CFA上海一级强化班EquityInvestments_曾丹华.ppt

金程教育09年12月CFA一级强化班讲义 Equity Investments,讲师：曾丹华 CFA zdanhua 日期：2009年9月 地点： 上海 北京 深圳,上海金程国际金融专修学院,2,CFA一级课程框架,Welcome to Stock Market,4,Study Session 13 Securities Markets R52 Organization and Functioning of Securities Markets R53 Security-Market Indexes R54 Efficient Capital Markets R55 Market Efficiency and Anomalies Study Session 14 Industry and Company Analysis R56 An Introduction to Security Valuation R57 Industry Analysis R58 Company Analysis and Stock Valuation R59 Introduction to Price Multiples,Overview of Equity Valuation,5,Organization and function,Index,EMH,Market Efficiency,Characteristic of good market Primary & Secondary market Orders Transaction,Methodologies Bias Other index,Hypothesis Tests and Results Implication Behavioral Finance,Limitations Misprice Anomalies,The Basic Conception of Security Market,Framework of SS13,6,Organization and Functioning of Securities Markets,Characteristics of a Good Market Timely and Accurate Information information on price and volume of past transactions and on current supply and demand conditions Liquidity Internal Efficiency (low transaction cost) Informational (External) Efficiency price adjust rapidly to new information.,LOS52a. describe the characteristics of a well-functioning securities market;,Marketability Price Continuity Depth (Trading Vol.),Market Depth,8,Equity Market,LOS52b. distinguish between primary and secondary capital markets, and explain how secondary markets support primary markets; LOS52c. distinguish between call and continuous markets;,Primary Capital Market sales of new issues of securities Importance of Underwriter Origination Risk bearing Distribution 发行新股的种类 首次发行，IPO 增发,9,Equity Market,the stock is only traded at specific times. All trades, bids, and asks are declared, and then one negotiated price is set that clears the market for the stock. Continuous markets trades occur at any time the market is open.,LOS52b. distinguish between primary and secondary capital markets, and explain how secondary markets support primary markets; LOS52c. distinguish between call and continuous markets;,Secondary Capital Market The Importance of the Secondary Market Market Structure Call Markets,Provide Liquidity Provide Price Information,10,Equity Market,OTC market , third market &fourth market OTC market over-the-counter market.柜台市场，场外交易，协商定价 Trades occur electronically rather than on a physical trading floor. Third market Stocks listed on a registered exchange may also be traded in the OTC market. Nonmember investment firms can make markets in and trade registered securities without going through the exchange. Fourth market Include electronic communications networks. These systems do not list stocks, but stocks that are listed on exchanges trade on the alternative systems.,LOS52d. compare and contrast the structural differences among national stock exchanges, regional stock exchanges, and the over-the-counter (OTC) markets;,11,Equity Market,Pure Auction Market (Price Driven) VS. Dealer Market (Order Driven),LOS52e. compare and contrast major characteristics of exchange markets, including exchange membership, types of orders, and market makers;,Exchange membership,Specialist:老大（世袭制） control limit order book, post bid and ask price, trade for his own account. Commission broker execute customer trades for a brokerage firm. Floor broker freelance broker for other CB Registered traders trade for his own account,市价单 Market Order: buy or sell at the best price available 限价单 Limit Buy Order : a limit below the specified price Limit Sell Order : a limit above the spedified price 卖空单 Short Sale Order: borrow stock, sell it; return back 止损单 Stop Loss Order :used to prevent losses or to protect profits,Types of Order,Stop loss order of trend followers,15,Organization and Functioning of Securities Markets,Short Sale The Process of Selling a Stock Short Borrow and sell Return the security Keep a portion of proceeds of short sale on deposit with broker The Motivation of Selling a Stock Short The short seller thinks the current price is too high (overpriced) and that it will fall in the future. Note: Unlike a long position, the potential loss of a short sale is unlimited.,LOS52f. describe the process of selling a stock short and discuss an investors likely motivation for selling short,Rules of Short Sell,The Rules / Requirements of Selling a Stock Short Uptick Rule: can only be shorted in an up market Dividends Payment Rule: pay all dividends due to the lender of the security. Collateral Deposit Rule: deposit collateral to guarantee the eventual repurchase of the security.,Short US Dollar in a DOWN market,Uptick rule,思考：设置up-tick rule的意义在哪里？