Fundamentals of investments:
Gespeichert in:
| Beteiligte Personen: | , , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Upper Saddle River, NJ
Prentice Hall
2001
|
| Ausgabe: | 3. ed. |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009669898&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | XXXI, 781 S. graph. Darst. |
| ISBN: | 0132926172 |
Internformat
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| 245 | 1 | 0 | |a Fundamentals of investments |c Gordon J. Alexander ; William F. Sharpe ; Jeffery V. Bailey |
| 250 | |a 3. ed. | ||
| 264 | 1 | |a Upper Saddle River, NJ |b Prentice Hall |c 2001 | |
| 300 | |a XXXI, 781 S. |b graph. Darst. | ||
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Datensatz im Suchindex
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| adam_text | Brief Contents
Preface xxvii
About the Authors xxxi
PART I: INTRODUCTION 1
1 Introduction 1
PART II: THE INVESTMENT ENVIRONMENT 17
2 Buying and Selling Securities 17
3 Security Markets 35
4 Efficient Markets, Investment Value, and Market Price 67
5 Taxes 86
6 Inflation 104
PART III: MODERN INVESTMENT THEORY 119
7 The Portfolio Selection Problem 119
8 Portfolio Analysis 147
9 Riskfree Lending and Borrowing 169
10 The Capital Asset Pricing Model 190
1 11 Factor Models 208
12 Arbitrage Pricing Theory 228
PART IV: COMMON STOCKS 241
13 Characteristics of Common Stocks 241
14 Financial Analysis of Common Stocks 282
15 Dividend Discount Models 329
16 Dividends and Earnings 358
17 Investment Management 390
18 Portfolio Performance Evaluation 415
PARTV: FIXED INCOME SECURITIES 451
19 Types of Fixed Income Securities 451
20 Fundamentals of Bond Valuation 490
21 Bond Analysis 514
22 Bond Portfolio Management 537
PART VI: OTHER INVESTMENTS 573
23 Investment Companies 573
24 Options 605
25 Futures 641
26 International Investing 672
GLOSSARY 693
REFERENCES 715
SELECTED SOLUTIONS TO END OF CHAPTER QUESTIONS AND PROBLEMS 759
INDEX 763
Contents
Preface xxvii
About the Authors xxxi
PART I INTRODUCTION 1
CHAPTER 1 Introduction 1
1.1 The Investment Environment 2
1.1.1 Securities 2
1.1.2 Risk, Return, and Diversification 7
1.1.3 Security Markets 8
1.1.4 Financial Intermediaries 9
1.2 The Investment Process 11
1.2.1 Investment Policy 11
1.2.2 Security Analysis 11
1.2.3 Portfolio Construction 12
1.2.4 Portfolio Revision 12
1.2.5 Portfolio Performance Evaluation 13
1.3 Globalization 13
Summary 14
Questions and Problems 14
Endnotes 15
PART II THE INVESTMENT ENVIRONMENT 17
CHAPTER 2 Buying and Selling Securities 17
2.1 Order Size 18
2.2 Time Limit 18
2.3 Types of Orders 18
2.3.1 Market Orders 19
2.3.2 Limit Orders 19
2.3.3 Stop Orders 19
2.3.4 Stop Limit Orders 20
2.4 Margin Accounts 20
2.4.1 Margin Purchases 22
2.4.2 Short Sales 26
Summary 31
Questions and Problems 32
Endnotes 33
CHAPTER 3 Security Markets 35
3.1 Call and Continuous Markets 35
3.1.1 Call Markets 35
3.1.2 Continuous Markets 35
3.2 Major Markets in the United States 36
3.2.1 New York Stock Exchange 36
3.2.2 Other Exchanges 43
3.2.3 Over the Counter Market 44
3.2.4 Third and Fourth Markets 46
3.2.5 Internalization 48
3.2.6 Foreign Markets 48
