Modern investment theory现代投资理论(第4版)

本书是一部小型的投资管理百科全书。从背景知识到证券投资管理的一般原则；从详尽的资本资产定价模型（CAPM）和套利定价理论（APT）到衍生证券定价（欧式、美式）；从风险、利率、利息收益到利率与债券管理、股票与债券的最优组合；从股票波动到市场效率等投资管理内容。

CONTENTS IN BRIEF Preface xvii PART ONE BACKGROUND 1 Introduction to Modern Investment Theory 2 Securities and Markets 3 Some Statistical Concepts PART TWO PORTFOLIO MANAGEMENT 4 Combining Individual Securities into Portfolios 5 Finding the Efficient Set 6 Factor Models PART THREE ___ RISK, EXPECTED RETURN, AND PERFORMANCE MEASUREMENT 7 The Capital Asset Pricing Model 8 Empirical Tests of the Capital Asset Pricing Model 9 The Arbitrage Pricing Theory 10 The Tracking Power of Markowitz Portfolio Optimization 11 Measuring Portfolio Performance PART FOUR INTEREST RATES AND BOND MANAGEMENT 12 The Level oflnterest Rates 13 The Term Structure of Interest Rates 14 Bond Portfolio Management 15 Interest Immunization PART FIVE THE PRICING OF DERIVATIVE SECURITIES 16 European Option Pricing 17 American Option Pricing 18 Additional Issues in Option Pricing 19 Financial Forward and Futures Contracts PART SIX ISSUES IN INVESTMENT MANAGEMENT 20 The Effect ofTaxes on Investment Strategy and Securities Prices 21 Stock Valuation 22 Issues in Estimating Future Earnings and Dividends 23 Market Efficiency: The Concept 24 Market Efficiency: The Evidence Appendix 10: Additional Properties ofthe Minimum Variance Set Appendix 11: Invest Software Glossary Index CONTENTS PREFACE xvii PART ONE BACKGROUND 2 INTRODUCTION TO MODERN INVESTMENT THEORY THE DEVELOPMENT OF MODERN INVESTMENT THEORY WHY SHOULD YOU LEARN MODERN INVESTMENT THEORY? SECURITIES AND MARKETS SECURITIES Govemment Bonds Corporate Fixed Income Securities Corporate Stock Options and Warrants Forward and Futures Contracts The Sharcs of Investment Companies and Mutual Funds THE FINANCIAL MARKETS The Difference Between Primary and Secondary Markets Organized Exchanges for Common Stock and Bonds Organized Exchanges for Options Organized Exchanges for Futures Contracts The Over-the-Counter Market Computerized Trading Techniques SUMMARY 3 SOME STATISTICAL CONCEPTS THE SIMPLE OR MARGINAL PROBABILITY DISTRIBUTION The Population Expected Value and Variance The Sample Mean and Variance THE JOINT PROBABILITY DISTRIBUTION The Sample Covariance The Population Covariance The Correlation Coefficient The Coefficient of Determination THE RELATIONSHIP BETWEEN A STOCK AND THE MARKET PORTFOLIO The Characteristic Line The Beta Factor Residual Variance SUMMARY PART TWO PORTFOLIO MANAGEMENT 4 COMBINING INDIVIDUAL SECURITIES INTO PORTFOLIOS THE RISK AND EXPECTED RETURN OF A PORTFOLIO The Portfolio's Rate of Return The Portfolio's Expected Rate of Retum The Portfolio's Variance COMBTNATION LINES The Cases of Perfect Positive and Negative Correlation Borrowing and Lending at a Risk-Free Rate SUMMARY APPENDIX 1: FORMULAS FOR THE EXPECTED RATE OF RETURN AND VARIANCE OF A PORTFOLIO 5 FINDING THE EFFICIENT SET THE MINIMUM VARIANCE AND EFFICIENT SETS