190
Implications of Efficient Capital Markets 191
Efficient Markets and Technical Analysis 191, Efficient
Markets and Fundamental Analysis 192, Efficient
Markets and Portfolio Management 193
Chapter 7 An Introduction to Portfolio
Management 200
Some Background Assumptions 201
Risk Aversion 201, Definition of Risk 202
Markowitz Portfolio Theory 202
Alternative Measures of Risk 202, Expected Rates of
Return 203, Variance (Standard Deviation) of Returns
for an Individual Investment 204, Variance (Standard
Deviation) of Returns for a Portfolio 205, Standard
Deviation of a Portfolio 211, A Three Asset Portfolio 218,
Estimation Issues 219, The Efficient Frontier 220, The
Efficient Frontier and Investor Utility 22 7
Chapter 7 Appendix 227
A. Proof that Minimum Portfolio Variance Occurs with
Equal Weights When Securities Have Equal Variance
B. Derivation of Weights That Will Cive lern Variance
When Correlation Equals 1.00
Chapter 8 An Introduction to Asset
Pricing Models 229
Capital Market Theory: An Overview 230
Background for Capital Market Theory 231, Risk Free
Asset 232, The Market Portfolio 236
The Capital Asset Pricing Model:
Expected Return and Risk 239
The Security Market Line (SML) 240
Relaxing the Assumptions 246
Differential Borrowing and Lending Rates 246, Zero Beta
Model 249, Transaction Costs 250, Heterogeneous
Expectations and Planning Periods 250, Taxes 251
Empirical Test of the CAPM 252
Stability of Beta 252
Comparability of Published Estimates of Beta 252
Relationship between Systematic Risk
and Return 253
Effect ofSkewness on the Relationship 253, Effect ofSize,
P/E, and Leverage 253, Effect of Book to Market Value:
The Fama French Study 254, Summary of CAPM Risk
Return Empiral Results 255
The Market Portfolio: Theory versus Practice 257
What is Next? 261
Chapter 9 Multifactor Models of Risk
and Return 269
Arbitrage Pricing Theory 270
Using theAPT272, Security Valuation with theAPT:
An Example 274, Empirical Test of the APT276
Multifactor Models and Risk Estirnation 279
Multifactor Models in Practice 280, Estimating Risk in a
Multifactor Setting: Examples 286
Part 3 Valuation Principles and Practices 298
Chapter 10 Analysis of Financial
Statements 300
Major Financial Statements 301
Generally Accepted Accounting Principles 301, Balance
Sheet 302, Income Statement 302, Statement of Cash
Flows302, Measures ofCash Flow304, Purpose of
Financial Statement Analysis 307
Analysis of Financial Ratios 307
Importance of Relative Financial Ratios 308
Computation of Financial Ratios 309
Common Size Statements 309
Evaluating Internal Liquidity 309
Infernal Liquidity Ratios 312, Inventory Turnover 314
Evaluating Operating Performance 315
Operating Efficiency Ratios 316, Operating
Profitability Ratios 317
Risk Analysis 323
Business Risk 325, Financial Risk 326, Proportion of Debt
(Balance Sheet) Ratios 329, Earnings and Cash Flow ,
Coverage Ratios 331, External Market Liquidity Risk 334 i
Analysis of Growth Potential 335
Importance of Growth Analysis 335, Determinants of
I Growth 336
Comparative Analysis of Ratios 337
Infernal Liquidity 337, Operating Performance 338,
Risk Analysis 340, Growth Analysis 340
Analysis of Non U.S. Financial Statements 340
The Quality of Financial Statements 341
Balance Sheet 341, Income Statement 341, Footnotes 342
The Value of Financial Statement Analysis 342
Specific Uses of Financial Ratios 342
Stock Valuation Models 342, Estimating Systematic Risk
343, Estimating the Ratings on Bonds 344, Predicting
Insolvency (Bankruptcy) 344, Limitations of Financial
Ratios 345
Chapter 11 An Introduction to
Security Valuation 359
An Overview of the Valuation Process 361
Why a Three Step Valuation Process? 361
General Economics Influences 361, Industry Influences