3.3 Stock Quotations 51
3.3.1 Nasdaq 52
3.3.2 U.S. Stock Exchanges 52
3.3.3 Foreign Stock Exchanges 52
3.4 Information Motivated and Liquidity Motivated Traders 52
3.5 Central Market 56
3.6 Clearing Procedures 57
3.7 Insurance 57
3.8 Commissions 58
3.8.1 Fixed Commissions 58
3.8.2 Competitive Commissions 58
3.9 Transaction Costs 59
3.9.1 Bid Ask Spread 59
3.9.2 Price Impact 59
3.10 Regulation of Security Markets 61
Summary 63
Questions and Problems 64
Endnotes 65
CHAPTER 4 Efficient Markets, Investment Value,
and Market Price 67
4.1 Demand and Supply Schedules 67
4.1.1 Demand to Buy Schedule 68
4.1.2 Supply to Sell Schedule 69
4.1.3 Interaction of Schedules 69
4.1.4 Elasticity of the Demand to Buy Schedule 70
• •
Xll
4.1.5 Shifts in the Demand to Buy and Supply to Sell Schedules 71
4.1.6 Summary 72
4.2 Market Efficiency 72
4.2.1 The Efficient Markets Model 73
4.2.2 Security Price Changes Are Random 74
4.2.3 Observations about Perfectly Efficient Markets 75
4.2.4 Observations about Perfectly Efficient Markets with Transaction Costs 76
4.3 Testing for Market Efficiency 76
4.3.1 Event Studies 78
4.3.2 Looking for Patterns 79
4.3.3 Examining Performance 81
4.4 Market Efficiency Test Results 82
4.4.1 Weak Form Tests 82
4.4.2 Semistrong Form Tests 82
4.4.3 Strong Form Tests 82
4.4.4 Summary 83
Summary 83
Questions and Problems 83
Endnotes 84
CHAPTER 5 Taxes 86
5.1 Corporate Income Taxes 86
5.1.1 Corporate Tax Rates 87
5.1.2 Corporate Income from Dividends, Interest, and Capital Gains 88
5.1.3 Bonds versus Preferred Stocks 88
5.1.4 Tax Exempt Organizations 89
5.2 Personal Income Taxes 90
5.2.1 Personal Tax Rates 90
5.2.2 Tax Exempt Bonds 94
5.2.3 Capital Gains and Losses 95
5.2.4 State Income Taxes 98
5.3 Before Tax Investing 98
Summary 101
Questions and Problems 101
Endnotes 102
CHAPTER 6 Inflation 104
6.1 Measuring Inflation 104
6.2 Price Indices 105
6.3 Nominal and Real Returns 107
6.3.1 Nominal Returns 107
6.3.2 Fisher Model of Real Returns 107
6.3.3 The Effect of Investor Expectations 108
6.4 Interest Rates and Inflation 108
6.5 The Effect of Inflation on Borrowers and Lenders 111
Xiii
6.6 Indexation 111
6.6.1 Government Bonds 112
6.6.2 Indexing Other Contracts 113
6.7 Stock Returns and Inflation 114
6.7.1 Long Term Historical Relationships 114
6.7.2 Short Term Historical Relationships 114
Summary 115
Questions and Problems 116
Endnotes 117
PART III MODERN INVESTMENT THEORY 119
CHAPTER 7 The Portfolio Selection Problem 119
7.1 Initial and Terminal Wealth 120
7.1.1 Determining the Rate of Return on a Portfolio 120
7.1.2 An Example 120
7.2 Nonsatiation and Risk Aversion 121
7.2.1 Nonsatiation 121
7.2.2 Risk Aversion 122
13 Utility 122
7.3.1 Marginal Utility 122
7.3.2 Certainty Equivalents and Risk Premiums 124
7.4 Indifference Curves 124
7.5 Calculating Expected Returns and Standard Deviations
for Portfolios 128
7.5.1 Expected Returns 128
7.5.2 Standard Deviations 131
Summary 135
Questions and Problems 135
Appendix A: Characteristics of Probability Distributions 139
Appendix B: Risk Neutral and Risk Seeking Investors 144
Endnotes 145
CHAPTER 8 Portfolio Analysis 147
