经济学金融技术分析课件.pptx

1、What is an Investmento“An Investment is the current commitment of money or other resources in the expectation of reaping future benefits”Real Assets Versus Financial AssetsoReal AssetsnAssets used to produce goods and services(land,buildings,machine,knowledge or patents etc.)oFinancial AssetsnClaims

2、 on real assets(Stocks,Bonds etc.)The success and failure of financial assets we choose to purchase ultimately depend on the performance of the underlying real assetsTypes Financial Assets oFixed income or debto Money market instrumentsnBank certificates of deposito Capital market instrumentsnBondso

3、Common stock or equityoDerivative securitiesNotes maturities up to 10 yearsExchange Traded FundsDerivative securitiesMajor issuersGovt borrowing Rate)is a measure of credit risk in the market place.Investment BankingSpread:ask-bid5 Price-Contingent OrdersReal Assets Versus Financial AssetsShort(Sell

4、)Margin ExampleSecurities Act of 1934NYSE CompositeSelf-RegulationI)The Money Market InstrumentsAllocation vs.SelectionoAsset allocationoChoice among broad asset classesoChoice of sector within a particular asset classoSecurity selectionoChoice of which securities to hold within asset classActive vs

5、.Passive ManagementoActive ManagementoFinding mispriced securitiesoTiming the marketoPassive ManagementoNo attempt to find undervalued securitiesoNo attempt to time the marketoHolding a highly diversified portfolioRisk and Return Trade-off“No-Free Lunch Proposition”Primary vs.Secondary MarketoNew is

6、sues of securities are offered to the public in the primary market.IPOs Initial Public OfferingsoPreviously issued securities are then traded in the secondary marketMarket TrendsoAmerican Depository Receipts(ADRs)oForeign securities offered in dollarsoMutual funds that invest internationallyoInstrum

7、ents and vehicles continue to develop(WEBs)oExchange Traded Funds(ETFs)Recent TrendsSecuritization oMortgage pass-through securitiesoOther pass-through arrangementsoCar,student,home equity,credit card loansoOffers opportunities for investors and originatorsRecent TrendsFinancial EngineeringoUse of m

8、athematical models and computer-based trading technology to synthesize new financial productsoBundling and unbundling of cash flowsRecent TrendsComputer Networks oOnline information disseminationoInformation is made cheaply and widely available to the publicoAutomated trade crossingnDirect trading a

9、mong investorsTED SpreadThe spread between LIBOR rate(Bank borrowing Rate)and T-Bill(U.S.Govt borrowing Rate)is a measure of credit risk in the market place.The Financial CrisisoWorld financial markets have suffered very large,across-the board declines in value.oUnprecedented declines in residential

10、 property values have been experienced in many countriesoThe banking systems of most Western countries have been in complete disarray,requiring huge government interventionsoA global recession is ongoing,with large negative effects impacting employment,trade and government revenuesoPreviously active

11、 markets in securitized debt,and related credit risk transfer instruments,have ground to a haltCHAPTER 2Asset Classes and Financial InvestmentsTwo Segments of Financial MarketsI.Money market Short-term,marketable,liquid,low-risk debt securities.(cash or cash equivalents)II.Capital market Longer-term

12、 riskier securitiesI)The Money Market InstrumentsoU.S.T-Bills are the most marketable of all money market instruments.Investors buy the bills at a discount from stated maturity rateoA Certificate of deposit CD is a time deposit at a bankoCommercial Paper are short-term unsecured debt note issues by

13、large companies.oBankers acceptance are an order to a bank by a banks customer to pay in a future date typically 6 months.oRepos repurchase agreements,usually overnight borrowingoFed Funds bank deposits at the Federal Reserve bankThe Money Market InstrumentsoEurodollar deposits are dollar-denominate

14、d deposits at foreign banks or foreign branches of American banks.oBrokers call are the rate paid on margin accountsoLIBOR Rate at which the banks lend among themselvesFigure 2.2 The Spread between 3-month CD and Treasury Bill Rates3)Market IndexesCar,student,home equity,credit card loansInternation

15、al Bonds-bonds denominated in currency other than that of the country which it is issuedElectronic Communication NetworksFederal National Mortgage AssociationTypes of Investment CompaniesNational Market SystemPrice-contingentIPOs Initial Public OfferingsOnline information dissemination2 Impacts of C

16、osts on Investment PerformancePrices can depart by small amounts from NAVPassive Management2 Some Initial Listing Requirements for the NYSEHow Firms Issue Securities ContinuedII Capital Market1)Long-term Bond is composed of longer term borrowing or debt instruments than those that trade in the money

17、 market2)Equity Securities represent ownership shares in a corporation(Common Stocks)3)Market Indices various composites of bonds and stocks4)Derivatives instruments provide payoffs that depend on the values of other assets such as commodity prices,bond and stock prices,or market index value.Their v

18、alues derive from the value of other assets1)The Long-term Bond MarketoTreasury Notes and Bonds -Issued by the U.S.GovernmentoInflation-Protected Treasury Bonds TIPS provide a constant stream of income in real(inflation adjusted)dollarsoFederal Agency Debt Issued by government agenciesoInternational