363, Company Analysis 364, Does the Three Step
Process Work? 364
Theory of Valuation 365
Stream of Expected Returns (Cash Flows) 365, Required
Rate of Return 366, Investment Decision Process: A
Comparison of Estimated Values and Market Prices 366
Valuation of Alternative Investments 367
Valuation of Bonds 367, Valuation of Preferred Stock
368, Approaches to the Valuation of Common Stock
369, Why and When to Use the Discounted Cash Flow
Valuation Approach 370, Why and When to Use the
Relative Valuation Techniques 370, Discounted Cash
Flow Valuation Techniques 371, Infinite Period DDM and
Growth Companies 376, Valuation with Temporary
Supernormal Growth 377, Present Value of Operating
Free Cash Flows 378, Present Value ofFree Cash Flows
to Equity 379
Relative Valuation Techniques 380
Earnings Multiplier Model 380, The Price/Cash Flow
Ratio 383, The Price/Book Value Ratio 383, The
Price/Sales Ratio 384, Implementing the Relative
Valuation Technique 384
Estimating the Inputs: The Required Rate of
Return and the Expected Growth Rate of
Valuation Variables 385
Required Rate of Return (k) 385, Estimating the Required
Return for Foreign Securities 387, Expected Growth Rates
390, Estimated Dividend Growth for Foreign Stock 393
Chapter 11 Appendix 397
Derivation of Constant Growth Dividend Discount
Model (DDM)
Part 4 Analysis and Management of
Common Stocks 400
Chapter 12 Macroanalysis and Micro
valuation of the Stock Market 403
The Components of Market Analysis 404
Macromarket Analysis 404
Economic Activity and Security Markets 405, Economic
Series and Stock Prices 406, The Cydical Indicator
Approach 406, Monetary Variables, the Economy, and
Stock Prices 410, Money Supply and the Economy 410,
Money Supply and Stock Prices 411, Inflation, Interest
Rates, and Security Prices 412, Analysis of World Security
Markets 415
Microvaluation Analysis 415
Applying the DDM Valuation Model to the Market 416,
Market Valuation Using the Free Cash Flow to Equity
(FCFE) Model 423
Valuation Using the Earnings
Multiplier Approach 425
Two Part Valuation Procedure 425, Importance ofBoth
Components of Value 426
Estimating Expected Earnings per Share 428
Estimating Gross Domestic Product 429, Estimating Sales
per Share for a Market Series 429, Alternative Estimates of
Corporate Net Profits 431, Estimating Aggregate Operating
Profit Margin 431, Estimating Depreciation Expense 435,
Estimating Interest Expense 437, Estimating the Tax Rate
437, Calculating Earnings per Share: An Example 440
Estimating the Stock Market Earnings Multiplier 441
Determinants ofthe Earnings Multiplier 441, Estimating
the Required Rate of Return (k) 442, Estimating the
Growth Rate of Dividends (g) 442, Estimating the
Dividend Payout Ratio (DJEy) 442, Estimating an Earnings
Multiplier: An Example 444, Calculating an Estimate of the
Value for the Market Series 447, Using Other Relative
Valuation Ratios 447
Microvaluation of World Markets 450
Chapter 13 Industry Analysis 459
Why Do Industry Analysis? 460
Cross Sectional Industry Performance 461, Industry
Performance over Time 462, Performance of the
Companies within an Industry 462, Differences in Industry
Risk 462, Summary of Research on Industry Analysis 463,
Industry Analysis Process 463
The Business Cycle and Industry Sectors 463
Inflation 465, Interest Rates 465, International Economics
466, Consumer Sentiment 466
Structural Economic Changes and
Alternative Industries 466
Demographics 466, Lifestyles 467, Technology 467,
Politics and Regulations 467
Evaluating the Industry Life Cycle 468
Analysis of Industry Competition 470
Competition and Expected Industry Returns 470
Estimating Industry Rates of Return 472
Valuation Using the Reduced Form DDM 473, Industry
Valuation Using the Free Cash Flow to Equity (FCFE)