8.1 The Efficient Set Theorem 147
8.1.1 The Feasible Set 148
8.1.2 The Efficient Set Theorem Applied to the Feasible Set 148
8.1.3 Selection of the Optimal Portfolio 149
8.2 Concavity of the Efficient Set 152
8.2.1 Bounds on the Location of Portfolios 152
8.2.2 Actual Locations of Portfolios 152
8.3 The Market Model 157
8.3.1 Random Error Terms 157
8.3.2 Graphical Representation of the Market Model 158
8.3.3 Beta 158
8.3.4 Actual Returns 160
xiv
^ 8.4 Diversification 160
8.4.1 Portfolio Total Risk 161
8.4.2 Portfolio Market Risk 162
8.4.3 Portfolio Unique Risk 162
8.4.4 An Example 164
8.4.5 Random versus Efficient Diversification 165
Summary 165
Questions and Problems 166
Endnotes 167
CHAPTER 9 Riskfree Lending and Borrowing 169
9.1 Defining the Riskfree Asset 169
9.2 Allowing for Riskfree Lending 170
9.2.1 Investing in Both a Riskfree Asset and a Risky Asset 170
9.2.2 Investing in Both the Riskfree Asset and a Risky Portfolio 173
9.2.3 The Effect of Riskfree Lending on the Efficient Set 174
9.2.4 The Effect of Riskfree Lending on Portfolio Selection 176
9.3 Allowing for Riskfree Borrowing 176
9.3.1 Borrowing and Investing in a Risky Security 176
9.3.2 Borrowing and Investing in a Risky Portfolio 180
9.4 Allowing for Both Riskfree Borrowing and Lending 180
9.4.1 The Effect of Riskfree Borrowing and Lending on the Efficient Set 180
9.4.2 The Effect of Riskfree Borrowing and Lending on Portfolio Selection 183
Summary 183
Questions and Problems 185
Appendix: Allowing for Different Borrowing and Lending Rates 187
Endnotes 188
CHAPTER 10 The Capital Asset Pricing Model 190
10.1 Assumptions 190
10.2 The Capital Market Line 191
10.2.1 The Separation Theorem 191
10.2.2 The Market Portfolio 192
10.2.3 The Efficient Set 195
10.3 The Security Market Line 196
10.3.1 Implications for Individual Risky Assets 196
10.3.2 An Example 199
10.4 The Market Model 201
10.4.1 Market Indices 202
10.4.2 Market and Unique Risk 202
10.4.3 An Example 203
10.4.4 Motivation for the Partitioning of Risk 204
Summary 204
Questions and Problems 205
Endnotes 206
XV
CHAPTER 11 Factor Models 208
11.1 Factor Models and Return Generating Processes 208
11.1.1 Factor Models 208
11.1.2 Application 209
11.2 One Factor Models 209
11.2.1 An Example 209
11.2.2 Generalizing the Example 211
11.2.3 The Market Model 212
11.2.4 Two Important Features of One Factor Models 212
11.3 Multiple Factor Models 214
11.3.1 Two Factor Models 214
11.3.2 Extending the Model 217
11.4 Estimating Factor Models 220
— x 11.4.1 Time Series Approaches 220
*¦ 11.4.2 Cross Sectional Approaches 221
11.4.3 Factor Analytic Approaches 223
11.4.4 Limitations 223
11.5 Factor Models and Equilibrium 223
Summary 224
Questions and Problems 224
Endnotes 226
CHAPTER 12 Arbitrage Pricing Theory 228
12.1 Factor Models 228
12.1.1 Principle of Arbitrage 229
12.1.2 Arbitrage Portfolios 229
12.1.3 The Investor s Position 231
12.2 Pricing Effects 231
12.2.1 A Graphical Illustration 232
12.2.2 Interpreting the APT Pricing Equation 233
12.3 Multiple Factor Models 234
12.4 Identifying the Factors 236
Summary 237
Questions and Problems 237
Endnotes 239
