投资分析与管理 英文版 第5版PDF格式文档图书下载

Contents 1

Part 1

1 The Investment Background 2

Chapter 1 4

The Investment Setting 4

WHAT IS AN INVESTMENT? 4

INVESTMENT DEFINED 5

MEASURING RETURN AND RISK 6

MEASURING HISTORICAL RATES OF RETURN 6

COMPUTING MEAN HISORICAL RETURNS 8

CALCUATING EXPECTED RATES OF RETURN 11

MEASURING THE RISK OF EXPECTED RATES OF RETURN 14

RISK MEASURES FOR HISTORICAL RETURNS 15

DETERMINING REQUIRED RATES OF RETURN 16

THE REAL RISK-FREE RATE 17

FACTORS INFLUENCING THE NOMINAL RISK-FREE RATE 17

RISK PREMIUM 20

RISK PREMIUM AND PROTFOLIO THEORY 22

FUNDAMENTAL RISK VERSUS SYSTEMATIC RISK 23

SUMMARY OF REQUIRED RATE OF RETURN 23

RELATIONSHIP BETWEEN RISK AND RETURN 24

CHANGES IN THE SLOPE OF THE SML 25

CHANGES IN CAPITAL MARKET CONDITIONSOR EXPECTED INFLATION 27

SUMMARP OF CHANGES IN THE REQUIRED RATE OF RETURN 27

OUTLINE OF THE BOOK 28

Chapter l APPENDIX 28

Computation of Variance and Standard Deviation 33

asset allocation 37

INDIVIDUAL INVESTOR LIFE CYCLE 37

Chapter 2 37

PRE-INVESTMENT NEEDS 38

LIFE CYCLE INVESTMENTSTRATEGIES 38

LIFE CYCLE INVESTMENT GOLALS 40

THE PORTFOLIO MANAGEMENT PROCESS 40

THE NEED FOR A POLICY STATEMENT 41

UNDERSTAND AND ARTICULATE INVESTOR GOALS 41

PORTFOLIO PERFORMANCE STANDARDS 42

INPUT TO THE POLICY STATEMENT 43

INVESTMENT OBJECTIVES 43

INVESTMENT CONSTRAINTS 46

MUTUAL FUNDS 51

OBJECTIVES AND CONSTRAINTS OF INSTITUTIONAL INVESTORS 51

PENSION FUNDS 51

CONSTRUCTING THE POLICY STATEMENT 51

ENDOWMENT FUNDS 53

INSURANCE COMPANIES 53

BANKS 54

INSTUTIONAL INVESTOR SUMMARY 55

THE IMPORTANCE OF ASSET ALLOCATION 55

REAL INVESTMENT RETURNS AFTER TAXES AND COSTS 56

RETURNS AND RISKS OF DIFFERNT ASSET CLASSES 57

ASSET ALLOCATION SUMMARY 61

ASSET ALLOCATION AND CULTURAL DIFFERENCES 61

Chapter 3 66

Selecting Investments in a global Market 66

THE CASE FOR GLOBAL INVESTMENTS 67

RELATIVE SIZE OF U.S. FNANCIAL MARKETS 68

RATES OF RETURN ON U.S. AND FOWGN SECURITIES 69

INDIVIDUAL COUNTRY RISK AND RETURN 71

RISK OF COMBINED COUNTRY INVESTMENTS 71

GLOBAL INVESTMENT CHOICES 77

FIXED-INCOME INVESTMENTS 78

EQUITY INSTRUMENTS 82

SPECLAL EQUITY INSTRUMENTS：OPTIONS 84

FUTURES CONTRACTS 84

INVESTMENT COMPANIES 85

REAL ESTATE 86

LPW-LIQUIDITY INVESTMENTS 87

HISTORICAL RISK/RETURNS ON ALTERNATIVE INVESTMENTS 89

STOCKS, BONDS, AND T-BILLS 89

WORLD PORTFOLIO PERFORMANCE 91

ART AND ANTIQUES 94

REAL ESTATE 95

Chapter 3 APPENDIX 95

JENSE PORTFOLIO PERFORMANCE MEASURE 1000

APPLICATION OF PORTF0LIO PERFORMANCE MEASURES 1002

COMPONENTS OF INVESTMENT PERFORMANCE 1006

PERFORMANCE ATTRIBUTION ANALYSIS 1010

ASSET CLASS ATTRIBUTION ANALYSIS：AN EXAMPLE 1011

PERFORMANCE ATTRIBUTION EXTENSIONS 1013

MEASURING MARKET TIMING SKILLS 1015

FACTORS tw AFFECT USE OF PERFORMANCE MEASURES 1016

BENCHMARK ERRORS AND GLOBAL INVESTING 1017

A DEMONSTRATION OF THE GLOBAL BENCHMARK PROBLEM 1018

IMPLICATIONS OF BENCHMARK PROBLEMS RELIABILITY OF PERFORMANCE MEASURES 1019