Model 481
Industry Analysis Using the Relative
Valuation Approach 484
The Earnings Multiple Technique 484
Other Relative Valuation Ratios 498
The Price/Book Value Ratio 501, The Price/Cash Flow
Ratio 501, The Price/Sales Ratio 502
Global Industry Analysis 504
Chapter 13 Appendix 510
A. Preparing an Industry Analysis: What Is an Industry?
B. Insights on Analyzing Industry ROAs
Chapter 14 Company Analysis and Stock
Valuation 513
Company Analysis versus the Valuation of Stock 514
Growth Companies and Growth Stocks 514, Defensive
Companies and Stocks 515, Cydical Companies and
Stocks 516, Speculative Companies and Stocks 516,
Value versus Growth Investing 516
Economic, Industry, and Structural Links to
Company Analysis 517
Economic and Industry Influences 517, Structural
Influences 517
Company Analysis 518
Firm Competitive Strategies 518, Focusing a Strategy 519,
SWOTAnalysis 520, Some Lessons from Lynch 521, Tenets
of Warren Buffett 521
Estimating Intrinsic Value 522
Present Value of Dividends 524, Present Value of
Dividends Model (DDM) 526, Present Value ofFree Cash
Flow to Equity 527, Present Value of Operating Free Cash
Flow 529, Relative Valuation Ratio Techniques 533
Estimating Company Eamings per Share 533
Company Sales Forecast 535, Estimating the Company
Profit Margin 538
Walgreen Co.'s Competitive Strategies 538
The Infernal Performance 538, Importance of
Quarterly Estimates 540
Estimating Company Earnings Multipliers 541
Macroanalysis of the Earnings Multiplier 541,
Microanalysis of the Earnings Multiplier 542, Making the
Investment Decision 548
Additional Measures of Relative Value 548
Price/Book Value (P/BV) Ratio 548, Price/Cash Flow (P/CF)
Ratio 549, Price/Sales (P/S) Ratio 550, Summary of Relative
Valuation Ratios 552
Analysis of Growth Companies 553
Growth Company Defined 554, Actual Returns above
Required Returns 554, Growth Companies and Growth
Stocks 554, Alternative Growth Models 555, No Growth
Firm 555, Long Run Growth Models 555, The Real World
558
Measures of Value Added 559
Economic Value Added (EVA) 559, Market Value Added
(MVA) 561, Relationship between EVA and MVA 562, The
Franchise Factor 562, Growth Duration Model 563
Site Visits and the Art of the Interview 566
When to Seil 567
Influences on Analysts 568
Efficient Markets 568, Paralysis ofAnalysis 568, Analyst
Conflicts oflnterest 569
Global Company and Stock Analysis 569
Availability of Data 569, DifferentialAccounting
Conventions 569, Currency Differences (Exchange Rate
Risk) 570, Political (Country) Risk 570, Transaction Costs
570, Valuation Differences 570, Summary 570
Chapter 15 Technical Analysis 582
Underlying Assumptions of Technical Analysis 583
Advantages of Technical Analysis 585
Challenges to Technical Analysis 586
Challenges to Technical Analysis Assumptions 586,
Challenges to Technical Trading Rules 586
Technical Trading Rules and Indicators 587
Contrary Opinion Rules 588, Follow the Smart Money
591, Momentum Indicators 592, Stock Price and Volume
Techniques 593
Technical Analysis of Foreign Markets 600
Foreign Stock Market Indexes 600, Technical Analysis of
Foreign Exchange Rates 601
Technical Analysis of Bond Markets 601
Chapter 16 Equity Portfolio Management
Strategies 606
Passive versus Active Management 607
An Overview of Passive Equity Portfolio
Management Strategies 608
Index Portfolio Construction Techniques 609, Tracking
Error and Index Portfolio Construction 610, Methods of
Index Portfolio Investing 612
An Overview of Active Equity Portfolio
Management Strategies 615
Fundamental Strategies 617, Technical Strategies 619,
Anomalies and Attributes 620, Miscellaneous Issues 622
Value versus Growth Investing: A Closer Look 625
