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1、证券投资学这门课能给我们带来什么？这门课所属的位置这门课的主要内容Why do we study the theory？Managers learn from experience how to cope with routine problems. But the best manager are also able to respond to change. To do this you need more than time-honored rules of thumb; you must understand why companies and financial markets be
2、have the way they do. In other words, you need a theory of finance.Good theory helps you grasp what is going on in the world around you. It helps you to ask the right questions when times change and new problems must be analyzed. It also tells you what things you do not need to worry about.-Brealey
3、and MyersWhy does not there exists any advice on “guaranteed” ways to beat the market？Any system designed to beat the market, once known to more than a few people, carries the seeds of its own destruction.There are two reasons for not including advice on “guaranteed” ways to beat the market in this
4、book.First, to do so would make a successful system public and hence unsuccessful.Second, the authors know of such system.This does not mean that financial analysis is useless. Although individuals should be skeptical when others tell them how to use financial analysis to beat the market, individual
5、s can try to understand the market with the use of financial analysis.-W. Sharpe, etc.什么是金融学(Finance)Finance is a subfield of economics distinguished by both its focus and its methodology. The primary focus of finance is the workings of the capital markets and the supply and the pricing of capital a
6、ssets. The methodology of finance is the use of close substitutes to price financial contracts and instruments. This methodology is applied to value instruments whose characteristics extend across time and whose payoffs depend upon the resolution of uncertainty. 金融学的研究领域金融市场宏观层面：金融框架微观层面：定价、风险管理公司财务
7、历史H. M. Markowitz 均值均值-方差模型方差模型 (Mean-variance model)Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952.W. F. Sharpe , J. Lintner, J. Mossin 资本资产定资本资产定价模型价模型 Capital Asset Pricing Model (CAPM)W. F. Sharpe, Capital Asset Prices: A Theory od Market Equilibrium Under Conditio
8、ns of Risk, Journal of Finance, 20(3):425-442, 1964.S. A. Ross 套利定价理论Arbitrage Pricing Theory(APT)S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360, 1976.F. Modigliani M. H. Miller Modigliani - Miller 定理定理 Modigliani, F., and M. H. Miller, The Cost
9、of Capital, Corporation Finance, and the Theory of Investment, American Economic Review, June 1958, 261-297.F. Black M. Scholes R. Merton 期权定价的期权定价的Black-Scholes 公式公式F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654.R. Merton, Theo
10、ry of Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1):141-183.第一章 金融市场金融市场表面看起来似乎处于混沌状态，实际上在它的工具和市场安排上有特定的原因和规律本章目的：讨论金融市场和机构是如何应运投资者的需求、技术和管制约束而发展的？1. 实物投资和金融投资投资：投资者运用自己持有的资本，用来购买实际资产或金融资产，或者取得这些资产的权利，目的是在一定时期内预期获得资产增值和一定收入。投资一般具有两个特性：时间和风险时间和风险实资产和金融资产实资产一般包括有形资产，例
11、如土地、机器、厂房等金融资产包括写在纸上的各种合约，例如股票、债券等各自的特点实资产代表一个经济的生产能力，决定一个社会的财富金融资产不代表一个社会的财富，但对生产能力具有间接的作用所有权和经营权的分离使得资金流向具有好的投资机会的企业代表持有者的财富两者之间是一种互补关系，而不是替代关系例子：房地产金融资产的价值来源并依赖于实资产的价值金融资产是投资者拥有实资产的方式证券投资就是运用投资购买有价证券及其派生工具以期获得收益的一种行为。2. 金融系统三个组成部分的需求和市场的反映个人如何投资证券、金融中介、金融创新、投资基金、衍生证券需求的多样化，风险影响的例子：30年后从北京移居青岛税收影响
12、的例子：印花税、资本利得税、公司如何融资投资银行、衍生产业高价格、低成本专业发行公司集团投行发行简单证券政府放债 与 管制金融创新3.投资环境包括上市证券的种类、在哪里及如何进行证券的买卖证券：在指定的条件下，获得将来预期利润的权利的一种法律证明证券种类货币市场短期、流动性好、风险小的债券资本市场长期固定收益证券股票期权、期货及其它衍生证券回报率与风险之间的关系一般来说，具有高平均回报率的证券也具有高的风险The historical variability is not necessarily an indication of prospective risk.证券市场一级市场二级市场金融中
13、介银行、投资公司、保险公司、信托公司特点：中介集少成多分散风险专业化、规模经济（数量、声誉、搜集信息等）4. 投资过程对投资的证券种类、数量、投资的时间作出决定投资政策：决定投资的目标和投资的财富数量投资的目标：回报和风险证券分析：技术分析；基本分析证券组合构造:selectivity, timing, diversification证券组合调整证券组合评估：依据回报率和风险5. 证券发行市场投资银行证券的承销Initial public offering (IPO)Seasoned new issuespublic offering and private placement6.证券交易市场
14、National and local securities exchangesbroker dealerover -the-account marketbid priceask pricedirect trading between two parties定单公司的名称买还是卖定单的规模有效时间定单的类型定单的类型按时间划分: day order, open order, discretionary order按对价格的限制划分证券交易方式现货交易期货交易信用交易期权交易保证金购买(Margin purchase)预期证券价格将上涨时利用该策略初始保证金(initial margin requ
15、irement)实际保证金(actual margin)盯市(marked to the market)维持保证金(maintenance margin)利用金融杠杆回报率卖空预期证券价格将下跌时利用该策略初始保证金(initial margin requirement)实际保证金(actual margin)盯市(marked to the market)维持保证金(maintenance margin)回报率卖空前X Brock, Inc Mr. Lane红利，年报选举权红利，年报选举权卖空 Mr. JonesX Brock, Inc Mr. Lane Ms. Smith红利，年报选举权红
16、利，年报选举权接受股票支付价格提供初始保证金卖空后 Mr. JonesX Brock, Inc Mr. Lane Ms. Smith红利，年报年报提供现金支付红利红利年报选举权7. 股票价格指数股票价格指数的作用股票价格指数的主要计算方法价格加权平均指数price-weighted average index市值加权平均指数market-value-weighted index世界几种重要股票价格指数道琼斯股票价格指数标准和普尔股票价格综合指数纽约证券交易所的股票综合指数伦敦金融时报的股票价格指数日本经济新闻道式股票指数香港恒生股票指数中国的股票价格指数上海证券交易所股价指数深圳证券交易所股价指数8.金融市场的作用Consumption timing贷款买房、买车、上学Allocation of risk投资大公司股票与投资 小公司股票Separation of ownership and managementgives the firm a stabilityprovide some guidance for the objectives of the firm9.新趋势全球化Globalization证券化Securitization信誉提高Credit enhancement金融工程Financial ergineering
