《证券投资分析》课程教学大纲

1、证券投资分析 Security Analysis and Investment一、survey of the course/课程基本情况Course Code：5261470Category of the course: professional orientation course课程类别：专业方向课Score of the course: 2 credits课程学分：2 学分General class hours: 32 hours, in which: lecture32 hours. 课程总学时：32学时，其中讲课：32学时，实验：0学时，上机：0 学时The nature of th

2、e course: an elective course课程性质：选修The terms of the course: the 6th terms开课学期：第6学期Prerequisite course: accounting, microeconomics, management, finance先修课程：会计学、微观经济学、管理学、金融学Suitable for majors: accounting, financial management适用专业：会计学、财务管理Textbook: Essentials of Investment, Zvi Bodie, Alex Kane and A

3、lan J.Marcus, Tsinghua University Press, 2011, the 8th edition.教 材：投资学精要，兹.博迪、阿莱克斯.康恩、艾兰.J.马库斯，清华大学出版社，2011年，第8版。The unit of lecture: the department of financial management & accounting, school of economics & management.开课单位：经济管理学院财务与会计系二、the nature of course, teaching aims and task/课程性质、教学目标和任务The

4、course is the professional orientation course for accounting and financial management and it can be professional selected course for other economic and management majors. The course introduces mainly the basic knowledge and principles about security investment, including security investment, the ins

5、trument of security investment, security market, the analysis method of security investment, portfolio theory, and security supervision and so on.By studying the course, the students are required to master the basic knowledge, theory and relevant skills of security, security market and security inve

6、stment management proficiently and systematically, have global visual field, and be aware of the run and development of international security markets. After studying the course, the students need to grasp English vocabulary of finance and economics major above 5000, read freely the analysis article

7、s about security market in modern media, understand the research reports carried by professional companies and express an independent opinion on the open information of security market and listed companies.Otherwise, the course pays attention to the combination of security market and trains the skil

8、ls that the students analyze and solve the problems about security investment.本课程是会计学、财务管理专业的专业方向课，也可以作为其他经济、管理类专业的专业选修课。课程主要介绍有关证券投资的基本知识和原理，具体包括证券投资、证券投资工具、证券市场、证券投资分析方法和证券组合理论、证券监管等方面的内容。通过本课程的学习，要求学生熟练、系统地掌握证券及证券市场的基础知识、基本理论和证券投资管理的有关知识和技能；具有全球视野，对国际证券市场的运行与发展有一定的认识。学完本课程，学生需要掌握财经专业术语的英文词汇量达到500

9、0以上，能自由阅读现代媒体关于证券市场的分析文章，能理解专业公司的研究报告，并对证券市场和上市公司等证券发行机构的公开信息能发表独立见解。此外，本课程注重与现实证券市场相结合，重点培养学生分析和解决证券投资相关问题的能力。三、teaching contents and requires/教学内容和要求1、the investment environment（2 hours）/证券投资环境（2学时）(1) To learn real assets and financial assets, the players, the trends and outline of the text（1）了解实

10、物资产与金融资产、参与者、发展趋势和本书目录； (2) To grasp financial markets and the economy, the investment process, markets are competitive（2）掌握金融市场与经济、投资程序、竞争性市场(3) To understand a taxonomy of financial assets（3）理解金融资产分类Key points: financial markets and the economy, the investment process, markets are competitive Diff

11、icult points: taxonomy of financial assets重点：金融市场与经济、投资程序、竞争性市场难点：金融资产分类2、assets classes and financial instruments（2 hours）/资产分类与金融工具（2学时）(1) To learn the money market（1）了解货币市场(2) To grasp the bond market, equity securities, stock and bond market indexes（2）掌握债券市场、股票、股票、债券市场指数(3) To understand deriva

12、tive markets（3）理解衍生品市场Key points: the bond market, equity securities, stock and bond market indexesDifficult points: derivative markets重点：债券市场、股票、股票、债券市场指数难点：衍生品市场3、how securities are traded(2 hours)/证券是怎样交易的？（2学时）(1) To learn US securities markets, market structure in other countries, regulation of

13、 securities markets（1）了解美国证券市场、其他国家市场结构、证券市场监管(2) To grasp how firms issue securities, how securities are traded（2）掌握公司如何发行股票、证券如何交易(3) To understand trading cost, buying on margin, short sales（3）理解交易成本、边际购买、短期销售Key points: how firms issue securities, how securities are tradedDifficult points: tradi

