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Modern Portfolio Theory and Investment Analysis

Vörumerki: John Wiley
Vörunúmer: 9781118995327
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Modern Portfolio Theory and Investment Analysis

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Efnisyfirlit

  • Front Matter
    • About the Authors
    • New to the 9th Edition
    • Preface
      • Final Thoughts
  • Part 1: INTRODUCTION
    • 1: Introduction
      • OUTLINE OF THE BOOK
      • THE ECONOMIC THEORY OF CHOICE: AN ILLUSTRATION UNDER CERTAINTY
        • The Opportunity Set
          • Figure 1.1: The investor’s opportunity set.
        • The Indifference Curves
          • Figure 1.2: Indifference curves.
        • The Solution
          • Figure 1.3: Investor equilibrium.
        • An Example: Determining Equilibrium Interest Rates
      • CONCLUSION
      • MULTIPLE ASSETS AND RISK
        • Figure 1.4: Investor’s opportunity set with several alternatives.
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 2: Financial Securities
      • TYPES OF MARKETABLE FINANCIAL SECURITIES
        • Money Market Securities
          • Table 2.1: Money Market Instruments
          • Treasury Bills
          • Repurchase Agreements (Repos)
          • Other Short-Term Instruments
          • The London Interbank Offered Rate (LIBOR)
        • Capital Market Securities
          • Fixed Income Securities
            • Treasury Notes and Bonds
            • Federal Agency Securities
            • Municipal Bonds
            • Corporate Bonds
          • Not-So-Fixed Income Securities
            • Preferred Stock
          • Asset-Backed Securities
            • Mortgage-Backed Securities
          • Common Stock (Equity)
        • Derivative Instruments
        • Indirect Investing
      • THE RETURN CHARACTERISTICS OF ALTERNATIVE SECURITY TYPES
        • Table 2.2: Return and Risk for Selected Types of Securities in Percent per Year (1926–2011)
      • STOCK MARKET INDEXES
      • BOND MARKET INDEXES
      • CONCLUSION
    • 3: Financial Markets
      • TRADING MECHANICS
        • Market Orders
        • Limit Orders
        • Short Sale
        • Stop Orders
        • Length of Time an Order Is Outstanding
      • MARGIN
        • Margin Long Purchase
        • Initial Margin Long Purchase
        • Maintenance Margin Long Purchase
        • Effect of Margin on Return
        • Margin Requirements for Short Sales
      • MARKETS
        • Characteristics of Markets
        • Major Markets
          • Stock Markets
          • Bond Markets
          • Primary Markets
            • Government Bonds
            • Corporate Issues
          • Clearing Procedures
      • TRADE TYPES AND COSTS
        • Types of Trades
        • Trading Costs
      • CONCLUSION
  • Part 2: PORTFOLIO ANALYSIS
    • Section 1: Mean Variance Portfolio Theory
      • 4: The Characteristics of the Opportunity Set under Risk
        • Table 4.1: Data on Three Hypothetical Events
        • DETERMINING THE AVERAGE OUTCOME
          • Table 4.2: Return on Various Assets
        • A MEASURE OF DISPERSION
          • Table 4.3: Returns on Various Investmentsa
        • VARIANCE OF COMBINATIONS OF ASSETS
          • Table 4.4: Dollars at Period 2 Given Alternative Investments
          • Figure 4.1: Securities and predetermined portfolios.
        • CHARACTERISTICS OF PORTFOLIOS IN GENERAL
          • Table 4.5: Monthly Returns on Microsoft, Dell, and G.E. (in percent, 2011)
          • Table 4.6: Calculating Covariances
          • Table 4.7: Covariance and Correlation Coefficients (in Parentheses) between Assets
          • Table 4.8: Effect of Diversification
          • Figure 4.2: The effect of number of securities on risk of the portfolio in the United States (1975).
          • Figure 4.3: The effect of securities on risk in the United Kingdom (1975).
          • Table 4.9: Percentage of the Risk on an Individual Security That Can Be Eliminated by Holding a Random Portfolio of Stocks within Selected National Markets and among National Markets (1975)
        • TWO CONCLUDING EXAMPLES
          • Bond Stock Allocation
            • Table 4.10: Mean Return and Standard Deviation for Combinations of Stocks and Bonds
            • Figure 4.4: Combinations of bonds and stocks.
            • Table 4.11: Mean Return and Standard Deviation for Combinations of Domestic and International Stocks
