本书由美国三位**的金融学教授撰写,是美国商学院和管理学院的**教材,在世界各国都有很大的影响,被广泛采用。本书详细讲解了投资领域中的风险组合理论、资本资产定价模型、套利定价理论、市场有效性、证券评估、衍生证券等重要内容。本书阐述详尽,结构清楚,设计独特,语言生动活泼,学生易于理解,内容上注重理论与实践的结合。 本书适合作为金融专业高年级本科生、研究生、MBA教材,也可供金融领域的研究人员、从业人员参考。

简 明 目 录 Brief Contents Part ONE ELEMENTS OF INVESTMENTS 1 1 Investments: Background and Issues 2 2 Asset Classes and Financial Instruments 28 3 Securities Markets 55 4 Mutual Funds and Other Investment Companies 86 Part TWO PORTFOLIO THEORY 111 5 Risk, Return, and the Historical Record 112 6 Efficient Diversification 147 7 Capital Asset Pricing and Arbitrage Pricing Theory 194 8 The Efficient Market Hypothesis 226 9 Behavioral Finance and Technical Analysis 258 Part THREE DEBT SECURITIES 283 10 Bond Prices and Yields 284 11 Managing Bond Portfolios 328 Part FOUR SECURITY ANALYSIS 363 12 Macroeconomic and Industry Analysis 364 13 Equity Valuation 395 14 Financial Statement Analysis 436 Part FIVE DERIVATIVE MARKETS 475 15 Options Markets 476 16 Option Valuation 509 17 Futures Markets and Risk Management 547 Part SIX ACTIVE INVESTMENT MANAGEMENT 581 18 Evaluating Investment Performance 582 Appendixes A References 619 B References to CFA Questions 625 vi Part ONE ELEMENTS OF INVESTMENTS 1 1 Investments: Background and Issues 2 1.1 Real Assets versus Financial Assets 3 1.2 Financial Assets 5 1.3 Financial Markets and the Economy 6 The Informational Role of Financial Markets 6 Consumption Timing 6 Allocation of Risk 7 Separation of Ownership and Management 7 Corporate Governance and Corporate Ethics 9 1.4 The Investment Process 10 1.5 Markets are Competitive 11 The Risk-Return Trade-off 11 Efficient Markets 12 1.6 The Players 12 Financial Intermediaries 13 Investment Bankers 14 Venture Capital and Private Equity 16 Fintech and Financial Innovation 17 1.7 The Financial Crisis of 2008–2009 17 Antecedents of the Crisis 17 Changes in Housing Finance 19 Mortgage Derivatives 20 Credit Default Swaps 21 The Rise of Systemic Risk 21 The Shoe Drops 22 The Dodd-Frank Reform Act 23 1.8 Outline of the Text 23 End-of-Chapter Material 24–27 2 Asset Classes and Financial Instruments 28 2.1 The Money Market 29 Treasury Bills 29 Certificates of Deposit 30 Commercial Paper 30 Bankers’ Acceptances 31 Eurodollars 31 Repos and Reverses 31 Brokers’ Calls 31 Federal Funds 32 The LIBOR Market 32 Money Market Funds 33 Yields on Money Market Instruments 34 2.2 The Bond Market 34 Treasury Notes and Bonds 34 Inflation-Protected Treasury Bonds 35 Federal Agency Debt 35 International Bonds 36 Municipal Bonds 36 Corporate Bonds 39 Mortgage- and Asset-Backed Securities 39 2.3 Equity Securities 40 Common Stock as Ownership Shares 40 Characteristics of Common Stock 41 Stock Market Listings 41 Preferred Stock 42 Depositary Receipts 42 2.4 Stock and Bond Market Indexes 43 Stock Market Indexes 43 The Dow Jones Industrial Average 43 The Standard & Poor’s 500 Index 45 Other U.S. Market Value Indexes 46 Equally Weighted Indexes 47 Foreign and International Stock Market Indexes 47 Bond Market Indicators 48 2.5 Derivative Markets 48 Options 48 Futures Contracts 49 End-of-Chapter Material 50–54 3 Securities Markets 55 3.1 How Firms Issue Securities 56 Privately Held Firms 56 Publicly Traded Companies 57 Shelf Registration 57 Initial Public Offerings 58 3.2 How Securities are Traded 59 Types of Markets 59 Types of Orders 60 Trading Mechanisms 62 3.3 The Rise of Electronic Trading 63 3.4 U.S. Markets 65 NASDAQ 66 The New York Stock Exchange 66 ECNs 66 3.5 New Trading Strategies 67 Algorithmic Trading 67 High-Frequency Trading 67 Dark Pools 68 Bond Trading 69 3.6 Globalization of Stock Markets 70 3.7 Trading Costs 71 3.8 Buying on Margin 71 3.9 Short Sales 74 3.10 Regulation of Securities Markets 77 Self-Regulation 78 The Sarbanes–Oxley Act 79 Insider Trading 80 End-of-Chapter Material 81–85 4 Mutual Funds