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雷达卡
Investments (6th Edition) / William F. Sharpe, Gordon T. Alexander, Jeffery V. Bailey
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Publisher: Prentice Hall
Edition: 6
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PREFACE
ABOUTTHEA UTHORS
1 INTRODUCTION
2 BUYING AND SELLING SECURITIES
3 SFCURITY MARKETS
4 EFFICIENTM ARKETS, INVES TMENT VALUE, AND M ARKET PRI CE
5 THE V ALUATION OF RISKLESS SECURITIES
6 THE PORTFOLIO SELECTION PROBLEM
7 PORTFOLIO A NALYSIS
8 RISKFREEBORROWINGAN DLENDING
9 THECAPITAL A SSET PRICING M ODEL
10 FACTOR M ODELS
11 ARBITRAGE PRICING THEORY
12 TAXES AND INFLATION
13 FIXED-INCOMESECURITIES
14 BOND A NALYSIS
15 BONOPORTFOLIO M ANAGEMENT
16 COMMON STOCKS
17 THE VALUATIONOFC OMMONSTOCKS
18 EARNINGS
19 O PTIONS
20 FUTURES
21 INVESTMENT COMPANIES
22 FINANCIAL ANALYSIS
23 INVESTMENT M ANAGEMENT
24 PORTFOLIO PERFORMANCEEVALUATION
25 INTERNATIONAL INVESTING
G LOSSARY
SELECTED SOLUTIONS
INDEX
PREFACE
ABOUT THE AUTHORS
1 INTRODUCTION
1.1 THE INVESTMENT ENVIRONMENT
1.1.1 Securities
1.1.2 Risk, Return,and Diversification
1.1.3 SecurityMarkets
1.1.4 Financial Intermediaries
1.2 THE INVESTMENT PROCESS
1.2.1 Investment Policy
1.2 .2 SecurityAnalysis
1.2.3 Portfolio Construction
1.2.4 Portfolio Revision
1.2.5 Portfolio Performance Evaluatio
J .3 INVESTMENTS AS A CAREER
1.4 GLOBALIZATION
1.5 SUMMARY
INSTITUTIONAL ISSUES: INSTITUTIONAL INVESTORS
INSTITUTIONAL ISSUES: INVESTMENT POLICY
2 BUYING AND SELLING SECURITIES
2.1 ORDER SIZE
2.2 TIME liMIT
2.3 TYPES OF ORDERS
2.3.1 Market Orders
2.3 .2 LimitOrders
2.3.3 StopOrders
2.3 .4 StopLimitOrders
2.4 MARGIN ACCOUNTS
2.4 .1 Margin Purchases
2.4.2 Short Sales
2.4.3 Securities Lending
2.4.4 Aggregation
2.5 SUMMARY
INSTITUTIONAL ISSUES: MARKET NEUTRAL STRATEGIES
INSTITUTIONAL ISSUES: HEDGE FUNDS
3 SECURITY MARKETS
3. J CALL AND CONTINUOUS MARKETS
3.1.1 CallMarkets
3.1.2 Continuous Markets
3.2 MAJOR MARKETS IN THE UNITED STATES
3.2.1 New YorkStockExchange
3.2.2 Other Exchanges
3.2.3 Over-the-Counter Market
3.2.4 Third and Fourth Markets
3.2.5 Preferencing
3.2.6 Foreign Markets
3.3 INFORMATION-MOTIVATED
AND LIOUIDITY-MOTIVATED TRADERS
3.4 CENTRAL MARKET
3.5 CLEARING PROCEDURES
3.6 INSURANCE
3.7 COMMISSIONS
3.7.1 FixedCommissions
3.7.2 Competitive Commissions
3.8 TRANSACTIONS COSTS
3.8.1 Bid-Ask Spread
3.8.2 Price Impact
3.9 REGULATION OF SECURITY MARKETS
3.10 SUMMARY
INSTITUTIONAL ISSUES: CI~OSSING S YSTEMS :
EVOLUTION OF THE FOURTH MARKET
INSTITUTIONAL ISSUES: SOFT DOLLARS
