Modern investment theory现代投资理论(第4版)

书籍目录

CONTENTS

IN BRIEF

Preface xvii

PART ONE

BACKGROUND

1 Introduction to Modern Investment Theory

2 Securities and Markets

3 Some Statistical Concepts

PART TWO

PORTFOLIO MANAGEMENT

4 Combining Individual Securities into Portfolios

5 Finding the Efficient Set

6 Factor Models

PART THREE ___

RISK, EXPECTED RETURN, AND PERFORMANCE MEASUREMENT

7 The Capital Asset Pricing Model

8 Empirical Tests of the Capital Asset Pricing Model

9 The Arbitrage Pricing Theory

10 The Tracking Power of Markowitz Portfolio Optimization

11 Measuring Portfolio Performance

PART FOUR

INTEREST RATES AND BOND MANAGEMENT

12 The Level oflnterest Rates

13 The Term Structure of Interest Rates

14 Bond Portfolio Management

15 Interest Immunization

PART FIVE

THE PRICING OF DERIVATIVE SECURITIES

16 European Option Pricing

17 American Option Pricing

18 Additional Issues in Option Pricing

19 Financial Forward and Futures Contracts

PART SIX

ISSUES IN INVESTMENT MANAGEMENT

20 The Effect ofTaxes on Investment Strategy

and Securities Prices

21 Stock Valuation

22 Issues in Estimating Future Earnings and Dividends

23 Market Efficiency: The Concept

24 Market Efficiency: The Evidence

Appendix 10: Additional Properties ofthe Minimum

Variance Set

Appendix 11: Invest Software

Glossary

Index

CONTENTS

PREFACE xvii

PART ONE

BACKGROUND

2

INTRODUCTION TO MODERN INVESTMENT THEORY

THE DEVELOPMENT OF MODERN INVESTMENT THEORY

WHY SHOULD YOU LEARN MODERN INVESTMENT THEORY?

