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出版时间:2008-06-30

出版社:高等教育出版社

以下为《投资分析与组合管理》的配套数字资源,这些资源在您购买图书后将免费附送给您:
  • 高等教育出版社
  • 9787040161649
  • 1
  • 251497
  • 平装
  • 16开
  • 2008-06-30
  • 930
  • 496
  • 经济学
  • 应用经济学
目录

 Part 1 THE INVESTMENT BACKGROUND
  Chapter 1 The Investment Setting
   What Is an Investment?
    Investment Defined
   Measures of Return and Risk
    Measures of Historical Rates of Return
    Computing Mean Historical Returns
    Calculating Expected Rates of Return
    Measuring the Risk of Expected Rates of Return
    Risk Measures for Historical Returns
   Determinants of Required Rates of Return
    The Real Risk-Free Rate
    Factors Influencing the Nominal Risk-Free
    Rate (NRFR)
    Risk Premium
    Risk Premium and Portfolio Theory
    Fundamental Risk versus Systematic Risk
   Relationship between Risk and Return
    Movements along the SML
    Changes in the Slope of the SML
    Changes in Capital Market Conditions or Expected Inflation
  Chapter 2 The Asset Allocation Decision
   Individual Investor Life Cycle
    The Preliminaries
    Life Cycle Net Worth and Investment Strategies
    Life Cycle Investment Goals
   The Portfolio Management Process
   The Need for a Policy Statement
    Understand and Articulate Realistic Investor Goals
    Standards for Evaluating Portfolio Performance
    Other Benefits
   Input to the Policy Statement
    Investment Objectives
    Investment Constraints
    Constructing the Policy Statement
   The Importance of Asset Allocation
    Real Investment Returns after Taxes and Costs
    Returns and Risks of Different Asset Classes
   Asset Allocation and Cultural Differences
  Chapter 3 Selecting Investments in a Global Market
   Global Investment Choices
    Fixed-Income Investments
    International Bond Investing
    Equity Instruments
    Special Equity Instruments: Options
    Futures Contracts
    Investment Companies
    Real Estate
    Low-Liquidity Investments
   Historical Risk-Returns on Alternative Investments
    Stocks, Bonds, and T-Bills
    World Portfolio Performance
  Chapter 4 Organization and Functioning of Securities Markets
   What Is a Market?
    Characteristics of a Good Market
    Organization of the Securities Market
   Primary Capital Markets
    Government Bond Issues
    Municipal Bond Issues
    Corporate Bond Issues
    Corporate Stock Issues
    Private Placements
   Secondary Financial Markets
    Why Secondary Markets Are Important
    Secondary Bond Markets
    Financial Futures
    Secondary Equity Markets
   Regional Exchanges and the Over-the-Counter Market
    Regional Securities Exchanges
    Over-the-Counter (OTC) Market
    Third Market
    Fourth Market
   Changes in the Securities Markets
    Evidence and Effect of Institutionalization
    Negotiated Commission Rates
    The Impact of Block Trades
    Institutions and Stock Price Volatility
    National Market System (NMS)
    New Trading Systems
    Global Market Changes
    Future Developments
 Part 2 DEVELOPMENTS IN INVESTMENT THEORY
  Chapter 5 Efficient Capital Markets
   Why Should Capital Markets Be Efficient?
   Alternative Efficient Market Hypotheses
    Weak-Form Efficient Market Hypothesis
    Semistrong-Form Efficient Market Hypothesis
    Strong-Form Efficient Market Hypothesis
   Tests and Results of Efficient Market Hypotheses
    Weak-Form Hypothesis: Tests and Results
    Semistrong-Form Hypothesis: Tests and Results
    Strong-Form Hypothesis: Tests and Results
   Behavioral finance
    Explaining Biases
   Implications of Efficient Capital Markets
    Efficient Markets and Technical Analysis
    Efficient Markets and Fundamental Analysis
  Chapter 6 An Introduction to Portfolio Management
   Some Background Assumptions
    Risk Aversion
    Definition of Risk
   Markowitz Portfolio Theory
    Alternative Measures of Risk
    Expected Rates of Return
    variance (Standard Deviation) of Returns for an Individual Investment
    Variance (Standard Deviation) of Returns for a Portfolio
    Standard Deviation of a Portfolio
    A Three-Asset Portfolio
    Estimation Issues
    The Efficient Frontier
    The Efficient Frontier and Investor Utility
  Chapter 7 An introduction to Asset Pricing Models
   Capital Market Theory: An Overview
    Background for Capital Market Theory
    Risk-Free Asset
    The Market Portfolio
   The Capital Asset Pricing Model: Expected Return and Risk
    The Security Market Line (SML)
   Relaxing the Assumptions
    Differential Borrowing and Lending Rates
    Zero-Beta Model
    Transaction Costs
    Heterogeneous Expectations and Planning Periods Taxes
   Empirical Tests of the CAPM
    Stability of Beta
   Relationship between Systematic Risk and Return
    Effect of Skewness on the Relationship
    Effect of Size, P/E, and Leverage
    Effect of Book-to-Market Value:
    The Fa ma-French Study
    Summary of CAPM Risk-Return Empirical Results
   The Market Portfolio: Theory versus Practice What Is Next?