,19,Margin 孖展,Margin Transaction Computation of the Return on a Margin Transaction Some Relevant Terms Margin Requirement / Initial Margin / Maintenance Margin / Margin Call Computation of the Price Triggering a Margin Call,Margin Call Price for a Long Position,Margin Call Price for a Short Position,LOS52g. describe the process of buying a stock on margin, compute the rate of return on a margin transaction, define maintenance margin, and determine the stock price at which the investor would receive a margin call.,习题时间,Lauren has a margin account and deposits $50,000. Assuming the prevailing margin requirement is 40 percent, commissions are ignored, and the Gentry Shoe Corporation is selling at $35 per share. A. How many shares can Lauren purchase using the maximum allowable margin? B. What is Laurens profit (loss) if the price of Gentrys stock I. rises to $45? II. falls to $25? C. If the maintenance margin is 30 percent, to what price can Gentry Shoe fall before Lauren will receive a margin call?,Solution,A Solution： Since the margin is 40 percent and Lauren currently has $50,000 on deposit in her margin account, if Lauren uses the maximum allowable margin, her $50,000 deposit must represent 40% of her total investment. Thus, if $50,000 =0.4x, then x = $125,000. Since the shares are priced at $35 each, Lauren can purchase $125,000 $35 = 3,571 shares (rounded).,Solution,B Solution： Total profit = Total return Total investment I. If stock rises to $45/share, Laurens total return is: 3,571 shares X $45 = $160,695. Total profit $160,695 $124,985 = $35,710 II. If stock falls to $25/share, Laurens total return is: 3,571 shares x $25= $89,275. Total loss $89,275 $124,985 = $35,710.,Solution,C Solution： Margin = （Market value Debit balance）/Market value where Market value = Price per share*Number of shares Initial loan value= Total investment Initial margin= $125,000 $50,000 = $75,000 Therefore, if maintenance margin is 30 percent: 0.30 =（3,571* Price） $75,000/(3,571 * Price) 0.30 *3,571 *Price= (3,571 / Price) $75,000. 1,071.3 * Price= (3,571 * Price) $75,000 2,499.7* Price= $75,000 Price = $30.00,24,Security-Market Indexes,LOS53a. compare and contrast the characteristics of, and discuss the source and direction of bias exhibited by, each of the three predominant weighting schemes used in constructing stock market indexes, and compute a price-weighted, a value- weighted, and an unweighted index series for three stocks;,Uses of Security Market Index As benchmarks to evaluate the performance of professional money managers To create and monitor an index fund To measure market rates of return in economic studies For predicting future market movements by technicians As a proxy for the market portfolio of risky assets when calculating the systematic risk of an asset,Market Index Construction,The Samplecomponent Weighting Sample Membersweight Computational procedurecalculation,26,Market Value-Weighted Series MV-Weighted Index =,Un-weighted Price Indicator Series (Equal Dollar-Weighted),Assumption: You purchase an equal number of shares (one) of each stocks in the index.,Three Weighting Methodologies Price-Weighted Series Price-Weighted Index =,Security-Market Indexes,Assumption: You make a proportionate market value investment in each stock in the index.,Assumption: You invest the same dollar amount in each stock in the index.,Arithmetic-Avg Index = X / n,Geometric-Avg Index =,27,Bias for Weighting Methodology,Security-Market Indexes,习题时间,1. You are given the following information regarding prices for a sample of stocks. Price Stock Number of Shares T T +1 A 1,000,000 60 80 B 10,000,000 20 35 C 30,000,000 18 25 A. Construct a price-weighted index for these three stocks, and compute the percentage change in the index for the period from T to T + 1. B. Construct a value-weighted index for these three stocks, and compute the percentage change in the index for the period from T to T + 1. C. Briefly discuss the difference in the results for the two indexes.,29,Major Common Global Indexes: FT/S&P-Actuaries World Indexes Morgan Stanley Capital International Index (MSCI Index) Dow Jones World Stock Index,Domestic VS. Global Stock Indexes,Security-Market Indexes,Bond Market Indexes,Investment-grade bond indexes: bond returns are driven by aggregate interest rates changes. High yield bond indexes: the correlation between the high-yield indexes is much weaker than between the investment-grade indexes. Global bond indexes: show long-run risk return performance differences, low correlation between countries.,LOS53b. compare and contrast major structural features of domestic and global stock indexes, bond indexes, and composite stock-bond indexes,全球股市的相关性,为什么区域市场之间的低相关性支持全球化投资理念？ Diversification effect 原理：不要把鸡蛋放在同一个篮子里的隐含前提：这些篮子不会同时掉在地上。篮子之间不是完全相关的，而是有差异的。,LOS53c. state how low correlations between global markets support global investment,全球股市的相关性,投资级债券指数之间的相关性接近1； 全球政府债券指数和美国政府债券指数之间的相关为0.345； 标普500指数和日经指数之间的相关约为0.4； 标普500指数和Financial Times All-Share 指数间的相关系数约为0.67.,32,Efficient Capital Markets,Security prices adjust rapidly to the infusion of new information, and, therefore, current security prices fully reflect all available information.,Definition of an Efficient Capital Market,LOS54a. define an efficient capital market and describe and contrast the three forms of the efficient market hypothesis (EMH);,Assumptions of the EMH,A large number of profit-maximizing participants analyze and value securities, each independently of the others. New information regarding securities comes to the market in a random fashion, and the timing of one announcement is generally independent of others. Profit-maximizing investors adjust security prices rapidly to reflect the effect of new information. Imperfect / Unbiased Adjustment The expected returns implicit in the current price of the security should reflect its risk. CAPM Model (SML Line),33,Efficient Capital Markets,Alternatives Assumption Implication Weak-Form EMH Market Info. Fully Reflected Technical Analysis Semi Strong-Form EMH Public Info. Fully Reflected Fundamental Analysis Strong-Form EMH All Info. Fully Reflected Monopolistic Info. Access ,Three Alternative Efficient Market Hypothesis (EMH),34,Efficient Capital Markets,LOS54b. describe the tests used to examine each of the three forms of the EMH, identify various market anomalies and explain their implications for the EMH, and explain the overall conclusions about each form of the EMH; Tests & Results of each Alternative EMH (I & II),35,Tests & Results of each Alternative EMH (I & II),Efficient Capital Markets,36,Tests & Results of each Alternative EMH (III) Market Anomalies Earnings surprises Calendar studies Price-earnings ratio test Small firm effect Neglected firms effect Book value/market value ratios The Conclusion of the tests,Efficient Capital Markets,Corporate Insider Trading,Stock Exchange Specialists,Strong-Form EMH,Security Analysts ,Analysts Recommendations,The Value Line (VL) Enigma,Performance of Professional Money Managers,Conclusion: Weak-Form Semi Strong Form Strong Form,Success,Success,Success,Fail,Fail,Success,Fail,Success,Success,37,Implication of Efficient Capital Markets If Weak-form efficiency holds, Technical Analysis takes no advantage If Semi-strong-form efficiency holds, both Technical Analysis and Fundamental Analysis take no advantage,Efficient Capital Markets,The Role of Portfolio Manager,LOS54c. explain the implications of stock market efficiency for technical analysis, fundamental analysis the portfolio management process, the role of the portfolio manager, and the rationale for investing in index funds;,Determine and quantify your risk preferences Construct the appropriate risk portfolio by dividing the total portfolio between risk-free assets and a risky asset portfolio Diversify completely on a global basis to eliminate all unsystematic risk Maintain the specified risk level by rebalancing when necessary Minimize total transaction costs,38,Behavioral finance & prospect theory Prospect theory investors view outcomes based on where they lie relative to a reference point such as initial wealth Fear of losses investors tend to sell winners too soon and hold losers too long due to a fear of loss and avoidance of realizing a loss by selling losing positions Confirmation bias investors tend to overweight confirming evidence and underweight contrary evidence Escalation bias investors too often increase the size of a portion that has declined in value (averaging down),Efficient Capital Markets,LOS54d. define behavioral finance and describe