FINDING THE EFFICIENT SET WITH SHORT SELLING The Isoexpected Retum Lines The Isovariance Ellipses The Critical Line FINDING THE MINIMUM VARIANCE WITHOUT SHORT SELLING TWO IMPORTANT PROPERTIES OF THE MINIMUM VARIANCE SET SUMMARY APPENDIX 2: A THREE-DIMENSIONAL APPROACH TO FINDING THE EFFICIENT SET APPENDIX 3: USING LAGRANGIAN MULTIPLIERS TO FIND THE MINIMUM VARIANCE SET APPENDIX 4: PROOF OF PROPERTY 11 APPENDIX 5: UTILITY AND RISK AVERSION 6 FACTOR MODELS FACTOR MODELS TO ESTIMATE VOLATILITY OF RETURN The Single-Factor Model The Single-Factor Model's Simplified Formula for Portfolio Variance An Example Where the Single-Factor Model Works An Example of a Potential Problem with the Single-Factor Model Multifactor Models Estimating Portfolio Variance Using a Multifactor Model: An Example MODELS FOR ESTIMATING EXPECTED RETURN Firm Characteristics (Factors) That Induce Differentials in Expected Retums Estimating and Projecting Factor Payoffs A Test of the Accuracy of Expected Retum Factor Models Simulating the Performance of the Expected Retum Factor Model SUMMARY PART THREE RISK, EXPECTED RETURN, AND PERFORMANCE MEASUREMENT 7 THE CAPITAL ASSET PRICING MODEL THE ASSUMPTIONS OF THE CAPITAL ASSET PRICING MODEL Assumption 1: Investors Can Choose Between Portfolios on the Basis of Expected Retum and Variance Assumption 11: All Investors Are in Agreement Regarding the Planning Horizon and the Distributions of Security Retums Assumption III: There Are No Frictions in the Capital Market THE CAPITAL ASSET PRICING MODEL WITH UNLIMITED BORROWING AND LENDING AT A RISK-FREE RATE The Capital Market Line Measuring the Risk of an Individual Asset The Relationship Between the Risk of an Asset and Its Expected Rate of Retum The Positioning of Characteristic Lines under the Capital Asset Pricing Model The Positions of Individual Assets in Expected Return, Standard Deviation Space Market Pressure to Assume Equilibrium Prices THE CAPITAL ASSET PRICING MODEL WITH NO RISK-FREE ASSET THE CAPITAL ASSET PRICING MODEL WHEN A RISK-FREE ASSET EXISTS BUT WE CAN'T SELL IT SUMMARY 8 EMPIRICAL TESTS OF THE CAPITAL ASSET PRICING MODEL EARLY TESTS OF THE CAPITAL ASSET PRICING MODEL The Black, Jensen, and Scholes Test (1972) The Fama-MacBeth Study (1974) ROLL'S CRITIQUE OF TESTS OF THE CAPITAL ASSET PRICING MODEL Previous Tests as Tautologies Can the Capital Asset Pricing Model Ever Be Tested? THE OTHER SIDE OF THE ISSUE Tautologies Can't Predict the Future Can You Reject the CAPM ifYou Find No Efficient Portfolios with Positive Portfolio Weights? Testing a Contained CAPM Sensitivity Analysis to Alemative Market Indices MORE RECENT TESTS OF THE CAPM SUMMARY 9 THE ARBITRAGE PRICING THEORY DERIVING THE ARBITRAGE PRICING THEORY The APT with an Infinite Number of Securities The APT with a Finite Number of 10 Securities EMPIRICAL TESTS OF THE APT Initial Empirical Tests Is the APT Testable in Principle? THE CONSISTENCY OF THE APT AND THE CAPM SUMMARY THE TRACKING POWER