PART IV COMMON STOCKS 241
CHAPTER 13 Characteristics of Common Stocks 241
13.1 The Corporate Form 241
13.1.1 Stock Certificates 241
13.1.2 Voting 242
13.1.3 Proxy Fight 242
13.1.4 Takeovers 243
13.1.5 Ownership versus Control 244
xvi
13.1.6 Corporate Governance 244
13.1.7 Stockholders Equity 245
13.2 Cash Dividends 248
13.3 Stock Dividends and Stock Splits 249
13.3.1 Ex Distribution Dates 249
13.3.2 Reasons for Stock Dividends and Splits 250
13.4 Preemptive Rights 251
13.5 Ex Ante and Ex Post Values 252
13.6 Common Stock Betas 252
13.7 Growth versus Value 257
13.7.1 Book Value to Market Value Ratio 257
13.7.2 Earnings to Price Ratio 258
13.7.3 Size 259
13.7.4 Interrelationships 259
13.8 Primary Markets 260
13.8.1 Private Placements 261
13.8.2 Public Sale 261
13.8.3 Underpricing of IPOs 262
13.8.4 Seasoned Offerings 263
13.8.5 Shelf Registration 264
13.8.6 Rule 144A Securities 265
13.8.7 Secondary Distributions 265
Summary 269
Questions and Problems 270
Appendix: Empirical Regularities in the Stock Market 272
Endnotes 276
CHAPTER 14 Financial Analysis of Common Stocks 282
14.1 Professional Organizations 282
14.2 Reasons for Financial Analysis 284
14.2.1 Determining Security Characteristics 284
14.2.2 Attempting to Identify Mispriced Securities 285
14.2.3 Conveying Advice on Beating the Market 286
14.2.4 Financial Analysis and Market Efficiency 286
14.2.5 Needed Skills 287
14.3 Technical Analysis 287
14.3.1 Momentum and Contrarian Strategies 288
14.3.2 Moving Average and Trading Range Breakout Strategies 291
14.3.3 The Bottom Line 292
14.4 Fundamental Analysis 292
14.4.1 Top Down versus Bottom Up Forecasting 292
14.4.2 Probabilistic Forecasting 293
14.4.3 Econometric Models 293
14.5 Financial Statement Analysis 294
14.5.1 Company Background 295
14.5.2 Review of Accounting Statements 296
14.5.3 Ratio Analysis 304
xvii
14.6 Analysts Recommendations and Stock Prices 310
14.7 Analyst Following and Stock Returns 313
14.8 Insider Trading 313
14.9 Sources of Investment Information 315
14.9.1 Publications 315
14.9.2 Electronically Delivered Data 318
Summary 318
Questions and Problems 319
Appendix: Technical Analysis 321
Endnotes 325
CHAPTER 15 Dividend Discount Models 329
15.1 Capitalization of Income Method of Valuation 329
15.1.1 Net Present Value 330
15.1.2 Internal Rate of Return 330
15.1.3 Application to Common Stocks 331
15.2 The Zero Growth Model 332
15.2.1 Net Present Value 332
15.2.2 Internal Rate of Return 333
15.2.3 Application 333
15.3 The Constant Growth Model 333
15.3.1 Net Present Value 334
15.3.2 Internal Rate of Return 335
15.3.3 Relationship to the Zero Growth Model 335
15.4 The Multiple Growth Model 335
15.4.1 Net Present Value 336
15.4.2 Internal Rate of Return 337
15.4.3 Relationship to the Constant Growth Model 338
15.4.4 Two Stage and Three Stage Models 338
15.5 Valuation Based on a Finite Holding Period 339
15.6 Models Based on Price Earnings Ratios 340
15.6.1 The Zero Growth Model 342
15.6.2 The Constant Growth Model 343
15.6.3 The Multiple Growth Model 344
15.7 Sources of Earnings Growth 345
15.8 Alpha and the Security Market Line 349
15.8.1 Required Returns and Alphas 350