19、 Bonds-bonds denominated in currency other than that of the country which it is issuedoMunicipal Bonds-I issued and local governmentsoCorporate Bonds Issued by corporationoMortgages and Mortgage-Backed Securities-ownership claim in a pool of mortgages or obligations.Treasury Notes and BondsoMaturiti

20、esnNotes maturities up to 10 yearsnBonds maturities in excess of 10 yearsn30-year bondoPar Value-$1,000oQuotes percentage of parU.S.Treasury SnapshotFederal Agency DebtoMajor issuersnFederal Home Loan BanknFederal National Mortgage AssociationnGovernment National Mortgage AssociationnFederal Home Lo

21、an Mortgage CorporationMunicipal BondsoIssued by state and local governmentsoTypesnGeneral obligation bondsnRevenue bondsoIndustrial revenue bondsoMaturities range up to 30 yearsMunicipal Bond YieldsoInterest income on municipal bonds is not subject to federal and sometimes not to state and local ta

22、xoTo compare yields on taxable securities a Taxable Equivalent Yield is constructedTable 2.2 Equivalent Taxable Yields Corresponding to Various Tax-Exempt YieldsTax Exempt Yield=Taxable Yield*(1 Tax Rate)International BondsoA Eurobond is a bond denominated in a currency other than that of the countr

23、y in which it is issue.A dollar denominated bond sold in UK would be call a Eurodollar bond.(No relation to Euro currency).oA Yankee bond is dollar denominated bond sold in the U.S.by a non U.S.issuer.oA Samurai bond are yen denominated bond sold in Japan by non Japanese issuers.Corporate BondsoIssu

24、ed by private firms oSemi-annual interest paymentsoSubject to larger default risk than government securitiesoOptions in corporate bondsnCallablenConvertibleoDeveloped in the 1970s to help liquidity of financial institutionsoProportional ownership of a pool or a specified obligation secured by a pool

25、 oMarket has experienced very high rates of growthMortgages and Mortgage-Backed SecuritiesoCommon stocknResidual claimnLimited liabilityoPreferred stocknFixed dividends -limitednPriority over commonnTax treatmentoDepository receipts2)Equity SecuritiesoThere are several broadly based indexes computed

26、 and published dailyoThere are several indexes of bond market performance3)Market IndexesDow Jones Industrial AverageoIncludes 30 large blue-chip corporationsoComputed since 1896oPrice-weighted averageExample 2.2 Price-Weighted AveragePortfolio:Initial value$25+$100=$125 Final value$30+$90=$120 Perc

27、entage change in portfolio value =5/125=-.04=-4%Index:Initial index value (25+100)/2=62.5 Final index value (30+90)/2=60 Percentage change in index-2.5/62.5 =-.04=-4%oBroadly based index of 500 firmsoMarket-value-weighted indexoIndex fundsoExchange Traded Funds(ETFs)Standard&Poors IndexesOther U.S.M

28、arket-Value IndexesoNASDAQ CompositeoNYSE CompositeoWilshire 5000Foreign and Intl Stock Market IndexesoNikkei(Japan)oFTSE(Financial Times of London)oDax(Germany)oMSCI(Morgan Stanley Capital International)oHang Seng(Hong Kong)oTSX(Canada)Foreign and Intl Stock Market IndexesGlobal Equity Market Snaps

29、hot4)Derivatives MarketsOptionsoBasic PositionsnCall(Buy)nPut(Sell)oTermsnExercise PricenExpiration DatenAssetsFutures oBasic PositionsnLong(Buy)nShort(Sell)oTermsnDelivery DatenAssetsFigure 2.10 Trading Data on Intel OptionsOpen Interest is the total number of options contracts that are not closed

30、or delivered on a particular day.Figure 2.10 Listing of Corn Futures ContractsCHAPTER 3How Securities are TradedHow Firms Issue SecuritiesoPrimarynNew issuenKey factor:issuer receives the proceeds from the saleoSecondarynExisting owner sells to another partynIssuing firm doesnt receive proceeds and

31、is not directly involvedHow Firms Issue Securities ContinuedoInvestment BankingoShelf RegistrationoPrivate PlacementsoInitial Public Offerings(IPOs)Investment BankingoUnderwritten:firm commitment on proceeds to the issuing firmoRed herringoProspectusFigure 3.1 Relationship Among a Firm Issuing Secur

32、ities,the Underwriters and the PublicShelf RegistrationsoSEC Rule 415oIntroduced in 1982oReady to be issued on the shelfoSale to a limited number of sophisticated investors not requiring the protection of registrationoAllowed under Rule 144AoDominated by institutionsoVery active market for debt secu

33、ritiesoNot active for stock offeringsPrivate PlacementsInitial Public OfferingsoProcess nRoad showsnBookbuildingoUnderpricing nPost sale returnsnCost to the issuing firmFigure 3.2 Average Initial Return of IPOsFigure 3.3 Long-term Relative Performance of Initial Public OfferingsHow Securities are Tr