OF MARKOWITZ PORTFOLIO OPTIMIZATION CONDITIONS REQUIRED FOR THE EFFICIENCY OF CAP-WEIGHTED PORTFOLIOS WHEN CAP-WEIGHTED PORTFOLIOS ARE EFFICIENT WHEN CAP-WEIGHTED PORTFOLIOS ARE INEFFICIENT What If We Disagree? What If Some of Us Can't Sell Short? Tax Avoidance Human Capital Foreign Investors The Benefits of Portfolio Optimization A SIMPLE TEST OF THE EFFICIENCY OF THE CAP-WEIGHTED INDEX TRACKING TARGETS WITH STOCK PORTFOLIOS Tracking Targets with Factor Models Tracking a Target with the Markowitz Bullet TRACKING THE RATE OF INFLATION WITH THE MARKOWITZ BULLET SUMMARY APPENDIX 6: FINDING THE PORTFOLIO WITH THE MINIMUM VOLATILITY OF DIFFERENCES 1 1 MEASURING PORTFOLIO PERFORMANCE MEASURING THE RATE OF RETURN TO A PORTFOLIO THE NEED FOR RISK-ADJUSTED PERFORMANCE MEASURES RISK-ADJUSTED PERFORMANCE MEASURES BASED ON THE CAPITAL ASSET PRICING MODEL The Jensen Ihdex The Treynor Index The Sharpe Index PITFALLS IN MEASURING PERFORMANCE WITH THE JENSEN, TREYNOR, AND SHARPE INDICES Misspecifying the Market Pricing Structure Misspecification of the Market Index MEASURING PERFORMANCE USING THE ARBITRAGE PRICING THEORY MEASURING PERFORMANCE WITHOUT THE USE OF AN ASSET PRICING MODEL SUMMARY PART FOUR INTEREST RATES AND BOND MANAGEMENT 1 2 THE LEVEL OF INTEREST RATES THE REAL AND NOMINAL RATES OF INTEREST INTEREST RATES AND THE SUPPLY AND DEMAND FOR MONEY The Transactions Demand for Money The Speculative Demand for Money The Total Demand for Money The Supply of Money and the Equilibrium Interest Rate INVESTMENT, SAVING, AND NATIONAL INCOME THE EFFECT OF A CHANGE IN THE MONEY SUPPLY ON REAL AND NOMINAL INTEREST RATES THE EFFECT OF A CHANGE IN FISCAL POLICY A Tax Cut Monetizing the Deficit SUMMARY 13 THE TERM STRUCTURE OF INTEREST RATES THE NATURE AND HISTORY OF THE TERM STRUCTURE DRAWING THE TERM STRUCTURE METHODS OF COMPUTING THE YIELD TO MATURITY The Arithmetic Mean Yield to Maturity The Geometric Mean Yield to Maturity The Intemal Yield to Maturity A BRIEF OVERVIEW OF THE THREE THEORIES OF THE TERM STRUCTURE THE MARKET EXPECTATIONS THEORY OF THE TERM STRUCTURE THE LIQUIDITY PREFERENCE THEORY OF THE TERM STRUCTURE THE MARKET SEGMENTATION THEORY OF THE TERM STRUCTURE DERIVING THE MARKET'S FORECAST OF FUTURE INTEREST RATES FROM THE TERM STRUCTURE Finding the Market's Forecast from Arithmetic Mean Yields Finding the Market's Forecast with Intemal Yields SUMMARY APPENDIX 7: AVERAGING MULTIPLE RATES OF RETURN 14 BOND PORTFOLIO MANAGEMENT ESTIMATING THE EXPECTED RETURN OF A BOND FOR PORTFOLIO ANALYSIS Forecasting Expected Retums on Treasury Bonds Forecasting Expected Retums on Corporate Bonds A DURATION-BASED APPROACH TO ESTIMATING THE RISK OF A BOND PORTFOLIO A MARKOWITZ APPROACH TO BOND RISK MANAGEMENT DIVIDING THE PORTFOLIO BETWEEN BONDS AND STOCK SUMMARY 15 INTEREST IMMUNIZATION CASH MATCHING AND INTEREST IMMUNIZATION ALTERNATIVE MEASURES OF DURATION Macaulay's Duration Fisher-Weil Duration Duration and Yield Elasticity Duration and