An Overview of Style Analysis 629
Asset Allocation Strategies 634
Integrated Asset Allocation 634, Strategie Asset
Allocation 637, Tactical Asset Allocation 638, Insured
Asset Allocation 640, Selecting an Active Allocation
Method 640
Part 5 Analysis and Management of Bonds 646
Chapter 17 Bond Fundamentals 649
Basic Features of a Bond 650
Bond Characteristics 650, Rates of Return on
Bonds 652
The Global Bond Market Structure 653
Participating Issuers 654, Participating Investors 656, Bond
Ratings 656
Alternative Bond Issues 657
Domestic Government Bonds 657, Government Agency
Issues 661, Municipal Bonds 663, Corporate Bonds 665,
International Bonds 672
Obtaining Information on Bond Prices 673
Interpreting Bond Quotes 673
Chapter 18 The Analysis and Valuation
of Bonds 682
The Fundamentals of Bond Valuation 683
The Present Value Model 683, The Yield Model 686
Computing Bond Yields 687
Nominal Yield 687, Current Yield 687, Promised Yield to
Maturity 688, Promised Yield to Call 690, Realized
(Horizon) Yield 691
Calculating Future Bond Prices 692
Realized (Horizon) Yield with Differential Reinvestment
Rates 693, Price and Yield Determination on Noninterest
Dates 695, Yield Adjustments for Tax Exempt Bonds 695,
Bond Yield Books 696
Bond Valuation Using Spot Rates 696
What Determines Interest Rates? 699
Forecasting Interest Rates 699, Fundamental
Determinants of Interest Rates 700, The Term Structure
of Interest Rates 703
Calculating Forward Rates from the Spot
Rate Curve 708
Term Structure Theories 711
Expectations Hypothesis 711, Liquidity Preference
Hypothesis 713, Segmented Market Hypothesis 714,
Trading Implications ofthe Term Structure 715, Yield
Spreads 715
What Determines the Price Volatility for Bonds? 716
Trading Strategies 719, Duration Measures 719,
Modified Duration and Bond Price Volatility 723, Bond
Convexity 724, Duration and Convexity for Callable
Bonds 730, Limitations of Macauley and Modified
Duration 733
Yield Spreads with Embedded Options 741
Static Yield Spreads 741, Option Adjusted Spread 742
Chapter 18 Appendix 756
Chapter 19 Bond Portfolio Management
Strategies 757
Alternative Bond Portfolio Strategies 757
Passive Management Strategies 758, Active Management
Strategies 759, A Global Fixed Income Investment Strategy
770, Core Plus Bond Portfolio Management 772,
Matched Funding Techniques 773, Contingent
Immunization Procedures 782
Implications of Capital Market Theory and the
EMH on Bond Portfolio Management 788
Bonds and Total Portfolio Theory 789, Bonds and Capital
Market Theory 789, Bond Price Behavior in a CAPM
Framework 790, Bond Market Efficiency 791
Part 6 Derivative Security Analysis 802
Chapter 20 An Introduction to Derivative
Markets and Securities 805
Overview of Derivative Markets 806
The Language and Structure ofForward and Futures
Markets 807, Interpreting Futures Price Quotations: An
Example 809, The Language and Structure of Option
Markets 811, Interpreting Option Price Quotations: An
Example 813
Investing with Derivative Securities 816
The Basic Nature of Derivative Investing 816, Basic Payoff
Diagrams for Forward Contracts 818, Basic Payoff
Diagrams for Call and Put Options 820, Option Payoff
Diagrams: An Example 822
The Relationship between Forward and
Option Contracts 824
Put Call Spot Parity 825, Put Call Parity: An Example 826,
Creating Synthetic Securities Using Put Call Parity 828,
Adjusting Put Call Spot Parity for Dividends 829, Put Call
Forward Parity 830
An Introduction to the Use of Derivatives
in Portfolio Management 832
Restructuring Asset Portfolios with Forward Contracts 832,
Protecting Portfolio Value with Put Options 834, An
Alternative Way to Pay fora Protective Put 837