34、adedoTypes of MarketsnDirect searchoLeast organizednBrokeredoTrading in a good is activenDealer oTrading in a particular type of asset increasesnAuctionoMost integratedTypes of OrdersoMarketexecuted immediatelynBid PricenAsk PriceoPrice-contingentnInvestors specify pricesnStop ordersFigure 3.5 Price

35、-Contingent OrdersTrading MechanismsoDealer marketsoElectronic communication networks(ECNs)oSpecialists marketsU.S.Security MarketsoNasdaq and NYSE have evolved in response to new information technologyoBoth have increased their commitment to automated electronic tradingNasdaqoNational Market System

36、oNasdaq Small Cap MarketoLevels of subscribersnLevel 1 inside quotesnLevel 2 receives all quotes but they cant enter quotesnLevel 3 dealers making marketsTable 3.1 Partial Requirements for Listing on NASDAQ MarketsNew York Stock ExchangeoMember functions nCommission brokersnFloor brokersnSpecialists

37、oBlock housesTable 3.2 Some Initial Listing Requirements for the NYSETable 3.3 Block Transactions on the New York Stock ExchangeOther SystemsoElectronic Communication NetworksnPrivate computer networks that directly link buyers with sellersoNational Market SystemnSecurities Act of Amendments of 1975

38、oBond TradingnAutomated Bond System(ABS)Market Structure in Other CountriesoLondon-predominately electronic tradingoEuronext market formed by combination of the Paris,Amsterdam and Brussels exchangesoTokyo Stock ExchangeoGlobalization and consolidation of stock markets Figure 3.6 Market Capitalizati

39、on of Major World Stock Exchanges,2008Trading CostsoCommission:fee paid to broker for making the transactionoSpread:cost of trading with dealernBid:price dealer will buy from younAsk:price dealer will sell to younSpread:ask-bidoCombination:on some trades both are paidBuying on MarginoUsing only a po

40、rtion of the proceeds for an investmentoBorrow remaining componentoMargin arrangements differ for stocks and futuresStock Margin TradingoMargin is currently 50%;you can borrow up to 50%of the stock valuenSet by the FedoMaintenance margin:minimum amount equity in trading can be before additional fund

41、s must be put into the accountoMargin call:notification from broker that you must put up additional fundsMargin ExampleMargin ExampleMargin Trading-Margin Call Example 3.2Table 3.4 Illustration of Buying Stock on MarginShort SalesoPurpose:to profit from a decline in the price of a stock or securityo

42、MechanicsnBorrow stock through a dealernSell it and deposit proceeds and margin in an accountnClosing out the position:buy the stock and return to the party from which is was borrowedShort Sale ExampleShort Sale-Maintenance MarginShort Sale-Margin CallRegulation of Securities MarketsoMajor regulatio

43、nsnSecurities Act of 1933 nSecurities Act of 1934nSecurities Investor Protection Act of 1970oSelf-RegulationnStock markets are largely self-regulatingFee StructurePriced at Net Asset Value(NAV)Officers,directors,major stockholders must report all transactions in firms stockPotential ReformsHow Firms

44、 Issue Securities ContinuedCapital market instrumentsTrade continuouslyKey factor:issuer receives the proceeds from the saleClaims on real assets(Stocks,Bonds etc.Priced at Premium or discount to NAVMajor issuersFinal value$30+$90=$1202 The Spread between 3-month CD and Treasury Bill RatesOther pass

45、-through arrangementsFinding mispriced securitiesRegulation Securities Markets ContinuedoRegulatory Responses to Recent ScandalsnPublic Company Accounting Oversight BoardnFinancial experts to serve on audit committees of boards of directorsnCEOs and CFOs personally certify firms financial reportsnBo

46、ards must have independent directorsnSarbanes-Oxley ActInsider TradingoOfficers,directors,major stockholders must report all transactions in firms stockoInsiders do exploit their knowledgeoLeakage of useful information to some tradersCHAPTER 4Mutual Funds and Other Investment CompaniesInvestment Com

47、paniesoThese companies perform several important functions for investors:nAdministration&record keepingnDiversification&divisibilitynProfessional managementnReduced transaction costsNet Asset ValueoUsed as a basis for valuation of investment company sharesnSelling new sharesnRedeeming existing share

48、sCalculation Market Value of Assets-Liabilities Shares OutstandingTypes of Investment CompaniesoUnit TrustsoManaged Investment CompaniesnOpen-EndoOpen-end:shares outstanding change when new shares are sold or old shares are redeemedoPriced at Net Asset Value(NAV)nClosed-Endono change in shares outst

49、anding unless new stock is offeredoPriced at Premium or discount to NAVTypes of Investment CompaniesoOther investment organizationsnCommingled fundsnREITsnHedge Funds Mutual FundsInvestment PoliciesoMoney Market oEquityoSectoroBondoBalancedoAsset Allocation and FlexibleoIndex oInternationalHow Funds

50、 Are SoldoDirect-marketed fundsoSales force distributedoRevenue sharing on sales force distributednPotential conflicts of interestoFinancial Supermarkets Costs of Investing in Mutual FundsoFee StructurenOperating expensesnFront-end loadnBack-end loadn12 b-1 chargesodistribution costs paid by the fun