投資分析與組合管理

前言

　　自教育部在《關(guān)于加強(qiáng)高等學(xué)校本科教學(xué)工作提高教學(xué)質(zhì)量的若干意見(jiàn)》【教高（2001）4號(hào)】中提出雙語(yǔ)教學(xué)的要求后，各地高校相繼開設(shè)了一系列雙語(yǔ)教學(xué)課程。這對(duì)提高學(xué)生的學(xué)科和外文水平，開闊國(guó)際視野，培養(yǎng)創(chuàng)新型人才起到了重要的作用；一大批教師也逐漸熟悉了外文授課，自身的教學(xué)水平和能力得到較大提高，具備國(guó)際學(xué)術(shù)思維的中青年教師脫穎而出。同時(shí)，經(jīng)過(guò)近幾年的雙語(yǔ)教學(xué)實(shí)踐，國(guó)外原版教材量大、邏輯不夠清晰、疏離中國(guó)現(xiàn)實(shí)等問(wèn)題也影響了雙語(yǔ)教學(xué)的效果。因此，對(duì)外版教材進(jìn)行本土化的精簡(jiǎn)改編，使之更加適合我國(guó)的雙語(yǔ)教學(xué)已提上教材建設(shè)日程?！　榱藵M足高等學(xué)校經(jīng)濟(jì)管理類雙語(yǔ)課程本土化教學(xué)的需要，在教育部高等教育司的指導(dǎo)和支持下，高等教育出版社同ThomsonLearning等國(guó)外著名出版公司通力合作。在國(guó)內(nèi)首次推出了金融、會(huì)計(jì)、經(jīng)濟(jì)學(xué)等專業(yè)的英文原版改編教材。

內(nèi)容概要

本書作為注冊(cè)金融分析師（CFA）資格考試指定用書，集當(dāng)代投資理論和分析技術(shù)之大成的培養(yǎng)投資專家的權(quán)威性教材，也是國(guó)際上杰出的投資專家兼教育家精心撰寫的專業(yè)教材。由全美79所大學(xué)和研究機(jī)構(gòu)的同行教授給予了非常有價(jià)值的評(píng)論和建議，紐約證券交易所、美林集團(tuán)等相關(guān)機(jī)構(gòu)的72名專家為作者提供寶貴的意見(jiàn)。全書系統(tǒng)闡述了包括衍生證券在內(nèi)的投資環(huán)境和投資機(jī)會(huì)，并結(jié)合實(shí)例詳細(xì)分析了證券領(lǐng)域的最新理論和研究成果，如證券信息來(lái)源，資本資產(chǎn)定價(jià)模型，風(fēng)險(xiǎn)管理工具，企業(yè)發(fā)展周期，衍生證券中的套利策略和期權(quán)定價(jià)模型理論等。　　本書理論闡述新穎，案例分析翔實(shí)。特別適合作為高等院校投資學(xué)、金融學(xué)、金融工程專業(yè)雙語(yǔ)教學(xué)的高年級(jí)本科教材和研究生教材，也可以作為實(shí)際運(yùn)用工作者的參考書。

作者簡(jiǎn)介

FrardkK．Reiuy美國(guó)圣母瑪利亞大學(xué)的金融學(xué)教授，曾擔(dān)任過(guò)工商管理學(xué)院的院長(zhǎng)。他先后在伊利諾伊大學(xué)、康薩斯大學(xué)、懷俄明州大學(xué)以及圣母瑪利亞大學(xué)任教，并擔(dān)任過(guò)眾多學(xué)術(shù)組織，如財(cái)務(wù)管理學(xué)會(huì)、中西部工商管理學(xué)會(huì)以及中西部金融學(xué)會(huì)的主席。作為著名的金融學(xué)者，他在許多

書籍目錄

Part 1 THE INVESTMENT BACKGROUND　Chapter I 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-lncome 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 DevelopmentsPart 2 DEVELOPMENTS INPart 3 VALUATION PRINCIPLESPart 4 ANALYSIS AND MANAGEMENTPart 5 ANALYSIS ANDPart 6 SPECIFICATION AND

章節(jié)摘錄

　　Strong support for this ratio was provided by Fama and French who evaluated the joint effects of market beta, size, E/P ratio, leverage, and the BV/MV ratio （referred to as BE/ME） on a cross section of average returns. They analyzed the hypothesized positive relationship between beta and expected returns and found that this positive relationship held pre-1969 but disappeared dur- ing the period 1963 to 1990. In contrast, the negative relationship between size and average return was significant by itself and significant after inclusion of other variables.　　In addition, they found a significant positive relationship between the BV/MV ratio and aver- age return that persisted even when other variables are included. Most importantly, both size and the BV/MV ratio are significant when included together and they dominate other ratios. Specif- icaUy, although leverage and the E/P ratio were significant by themselves or with size, they　become insignificant when both size and the BV/MV ratio are considered.　　In summary, studies thathave used publicly available ratios to predict the cross section of expected returns for stocks have provided substantial evidence in conflict with the semistrong- form EMH. Significant results were found for P/E ratios, market value size, neglected firms, and BV/MV ratios. Although the Fama/French work indicated that the optimal combination appears to be size and the BV/MV ratio, a study by Jensen, Johnson, and Mercer indicates that this com- bination only works during periods of expansive monetary policy,

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