15.8.2 The Implied Return on the Stock Market 350
15.9 Dividend Discount Models and Expected Returns 351
Summary 353
Questions and Problems 354
Endnotes 355
xviii
CHAPTER 16 Dividends and Earnings 358
16.1 Stock Valuation Based on Earnings 358
16.1.1 Earnings, Dividends, and Investment 359
16.1.2 Earnings Determine Market Value 362
16.2 Determinants of Dividends 363
16.2.1 Changes in Earnings and Dividends 363
16.2.2 The Lintner Model 364
16.2.3 Test Results 365
16.3 The Information Content of Dividends 365
16.3.1 Signaling 366
16.3.2 Dividend Initiations and Omissions 366
16.3.3 Dividends and Losses 368
16.4 Accounting Earnings versus Economic Earnings 368
16.4.1 Accounting Earnings 369
16.4.2 Economic Earnings 369
16.5 Relative Growth Rates of Firms Earnings 371
16.5.1 Earnings Growth Rates 371
16.5.2 Annual Earnings 372
16.5.3 Quarterly Earnings 372
16.6 Earnings Announcements and Price Changes 373
16.6.1 Deviations from Time Series Models of Earnings 374
16.6.2 Unexpected Earnings and Abnormal Returns 377
16.6.3 Security Analysts Forecasts of Future Earnings 378
16.6.4 Management Forecasts of Future Earnings 380
16.6.5 Sources of Errors in Forecasting 381
Summary 383
Questions and Problems 384
Endnotes 386
CHAPTER 17 Investment Management 390
17.1 Traditional Investment Management Organizations 390
17.2 Investment Management Functions 392
17.3 Setting Investment Policy 392
17.3.1 Estimating Risk Tolerance 392
17.3.2 Constant Risk Tolerance 394
17.3.3 Certainty Equivalent Return 396
17.4 Security Analysis and Portfolio Construction 397
17.4.1 Passive and Active Management 397
17.4.2 Security Selection, Asset Allocation, and Market Timing 398
17.4.3 International Investing 402
17.5 Portfolio Revision 402
17.5.1 Cost Benefit Analysis 404
17.5.2 Swaps 405
xix
17.6 Manager Client Relations 410
Summary 410
Questions and Problems 411
Endnotes 412
CHAPTER 18 Portfolio Performance Evaluation 415
18.1 Measures of Return 415
18.1.1 Dollar Weighted Returns 417
18.1.2 Time Weighted Returns 417
18.1.3 Comparing Dollar Weighted and Time Weighted Returns 417
18.1.4 Annualizing Returns 418
18.2 Making Relevant Comparisons 418
18.3 Market Indices 420
18.3.1 Price Weighting 420
18.3.2 Value Weighting 423
18.3.3 Equal Weighting 424
18.3.4 Geometric Mean 424
18.4 Risk Adjusted Measures of Performance 425
18.4.1 Ex Post Characteristic Lines 427
18.4.2 The Reward to Volatility Ratio 433
18.4.3 The Sharpe Ratio 434
18.4.4 M2 436
18.4.5 Comparing the Risk Adjusted Measures of Performance 437
18.5 Market Timing 438
18.5.1 Quadratic Regression 440
18.5.2 Dummy Variable Regression 440
18.6 Criticisms of Risk Adjusted Performance Measures 442
18.6.1 Use of a Market Index 442
18.6.2 Distinguishing Skill from Luck 442
18.6.3 Measuring the Riskfree Rate 444
18.6.4 Validity of the CAPM 445
Summary 445
Questions and Problems 446
Endnotes 448
PARTV FIXED INCOME SECURITIES 451
CHAPTER 19 Types of Fixed Income Securities 451
19.1 Money Market Instruments 451
19.1.1 Commercial Paper 452
19.1.2 Certificates of Deposit 453
19.1.3 Bankers Acceptances 453
19.1.4 Eurodollars 453
19.1.5 Repurchase Agreements 455
