Professional Documents
Culture Documents
2.2.2 SPV/SPE
2.3 Depository Institutions
2.4 Insurance Companies (管理风险)
2.4.1 Moral hazard
2.4.2 Adverse selection
2.4.3 Fraud
2.5 Arbitrageurs
2.5.1 Seek to gain certain return without bearing any risk.
2.6 Clearinghouses and Custodians
2.7 Hedgers
3 Well functioned financial market
3.1 Characteristics of a well functioned financial Market
3.1.1 Complete markets
3.1.2 Operational efficiency
3.1.3 Informational efficiency
3.1.4 Allocational efficiency
3.2 Problems when there are no regulations
3.2.1 Fraud and theft
3.2.2 Insider trading
3.2.3 Costly information
3.2.4 Defaults
4 Classification of assets
4.1 Financial Assets
4.1.1 Security
4.1.1.1 Fixed income vs. Equity Securities
4.1.1.1.1 Fixed income
4.1.1.1.1.1 Bonds (到期期限大于 10 年)
4.1.1.1.1.2 Notes(到期期限介于 1 到 10 年)
4.1.1.1.1.3 Bills(到期期限小于 1 年)
4.1.1.1.1.4 Commercial paper(由公司发行,到期期限小于
1 到 2 年)
agreements
4.1.1.1.1.6.2 期限可以短至 1 天
4.1.1.1.1.6.3 Convertible debt(投资者可将债券转换成发
债公司一定数量的普通股)
4.1.1.1.2 Equity
Securities 4.1.1.1.2.1
Common stock
4.1.1.1.2.2
Preferred stock
investment vehicles
4.1.1.1.3.1 Mutual
funds
debt 等)
partnerships 的 形 式 ( 投 资 者 是 limited
用 leverage)
6 Positions in an asset
6.1 Long Position
6.1.1 Benefit form an increase in the price
6.1.2 The potential gain is unlimited
6.2 Short Position
6.2.1 Benefit from a decrease in the price
6.2.2 The potential loss is unlimited
6.2.3 Payment-in-lieu: the received dividends and
the stock.
Call Price:
wi =
Pi
∑n
i=1 Pi
1
wi =
n
wi =
P iQ i
∑n
j=1 PiQi
wi =
f iP iQ i
∑n j=1 fjPiQi
f = 流通是指占总市值的百分比
4.5 Fundamental weighting
4.5.1 特点
4.5.1.1 剔除了高市值的影响
4.5.1.2 受价值型股票的影响
4.5.2 计算
wi =
Fi
∑nj=1 Fj
2.2 Characteristics
2.2.1 Less liquidity
2.2.2 Share price is negotiated between the firm and its investors
2.2.3 Lower reporting costs
2.2.4 Potentially weaker corporate governance
2.2.5 Greater ability to focus on long-term prospects
2.2.6 Potentially greater return for investor
3 Non-domestic Equity Securities
3.1 Direct investing
3.2 Global registered shares
3.3 Depository receipts
3.3.1 Sponsored DR/ Unsponsored DR
3.3.2 Global depository receipts (GDRs)
3.3.3 American depository receipts (ADRs)
3.4 Basket of listed depository receipts
4 Risk and Return Characteristics of Equity Securities
4.1 Equity return:
两个来源:dividends 和 capital gains or losses
4.2 Equity risk:
Putable stock <Preferred stock <Common stock
计算公式:
D D D n
Dt
Vj= 1
+ 2
++
=
1+k 1+k
2
1+k
t=1 1+k
t
rate.
1.1.1.1.2.2 计算公式:
D0 1 gc D
V0= 1
re -g c re -gc
D0=(1-
RR)×EPS
gc=ROE×RR
re=rf+β(rmkt-
rf) 1.1.1.1.2.3
Limitati
ons
stocks.
model).
stocks.
V0 = t
1 re
t
t1
FCFE0 (1 g)
V0 =
re g
D
P= 1
0
k-g
P0 D0 E0 (1 b)(1 g )
= 1 g
E0 k-g kg