the Response of the Value of a Stream of Payments or Receipts to a Change in Discount Rates Cox, Ingersoll, Ross Duration IMMUNIZING WITH MACAULAY'S DURATION: THE CASE OF A SINGLE-PAYMENT LIABILITY The Effect of Interest Rate Changes on Present Values The Effect of Interest Rate Changes on Terminal Values COMPUTING THE MACAULAY DURATION AND INTERNAL YIELD OF A BOND PORTFOLIO Combination Lines xii CONTENTS for Intemal Yield and Duration IMMUNIZING WITH THE MACAULAY DURATION: THE CASE OF A MULTIPLE-PAYMENT LIABILITY A TEST OF THE RELATIVE EFFECTIVENESS OF THE THREE DURATION MEASURES SUMMARY PART FIVE THE PRICING OF DERIVATIVE SECURITIES 16 EUROPEAN OPTION PRICING PRICING OPTIONS UNDER RISK NEUTRALITY AND UNIFORM PROBABILITY DISTRIBUTIONS Valuing a Call Option Valuing a Put Option The Relationship Between Option Values and Stock Values The Effect of a Change in Stock Variance on Option Values BINOMIAL OPTION PRICING Binomial Call Option Pricing over a Single Period Binomial Put Option Pricing over a Single Period Binomial Option Pricing over Multiple Periods VALUING OPTIONS USING THE BLACK- SCHOLES FRAMEWORK The Black-Scholes Value for a Call Option Estimating the Variance of the Stock's Retum The Black-Scholes Value for a Put Option The Relationship Between Black-Scholes Put and Call Values and Underlying Stock Prices Using the Black-Scholes Framework to Value Options on Stocks That Pay Dividends PUT-CALL PARITY SUMMARY APPENDIX 8: PROOF THAT IS THE PROBABILITY OF EXERCISE FOR A CALL OPTION ON A STOCK WITH A UNIFORM DISTRIBUTION 17 AMERICAN OPTION PRICING THE LOWER LIMITS TO THE VALUE OF AMERICAN OPTIONS Floors Supporting American Call Options Market Forces Supporting the Hard Floor Market Forces Supporting the Soft Floor Floors Supporting American Put Options THE VALUE OF EARLY EXERCISE When the Right to Exercise Early Has No Value How Dividend Payments May Induce Early Exercise of American Call Options Early Exercise of American Put Options THE BINOMIAL MODEL AS AN AMERICAN OPTION- PRICING MODEL SUMMARY APPENDIX 9: THE GESKE- ROLL-WHALEY AMERICAN OPTION-PRICING MODEL 18 ADDITIONAL ISSUES IN OPTION PRICING USING THE OPTION-PRICING FORMULAS TO FIND THE MARKET'S ESTIMATE OF THE STOCK'S VARIANCE BIAS PROBLEMS IN 19 OPTION-PRICING MODELS Changing Volatility as a Source of Bias in Option-Pricing Models Bias from Using European Models to Value American Options Pricing Bias Resulting from Error in the Model's Inputs OPTION STRATEGIES The Straddle The Butterfly Spread Computing the Expected Retum on an Option Strategy Delta, Gamma, and Theta Getting Delta Neutral Portfolio Insurance COMPLEX SECURITIES AS PORTFOLIOS OF OPTIONS Common Stock as an Option Bonds as Portfolios of Options and Option Complements SUMMARY FINANCIAL FORWARD AND FUTURES CONTRACTS CHARACTERISTICS OF FORWARD AND FUTURES CONTRACTS THE DETERMINATION OF FORWARD PRICES The Relationship Between the Forward Price and the Current Commodity Price The Relationship Between