Covariance and Correlation 102

RELIABILITY OF PERFORMANCE MEASURES 1021

EVALUATION OF BOND PORTFOLIO PERFORMANCE 1021

A BOND MARKET LINE 1021

DECOMPOSING PORTFOLIO RETURNS 1024

ANALYZING SOURCES OF RETURN 1026

REQUIRED CHARACTERISTICS OF BENCHAMARKS 1028

CONSISTENCY OF PERFORMANCE 1028

APPENDIX A 1036

How tO Become a Chart fred Financial Analyst 1036

APPENDIX B 1039

Code Of Ethics and Standards Of Professional Conduct 1039

APPENDIX C 1041

Interest Tables 1041

APPENDIX D 1047

Standard Normal Probabilities 1047

Glossary 1049

Organization and functioning of Securities Markets 105

Chapter 4 105

WHAT IS A MARKET? 106

CHARACTERISTICS OF A GOOD MARKET 106

Name/ComPany Index 1069

ORGANIZAION OF THE SECURITIES MARKET 107

Subject Index 1074

PRIMARY CAPITAL MARKETS 108

GOVERNMENT BOND ISSUES 108

MUNICIPAL BOND ISSUES 108

CORPORATE BOND AND STOCK ISSUES 109

PRIVATE PLACEMENTS AND RULE 144A 111

SECONDARY FINANCIAL MARKETS 111

WHY SECONDARY MARKETS ARE IMPORTANT 111

SECONDARY BOND MARKETS 112

FINANCIAL FUTURES 113

SECONARY EQUITY MARKETS 113

REGIONAL EXCHANGES AND THE OVER-THE-COUNTER MARKET 120

DETAILED ANALYSIS OF EXCHANGE MARKETS 125

EXCHNGE MEMBERSHIP 125

TYPES OF ORDERS 126

EXCHANGE MARKET MAKERS 131

CHANGES IN THE SECURITIES MARKETS 134

EVIDENCE AND EFFECT OF INSTITUTIONALIZATION 134

NEGOTIATED COMMISSION RATES 135

THE IMPACT OF BLOCK TRADES 136

INSTITUTIONS AND STOCK PRICE VOLATILITY 137

NATIONAL MARKET SYSTEM（NMS） 137

NEW TRADING SYSTEMS 140

GLOBAL MARKET CHANGES 141

FUTURE DEVELOPMENTS 143

Chapter 4 APPENDIX 148

Characteristics of Developed and Developing Markets around the WOrld 148

Security-market Indicator series 151

Chapter 5 151

USES OF SECURITY-MARKET INDEXES 152

DIFFERENTIATING FACTORS IN CONSTRUCTING MARKET INDEXES 153

THE SAMPLE 153

WEIGHTING SAMPLE MEMBERS 153

COMPUTAIONAL PROCEDURE 153

STOCK-MARKET INDICATOR SERIES 153

PRICE-WEIGHTED SERIES 153

VALUE-WEGHTED SERIES 156

UNWEIGHTED PRICE INDICATOR SERIES 157

GLOBAL EQUITY INDEXES 160

BOND-MARKET INDICATOR SERIES 165

INVESTMENT-GRADE BOND INDEXES 165

COMPOSITE STOCK-BOND INDEXES 167

GLOBAL GOVERNMENT BOND MARKET INDEXES 167

HIGH-YIELD BOND INDEXES 167

MERRILL LYNCH-WILSHIRE U.S. CAPIAL MARKETS INDES（ML-WCMI） 168

BRINSON PARTNERS GLOBAL SECURITY MARKET INDEX （GSMI） 168

COMPARISON OF INDEXES OVER TIME 169

CORRELATIONS AMONG MON THLY EQUITY PRICE CHANGES 169

CORRELATIONS AMONG MONTHLY BOND INDEXES 169

ANNUAL STOCK PRICE CHANGES 171

ANNUAL BOND RATES OF RETURN 171

Chapter 5 APPENDIX Foreign Stock-Market Indexes 177

Chapter 6 178

Sources of Information on global Investments 178

AGGREGATE ECONOMIC ANALYSIS 179

U.S. GOVERNMENT SOURCES 179

BANK PUBLICAUIBS 180

NON-U.S. ECONOMIC DATA 181

GOVERNMENT PUBLICATIONS 182

AGGREGATE SECURITY-MARKET ANALYSIS 182

COMMERIAL PUBLICATIONS 183

BROKERAGE FIRM REPORTS 186

INDUSTRY ANALYSIS 188