and Other Investment Companies 86 4.1 Investment Companies 87 4.2 Types Of Investment Companies 87 Unit Investment Trusts 88 Managed Investment Companies 88 Exchange-Traded Funds 89 Other Investment Organizations 89 4.3 Mutual Funds 90 Investment Policies 90 How Funds Are Sold 92 4.4 Costs of Investing in Mutual Funds 93 Fee Structure 93 Fees and Mutual Fund Returns 95 4.5 Taxation of Mutual Fund Income 97 4.6 Exchange-Traded Funds 98 4.7 Mutual Fund Investment Performance: A First Look 100 4.8 Information on Mutual Funds 103 End-of-Chapter Material 105–110 Part TWO PORTFOLIO THEORY 111 5 Risk, Return, and the Historical Record 112 5.1 Rates of Return 113 Measuring Investment Returns over Multiple Periods 113 Conventions for Annualizing Rates of Return 115 5.2 Inflation and the Real Rate of Interest 116 The Equilibrium Nominal Rate of Interest 117 5.3 Risk and Risk Premiums 118 Scenario Analysis and Probability Distributions 119 The Normal Distribution 121 Normality and the Investment Horizon 123 Deviation from Normality and Tail Risk 123 Risk Premiums and Risk Aversion 124 The Sharpe Ratio 125 5.4 The Historical Record 126 Using Time Series of Returns 126 Risk and Return: A First Look 127 5.5 Asset Allocation Across Risky and Risk-Free Portfolios 132 The Risk-Free Asset 133 Portfolio Expected Return and Risk 133 The Capital Allocation Line 135 Risk Aversion and Capital Allocation 136 5.6 Passive Strategies and the Capital Market Line 137 Historical Evidence on the Capital Market Line 137 Costs and Benefits of Passive Investing 138 End-of-Chapter Material 139–146 6 Efficient Diversification 147 6.1 Diversification and Portfolio Risk 148 6.2 Asset Allocation with Two Risky Assets 149 Covariance and Correlation 150 Using Historical Data 153 The Three Rules of Two-Risky-Assets Portfolios 154 The Risk-Return Trade-Off with Two-Risky-Assets Portfolios 155 The Mean-Variance Criterion 156 6.3 The Optimal Risky Portfolio with a Risk-Free Asset 159 6.4 Efficient Diversification with many Risky Assets 163 The Efficient Frontier of Risky Assets 163 Choosing the Optimal Risky Portfolio 165 The Preferred Complete Portfolio and a Separation Property 166 Constructing the Optimal Risky Portfolio: an Illustration 166 6.5 A Single-Index Stock Market 168 Statistical Interpretation of the Single-Index Model 171 Learning from the Index Model 173 Using Security Analysis with the Index Model 176 6.6 Risk Pooling, Risk Sharing, and Time Diversification 177 Time Diversification 180 End-of-Chapter Material 181–193 7 Capital Asset Pricing and Arbitrage Pricing Theory 194 7.1 The Capital Asset Pricing Model 195 The Model: Assumptions and Implications 195 Why All Investors Would Hold the Market Portfolio 196 The Passive Strategy Is Efficient 197 The Risk Premium of the Market Portfolio 198 Expected Returns on Individual Securities 199 The Security Market Line 200 Applications of the CAPM 201 7.2 The CAPM and Index Models 202 7.3 How Well Does the CAPM Predict Risk Premiums? 203 7.4 Multifactor Models and the CAPM 204 The Fama-French Three-Factor Model 206 Estimating a Three-Factor SML 206 Multifactor Models and the Validity of the CAPM 208 7.5 Arbitrage Pricing Theory 208 Diversification in a Single-Index Security Market 209 Well-Diversified Portfolios 210 The Security Market Line of the APT 210 Individual Assets and the APT 211 Well-Diversified Portfolios in Practice 212 The APT and the CAPM 212 Multifactor Generalization of the APT 213 Smart Betas and Multifactor Models 214 End-of-Chapter Material 215–225 8 The Efficient Market Hypothesis 226 8.1 Random Walks and Efficient Markets 227 Competition as the Source of Efficiency 228 Versions of the Efficient Market Hypothesis 230 8.2 Implications of the EMH 231 Technical Analysis 231 Fundamental Analysis 233 Active versus Passive Portfolio Management 233 The Role of Portfolio Management in an Efficient Market 234 Resource Allocation 235 8.3 Are Markets Efficient? 