  Chapter 8 Multifactor Models of Risk and Return
   Arbitrage Pricing Theory
    Security Valuation with the APT: An Example
    Empirical Tests of the APT
   Multifactor Models and Risk Estimation
    Multifactor Models in Practice
 Part 3 VALUATION PRINCIPLES AND PRACTICES
  Chapter 9 Analysis of Financial Statements
   Major Financial Statements
    Generally Accepted Accounting Principles
    Balance Sheet
    Income Statement
    Statement of Cash Flows
    Purpose of Financial Statement Analysis
   Analysis of Financial Ratios
    Importance of Relative Financial Ratios
   Computation of Financial Ratios
    Common-Size Statements
   Evaluating Internal Liquidity
    Internal Liquidity Ratios
   Evaluating Operating Performance
    Operating Efficiency Ratios
    Operating Profitability Ratios
   Risk Analysis
    Business Risk
    Financial Risk
    Proportion of Debt (Balance Sheet) Ratios
    Earnings Flow Ratios
    Cash Flow Ratios
    External Liquidity Risk
   Analysis of Growth Potential
    Importance of Growth Potential
    Determinants of Growth
   Comparative Analysis of Ratios
    Internal Liquidity
    Operating Performance
    Risk Analysis
    Growth Analysis
   The Value of Financial Statement Analysis Specific Uses of Financial Ratios
    Stock valuation Models
    Estimating Systematic Risk
    Estimating the Credit Ratings on Bonds
    Predicting Insolvency (Bankruptcy)
    limitations of Financial Ratios
  Chapter 10 An Introduction to Security Valuation
   An Overview of the Valuation Process
   Why a Three-Step Valuation Process?
    General Economic Influences
    Industry Influences
    Company Analysis
    Does the Three-Step Process Work?
   Theory of Valuation
    Stream of Expected Returns (Cash Flows)
    Required Rate of Return
    Investment Decision Process: A Comparison of Estimated Values and Market Prices
   valuation of Alternative Investments
    Valuation of Bonds
    Valuation of Preferred Stock
    Approaches to the Valuation of Common Stock
    Why and When to Use the Discounted Cash Flow
    Valuation Approach
    Why and When to Use the Relative Valuation
    Techniques
    Discounted Cash Flow Valuation Techniques
    Valuation with Temporary Supernormal Growth
    Present Value of Operating Free Cash Flows
    Present Value of Free Cash Flows to Equity
   Relative Valuation Techniques
    Earnings Multiplier Model
    The Price/Cash Flow Ratio
    The Price/Book Value Ratio
    The Price/Sales Ratio
    Implementing the Relative valuation Technique
   Estimating the Inputs: The Required Rate of Return and the Expected Growth Rate of Valuation Variables
    Required Rate of Return (k)
    Estimating the Required Return for Foreign
    Securities
    Expected Growth Rates
  Chapter 11 Macroeconomic and Market Analysis
   Economic Activity and Security Markets Cyclical indicator Approach to Forecasting the Economy
    Cyclical Indicator Categories
    Analytical Measures of Performance
    Limitations of the Cyclical Indicator Approach
    Other Leading Indicator Series
   Monetary Variables, the Economy,and Stock Prices
    Money Supply and the Economy
    Financial Conditions Index
    Money Supply and Stock Prices
    Other Economic Variables and Stock Prices
    Inflation, Interest Rates, and Security Prices
    Summary of Macroeconomic Analysis
 Part 4 ANALYSIS AND MANAGEMENT OF COMMON STOCKS
  Chapter 12 Stock Market Analysis
   Applying the DDM Valuation Model to the Market
    Market Valuation Using the Reduced Form DDM
   Estimating the Growth Rate of Dividends (g)
    Market Valuation Using the Free Cash Flow to Equity (FCFE) Model
   Valuation Using the Relative Valuation Approach
    Two-Part Valuation Procedure
    Importance of Both Components of Value
   Estimating Expected Earnings per Share
    Estimating Gross Domestic Product
    Estimating Sales per Share for a Market Series
    Alternative Estimates of Corporate Net Profits
    Estimating Aggregate Operating Profit Margin
    Estimating Depreciation Expense
    Estimating Interest Expense
    Estimating the Tax Rate
    Calculating Earnings per Share: An Example
   Estimating the Earnings Multiplier for a Stock Market Series
    Determinants of the Earnings Multiplier
    Estimating the Required Rate of Retum (k)
    Estimating the Growth Rate of Dividends (g)
    Estimating the Dividend-Payout Ratio (D1/E1)
   Calculating the Expected Rate of Return on Common Stocks
    Other Relative Valuation Ratios
  Chapter 13 Industry Analysis
   Why Do Industry Analysis?