INDVSTRY PUBLICATIONS 188

INDUSTRY MAGAZINES 188

INDIVIDUAL STOCK AND BOND ANALYSIS 190

COMPANY-GANERATED INFORMATION 190

COMMERCIAL PUBLICATIONS 191

INVESTMENT MAGAZINES 194

BROKERAGE FIRM REPORTS 194

REQYURED INFORMATION 197

OBTAINING INFORMATION ON BONDS 197

SOURCES OF lNFORMATION ON MUTUAL FUNDS 198

SOVRCES OF BOND QVOTES 198

ACADEMIC JOURNALS 200

THEORETICAL AND EMPIRICAL ANALYSIS 200

DATA BANKS 202

COMPUTERIZED DATA SOURCES 202

ONLINE DATABASES 203

2 developments in Investment Theory 206

Efficient Capital Markets 208

Chapter 7 208

WHY SHOULD CAPITAL MARKETS BEEFFICIENT? 209

ALTERNATIVE EFFICIENT MARKET HYPOTHESES 210

EXPECTED RETURN OR FAIR GAME MODEL 210

SEMISTRONG-FORM EFFICIENT MARKET HYPOTHESIS 211

WEAK-FORM EFFICIENT MARKET HYPOTHESIS 211

Weak-Form HYPOTHESIS：IESTS AND RESULTS 212

TESTS AND RESULTS OF ALTERNATIVE EFFICIENT MARKET HYPOTHESIS 212

STRONG-FORM EFFICIENT MARKET HYPOTHESIS 212

SEMISTRONG-FORM HYPOTHESIS：TESTS AND RESULTS 215

STRONG-FORM HYPOTHESIS：TESTS AND RESULTS 234

EFFICIENT MARKETS AND TECHNICAL ANALYSIS 241

IMPLICATIONS OF EFFICIENT CAPITAL MARKETS 241

EFFICIENT MARKETS AND FUNDAMENTAL ANALYSIS 242

EFFICIENT MARKETS AND PORFOLIO MANAGEMENT 244

EFFICIENCY IN EUROPEAN EQUITY MARKETS 246

MOVEMENTS ALONG THE SML 25

Chapter 8 251

An introduction to Portfolio Management 251

SOME BACKGROUND ASSUMPTIONS 252

RISK AVERSION 252

DEFINITION OF RISK 253

MARKOWITZ PORTFOLIO THEORY 253

ALTERNATIVE MEASURES OF RISK 253

EXPECTED RATES OF RETURN 254

VARIANCE（STANDATD DEVIATION）OF RETURNS FOR AN INDIVIDUAL INVESTMKENT 254

VARIANCE（STANDARD DEVIATION） OF RETURNS FOR A PIPTFOLIO 255

STANDARD DEVIATION OF A PORTFOLIO 261

A THREE-ASSET PORTFILIO 268

ESTIMATION ISSUES 269

THE EFFICIENT FRONTIER AND INVESTOR UTILITY 270

THE EFFICIENT FRONTIER 270

ChaPter 8 APPENDIXES 275

Have Equal Variance 275

Variance When Correlation Equals-1．00 276

Chapter 9 277

An Introduction to Asset Pricing Models 277

CAPITAL MARKET THEORY：AN OVERVIEW 278

BACKGROUND FOR CAPITAL MARKET THEORY 278

RISK-FRE ASSET 280

THE MARKET PORTFOLIO 283

THE CAPITAL ASSET PRICING MODEL:EXPECTED RETURN AND RISK 287

THE SECURITY MARKET LINE（SML） 288

ARBITRAGE PRICING THEORY （ART） 297

EMPIRICAL TESTS OF THE APT 300

Extensions and Testing of Asset pricing Theories 305

Chapter 10 305

RELAXING THE ASSUMPTIONS 305

DIFFERENTIAL BORROW AND LENDING RATES 306

ZERO-BETA MODEL 307

TRANSACTIONS COSTS 308

HETEROGENEOUS EXPECTATIONS AND PLANNING PERIODS 309

TAXES 309

EMPIRICAL TESTS OF THE CAPM 310

STABILITY OF BETA 310

COMPARABILITY OF PUBLISHED ESTIMATES OF BETA 311

RELATIONSHIP BETWEEN SYSTEMATIC RISK AND RETURN 312

EFFECT OF SKEWNESS ON THE RELATIONSHIP 314

EFFECT OF SIXE，PE，AND LEVERAGE 314

EFFECT OF BOOK-TO-MARKET VALVE:THE FAMA-FRENCH STUDY 315

SUMMARY OF CAPM RISK-RETURN EMPIRICAL RESULTS 315

THE MARKET PORTFOUO: THEORY VERSUS PRACTICE 317

ARBITRAGE PRICING THEORY （APT） 322