prospect theory, over-confidence bias, confirmation bias, and escalation bias,39,Three Limitations to Fully Efficient Market Costs and Time Incurred to New Information Processing Persistence of Biased Market Prices if Transaction Costs are too High The Arbitrageurs Limited Ability to Bring about the Efficient Price LOS55b. describe four problems that may prevent arbitrageurs from correcting anomalies; No guarantee for the mispricing will be corrected Its difficult to find two securities with same risk to offset Arbitrageurs do not have unlimited funds Arbitrageurs must depend on their sources of capital,Market Efficiency and Anomalies,LOS55a. explain the three limitations to achieving fully efficient markets;,Market Efficiency and Anomalies,40,LOS55c. explain why an apparent anomaly may be justified and describe the common biases that distort testing for mispricing; Explanation of an apparent anomaly may be justified Bias in Abnormal Returns Estimation Data Mining Bias There are certainly many relationships in the data resulting from purely from chance Survivorship Bias Be careful not to include just surviving companies Sample Selection Bias Select a sample is not truly random Small Sample Bias A small sample may be incorrect Non-synchronous Trading The price of infrequently trading stock may be stale,41,Why valid anomalies may not be profitable ? Lack of theoretical explanation The reasons underlying a persistent pricing anomaly are not well understood, it is difficult to exploit. Transaction costs The cost of the trades are greater than the potential abnormal returns. Small profit opportunities The total porfit to be gained by exploiting a mispricing may be small enough. Trading Restrictions Restrictions on short selling make some strategies impossible for some period of time. Irrational Behavior Run counter to rational trading and investing may lead to persistent mispricings. Other limits on arbitrage,Market Efficiency and Anomalies,LOS55d. explain why a mispricing may persist and why valid anomalies may not be profitable.,42,Framework of SS 14,Introduction,Analysis and Valuation,Price Multiples,Top-Down approach DDM Required Rate of Return and estimation Dividend Growth Estimation Industry analysis,P/E, P/BV, P/S, P/CF Comparable Method,Stock Analysis Expected EPS,Equity Investment Analysis,Equity Valuation Discounting,44,Security Valuation and Investment Decision,Equity Analysis Valuation Process,(Discounted by Req. Rate of Return),Intrinsic Value, Market Value, Market Value,Sell / Short Sell,Buy,The Top-Down, Three-Step Approach The Bottom-Up Stock Valuation, Stock Picking Approach,Valuation Process,45,The Process of Top-Down Approach,Equity Analysis Valuation Process,Macroeconomic Influences,Industry Influences,Fiscal Policy Monetary Policy Inflation Political Issues,Global business Environment Business Cycle: cyclical, counter-cyclical, or noncyclical Demographics,Company Analysis compare using ratios and cash flow analysis,LOS56a. explain the top-down approach, and its underlying logic, to the security valuation process,Macro,Industry,Company,Pe r f o r ma n c e,Valuation,Top-Down Framework of Equity Valuation,Equity Valuation,What is Value ?,What Factors decide the Long-term Value of Stocks?,What decide the Long-term Value of Stocks?,Return Growth,这是权益估值部分的纲领和唯一核心; 记住这一点，我们将永远不会迷路。,What is Value ?,Equity Analysis Valuation,LOS56b. state the various forms of investment returns; 1. Cash Flows Cash flows from projects Interest income on bonds Dividend income on stocks 2. Capital gains LOS56c. calculate and interpret the value both of a preferred stock and a common stock using the dividend discount model (DDM); Preferred stock value= General DDM value=,49,Equity Analysis Valuation Process,LOS56d. show how to use the DDM to develop an earnings multiplier model, and explain the factors in the DDM that affect a stocks price-to-earnings (P/E) ratio;,50,Estimate required return,Risk-free rate的估计 近似： Required rate的估计：,LOS56e. explain the components of an investors required rate of return and discuss the risk factors to be assessed in determining a country risk premium for use in estimating the required return for foreign securities,Required return for Foreign Securities,Country risk premium is estimated with the following five types of risk that will differ: Business risk: variability of economic activity Financial risk: Liquidity risk: found in small