4 EFFICIENT MARKETS, INVESTMENT VALUE,
ANDMARKET PRICE
4.1 DEMAND AND SUPPLY SCHEDULES
4.1.1 Demand-to-Buy Schedule
4.1 .2 Supply-to-SellSchedule
4.1.3 Interaction of Schedules
4.1 .4 Elasticity ofthe Demand-to-Buy
Schedule
4.1.5 Shiftsofthe Demand-to-Buy
and Supply-to-SellSchedules
4.1.6 Summary
4.2 MARKET EFFICIENCY
4.2.1 TheEfficient Market Model
4.2.2 Famas Formulation
of the EfficientMarket Model
4.2.3 SecurityPriceChanges
asa Random Walk
4.2.4 Observations About Perfectly
EfficientMarkets 96
4.2.5 Observations About Perfectly
EfficientMarkets With TransactionsCosts 97
4.3 TESTING FOR MARKET EFFICIENCY 97
4.3.1 EventStudies 98
4.3.2 Looking forPatterns 102
4.3.3 Examining Performance 102
4.4 SUMMARY OF MARKET EFFICIENCY TEST RESULTS 103
4.4.1 Weak-Form Tests 103
4.4.2 Semistrong-Form Tests 103
4.4.3 Strong-Form Tests 103
4.4.4 Summary of EfficientMarkets 103
4.5 SUMMARY 104
INSTITUTIONAL ISSUES: THE ARIZONA STOCK EXCHANGE:
A BETTER MOUSETRAP 90
INSTITUTIONAL ISSUES: THE AOIVE VERSUS PASSIVE DEBATE 98
5 THE VALUATION OF RISKLESS SECURITIES 108
5.1 NOMINAL VERSUSREAL INTEREST RATES J 08
5.2 YIELD-To-MATURITY 112
5.2.1 Calculating Yield-to-Maturity 112
5.3 SPOT RATES 114
5.4 DISCOUNT FACTORS 115
5.5 FORWARD RATES 116
5.6 FORWARD RATES AND DISCOUNT FAOORS
5.7 COMPOUNDING
5.8 THE BANK DISCOUNT METHOD
5.9 YIELD CURVES
5.10 TERM STRUOURE THEORIES
5.10.1 The Unbiased Expectations Theory
5.10.2 The Liquidity Preference Theory
5.10.3 TheMarket Segmentation Theory
5.10.4 ThePreferred Habitat Theory
5.10.5 EmpiricalEvidenceontheTheories
5.11 HOLDING-PERIOD RETURN
5.12 SUMMARY
ApPENDIX: CONTINUOUS COMPOUNDING
INSTITUTIONAL ISSUES: ALMOST RISKFREE SECURITIES
6 THE PORTFOLIO SELECTIONPROBLEM
6.1 INITIAL AND TERMINAL WEALTH
6.1 .1 Determining theRate of Return
ona Portfolio
6.1.2 AnExample
6.2 NONSATIATION AND RISK AVERSION
6.2.1 Nonsatiation
6.2.2 Risk Aversion
6.3 UTILITY
6.3.1 Marginal Utility
6.3.2 CertaintyEquivalentsand Risk Premiums
6.4 INDIFFERENCE CURVES
6.5 CALCULATING EXPECTED RETURNS AND STANDARD
DEVIATIONS FOR PORTFOLIOS
6.5.1 ExpectedReturns
6.5.2 Standard Deviations
6.6 SUMMARY
ApPENDIX A: CHARACTERISTICS OF PROBABILITY DISTRIBUTIONS
AI Probability Distributions
A2 Central Tendency
A3 Dispersion
A4 Comovement
APPENDIX B: RISK-NEUTRAL AND RISK-SEEKING INVESTORS
INSTITUTIONAL ISSUES: BEHAVIORIAL FINANCE
INSTITUTIONAL ISSUES: ALTERNATIVE RISK MEASURES
7 PORTFOLIO ANALYSIS
7.1 THE EFFICIENT SET THEOREM
7.1.1 TheFeasibleSet
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