SECURITIES AND MARKETS

SECURITIES Govemment Bonds Corporate Fixed Income Securities

Corporate Stock Options and Warrants Forward and Futures

Contracts The Sharcs of Investment Companies and Mutual Funds

THE FINANCIAL MARKETS The Difference Between Primary and

Secondary Markets Organized Exchanges for Common Stock and Bonds

Organized Exchanges for Options Organized Exchanges for Futures

Contracts The Over-the-Counter Market Computerized Trading

Techniques SUMMARY

3 SOME STATISTICAL CONCEPTS

THE SIMPLE OR MARGINAL PROBABILITY DISTRIBUTION The

Population Expected Value and Variance The Sample Mean and Variance

THE JOINT PROBABILITY DISTRIBUTION The Sample Covariance

The Population Covariance The Correlation Coefficient The Coefficient

of Determination THE RELATIONSHIP BETWEEN A STOCK AND THE

MARKET PORTFOLIO The Characteristic Line The Beta Factor

Residual Variance SUMMARY

PART TWO

PORTFOLIO MANAGEMENT

4 COMBINING INDIVIDUAL SECURITIES INTO PORTFOLIOS

THE RISK AND EXPECTED RETURN OF A PORTFOLIO The Portfolio's

Rate of Return The Portfolio's Expected Rate of Retum The Portfolio's

Variance COMBTNATION LINES The Cases of Perfect Positive and

Negative Correlation Borrowing and Lending at a Risk-Free Rate

SUMMARY APPENDIX 1: FORMULAS FOR THE EXPECTED RATE OF

RETURN AND VARIANCE OF A PORTFOLIO

5 FINDING THE EFFICIENT SET

THE MINIMUM VARIANCE AND EFFICIENT SETS FINDING THE

EFFICIENT SET WITH SHORT SELLING The Isoexpected Retum Lines

The Isovariance Ellipses The Critical Line FINDING THE

MINIMUM VARIANCE WITHOUT SHORT SELLING TWO IMPORTANT

PROPERTIES OF THE MINIMUM VARIANCE SET SUMMARY

APPENDIX 2: A THREE-DIMENSIONAL APPROACH TO FINDING THE

EFFICIENT SET APPENDIX 3: USING LAGRANGIAN MULTIPLIERS

TO FIND THE MINIMUM VARIANCE SET APPENDIX 4: PROOF OF

PROPERTY 11 APPENDIX 5: UTILITY AND RISK AVERSION

6 FACTOR MODELS

FACTOR MODELS TO ESTIMATE VOLATILITY OF RETURN The

Single-Factor Model The Single-Factor Model's Simplified Formula for

Portfolio Variance An Example Where the Single-Factor Model Works

An Example of a Potential Problem with the Single-Factor Model Multifactor

Models Estimating Portfolio Variance Using a Multifactor Model: An

Example MODELS FOR ESTIMATING EXPECTED RETURN

Firm Characteristics (Factors) That Induce Differentials in Expected Retums

Estimating and Projecting Factor Payoffs A Test of the Accuracy of Expected

Retum Factor Models Simulating the Performance of the Expected Retum

Factor Model SUMMARY

PART THREE

RISK, EXPECTED RETURN, AND PERFORMANCE MEASUREMENT

7 THE CAPITAL ASSET PRICING MODEL

THE ASSUMPTIONS OF THE CAPITAL ASSET PRICING MODEL

Assumption 1: Investors Can Choose Between Portfolios on the Basis of Expected

Retum and Variance Assumption 11: All Investors Are in Agreement

Regarding the Planning Horizon and the Distributions of Security Retums

Assumption III: There Are No Frictions in the Capital Market THE

CAPITAL ASSET PRICING MODEL WITH UNLIMITED BORROWING AND

LENDING AT A RISK-FREE RATE The Capital Market Line

Measuring the Risk of an Individual Asset The Relationship Between the

Risk of an Asset and Its Expected Rate of Retum The Positioning of

Characteristic Lines under the Capital Asset Pricing Model The Positions of

Individual Assets in Expected Return, Standard Deviation Space Market

Pressure to Assume Equilibrium Prices THE CAPITAL ASSET PRICING

MODEL WITH NO RISK-FREE ASSET THE CAPITAL ASSET PRICING

MODEL WHEN A RISK-FREE ASSET EXISTS BUT WE CAN'T SELL IT

SUMMARY

8 EMPIRICAL TESTS OF THE CAPITAL ASSET PRICING MODEL

EARLY TESTS OF THE CAPITAL ASSET PRICING MODEL The Black,

Jensen, and Scholes Test (1972) The Fama-MacBeth Study (1974)