235 The Issues 235 Weak-Form Tests: Patterns in Stock Returns 237 Predictors of Broad Market Returns 239 Semistrong Tests: Market Anomalies 239 Other Predictors of Stock Returns 242 Strong-Form Tests: Inside Information 243 Interpreting the Anomalies 243 Bubbles and Market Efficiency 245 8.4 Mutual Fund and Analyst Performance 246 Stock Market Analysts 246 Mutual Fund Managers 247 So, Are Markets Efficient? 251 End-of-Chapter Material 251–257 9 Behavioral Finance and Technical Analysis 258 9.1 The Behavioral Critique 259 Information Processing 260 Behavioral Biases 261 Limits to Arbitrage 264 Limits to Arbitrage and the Law of One Price 265 Bubbles and Behavioral Economics 267 Evaluating the Behavioral Critique 268 9.2 Technical Analysis and Behavioral Finance 268 Trends and Corrections 269 Sentiment Indicators 273 A Warning 274 End-of-Chapter Material 276–282 Part THREE DEBT SECURITIES 283 10 Bond Prices and Yields 284 10.1 Bond Characteristics 285 Treasury Bonds and Notes 285 Corporate Bonds 287 Preferred Stock 288 Other Domestic Issuers 289 International Bonds 289 Innovation in the Bond Market 289 10.2 Bond Pricing 291 Bond Pricing between Coupon Dates 294 Bond Pricing in Excel 295 10.3 Bond Yields 296 Yield to Maturity 296 Yield to Call 298 Realized Compound Return versus Yield to Maturity 300 10.4 Bond Prices Over Time 301 Yield to Maturity versus Holding-Period Return 303 Zero-Coupon Bonds and Treasury STRIPS 304 After-Tax Returns 304 10.5 Default Risk and Bond Pricing 306 Junk Bonds 306 Determinants of Bond Safety 306 Bond Indentures 308 Yield to Maturity and Default Risk 309 Credit Default Swaps 311 10.6 The Yield Curve 312 The Expectations Theory 313 The Liquidity Preference Theory 316 A Synthesis 317 End-of-Chapter Material 318–327 Managing Bond Portfolios 328 11.1 Interest Rate Risk 329 Interest Rate Sensitivity 329 Duration 331 What Determines Duration? 335 11.2 Passive Bond Management 337 Immunization 337 Cash Flow Matching and Dedication 343 11.3 Convexity 344 Why Do Investors Like Convexity? 346 11.4 Active Bond Management 348 Sources of Potential Profit 348 Horizon Analysis 349 An Example of a Fixed-Income Investment Strategy 349 End-of-Chapter Material 350–361 Part FOUR SECURITY ANALYSIS 363 12 Macroeconomic and Industry Analysis 364 12.1 The Global Economy 365 12.2 The Domestic Macroeconomy 367 Gross Domestic Product 367 Employment 368 Inflation 368 Interest Rates 368 Budget Deficit 368 Sentiment 368 12.3 Interest Rates 369 12.4 Demand and Supply Shocks 370 12.5 Federal Government Policy 371 Fiscal Policy 371 Monetary Policy 371 Supply-Side Policies 372 12.6 Business Cycles 373 The Business Cycle 373 Economic Indicators 374 Other Indicators 375 12.7 Industry Analysis 377 Defining an Industry 377 Sensitivity to the Business Cycle 380 Sector Rotation 381 Industry Life Cycles 382 Industry Structure and Performance 385 End-of-Chapter Material 386–394 13 Equity Valuation 395 13.1 Valuation by Comparables 396 Limitations of Book Value 397 13.2 Intrinsic Value Versus Market Price 397 13.3 Dividend Discount Models 399 The Constant-Growth DDM 400 Stock Prices and Investment Opportunities 402 Life Cycles and Multistage Growth Models 405 Multistage Growth Models 409 13.4 Price–Earnings Ratios 410 The Price–Earnings Ratio and Growth Opportunities 410 P/E Ratios and Stock Risk 414 Pitfalls in P/E Analysis 414 The Cyclically Adjusted P/E Ratio 416 Combining P/E Analysis and the DDM 417 Other Comparative Valuation Ratios 417 13.5 Free Cash Flow Valuation Approaches 418 Comparing the Valuation Models 421 The Problem with DCF Models 422 13.6 The Aggregate Stock Market 423 End-of-Chapter Material 424–435 14 Financial Statement