EMPIRICAL TESTS OF THE APT 325

ROLL-ROSS STUDY 325

EXTENSIONS OF THE ROLL-ROSS TESTS 326

THE APT AND ANOMALIES 327

THE SHANKEN CHALLENGE TO TESTABILITY OF THE ATP 329

Chapter 11 333

An Introduction to Derivative Markets and Securities 333

OVERVIEW OF DERIVATIVE MARKETS 334

THE LANGUAGE AND STRUCTURE OF FORWATD AND FUTUTES MARKETS 334

THE LANGUAGE AND STRUCTURE OF OPTION MARKETS 336

INVESTING WITH DERIVATIVE SECURITIES 338

THE BASIC NATUTE OF DERIVATIVE INVESTING 338

BASIC PAYOFF DIAGRAMS FOR FORWARD CONTRACTS 340

BASIC PAYOFF DIAGRAMS FOR CALL AND PUT OPTIONS 341

OPTION PAYOFF DIAGRAMS：AN EXAMPLE 344

THE RELATIONSHIP BETWEN FORWARD AND OPTION CONTRACTS 347

PUT-CALL-SPOT PARITY 347

PUT-CALL PARITY：AN EXAMPLE 349

CREATING SYNTHETIC SECURTITES USING PUT-CALL PARITY 350

ADJUSTING PUT-CALL-CALL-SPOT PATITY FOR DIVIDENDS 351

PUT-CALL-FORWARD PARITY 352

APPLICATIONS OF DERIVATIVES IN PORTFOLIO MANAGEMENT 354

RESRTUCTURING ASSET PORTFOLIOS WITH FORWARD CONTRACTS 354

PROTECTING PORTFOLIO VALUE WITH PUT OPTIONS 356

ALTERING PORTFOLIO PAYOFFS WITH CALL OPTIONS 360

STATEMENT OF CASH FLOWS 370

3 Valuation principles and Practice 372

Analysis of Financial Statements 374

MAJOR FINANCIAL STATEMENTS 374

Chapter 12 374

GENERALLY ACCEPTED ACCOUNTING PRINCIPLES 375

BALANC SHEET 375

INCOME STATEMENT 375

ALTERNATIVE MEASURES OF CASH FLOW 380

PURPOSE OF FINANCIAL STATEMENT ANALYSIS 381

ANALYSIS OF FINANCIAL RATIOS 381

IMPORTANCE OF RELATIVE FINANCIAL RATIOS 381

COMPUTATION OF FINANCIAL RATIOS 383

COMMON SIXE STATEMENTS 383

EVALUATING INTERNAL LIQUIDITY 383

INTERNAL LIQUIDITY RATIOS 383

EVALUATING OPERATING PERFORMANCE 388

OPERATING EFFICIENCY RATIOS 389

OPERATING PROFITABILITY RATIOS 390

RISK ANALYSIS 396

BUSINESS RISK 398

FINANCLAL RISK 399

ANALYSIS OF GROWTH POTENTIAL 406

IMPORTANCE OF GROWTH ANALYSIS 406

DETERMINANTS OF GROWTH 406

EXTERNAL MARKET LIQUIDITY 408

MARKET LIQUIDITY DEFINED 408

DETERMINANTS OF MARKET LIQUIDITY 408

COMPARATIVE ANALYSIS OF RATIOS 409

INTERNAL LIQUIDITY 409

OPERATING PERFORMANCE 409

FINANCIAL RISK 409

ACCOUNTING STATEMENT FORMAT DIFFERENCES 411

GROWTH ANALYSIS 411

DIFFERENCES IN ACCOUNTING PRINCIPLES 411

ANALYSIS OF NON-U.S. FINANCIAL STATEMENTS 411

INTERNATIONAL RATIO ANALYSIS 412

THE QUALITY OF FINANCIAL STATEMENTS 417

BALANCE SHEET 417

INCOME STATEMENT 418

THE VALUE OF FINANCIAL STATEMENT ANALYSIS 418

USES OF FINANCIAL RATIOS 418

STOCK VALUATION MODELS 419

FINANCIAL RATIOS AND SYSTEMATIC RISK 419

FIANCIAL RATIOS AND BOND RATINGS 420

LIMITATIONS OF FINANCIAL RATIOS 421

FINANCIAL RATIOS AND TNSOLVENCY（BANKRUPTCY） 421

An Introduction to Security Valuation 429

Chapter 13 429

AN OVERVIEW OF THE VALUATION PROCESS 430

GENERAL ECONOMIC INFLUENCES 431

WHY A THREE-STEP VALUATION PROCESS? 431

INDUSTRY INFLUENCES 432

COMPANY ANALYSIS 433

DOES THE THREE-STEP PROCESS WORK? 433

THEORY OF VALUATION 434