the Forward Price and the Expected Commodity Price The Consistency of the Two Expressions for the Forward Price Market Value of Previously Issued Forward Contracts DETERMINATION OF FUTURES PRICES The Sign of the Premiums for Various Financial Futures The Significance of the Premiums to Investors and Financial Managers THE SECURITY UNDERLYING A FUTURES CONTRACT TO BUY TREASURY BONDS HEDGING WITH BOND FUTURES CONTRACTS USES OF STOCK INDEX FUTURES FULL COVARIANCE APPROACH TO CONSTRUCTING A FUTURES OVERLAY SUMMARY PART SIX ISSUES IN INVESTMENT MANAGEMENT 20 THE EFFECT OF TAXES ON INVESTMENT STRATEGY AND SECURITIES PRICES THE TAX STRUCTURE What Investment Income Is Taxed? 574 Capital Gains and Losses TAXES AND INVESTMENT STRATEGY 575 Computing After-Tax Rates of Retum The Locked-In Effect 577 Dividend Clienteles THE EFFECT OF TAXES ON SECURITIES PRICES The Effect of Dividends on Expected Stock Retums 581 Relative Expected Retums on Taxable and Tax-Exempt Securities SUMMARY 21 STOCK VALUATION A FRAMEWORK FOR VALUING COMMON STOCKS Dividends versus Eamings The Constant Growth Model The Multistage Growth Model COMPUTERIZED THREE-STAGE STOCK VALUATION PRICE-EARNINGS RATIO What Determines the Level of the Price- Eamings Ratio? Changes That Can Be Expected in the Price-Eamings Ratio overTime SUMMARY 22 ISSUES IN ESTIMATING FUTURE EARNINGS AND DIVIDENDS PAYING IN ADVANCE FOR GROWTH THE LINK BETWEEN GROWTH AND STOCK VALUATION AND RISK AND EXPECTED RETURN THE ACCURACY OF PREDICTIONS OF GROWTH IN EARNINGS AND DIVIDENDS Is Past Growth a Reliable Guide to Future Growth? The Accuracy of Growth Forecasts Made by Professional Analysts The Accuracy of Short-Term Professional Forecasts The Accuracy of Long-Term Professional Forecasts The Accuracy of Market Forecasts of the Growth in Eamings Per Share IMPLICATIONS FOR INVESTMENT STRATEGY SUMMARY 23 MARKET EFFICIENCY: THE CONCEPT FORMS OF THE EFFICIENT MARKET HYPOTHESIS THE SIGNIFICANCE OF THE EFFICIENT MARKET HYPOTHESIS RISK AND EXPECTED RETURN IN AN EFFICIENT MARKET QUICK AND ACCURATE RESPONSE TO NEW INFORMATION SYSTEMATIC PATTERNS IN STOCK PRICES RELATED ONLY TO TIME-VARYING INTEREST RATES AND RISK PREMIA FAILURE OF SIMULATED TRADING STRATEGIES MEDIOCRITY IN THE PERFORMANCE OF INFORMED INVESTORS SUMMARY 24 MARKET EFFICIENCY: THE EVIDENCE DO SECURITY PRICES RESPOND RAPIDLY AND ACCURATELY TO THE RECEIPT OF NEW INFORMATION? Measuring Stock Price Response The Response of Stock Prices to the Announcement of a Stock Split The Reaction of Stock Prices to Quarterly Earnings Reports Further Evidence on the Reaction of Stock Prices to Positive and Negative Events THE BEHAVIOR OF CHANGES IN STOCK PRICES Studies of Serial Correlation The Day-of-the-Week Effect Studies of Seasonality DO TRADING RULES FAIL UNDER SIMULATION? ARE PROFESSIONAL INVESTORS DISTINCTIVE IN TERMS OF THEIR PERFORMANCE? SUMMARY APPENDIX 10: ADDITIONAL PROPERTIES OF THE MINIMUM VARIANCE SET APPENDIX 11: INVEST SOFTWARE GLOSSARY INDEX