Chapter 21 Forward and Futures Contracts 847
An Overview of Forward and Futures Trading 848
Futures Contract Mechanics 849, Comparing Forward and
Futures Contracts 852
Hedging with Forwards and Futures 852
Hedging and the Basis 852, Understanding Basis Risk 853,
Calculating the Optimal Hedge Ratio 854
Forward and Futures Contracts: Basic
Valuation Concepts 855
Valuing Forwards and Futures 855, The Relationship
between Spot and Forwarded Prices 857
Financial Forwards and Futures: Applications
and Strategies 858
Interest Rate Forwards and Futures 858, Long Term
Interest Rate Futures 859, Short Term Interest Rate Futures
864, Stock Index Futures 869, Currency Forwards and
Futures 876
Chapter 21 Appendix 888
A A Closed Form Equation for Calculating Duration
B. Calculating Money Market Implied Forward Rates
Chapter 22 Option Contracts 892
An Overview of Option Markets and Contracts 893
Option Market Conventions 893, Price Quotations for
Exchange Traded Options 894
The Fundamentals of Option Valuation 902
The Basic Approach 902, Improving Forecast Accuracy
904, The Binomial Option Pricing Model 909, The Black
Scholes Valuation Model 912, Estimating Volatility 915,
Problems with Black Scholes Valuation 918
Option Valuation: Extensions and
Advanced Topics 918
Valuing European Style Put Options 918, Valuing
Options on Dividend Bearing Securities 919, Valuing
American Style Options 921, Other Extensions of the
Black Scholes Model 923
Option Trading Strategies 925
Protective Put Options 925, Covered Call Options 927,
Straddles, Strips, and Straps 929, Strangles 930, Chooser
Options 932, Spreads 932, Range Forwards 935
Chapter 23 Swap Contracts, Convertible
Securities, and Other
Embedded Derivatives 945
OTC Interest Rate Agreements 946
Forward Based Interest Rate Contracts 946,
Option ßased Interest Rate Contracts 955
A Swap Contracting Extension 958
Equality Index Linked Swaps 958
Warrants and Convertible Securities 961
Warrants961, Convertible Securities 962, Convertible
Preferred Stock 963, Convertible Bonds 964
Other Embedded Derivatives 968
Dual Currency Bonds 969, Equity Index Linked Notes 970,
Commodity Linked Bull and Bear Bonds 974, Swap
Linked Notes 975
Valuing Flexibility: An Introduction to
Real Options 978
Company Valuation with Real Options 979
Part 7 Specification and Evaluation of
Asset Management 992
Chapter 24 Professional Asset
Management 995
The Asset Management Industry: Structure
and Evolution 996
Private Management and Advisory Firms 1000
Investment Strategy at a Private Money Management
Firm 1001
Organization and Management of
Investment Companies 1004
Valuing Investment Company Shares 1004, Closed End
versus Open End Investment Companies 1005, Fund
Management Fees 1009, Investment Company Portfolio
Objectives 1010, Breakdown by Fund Characteristics
1012, Global Investment Companies 1013, Mutual Fund
Organization and Strategy: An Example 1014
Hedge Funds 1016
Charactehstics ofa Hedge Fund 1019, Hedge Fund
Strategies 1020, Risk Arbitrage Investing: A Closer Look
1022, Hedge Fund Performance 1025
Ethics and Regulation in the Professional
Asset Management Industry 1026
Regulation in the Asset Management Industry 1027,
Standards for Ethical Behavior 1028, Examples of Ethical
Conflicts 1030
What Do You Want from a Professional
Asset Manager? 1031
Chapter 25 Evaluation of Portfolio
Performance 1040
What is Required of a Portfolio Manager? 1041
Early Performance Measurement Techniques 1042
Portfolio Evaluation before 1960 1042, Peer Group
Comparisons 1043
Composite Portfolio Performance Measures 1043
Treynor Portfolio Performance Measure 1043, Sharpe
Portfolio Performance Measure 1047, Jensen Portfolio