14、ng cost, buying on margin, short sales重点：公司如何发行股票、证券如何交易难点：交易成本、边际购买、短期销售4、mutual funds and other investment companies(2 hours)/共同基金与其他投资机构（2学时）(1) To learn investment companies, types of investment companies（1）了解 投资公司、投资公司类型(2) To grasp mutual funds, costs of investing in mutual funds, taxation of

15、mutual fund income, exchange-traded funds（2）掌握共同基金、共同基金投资成本、共同基金收入的税收、交易所基金(3) To understand mutual fund investment performance, information of mutual funds（3）理解共同基金投资表现、共同基金信息Key points: mutual funds, costs of investing in mutual funds, taxation of mutual fund income, exchange-traded fundsDifficult

16、 points: mutual fund investment performance, information of mutual funds重点：共同基金、共同基金投资成本、共同基金收入的税收、交易所基金难点：共同基金投资表现、共同基金信息5、learning about return and risk from the historical record(2hours)/从历史记录学习回报与风险（2学时）(1) To learn determinants of the level of interest rates, comparing rates of return for diffe

17、rent holding period, bills and inflation: 1926-2005（1）了解利率水平的决定因素、不同持有期回报率比较、债券与通胀：1926-2005(2) To grasp risk and risk premiums, time series analysis of past rates of return, the normal distribution（2）掌握风险与风险贴水、历史回报率的时间序列分析、正常分红(3) To understand deviation from normality, the historical record of ret

18、urns on equities and long-term bonds, long-term investments, measurement of risk with non-normal distribution（3）理解正常偏离、股票和长期债券回报的历史记录、长期投资、非正常分红的风险度量Key points: risk and risk premiums, time series analysis of past rates of return, the normal distributionDifficult points: deviation from normality, th

19、e historical record of returns on equities and long-term bonds, long-term investments, measurement of risk with non-normal distribution重点：风险与风险贴水、历史回报率的时间序列分析、正常分红难点：正常偏离、股票和长期债券回报的历史记录、长期投资、非正常分红的风险度量6、risk aversion and capital allocation to risky assets(2 hours)/风险厌恶与风险资产配置（2学时）(1) To learn risk a

20、nd risk aversion（1）了解风险和风险厌恶(2) To grasp capital allocation across risky and risk-free portfolios, the risk-free asset, risk tolerance and assets allocation（2）掌握通过风险和无风险资产组合配置资本、无风险资产、风险承受与资产配置(3) To understand passive strategies: the capital market line（3）理解被动策略：资本市场线Key points: capital allocation

21、across risky and risk-free portfolios, the risk-free asset, risk tolerance and assets allocationDifficult points: passive strategies: the capital market line重点：通过风险和无风险资产组合配置资本、无风险资产、风险承受与资产配置难点：被动策略：资本市场线7、optimal risky portfolios(2 hours)/最优风险组合（2学时）(1) To learn diversification and portfolio risk（

22、1）了解多样化与组合风险(2) To grasp portfolios of two risky assets, assets allocation with stock, bond and bills, the Markowitz portfolio selection model（2）掌握两种风险资产组合、股票、债券和国库券的资产配置、马可维茨组合选择模型(3) To understand risk pooling, risk sharing and risk in the long run（3）理解风险均摊、风险分担和长期风险Key points: portfolios of two r

23、isky assets, assets allocation with stock, bond and bills, the Markowitz portfolio selection modelDifficult points: risk pooling, risk sharing and risk in the long run重点：两种风险资产组合、股票、债券和国库券的资产配置、马可维茨组合选择模型难点：风险均摊、风险分担和长期风险8、index models(2 hours)/指数模型（2学时）(1) To learn a single-factor security market（1

24、）了解单因素证券市场(2) To grasp the single-index model, estimating the single-index model, portfolio construction and the single-index model（2）掌握单指数模型、单指数模型估计、组合构建与单指数模型(3) To understand practical aspects of portfolio management with the index model（3）理解单指数模型组合管理的实际运用Key points: the single-index model, estim

25、ating the single-index model, portfolio construction and the single-index modelDifficult points: practical aspects of portfolio management with the index model重点：单指数模型、单指数模型估计、组合构建与单指数模型难点：单指数模型组合管理的实际运用9、the capital asset pricing model(2 hours)/资本资产定价模型（2学时）(1) To learn is the CAPM practical?（1）了解C