ROLL'S CRITIQUE OF TESTS OF THE CAPITAL ASSET PRICING MODEL

Previous Tests as Tautologies Can the Capital Asset Pricing Model Ever Be

Tested? THE OTHER SIDE OF THE ISSUE Tautologies Can't

Predict the Future Can You Reject the CAPM ifYou Find No Efficient

Portfolios with Positive Portfolio Weights? Testing a Contained CAPM

Sensitivity Analysis to Alemative Market Indices MORE RECENT TESTS

OF THE CAPM SUMMARY

9 THE ARBITRAGE PRICING THEORY

DERIVING THE ARBITRAGE PRICING THEORY The APT with an

Infinite Number of Securities The APT with a Finite Number of

10

Securities EMPIRICAL TESTS OF THE APT Initial Empirical

Tests Is the APT Testable in Principle? THE CONSISTENCY OF

THE APT AND THE CAPM SUMMARY

THE TRACKING POWER OF MARKOWITZ PORTFOLIO

OPTIMIZATION

CONDITIONS REQUIRED FOR THE EFFICIENCY OF CAP-WEIGHTED

PORTFOLIOS WHEN CAP-WEIGHTED PORTFOLIOS ARE

EFFICIENT WHEN CAP-WEIGHTED PORTFOLIOS ARE

INEFFICIENT What If We Disagree? What If Some of Us Can't Sell

Short? Tax Avoidance Human Capital Foreign Investors

The Benefits of Portfolio Optimization A SIMPLE TEST OF THE

EFFICIENCY OF THE CAP-WEIGHTED INDEX TRACKING TARGETS

WITH STOCK PORTFOLIOS Tracking Targets with Factor Models

Tracking a Target with the Markowitz Bullet TRACKING THE RATE OF

INFLATION WITH THE MARKOWITZ BULLET SUMMARY

APPENDIX 6: FINDING THE PORTFOLIO WITH THE MINIMUM VOLATILITY

OF DIFFERENCES

1 1 MEASURING PORTFOLIO PERFORMANCE

MEASURING THE RATE OF RETURN TO A PORTFOLIO THE NEED

FOR RISK-ADJUSTED PERFORMANCE MEASURES RISK-ADJUSTED

PERFORMANCE MEASURES BASED ON THE CAPITAL ASSET PRICING

MODEL The Jensen Ihdex The Treynor Index The Sharpe

Index PITFALLS IN MEASURING PERFORMANCE WITH THE JENSEN,

TREYNOR, AND SHARPE INDICES Misspecifying the Market Pricing

Structure Misspecification of the Market Index MEASURING

PERFORMANCE USING THE ARBITRAGE PRICING THEORY

MEASURING PERFORMANCE WITHOUT THE USE OF AN ASSET PRICING

MODEL SUMMARY

PART FOUR

INTEREST RATES AND BOND MANAGEMENT

1 2 THE LEVEL OF INTEREST RATES

THE REAL AND NOMINAL RATES OF INTEREST INTEREST RATES

AND THE SUPPLY AND DEMAND FOR MONEY The Transactions

Demand for Money The Speculative Demand for Money The Total

Demand for Money The Supply of Money and the Equilibrium Interest

Rate INVESTMENT, SAVING, AND NATIONAL INCOME THE

EFFECT OF A CHANGE IN THE MONEY SUPPLY ON REAL AND NOMINAL

INTEREST RATES THE EFFECT OF A CHANGE IN FISCAL

POLICY A Tax Cut Monetizing the Deficit

SUMMARY

13 THE TERM STRUCTURE OF INTEREST RATES

THE NATURE AND HISTORY OF THE TERM STRUCTURE DRAWING

THE TERM STRUCTURE METHODS OF COMPUTING THE YIELD TO

MATURITY The Arithmetic Mean Yield to Maturity The Geometric

Mean Yield to Maturity The Intemal Yield to Maturity A BRIEF

OVERVIEW OF THE THREE THEORIES OF THE TERM STRUCTURE

THE MARKET EXPECTATIONS THEORY OF THE TERM STRUCTURE

THE LIQUIDITY PREFERENCE THEORY OF THE TERM STRUCTURE

THE MARKET SEGMENTATION THEORY OF THE TERM STRUCTURE

DERIVING THE MARKET'S FORECAST OF FUTURE INTEREST RATES

FROM THE TERM STRUCTURE Finding the Market's Forecast from

Arithmetic Mean Yields Finding the Market's Forecast with Intemal

Yields SUMMARY APPENDIX 7: AVERAGING MULTIPLE

RATES OF RETURN

14 BOND PORTFOLIO MANAGEMENT

ESTIMATING THE EXPECTED RETURN OF A BOND FOR PORTFOLIO

ANALYSIS Forecasting Expected Retums on Treasury Bonds