Analysis 436 14.1 The Major Financial Statements 437 The Income Statement 437 The Balance Sheet 438 The Statement of Cash Flows 439 14.2 Measuring Firm Performance 441 14.3 Profitability Measures 442 Return on Assets 442 Return on Capital 442 Return on Equity 442 Financial Leverage and ROE 442 Economic Value Added 444 14.4 Ratio Analysis 445 Decomposition of ROE 445 Turnover and Asset Utilization 448 Liquidity Ratios 450 Market Price Ratios 451 Choosing a Benchmark 452 14.5 An Illustration of Financial Statement Analysis 453 14.6 Comparability Problems 456 Inventory Valuation 456 Depreciation 457 Inflation and Interest Expense 458 Fair Value Accounting 458 Quality of Earnings and Accounting Practices 459 International Accounting Conventions 461 14.7 Value Investing: The Graham Technique 462 End-of-Chapter Material 463–474 Part FIVE DERIVATIVE MARKETS 475 15 Options Markets 476 15.1 The Option Contract 477 Options Trading 478 American versus European Options 479 The Option Clearing Corporation 479 Other Listed Options 480 15.2 Values of Options at Expiration 481 Call Options 481 Put Options 482 Options versus Stock Investments 483 15.3 Option Strategies 485 15.4 Optionlike Securities 493 Callable Bonds 493 Convertible Securities 494 Warrants 496 Collateralized Loans 496 Leveraged Equity and Risky Debt 497 15.5 Exotic Options 498 Asian Options 498 Currency-Translated Options 498 Digital Options 498 End-of-Chapter Material 499–508 16 Option Valuation 509 16.1 Option Valuation: Introduction 510 Intrinsic and Time Values 510 Determinants of Option Values 510 16.2 Binomial Option Pricing 512 Two-State Option Pricing 512 Generalizing the Two-State Approach 515 Making the Valuation Model Practical 516 16.3 Black-Scholes Option Valuation 519 The Black-Scholes Formula 520 The Put-Call Parity Relationship 526 Put Option Valuation 529 16.4 Using the Black-Scholes Formula 529 Hedge Ratios and the Black-Scholes Formula 529 Portfolio Insurance 531 Option Pricing and the Financial Crisis 534 16.5 Empirical Evidence 535 End-of-Chapter Material 536–546 17 Futures Markets and Risk Management 547 17.1 The Futures Contract 548 The Basics of Futures Contracts 548 Existing Contracts 551 17.2 Trading Mechanics 551 The Clearinghouse and Open Interest 551 Marking to Market and the Margin Account 554 xii Contents Cash versus Actual Delivery 556 Regulations 557 Taxation 557 17.3 Futures Market Strategies 557 Hedging and Speculation 557 Basis Risk and Hedging 560 17.4 Futures Prices 560 Spot-Futures Parity 560 Spreads 565 17.5 Financial Futures 565 Stock-Index Futures 565 Foreign Exchange Futures 567 Interest Rate Futures 568 17.6 Swaps 570 Swaps and Balance Sheet Restructuring 571 The Swap Dealer 571 End-of-Chapter Material 573–580 Part SIX ACTIVE INVESTMENT MANAGEMENT 581 18 Evaluating Investment Performance 582 18.1 The Conventional Theory of Performance Evaluation 583 Average Rates of Return 583 Time-Weighted Returns versus Dollar-Weighted Returns 583 Adjusting Returns for Risk 584 Risk-Adjusted Performance Measures 585 The Sharpe Ratio for Overall Portfolios 586 The Treynor Ratio 588 The Information Ratio 590 The Role of Alpha in Performance Measures 591 Implementing Performance Measurement: An Example 592 Selection Bias and Portfolio Evaluation 594 18.2 Style Analysis 594 18.3 Morningstar’s Risk-Adjusted Rating 596 18.4 Performance Measurement with Changing Portfolio Composition 597 18.5 Market Timing 598 The Potential Value of Market Timing 600 Valuing Market Timing as a Call Option 601 The Value of Imperfect Forecasting 602 18.6 Performance Attribution Procedures 602 Asset Allocation Decisions 604 Sector and Security Selection Decisions 604 Summing Up Component Contributions 605 End-of-Chapter Material 607–618 Appendixes A References 619 B References to CFA Questions 625