STREAM OF EXPECTED RETURNS 434

REQUIRED RATE OF RETURN 435

INVESTMENT DECISION PROCESS：A COMPARISON OF ESTIMATED VALUES AND MARKET PRICES 435

VALUATION OF ALTERNATIVE INVESTMENTS 436

VALUATION OF BONADS 436

VALUATION OF PREFERRED STOCK 437

VALUATION OF COMMON STOCK 438

INFINITE PERIOD DDM AND GROWTH COMPANIES 443

VALUATION WITH TEMPORARY SUPERNOFMAL GROWTH 443

EARNINGS MULTIPLIER MODEL 445

REQUIRED RATE OF RETURN（K） 447

OF DIVIDENDS 447

ESTIMATING THE REQUIRED RETURN FOR FOREIGN SECURTIES 449

EXPECTED GROWTH RATE OF DIVIDENDS 453

ESTIMATING DIVIDEND GROWTH FOR FOREIGN STOCKS 455

Derivation Of Constant Growth Dividend Discount Model（DDM） 458

Chapter 13 APPENDIX 458

Allocation Decision 460

Chapter 14 460

CYCLICAL INDICATOR APPROACH TO 461

ECONOMIC ACTIVITY AND SECURITY MARKETS 461

FORECASTING THE ECONOMY 462

CYCLIAL INDICATOR CATEGORIES 463

ANALYTICAL MAESURES OF PERFORMANCE 466

LIMITIONS OF THE CYCLCAL INDICATOR APPROACH 466

LEADING INDICTORS AND STOCK PRICES 467

OTHER LEADING INDICATOR SERIES 467

MONEY SUPPLY AND THE ECONOMY 470

MONETARY VARIABLES， THE ECONOMY，AND STOCK PRICES 470

MONEY SUPPLY AND STOCK PRICES 471

OTHER ECONOMIC VARIABLES AND STOCK PRICES 472

INFLATION，I NTEREST RATES，AND SECURITY PRICES 473

SUMMARY OF MACROECONOMIC ANALYSIS 476

ANALYSIS OF WORLD SECURITY MARKETS 477

INFLATION AND EXCHANGE RATES 477

CORRELATIONS AMONG RETURNS 479

INDIVIDUAL COUNTRY STOCK PRICE CHANGES 480

INDIVIDUAL COUNTRY ANALYSIS 480

WORLD ASSET ALLOCATION 482

Part 4 Analysis and Management of Bonds 488

Chapter 15 490

Bond Fundamentals 490

BASIC FEATURES OF A BOND 490

BOND CHARACTERISTICS 491

RATES OF RETURN ON BONDS 493

THE GLOBAL BOND-MARKET STRUCTURE 494

PARTICIPATING ISSUERS 495

PARTICIPATING INVESTORS 497

BOND RATINGS 497

ALTERNATIVE BOND ISSUES 500

DOMESTIC GOVERNMENT BONDS 500

GOVERNMENT AGENCUY ISSUES 502

MUNICIPAL BONDS 505

CORPORATE BONDS 507

INTERNATIONAL BONDS 516

INETRPRETING BOND QUOTES 517

OBTAINING INFORMATION ON BOND PRICES 517

Chapter 16 525

The Analysis and Valuation of Bonds 525

THE FUNDAMENTALS OF BOND VALUATION 526

THE PRESENT VALUE MODEL 526

THE YIELD MODEL 528

COMPUTING BOND YIELDS 529

NOMONAL YIELD 530

CURRENT YIELD 530

PROMISE YIELD TO MATURITY 530

PROMISED YIELD TO CALL 534

REALIZED（HORIZON）YIELD 535

CALCULATING FUTURE BOND PRICES 536

REALIZED（HORIZON）YIELD WITH DIFFRENTIAL 538

REINVESTMNT RATES 538

PRICE AND YIELD DETERMINATION NONINTEREST DATES 540

YIELD ADJUSTMENTS FOR TAX-EXEMPT BONDS 540

BOND YIELD BOOK 541

BOND VALUATION USING SPOT RATES 541

WHAT DETERMINES INTEREST RATES? 543

FORECASTING INTEREST RATES 544

FUNDAMENTAL DETERMINANTS OF INTEREST RATES 545

TERM STRUCTURS OF INTRET RATES 548

CALCULATING FORWARD RATES FROM THE SPOT-RATE CURVE 554

TERM-STRUCTURE THEORIES 556

YIELD SPREADS 560

WHAT DETERMINES THE PRICE VOLATILITY FOR BONDS? 561

TRADING STRATEGIES 564

DURATION MEASURES 565