Forecasting Expected Retums on Corporate Bonds A DURATION-BASED

APPROACH TO ESTIMATING THE RISK OF A BOND PORTFOLIO A

MARKOWITZ APPROACH TO BOND RISK MANAGEMENT DIVIDING

THE PORTFOLIO BETWEEN BONDS AND STOCK SUMMARY

15 INTEREST IMMUNIZATION

CASH MATCHING AND INTEREST IMMUNIZATION ALTERNATIVE

MEASURES OF DURATION Macaulay's Duration Fisher-Weil

Duration Duration and Yield Elasticity Duration and the Response of

the Value of a Stream of Payments or Receipts to a Change in Discount Rates

Cox, Ingersoll, Ross Duration IMMUNIZING WITH MACAULAY'S

DURATION: THE CASE OF A SINGLE-PAYMENT LIABILITY The Effect

of Interest Rate Changes on Present Values The Effect of Interest Rate

Changes on Terminal Values COMPUTING THE MACAULAY DURATION

AND INTERNAL YIELD OF A BOND PORTFOLIO Combination Lines

xii CONTENTS

for Intemal Yield and Duration IMMUNIZING WITH THE MACAULAY

DURATION: THE CASE OF A MULTIPLE-PAYMENT LIABILITY A

TEST OF THE RELATIVE EFFECTIVENESS OF THE THREE DURATION

MEASURES SUMMARY

PART FIVE

THE PRICING OF DERIVATIVE SECURITIES

16 EUROPEAN OPTION PRICING

PRICING OPTIONS UNDER RISK NEUTRALITY AND UNIFORM

PROBABILITY DISTRIBUTIONS Valuing a Call Option Valuing a

Put Option The Relationship Between Option Values and Stock Values

The Effect of a Change in Stock Variance on Option Values BINOMIAL

OPTION PRICING Binomial Call Option Pricing over a Single Period

Binomial Put Option Pricing over a Single Period Binomial Option Pricing

over Multiple Periods VALUING OPTIONS USING THE BLACK-

SCHOLES FRAMEWORK The Black-Scholes Value for a Call Option

Estimating the Variance of the Stock's Retum The Black-Scholes Value for a

Put Option The Relationship Between Black-Scholes Put and Call Values and

Underlying Stock Prices Using the Black-Scholes Framework to Value

Options on Stocks That Pay Dividends PUT-CALL PARITY

SUMMARY APPENDIX 8: PROOF THAT IS THE

PROBABILITY OF EXERCISE FOR A CALL OPTION ON A STOCK WITH A

UNIFORM DISTRIBUTION

17 AMERICAN OPTION PRICING

THE LOWER LIMITS TO THE VALUE OF AMERICAN OPTIONS Floors

Supporting American Call Options Market Forces Supporting the Hard

Floor Market Forces Supporting the Soft Floor Floors Supporting

American Put Options THE VALUE OF EARLY EXERCISE When

the Right to Exercise Early Has No Value How Dividend Payments May

Induce Early Exercise of American Call Options Early Exercise of American

Put Options THE BINOMIAL MODEL AS AN AMERICAN OPTION-

PRICING MODEL SUMMARY APPENDIX 9: THE GESKE-

ROLL-WHALEY AMERICAN OPTION-PRICING MODEL

18 ADDITIONAL ISSUES IN OPTION PRICING

USING THE OPTION-PRICING FORMULAS TO FIND THE MARKET'S

ESTIMATE OF THE STOCK'S VARIANCE BIAS PROBLEMS IN

19

OPTION-PRICING MODELS Changing Volatility as a Source of Bias in

Option-Pricing Models Bias from Using European Models to Value American

Options Pricing Bias Resulting from Error in the Model's Inputs

OPTION STRATEGIES The Straddle The Butterfly Spread

Computing the Expected Retum on an Option Strategy Delta, Gamma, and

Theta Getting Delta Neutral Portfolio Insurance COMPLEX

SECURITIES AS PORTFOLIOS OF OPTIONS Common Stock as an

Option Bonds as Portfolios of Options and Option Complements

SUMMARY

FINANCIAL FORWARD AND FUTURES CONTRACTS

CHARACTERISTICS OF FORWARD AND FUTURES CONTRACTS

