兹维博迪投资学英文Chap025课件.pptx

1、Investments,8th editionBodie,Kane and MarcusMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies,Inc.All rights reserved.25-2 Global market US market is 39.2%of all markets in 2005US market share is down from 47%in 2000Improved access&technology New instruments Emphasis for our investigation

2、Risk assessmentDiversificationBackground25-3Table 25.1 Market Capitalization of Stock Exchanges in Developed Countries25-4Table 25.2 Market Capitalization of Stock Exchanges in Emerging Markets25-5Figure 25.1 Per Capita GDP and Market Capitalization as Percentage of GDP(log scale)25-6 What are the r

3、isks involved in investment in foreign securities?How do you measure benchmark returns on foreign investments?Are there benefits to diversification in foreign securities?Issues25-7Foreign Exchange Risk Variation in return related to changes in the relative value of the domestic and foreign currency

4、Total return=investment return&return on foreign exchange Its not possible to completely hedge a foreign investmentForeign Exchange Risk25-8 Return in US is a function of two factors:1.Return in the foreign market2.Return on the foreign exchangeReturns with Foreign Exchange101()1()fEr USr UKE25-9Fig

5、ure 25.2 Stock Market Returns in U.S.Dollars and Local Currencies for 200525-10Table 25.3 Rates of Change in the U.S.Dollar Against Major World Currencies,2001 2005(Annualized from monthly data)25-11Hedging Exchange Rate Risk Futures or forward markets are used to eliminate the risk of holding anoth

6、er asset The U.S.investor can lock in a riskless dollar-denominated return either by investing in UK bills and hedging exchange rate risk or by investing riskless U.S.assets00001()1()rearranged:1()1()ffffFr UKr USEr USFEr UK 25-12 Political Risk Services Group RatingsRank countries with respect to p

7、olitical risk,financial risk and economic riskAssign composite rating from very high risk to very low risk based on the above elements of riskCountry Specific Risk25-13Table 25.4 Composite Risk Ratings for October 2004 and November 200325-14Table 25.5 The Three Ratings that Comprise ICRGs Composite

8、Risk Rating25-15Table 25.6 Current Risk Ratings and Composite Risk Forecasts25-16Table 25.7 Composite and Political Risk Forecasts25-17Table 25.8 Political Risk Points by Component,October 200425-18Evidence shows international diversification is beneficial Its possible to expand the efficient fronti

9、er above domestic only frontier Its possible to reduce the systematic risk level below the domestic only levelDiversification Benefits25-19Table 25.9 Risk and Return Across the Globe,2001 2005(Developed Countries and Emerging Markets)25-20Figure 25.3 Annualized Standard Deviation of Investments Acro

10、ss the Globe($returns,2001 2005)25-21Figure 25.4 Beta on U.S.Stocks Across the Globe,2001200525-22Figure 25.5 Annualized Average$Return of Investments Across the Globe,2001 200525-23Figure 25.6 Standard Deviation of Investments Across the Globe in U.S.Dollars versus Local Currency,2001 200525-24Tabl

11、e 25.10 Correlation for Asset Returns:Unhedged and Hedged Currencies 25-25Table 25.11 Correlation of U.S.Equity Returns with Country Equity Returns25-26Figure 25.7 International Diversification25-27Figure 25.8 Ex Post Efficient Frontier of Country Portfolios,2001 200525-28Figure 25.9 Efficient Front

12、ier of Country Portfolios(world expected excess return=.6%per month)25-29Figure 25.10 Regional Indexes around the Crash,October 14October 26,198725-30Figure 25.11 Efficient Diversification by Various Methods25-31Figure 25.12 Diversification by Market Capitalization:National Markets versus Regional F

13、unds25-32Figure 25.13 Diversification Benefits over Time25-33Table 25.12 Weighting Schemes for EAFE Countries25-34Performance Attribution with InternationalExtension to consider additional factors Currency selection Country selection Stock selection Cash and bond selection 35写在最后写在最后成功的基础在于好的学习习惯成功的基础在于好的学习习惯The foundation of success lies in good habits谢谢聆听 学习就是为了达到一定目的而努力去干,是为一个目标去战胜各种困难的过程,这个过程会充满压力、痛苦和挫折Learning Is To Achieve A Certain Goal And Work Hard,Is A Process To Overcome Various Difficulties For A Goal