MODIFIED DURATION AND BOND PRICE VOLATILITY 568

BOND CONVEXITY 569

DURATION AND CONVEXITY FOR CALLABLE BONDS 576

LIMITATIONS OF MACAULAY AND MODIFIED DURATION 578

Chapter 17 591

Bond portfolio Management Strategies 591

ALTERNATIVE BOND PORTFOLIO STRATEGIES 591

PASSIVE MANAGEMENT STRTEGIES 592

ACTVE MANAGEMENT STRATEGIS 593

A GLOBAL FIXED-INCOME INVESTMENT STRATEGY 605

MATCHED-FUNDING IECHNIQUES 607

CONTINGENT PORTFOLIO STRATEGIES 616

IMPLICATIONS OF CAPITAL MARKET THEORY AND THE EMH ON BOND PORTFOLIO MANAGEMENT 623

BONDS AND TOTAL PORTFOLIO THEORY 623

BONDS AND CAPIAL MARKET THEORY 624

BOND PRICE BEHAVIOR IN A CAPM FRAMEWORK 624

BOND-MARKET EFFICIENCY 627

Part 5 Analysis of Common Stocks 638

Chapter 18 640

Stock-Market Analysis 640

APPLYING THE VALUATION MODEL TO THE MARKET 641

IMPORTANCE OF BOTH COMPONENTS OF VALUE 642

TWO-PART VALUATION PROCEDURE 642

ESTIMATING EXPECTED EARNINGS PER SHARE 645

ESTIMATING SALES PER SHARE FOR A MARKET SERIES 645

ESTIMATING GROSS NATIONAL PRODUCT 645

ALTERNATIVE ESTMATES OF CORPORATE NET PROFITS 647

ESTMATING AGGREGATE OPEPATING PROFIT MARGIN 648

ESTIMATING DEPRECIATION EXPEMSE 652

ESTIMATING INTEREST EXPENSE 652

ESTIMATING THE TAX RATE 653

CALCULATING EARNINGS PER SHARE：AN EXAMPLE 654

ESTIMATING THE EARNINGS MULTIPLIER FOR A STOCK-MARKET SERIES 655

DETERMINANTS OF THE EARNINGS MULTIPLIER 655

ESTIMATING AN EARNINGS MULTIPLIER：AN EXAMPLE 665

CALCULATING AN ESTIMATE OF THE VALUE FOR THE MARKET SERIES 669

CALCULATING THE EXPECTED RATE OF RETURN ON COMMON STOCKS 669

ANALYSIS OF WORLD MARKETS 671

INDIVIDUAL COUNTRY ANALYSIS 672

Chapter 19 679

Industry Analysis 679

WHY DO INDUSTRY ANALYSIS? 680

CROSS-SECTIONAL INDUSTRY PERFORMANCE 681

INDUSTRY PERFORMANCE OVER TIME 682

PERFORMANCE OF THE COMPANIES WITHIN AN INDUSTRY 682

DIFFERENCES IN INDUSTRY RISK 682

SUMMARY OF RESARCH ON INDUSTRY ANALYSIS 683

ESTIMATING INDUSTRY RATES OF RETURN 683

ESTIMATING EARNINGS PER SHARE 684

FORECASTING SALES PER SHARE 684

COMPETITION AND EXPECTED INDUSTRY RETLJRNS 689

BASIC COMPETITIVE FORCES 689

FORECASTING EARNINGS PER SHARE 689

INDUSTRY PROFIT MARGIN FORECAST 691

AN INDUSTRY EARNINGS ESTIMATE EXAMPLE 694

ESTIMATING AN INDUSTRY EARNINGS MULTIPLIER 696

MACROANAL OF AN INDUSTRY MULTIPLIER 697

MICROANALYSIS OF AN INDUSTRY 698

WHY THE DIFFENCE? 705

ESTIMATING THE FUTURE 705

GLOBAL INDUSTRY ANALYSIS 706

THE EUROPEAN CHEMICAL INDUSTRY 706

APPENDIX 19A 711

Preparing an Industry Analysis 711

Chapter 20 711

ESTIMATING THE COMPANY PROFIT MARGIN 712

Company Analysis and stock Selection 714

GROWTH COMANIES AND GROWTH STOCKS 715

ANALYSIS OF COMPANIES VERSUS THE SELECTION OF STOCK 715

OTHER COMPANY-STOCK COMPARISONS 716

ESTIMATING THE VALUE OF A COMPANY 717

ESTIMATING COMPANY EARNINGS PER SHARE 718

COMPANY SALES FORECAST 718

IDENTIFYING AND SELECTING COMPETITIVESTRATEGIES 721

LOW-COST STRATEGY 722

DIFFERENTIATION STRATEGY 722