THE DETERMINATION OF FORWARD PRICES The Relationship Between

the Forward Price and the Current Commodity Price The Relationship

Between the Forward Price and the Expected Commodity Price The

Consistency of the Two Expressions for the Forward Price Market Value of

Previously Issued Forward Contracts DETERMINATION OF FUTURES

PRICES The Sign of the Premiums for Various Financial Futures

The Significance of the Premiums to Investors and Financial Managers

THE SECURITY UNDERLYING A FUTURES CONTRACT TO BUY

TREASURY BONDS HEDGING WITH BOND FUTURES

CONTRACTS USES OF STOCK INDEX FUTURES FULL

COVARIANCE APPROACH TO CONSTRUCTING A FUTURES OVERLAY

SUMMARY

PART SIX

ISSUES IN INVESTMENT MANAGEMENT

20 THE EFFECT OF TAXES ON INVESTMENT STRATEGY

AND SECURITIES PRICES

THE TAX STRUCTURE What Investment Income Is Taxed? 574

Capital Gains and Losses TAXES AND INVESTMENT STRATEGY 575

Computing After-Tax Rates of Retum The Locked-In Effect 577

Dividend Clienteles THE EFFECT OF TAXES ON SECURITIES

PRICES The Effect of Dividends on Expected Stock Retums 581

Relative Expected Retums on Taxable and Tax-Exempt

Securities SUMMARY

21 STOCK VALUATION

A FRAMEWORK FOR VALUING COMMON STOCKS Dividends versus

Eamings The Constant Growth Model The Multistage Growth

Model COMPUTERIZED THREE-STAGE STOCK VALUATION

PRICE-EARNINGS RATIO What Determines the Level of the Price-

Eamings Ratio? Changes That Can Be Expected in the Price-Eamings Ratio

overTime SUMMARY

22 ISSUES IN ESTIMATING FUTURE EARNINGS

AND DIVIDENDS

PAYING IN ADVANCE FOR GROWTH THE LINK BETWEEN GROWTH

AND STOCK VALUATION AND RISK AND EXPECTED RETURN THE

ACCURACY OF PREDICTIONS OF GROWTH IN EARNINGS AND

DIVIDENDS Is Past Growth a Reliable Guide to Future Growth?

The Accuracy of Growth Forecasts Made by Professional Analysts The

Accuracy of Short-Term Professional Forecasts The Accuracy of Long-Term

Professional Forecasts The Accuracy of Market Forecasts of the Growth in

Eamings Per Share IMPLICATIONS FOR INVESTMENT STRATEGY

SUMMARY

23 MARKET EFFICIENCY: THE CONCEPT

FORMS OF THE EFFICIENT MARKET HYPOTHESIS THE

SIGNIFICANCE OF THE EFFICIENT MARKET HYPOTHESIS RISK

AND EXPECTED RETURN IN AN EFFICIENT MARKET QUICK

AND ACCURATE RESPONSE TO NEW INFORMATION SYSTEMATIC

PATTERNS IN STOCK PRICES RELATED ONLY TO TIME-VARYING

INTEREST RATES AND RISK PREMIA FAILURE OF SIMULATED

TRADING STRATEGIES MEDIOCRITY IN THE PERFORMANCE

OF INFORMED INVESTORS SUMMARY

24 MARKET EFFICIENCY: THE EVIDENCE

DO SECURITY PRICES RESPOND RAPIDLY AND ACCURATELY TO THE

RECEIPT OF NEW INFORMATION? Measuring Stock Price Response

The Response of Stock Prices to the Announcement of a Stock Split The

Reaction of Stock Prices to Quarterly Earnings Reports Further Evidence on

the Reaction of Stock Prices to Positive and Negative Events THE

BEHAVIOR OF CHANGES IN STOCK PRICES Studies of Serial

Correlation The Day-of-the-Week Effect Studies of Seasonality

DO TRADING RULES FAIL UNDER SIMULATION? ARE

PROFESSIONAL INVESTORS DISTINCTIVE IN TERMS OF THEIR

PERFORMANCE? SUMMARY

APPENDIX 10: ADDITIONAL PROPERTIES OF THE MINIMUM

VARIANCE SET

APPENDIX 11: INVEST SOFTWARE

GLOSSARY

INDEX

作者简介

本书是一部小型的投资管理百科全书。从背景知识到证券投资管理的一般原则；从详尽的资本资产定价模型（CAPM）和套利定价理论（APT）到衍生证券定价（欧式、美式）；从风险、利率、利息收益到利率与债券管理、股票与债券的最优组合；从股票波动到市场效率等投资管理内容。

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