    Cross-Sectional Industry Performance
    Industry Performance over Time
    Performance of the Companies
    within an Industry
    Differences in Industry Risk
    Summary of Research on Industry Analysis
    Industry Analysis Process
   The Business Cycle and Industry Sectors
    Inflation
    Interest Rates
    International Economics
    Consumer Sentiment
   Structural Economic Changes and Alternative Industries
    Demographics
    Lifestyles
    Technology
    Politics and Regulations
   Evaluating the Industry Life Cycle Analysis of Industry Competition
    Competition and Expected Industry Retums
   Estimating Industry Rates of Return
    Valuation Using the Reduced Form DDM
   Industry Analysis Using the Relative Valuation Approach
    The Earnings Multiple Technique
   Other Relative valuation Ratios
   Global Industry Analysis
  Chapter 14 Company Analysis and Stock Valuation
   Company Analysis versus the Valuation of Stock
    Growth Companies and Growth Stocks
    Defensive Companies and Stocks
    Cyclical Companies and Stocks
    Speculative Companies and Stocks
    Value versus Growth Investing
   Economic, Industry, and Structural Links to Company Analysis
    Economic and Industry Influences
    Structural Influences
   Company Analysis
    Firm Competitive Strategies
    Focusing a Strategy
    SWOT Analysis
    Some Lessons from Lynch
    Tenets of Warren Buffett
   Estimating Intrinsic Value
   Analysis of Growth Companies
    Growth Company Defined
    Actual Returns above Required Returns
    Growth Companies and Growth Stocks
    Growth Companies and the Dividend
    Discount Model
    Alternative Growth Models
    No-Growth Firm
    Long-Run Growth Models
    The Real World
   Measures of Value Added
    Economic Value Added (EVA)
    Market Value Added (MVA)
    Relationships between EVA and MVA
    The Franchise Factor
    Growth Duration Model
   Influences on Analysts
    Efficient Markets
    Paralysis of Analysis
    Analyst Conflicts of Interest
   Global Company and Stock Analysis
    Availability of Data
    Differential Accounting Conventions
    Currency Differences (Exchange Rate Risk)
    Political (Country) Risk
    Transaction Costs
    Valuation Differences
    Summary
  Chapter 15 Technical Analysis
   Underlying Assumptions of Technical Analysis
   Advantages of Technical Analysis
   Challenges to Technical Analysis
    Challenges to Technical Analysis Assumptions
    Challenges to Technical Trading Rules
   Technical Trading Rules and Indicators
    Contrary-Opinion Rules
    Follow the Smart Money
    Other Market Environment Indicators
    Stock Price and volume Techniques
  Chapter 16 Equity Portfolio Management Strategies
   Passive versus Active Management An Overview of Passive Equity Portfolio Management Strategies
    Index Portfolio Construction Techniques
    Tracking Error and Index Portfolio Construction
    Methods of Index Portfolio Investing
   An Overview of Active Equity Portfolio Management Strategies
    Fundamental Strategies
    Technical Strategies
    Anomalies and Attributes
    Miscellaneous Issues
   Value versus Growth Investing:
   A Closer Look
   An Overview of Style Analysis
   Asset Allocation Strategies
    Integrated Asset Allocation
    Strategic Asset Allocation
    Tactical Asset Allocation
    Insured Asset Allocation
    Selecting an Active Allocation Method
   Using Futures and Options in Equity
   Portfolio Management: An Overview
    Modifying Portfolio Risk and Return:
    An Introduction
    Using Derivatives in Passive Equity Portfolio Management
    Using Derivatives in Active Equity Portfolio Management
 Part 5 ANALYSIS AND MANAGEMENT OF BONDS
  Chapter 17 Bond Fundamentals
   Basic Features of a Bond
    Bond Characteristics
    Rates of Return on Bonds
   The Global Bond Market Structure
    Participating Issuers
    Participating Investors
    Bond Ratings
   Alternative Bond Issues
    Domestic Government Bonds
    Government Agency Issues
    Municipal Bonds
    Corporate Bonds
    International Bonds
  Chapter 18 The Analysis and Valuation of Bonds
   The Fundamentals of Bond Valuation
    The Present Value Model
    The Yield Model
   Computing Bond Yields
    Nominal Yield
    Current Yield
    Promised Yield to Maturity
    Promised Yield to Call
    Realized (Horizon) Yield
   Calculating Future Bond Prices
    Price and Yield Determination on Noninterest Dates
    Yield Adjustments for Tax-Exempt Bonds
    Bond Yield Books
   Bond Valuation Using Spot Rates
   What Determines Interest Rates?