Performance Measure 1049, The Information Radio
Performance Measure 1051
Application of Portfolio Performance
Measures 1052
Portfolio Performance Evaluation:
Some Extensions 1061
Components of Investment Performance 1061, Holdings
Based Performance Measurement 1064, Performance Attri¬
bution Analysis 1069, Measuhng Market Timing Skills 1073
Factors That Affect Use of Performance Measures 1074
Demonstration of the Global Benchmark Problem 1075,
Implications of the Benchmark Problems 1077, Required
Characteristics of Benchmarks 1077
Evaluation of Bond Portfolio Performance 1079
Returns Based Bond Performance Measurement 1080,
Bond Performance Attribution 1081
Reporting Investment Performance 1084
Time Weighted and Dollar Weighted Returns 1084,
Performance Presentation Standards 1086
Appendix A How to Become a CFA®
Charterholder 1097
Appendix B Code of Ethics and Standards of
Professional Conduct 1099
Appendix C Interest Tables 1101
Appendix D Standard Normal Probabilities 1105
Comprehensive References List 1106
Glossary 1132
Index 1147 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Reilly, Frank K. Brown, Keith C. |
| author_GND | (DE-588)170027376 |
| author_facet | Reilly, Frank K. Brown, Keith C. |
| author_role | aut aut |
| author_sort | Reilly, Frank K. |
| author_variant | f k r fk fkr k c b kc kcb |
| building | Verbundindex |
| bvnumber | BV021302770 |
| classification_rvk | QK 800 QK 810 |
| classification_tum | WIR 160f |
| ctrlnum | (OCoLC)491892472 (DE-599)BVBBV021302770 |
| dewey-full | 332.6 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 |
| dewey-search | 332.6 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 8. ed., international student ed. |
| format | Book |
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| id | DE-604.BV021302770 |
| illustrated | Illustrated |
| index_date | 2024-07-02T13:53:16Z |
| indexdate | 2025-02-20T06:37:55Z |
| institution | BVB |
| isbn | 0324405898 0324407459 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014623448 |
| oclc_num | 491892472 |
| open_access_boolean | |
| owner | DE-858 DE-863 DE-BY-FWS DE-91 DE-BY-TUM DE-1047 DE-703 DE-11 |
| owner_facet | DE-858 DE-863 DE-BY-FWS DE-91 DE-BY-TUM DE-1047 DE-703 DE-11 |
| physical | XXVII, 1174 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Thomson South-Western |
| record_format | marc |
| spellingShingle | Reilly, Frank K. Brown, Keith C. Investment analysis and portfolio management Analyse financière ram Gestion de portefeuille ram Gestion financière ram Investment analysis Portfolio management Investition (DE-588)4027556-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Wertpapieranlage (DE-588)4189703-1 gnd |
| subject_GND | (DE-588)4027556-5 (DE-588)4046834-3 (DE-588)4115601-8 (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_exact_search_txtP | 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 | Analyse financière ram Gestion de portefeuille ram Gestion financière ram Investment analysis Portfolio management Investition (DE-588)4027556-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Wertpapieranlage (DE-588)4189703-1 gnd |
| topic_facet | Analyse financière Gestion de portefeuille Gestion financière Investment analysis Portfolio management Investition Portfolio Selection Portfoliomanagement Wertpapieranlage |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014623448&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT reillyfrankk investmentanalysisandportfoliomanagement AT brownkeithc investmentanalysisandportfoliomanagement |
Indexes
THWS Würzburg Zentralbibliothek Lesesaal
| Call Number: |
1000 QK 810 R362(8) |
|---|---|
| Copy 1 | ausleihbar Available Place a Hold |