19.2 U.S. Government Securities 455
19.2.1 U.S. Treasury Bills 457
19.2.2 U.S. Treasury Notes 460
XX
19.2.3 U.S. Treasury Bonds 461
19.2.4 U.S. Savings Bonds 461
19.2.5 Zero Coupon Treasury Security Receipts 462
19.3 Federal Agency Securities 464
19.3.1 Bonds of Federal Agencies 466
19.3.2 Bonds of Federally Sponsored Agencies 466
19.3.3 Participation Certificates 466
19.3.4 Collateralized Mortgage Obligations 468
19.4 State and Local Government Securities 470
19.4.1 Issuing Agencies 470
19.4.2 Types of Municipal Bonds 472
19.4.3 Tax Treatment 473
19.4.4 The Market for Municipal Bonds 474
19.4.5 Municipal Bond Insurance 475
19.5 Corporate Bonds 475
19.5.1 Tax Treatment 475
19.5.2 The Indenture 476
19.5.3 Types of Bonds 476
19.5.4 Call Provisions 477
19.5.5 Sinking Funds 478
19.5.6 Private Placement 478
19.5.7 Bankruptcy 478
19.5.8 Trading in Corporate Bonds 479
19.6 Foreign Bonds 484
19.7 Eurobonds 484
19.8 Preferred Stock 485
Summary 486
Questions and Problems 487
Endnotes 488
CHAPTER 20 Fundamentals of Bond Valuation 490
20.1 Yield to Maturity 490
20.2 Spot Rates 494
20.3 Discount Factors 495
20.4 Forward Rates 496
20.5 Forward Rates and Discount Factors 498
20.6 Compounding 498
20.7 The Bank Discount Method 499
20.8 Yield Curves 500
20.9 Term Structure Theories 501
20.9.1 The Unbiased Expectations Theory 501
20.9.2 The Liquidity Preference Theory 504
20.9.3 The Market Segmentation Theory 506
20.9.4 The Preferred Habitat Theory 507
20.9.5 Empirical Evidence on the Theories 507
xxi
Summary 508
Questions and Problems 508
Appendix: Continuous Compounding 511
Endnotes 512
CHAPTER 21 Bond Analysis 514
21.1 Applying the Capitalization of Income Method to Bonds 514
21.1.1 Promised Yield to Maturity 514
21.1.2 Intrinsic Value 515
21.2 Bond Attributes 516
21.2.1 Coupon Rate and Length of Time until Maturity 516
21.2.2 Call Provisions 517
21.2.3 Tax Status 519
21.2.4 Marketability 519
21.2.5 Likelihood of Default 520
21.3 The Risk Structure of Interest Rates 528
21.4 Determinants of Yield Spreads 530
21.5 Financial Ratios as Predictors of Default 531
21.5.1 Univariate Methods 531
21.5.2 Multivariate Methods 531
21.5.3 Investment Implications 532
Summary 533
Questions and Problems 534
Endnotes 535
CHAPTER 22 Bond Portfolio Management 537
22.1 Bond Market Efficiency 537
22.1.1 Price Behavior of Treasury Bills 537
22.1.2 Expert Predictions of Interest Rates 538
22.1.3 Price Reaction to Bond Rating Changes 539
22.1.4 Money Supply Announcements 539
22.1.5 Performance of Bond Portfolio Managers 539
22.1.6 Summary 540
22.2 Bond Pricing Theorems 540
22.3 Convexity 543
22.4 Duration 544
22.4.1 The Formula 544
22.4.2 Relationship to Bond Price Changes 545
22.4.3 Relationship between Convexity and Duration 546
22.4.4 Changes in the Term Structure 547
22.5 Immunization 548
22.5.1 How Immunization Is Accomplished 548
22.5.2 Problems with Immunization 550
22.6 Active Management 553
22.6.1 Horizon Analysis 553
22.6.2 Bond Swaps 555
¦ •
22.6.3 Contingent Immunization 556
22.6.4 Riding the Yield Curve 557
22.7 Passive Management 558
22.8 Bond Portfolio Performance Evaluation 558