FOCUSING A STRATEGY 722

WALGREEN COMPETITIVE STRATEGIES 722

THE INTERNAL PERFORMANCE 723

MACROANALYSIS OF THE EARNINGS MULTIPLER 726

ESTIMATING COMPANY EARNINGS MULTIPLIERS 726

MICROANALYSIS OF THE EARINGS MULTIPLIER 727

MAKING THE INVESTMENT DECISION 732

ADDITIONAL MEASURES OF RELATIVE VALUE 734

PRICE/BOOK VALVE (P/BV) RATIO 735

PRICE/CASH FLOW (P/CF) RATIO 738

MEASURES OF VALUE-ADDED 739

ECONOMIC VALUE-ADDED(EVA) 740

MARKET VALUE-ADDED(MVA) 742

RELATIONSHIPS BETWEEN EVA AND MVA 742

THE FRANCHISE FACTOR 742

GLOBAL COMPANY ANALYSIS 743

EARNINGS PER SHARE ANALYSIS 743

PROFITABILITY AND FINANCIAL STRENGTH 744

COMMON STOCK STATISTOCS 744

SHARE PRICE PERFORMANCE 746

INDIVIDUAL COMPANY ANALYSIS 747

ANALYSIS OF GROWTH COMPANIES 747

ACW RETURNS ABOVE EXPECTED RETURNS 749

GROWTH COMPANY DEFINED 749

GROWTH COMPANIES AND GROWTH STOCKS 750

GROWTH COMPANIES AND THE DIVIDEND DISCOUNT MODEL 750

ALTERNATIVE GROWTH MODELS 750

No-GROWTH FIRM 750

LONG-RUN GROWTH MODELS 751

THE REAL WORLD 754

GROWTH DURATION 754

A FLEXIBLE GROWTH STOCK VALUATION MODEL 758

AN EXAMPLE OF THE FLEXBLE GROWTH MODEL 760

Chapter 21 771

Technical Analysis 771

UNDERLYING ASSUMPTIONS 0F TECHNICAL ANALYSIS 772

CHALLENGES TO TECHNICAL ANALYSIS 774

CHALLENGES TO TECHNICAL ANALYSIS ASSUMPTIONS 774

CHALLENGES TO TECHNICAL TRADING RULES 774

ADVANTAGES OF TECHNICAL ANALYSIS 775

TECHNICAL TRADING RULES AND INDICATORS 776

CONTRARY-OPINION RULES 777

FOLLOW THE SMART MONEY 781

OTHER MARKET ENVIRONMENT INDICATORS 784

STOCK PRICE AND VOLUME TECHNIQUES 788

TECHINCAL ANALYSIS OF FOREIGN MARKETS 795

TECHNICAL ANALYSIS OF BOND MARKETS 797

Chapter 22 802

Equity Portfolio Management Strategies 802

PASSIVE VERSUS ACTIVE MANAGEMENT 802

AN OVERVIEW OF PASSIVE EQUITY PORTFOLIO MANAGEMENT STRATEGIES 803

INDES FUND CONSTUCTION TECHNIQUES 804

AN OVERVIEW OF ACTIVE EQUITY PORTFOLIO MANAGEMENT STRATEGIES 805

USING FUTURES AND OPTIONS IN EQUITY PORTFOLIO MANAGEMENT 810

MODIFYING PORTFOLIO RISK AND RETURN：A REVIEW 810

THE USE OF FUTURES IN ASSET ALLOCATION 812

THE USE OF DERIVATIVES IN EQUITY PORTFOLIOS 812

HEDGING PORTFOLIO INFLOWS 812

THE STANDARD POOR’S 500 INDEX FUTURES CONTRACT 814

HEDGING PORTFOLIO OUTFLOWS 814

USING FUTURES IN PASSIVE EQUITY PORTFOLIO MANAGEMENT 816

USING FUTURES IN ACTIVE EQUITY PORTFOLIO MANAGEMENT 817

MODIFYING THE CHARACTERISTICS OF AN INTERNATIONAL EQUTY PORTFOLIO 818

STRATEGIC ASSET ALLOCATION 819

INTEGRATED ASSET ALLOCATION 819

TACTICAL ASSET ALLOCATION 819

ASSET ALLOCATON STRATEGIES 819

INSURED ASSET ALLOCATION 820

SELECTING AN ALLOCATION METHOD 820

Chapter 823

6 Derivative Security Analysis 824

Part 824

Forward and Futures Contracts 826

AN OVERVIEW OF FORWAD AND FUTURES TRADING 827

HEDGING WITH FORWARDS AND FUTRES 830

HEDGING AND THE BASIS 830

CALCULATING THE OPTIMAL HEDGE RATIO 832

FORWARD AND FUTURES CONTRACTS：BASIC VALUATION CONCEPTS 834

VALUING FORWARDS AND FUTURES 834