    Forecasting Interest Rates
    Fundamental Determinants of Interest Rates
    Term Structure of Interest Rates
   Calculating Forward Rates from the Spot Rate Curve Term Structure Theories
    Expectations Hypothesis
    Liquidity Preference Hypothesis
    Segmented Market Hypothesis
    Trading Implications of the Term Structure
    Yield Spreads
   What Determines the Price Volatility for Bonds?
    Trading Strategies
    Duration Measures
    Modified Duration and Bond Price Volatility
    Bond Convexity
    Limitations of Macaulay and Modified Duration
   Yield Spreads with Embedded Options
    Static Yield Spreads
  Chapter 19 Bond Portfolio Management Strategies
   Alternative Bond Portfolio Strategies
    Passive Management Strategies
    Active Management Strategies
    A Global Fixed-Income Investment Strategy
    Core-Plus Bond Portfolio Management
    Matched-Funding Techniques
   Implications of Capital Market Theory and the EMH on Bond Portfolio Management
    Bonds and Total Portfolio Theory
    Bonds and Capital Market Theory
    Bond Price Behavior in a CAPM Framework
    Bond Market Efficiency
 Part 6 SPECIFICATION AND EVALUATION OF ASSET MANAGEMENT
  Chapter 20 Professional Asset Management
   The Asset Management Industry:Structure and Evolution
   Private Management and Advisory Firms
    Investment Strategy at a Private Money
    Management Firm
   Management of Investment Companies
   Valuing Investment Company Shares
   Closed-End versus Open-End Investment Companies
    Closed-End Investment Companies
    Open-End Investment Companies
    Fund Management Fees
   Types of Investment Companies Based on Portfolio Makeup
    Common Stock Funds
    Hybrid Funds
    Bond Funds
    Money Market Funds
    Breakdown by Fund Characteristics
   Global Investment Companies
   Ethics and Regulation in the Professional
   Asset Management Industry
   Performance of Investment Companies
    Analysis of Overall Performance
    Investment Style and the Classification of Mutual Funds
    Investment Style and Performance Persistence
    What Performance Studies Mean to You
  Chapter 21 Evaluation of Portfolio Performance
   What Is Required of a Portfolio Manager?
   Composite Portfolio Performance Meas Ires
    Portfolio Evaluation before 1960
    Peer Group Comparisons
    Treynor Portfolio Performance Measure
    Sharpe Portfolio Performance Measure
    Jensen Portfolio Performance Measure
    The Information Ratio Performance Measure
  Application of Portfolio Performance Measures
   Components of Investment Performance
  Performance Attribution Analysis
   Asset Class Attribution Analysis; An Example
  Measuring Market Timing Skills
  Factors That Affect Use of Performance Measures
  A Demonstration of the Global Benchmark Problem
   Implications of the Benchmark Problems
   Required Characteristics of Benchmarks
  Evaluation of Bond Portfolio Performance
   A Bond Market Line
   Decomposing Portfolio Returns
   Analyzing Sources of Return
   Consistency of Performance
  Reporting Investment Performance
   Time-Weighted and Dollar-Weighted Returns

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