22.8.1 Bond Indices 560
22.8.2 Time Series and Cross Sectional Comparisons 562
22.9 Bonds versus Stocks 563
Summary 564
Questions and Problems 565
Appendix: Empirical Regularities in the Bond Market 567
Endnotes 568
PART VI OTHER INVESTMENTS 573
CHAPTER 23 Investment Companies 573
23.1 Net Asset Value 574
23.2 Major Types of Investment Companies 574
23.2.1 Unit Investment Trusts 575
23.2.2 Managed Companies 576
23.3 Investment Policies 583
23.4 Mutual Fund Taxation 586
23.5 Mutual Fund Performance 585
23.5.1 Calculating Returns 586
23.5.2 Average Return 589
23.5.3 Equity Funds 590
23.5.4 Bond Funds 592
23.6 Evaluating Mutual Funds 592
23.6.1 Performance 592
23.6.2 Ratings 594
23.6.3 Historical Profile 595
23.6.4 Category Rating and Other Measures 595
23.6.5 Investment Style 596
23.6.6 Caveats 597
23.7 Closed End Fund Premiums and Discounts 598
23.7.1 Pricing of Shares 598
23.7.2 Investing in Fund Shares 599
23.7.3 Open Ending Closed End Funds 599
Summary 600
Questions and Problems 601
Endnotes 602
CHAPTER 24 Options 605
24.1 Types of Option Contracts 605
24.1.1 Call Options 605
24.1.2 Put Options 608
• ••
XXU1
24.2 Option Trading 608
24.2.1 Trading Activity 609
24.2.2 Most Active Options 610
24.2.3 Trading on Exchanges 611
24.2.4 Commissions 611
24.3 Margin 613
24.4 Valuation of Options 614
24.4.1 Valuation at Expiration 614
24.4.2 Profits and Losses on Calls and Puts 615
24.4.3 Profits and Losses from Some Option Strategies 617
24.5 The Binomial Option Pricing Model 618
24.5.1 Call Options 618
24.5.2 Put Options 623
24.5.3 Put Call Parity 624
24.6 The Black Scholes Model for Call Options 625
24.6.1 The Formula 625
24.6.2 Comparison with the Binomial Option Pricing Model 626
24.6.3 Static Analysis 628
24.6.4 Estimating a Stock s Volatility from Historical Prices 628
24.6.5 The Market Consensus of a Stock s Volatility 629
24.6.6 More on Hedge Ratios 630
24.6.7 Limitations on the Use of the Black Scholes Model 631
24.6.8 Adjustments for Dividends 632
24.7 The Valuation of Put Options 632
24.7.1 Put Call Parity 633
24.7.2 Static Analysis 634
24.7.3 Early Exercise and Dividends 634
24.8 Index Options 635
24.8.1 Cash Settlement 635
24.8.2 The Contract 635
Summary 637
Questions and Problems 637
Endnotes 639
CHAPTER 25 Futures 641
25.1 Hedgers and Speculators 641
25.1.1 An Example of Hedging 641
25.1.2 An Example of Speculating 642
25.2 The Futures Contract 642
25.3 Futures Markets 643
25.3.1 The Clearinghouse 645
25.3.2 Initial Margin 646
25.3.3 Marking to Market 647
25.3.4 Maintenance Margin 647
25.3.5 Reversing Trades 648
25.3.6 Futures Positions 649
25.3.7 Open Interest 649
25.3.8 Price Limits 650
25.4 Basis 651
25.4.1 Speculating on the Basis 651
25.4.2 Spreads 651
25.5 Returns on Futures 652
25.6 Futures Prices and Expected Spot Prices 654
25.6.1 Certainty 654
25.6.2 Uncertainty 654
25.7 Futures Prices and Current Spot Prices 656
25.7.1 Introducing the Problem 656
25.7.2 No Costs or Benefits of Ownership 656
25.7.3 Benefits from Ownership 657
25.7.4 Costs of Ownership 657
25.8 Financial Futures 658
25.8.1 Foreign Currency Futures 658
25.8.2 Interest Rate Futures 660