THE RELATIONSHIP BETWEEN SPOT AND FORWARD PRICES 835

FINANCIAL FORWARDS AND FUTURES： APPLICATIONS AND STRATEGIES 837

INEREST RATE FORWARDS AND FUTURES 837

LONG-TERM INTREST RATE FUTURES 838

SHORT-TERM INTEREST RATE FUTURES 843

STOCK INDEX FUTURES 849

CURRENCY ROFWARDS AND FUTURES 854

APPENDIX 23A 867

A Closed-Form Equation for Calculating Duration 867

APPENDIX 23B 868

Calculating Money Market Implied Forward Rates 868

Chapter 24 872

Option Contracts 872

AN OVERVIEW OF OPTION MARKETS AND CONTRACTS 873

OPTION MARKET CONVENTIONS 873

PRICE QUOTATIONS FOR EXCHANGE-TRADED OPTIONS 874

OPTION TRADING STRATEGIES 880

STRADDLES，STRIPS，AND STRAPS 881

STRANGLES 883

SPREDS 884

CHOOSER OPTIONS 884

RANGE FORWARDS 887

THE BASIC APPROACH 889

THE FUNDAMENTALS OF OPTION VALUATION 889

IMPROVING FORECAST ACCURACY 891

THE BINOMIAL OPTION PRICING MODEL 893

THE BLACK-SCHOLES VALUATION MODEL 897

ESTIMATING VOLATILITY 900

OPTION VALUATION：EXTENSIONS AND ADVANCED TOPICS 902

VALUING EUROPEAN-STYLE PUT OPTIONS 902

VALUING OPTIONS ON DIVIDEND-BEARING SECURITIES 903

VALUING AMERICAN-STYLE OPTIONS 905

OTHER EXTENSIONS OF THE BLACK-SCHOLES MODEL 907

Chapter 25 916

Swap Contracts，Convrertible Securities,and Other Embedded Derivative5 916

OTC INTEREST RATE AGREEMENTS 917

FORWARD RATE AGREEMENTS 917

INTEREST RATE SWAPS 919

CAPS AND FLOORS 925

COLLARS 926

SWAP OPTIONS （“SWAPTIONS”） 928

SWAP CONTRACTING EXTENSIONS 931

CURRENCY SWAPS 931

EQUITY INDEX-LINKED SWAPS 935

COMMODITY SWAPS 937

WARRANTS AND CONVERTBLE SECURITIES 939

WARRANTS 939

CONVERTIBLE SECURITIES 941

CONVERTIBLE PREFERRED STOCK 941

CONVERTIBLE BONDS 942

OTHER EMBEDDED DERIVATIVES 945

DUAL CURRENCY BONDS 947

EQUITY INDES-LINKED NOTES 948

COMMODITY-LINKED BULL AND BEAR BONDS 952

SWAP-LINKED NOTES 953

Part 964

7 Investment Companies and Evaluating Portfolio Performance 964

Chapter 26 966

Investment Companies 966

WHAT IS AN INVESTMENT COMPANY? 967

MANAGEMENT OF INVESTMENT COMPANIES 967

CLOSED-END VERSUS OPEN-END INVESTMENT COMPANIES 968

CLOSED-END INVESTMENT COMPANIES 968

OPEN-END INVESTMENT COMPANIES 971

FUND MANAGEMENT FEES 973

TYPES OF INVESTMENT COMPANIES BASED ON PORTFOLIO MAKEUP 973

COMMON STOCK FUNDS 973

BALANCED FUNDS 973

BOND FUNDS 973

BREAKDOWN BY FUND CHARACTERISTICS 974

MONEY MARKET FUNDS 974

PERFORMANCE OF INVESTMENT COMPANIES 976

ANALYSIS OF OVERALL PERFORMANCE 976

IMPACT OF FUND OBJECTIVES 977

MARKET TIMING ABILITY 978

CONSISTENCY OF PERFORMANCE 979

WHAT PERFORMANCE STUDIES MEAN TO YOU 980

SOURCES OF lNFORMATION 981

GLOBAL INVESTMENT COMPANIES 990

Chapter 27 993

Evaluation of Portfolio Performance 993

WHAT IS REQUIRED OF A PORTFOLIO MANAGER? 994

COMPOSITE PORTFOLIO PERFORMANCE MEASURES 995

PORTFOLIO EVALUATION BEFORE 1960 995

TREYNOR PORTFOLIO PERFORMANCE MEASURE 995

SHAPPE PORTFOLIO PERFORMANCE MEASUE 998

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