26、APM是否实用？(2) To grasp the capital asset pricing model, the CAPM and the index model, econometrics and the expected return-Beta relationship（2）掌握资本资产定价模型、CAPM和指数模型、计量经济学与贝塔预期回报关系(3) To understand the extension of the CAPM, liquidity and the CAPM（3）理解CAPM拓展、流动性与CAPMKey points: the capital asset pricing

27、 model, the CAPM and the index model, econometrics and the expected return-Beta relationshipDifficult points: the extension of the CAPM, liquidity and the CAPM重点：资本资产定价模型、CAPM和指数模型、计量经济学与贝塔预期回报关系难点：CAPM拓展、流动性与CAPM10、arbitrage pricing theory and multifactor models of risk and return(2 hours)/套利定价理论与风

28、险-收益多因素模型（2学时）(1) To learn multifactor models: an overview（1）了解多因素模型：一个文献回顾(2) To grasp arbitrage pricing theory, individual assets and the APT（2）掌握套利定价理论、个人资产与APT模型(3) To understand a multifactor APT, where should we look for factors? , a multifactor CAPM and APT （3）理解多因素APT模型、我们应该从哪里寻找因素？、多因素CAPM和

29、APTKey points: arbitrage pricing theory, individual assets and the APTDifficult points: a multifactor APT, where should we look for factors? , a multifactor CAPM and APT 重点：套利定价理论、个人资产与APT模型难点：多因素APT模型、我们应该从哪里寻找因素？、多因素CAPM和APT11、bond prices and yields(2 hours)/债券价格与收益（2学时）(1) To learn bond character

30、istics（1）了解债券特征(2) To grasp bond pricing, bond yields（2）掌握债券定价、债券收益(3) To understand bond prices over time, default risk and bond pricing（3）理解债券跨期定价、违约风险与债券定价Key points: bond pricing, bond yieldsDifficult points: bond prices over time, default risk and bond pricing重点：债券定价、债券收益难点：债券跨期定价、违约风险与债券定价12、t

31、he term structure of interest rates(2 hours)/利率期限结构（2学时）(1) To learn the yield curve（1）了解收益曲线(2) To grasp the yield curve and future interest rates, interest rate uncertainty and forward rates, and theories of the term structure（2）掌握收益曲线与远期利率、利率不确定性与远期利率、利率期限结构利率(3) To understand interpreting the te

32、rm structure, forward rates as forward contracts（3）理解期限结构解释、作为远期合约的远期利率Key points: the yield curve and future interest rates, interest rate uncertainty and forward rates, and theories of the term structureDifficult points: interpreting the term structure, forward rates as forward contracts重点：收益曲线与远期

33、利率、利率不确定性与远期利率、利率期限结构利率难点：期限结构解释、作为远期合约的远期利率13、managing bond portfolios(2 hours)/债券组合管理（2学时）(1) To learn interest rate risk（1）了解利率风险(2) To grasp convexity, passive bond management（2）掌握凸性、被动型债券管理(3) To understand active bond management（3）理解主动型债券管理Key points: convexity, passive bond managementDifficul

34、t points: active bond management重点：凸性、被动型债券管理难点：主动型债券管理14、macroeconomic and industry analysis(2 hours)/宏观与行业分析（2学时）(1) To learn the global economy，the domestic economy（1）了解全球经济、国内经济(2) To grasp demand and supply of shocks, federal government policy, business cycle（2）掌握冲击的需求与供给、联邦政府政策、商业周期(3) To unde

35、rstand industry analysis（3）理解产业分析Key points: demand and supply of shocks, federal government policy, business cycleDifficult points: industry analysis重点：冲击的需求与供给、联邦政府政策、商业周期难点：产业分析15、equity valuation models(2 hours)/股票估值模型（2学时）(1) To learn valuation by comparable, intrinsic value versus market price

36、（1）了解比较法估值、内在价值与市场价格(2) To grasp price-earnings ratio, free cash flow valuation approaches（2）掌握市盈率、自由现金流估值方法(3) To understand the aggregate stock market（3）理解总量证券市场Key points: price-earnings ratio, free cash flow valuation approachesDifficult points: the aggregate stock market重点：市盈率、自由现金流估值方法难点：总量证券市场16、financial statement analysis(2 hours)/财务报告分析（2学时）(1) To learn the major financial statements，accounting and