25.8.3 Market Index Futures 661
25.9 Futures versus Options 666
Summary 667
Questions and Problems 668
Endnotes 669
CHAPTER 26 International Investing 672
26.1 The Total Investable Capital Market Portfolio 672
26.1.1 International Equity Indices 673
26.1.2 Emerging Markets 675
26.2 Risk and Return from Foreign Investing 675
26.2.1 Managing Exchange Risk 677
26.2.2 Foreign and Domestic Returns 678
26.2.3 Expected Returns 681
26.2.4 Foreign and Domestic Risks 682
26.3 International Listings 683
26.3.1 Ordinaries 684
26.3.2 American Depositary Receipts 685
26.3.3 World Equity Benchmark Shares 686
26.4 Correlations between Markets 686
Summary 688
Questions and Problems 688
Endnotes 689
Glossary 693
References 715
Selected Solutions to End of Chapter Questions and Problems 759
Index 763
XXV
|
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| author | Alexander, Gordon J. Sharpe, William F. 1934- Bailey, Jeffery V. |
| author_GND | (DE-588)124374107 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 3. ed. |
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| geographic_facet | USA |
| id | DE-604.BV014114003 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T10:59:27Z |
| institution | BVB |
| isbn | 0132926172 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009669898 |
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| physical | XXXI, 781 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
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| publisher | Prentice Hall |
| record_format | marc |
| spellingShingle | Alexander, Gordon J. Sharpe, William F. 1934- Bailey, Jeffery V. Fundamentals of investments Investeringen gtt Investimentos larpcal Investissements Investments Finanzierung (DE-588)4017182-6 gnd Wertpapieranlage (DE-588)4189703-1 gnd Kapitalanlage (DE-588)4073213-7 gnd Investition (DE-588)4027556-5 gnd |
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| title | Fundamentals of investments |
| title_auth | Fundamentals of investments |
| title_exact_search | Fundamentals of investments |
| title_full | Fundamentals of investments Gordon J. Alexander ; William F. Sharpe ; Jeffery V. Bailey |
| title_fullStr | Fundamentals of investments Gordon J. Alexander ; William F. Sharpe ; Jeffery V. Bailey |
| title_full_unstemmed | Fundamentals of investments Gordon J. Alexander ; William F. Sharpe ; Jeffery V. Bailey |
| title_short | Fundamentals of investments |
| title_sort | fundamentals of investments |
| topic | Investeringen gtt Investimentos larpcal Investissements Investments Finanzierung (DE-588)4017182-6 gnd Wertpapieranlage (DE-588)4189703-1 gnd Kapitalanlage (DE-588)4073213-7 gnd Investition (DE-588)4027556-5 gnd |
| topic_facet | Investeringen Investimentos Investissements Investments Finanzierung Wertpapieranlage Kapitalanlage Investition USA Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009669898&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT alexandergordonj fundamentalsofinvestments AT sharpewilliamf fundamentalsofinvestments AT baileyjefferyv fundamentalsofinvestments |
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