          • Domestic Foreign Allocation
            • Figure 4.5: Combinations of U.S. stocks and international stocks.
        • CONCLUSION
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
      • 5: Delineating Efficient Portfolios
        • COMBINATIONS OF TWO RISKY ASSETS REVISITED: SHORT SALES NOT ALLOWED
          • Case 1—Perfect Positive Correlation (? = +1)
            • Table 5.1: The Expected Return and Standard Deviation of a Portfolio of Colonel Motors and Separated Edison When ? = +1
            • Figure 5.1: Relationship between expected return and standard deviation when ?=+1.
          • Case 2—Perfect Negative Correlation (? = -1.0)
            • Table 5.2: The Expected Return and Standard Deviation of a Portfolio of Colonel Motors and Separated Edison When ? = -1
            • Figure 5.2: Relationship between expected return and standard deviation when ?=-1.
            • Figure 5.3: Relationship between expected return and standard deviation for various correlation coefficients.
          • Case 3—No Relationship between Returns on the Assets (? = 0)
            • Table 5.3: The Expected Return and Standard Deviation for a Portfolio of Colonel Motors and Separated Edison When ? = 0
            • Figure 5.4: Relationship between expected return and standard deviation when ?=0.
          • Case 4—Intermediate Risk (? = 0.5)
            • Table 5.4: The Expected Return and Standard Deviation of a Portfolio of Colonel Motors and Separated Edison When ? = 0.5
            • Figure 5.5: Relationship between expected return and standard deviation of return for various correlation coefficients.
        • THE SHAPE OF THE PORTFOLIO POSSIBILITIES CURVE
          • Figure 5.6: Various possible relationships for expected return and standard deviation when the minimum variance portfolio and Colonel Motors are combined.
          • Figure 5.7: Various possible relationships between expected return and standard deviation of return when the minimum variance portfolio is combined with portfolio S.
          • The Efficient Frontier with No Short Sales
            • Figure 5.8: Risk and return possibilities for various assets and portfolios.
            • Figure 5.9: The efficient frontier.
            • Figure 5.10: An impossible shape for the efficient frontier.
          • The Efficient Frontier with Short Sales Allowed
            • Table 5.5: The Expected Return and Standard Deviation When Short Sales Are Allowed
            • Figure 5.11: Expected return standard deviation combinations of Colonel Motors and Separated Edison when short sales are allowed.
        • THE EFFICIENT FRONTIER WITH RISKLESS LENDING AND BORROWING
          • Figure 5.12: The efficient set when short sales are allowed.
          • Figure 5.13: Expected return and risk when the risk–free rate is mixed with portfolio A.
          • Figure 5.14: Combinations of the riskless asset and various risky portfolios.
          • Figure 5.15: The efficient frontier with lending but not borrowing at the riskless rate.
          • Figure 5.16: The efficient frontier with riskless lending and borrowing at different rates.
        • EXAMPLES AND APPLICATIONS
          • Considerations in Determining Inputs
            • Inflation-Adjusted Inputs to Optimization
              • Table 5.6: Returns with No Inflation Adjustment
              • Table 5.7: Returns after Adjusting for Inflation
            • Input Estimation Uncertainty
              • Table 5.8: Returns over Different Decades
            • Short-Horizon Inputs and Long-Horizon Portfolio Choice
        • THREE EXAMPLES
          • Figure 5.17: The efficient frontier of stocks and bonds.
          • Figure 5.18: The efficient frontier of domestic and international stocks.
          • Figure 5.19: Combinations of bonds, U.S. stocks, and international stocks.
        • CONCLUSION
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
      • 6: Techniques for Calculating the Efficient Frontier
        • Figure 6.1: Combinations of the riskless asset in a risky portfolio.
        • SHORT SALES ALLOWED WITH RISKLESS LENDING AND BORROWING
          • Figure 6.2: The efficient set with riskless lending and borrowing.
        • SHORT SALES ALLOWED: NO RISKLESS LENDING AND BORROWING
        • RISKLESS LENDING AND BORROWING WITH SHORT SALES NOT ALLOWED
          • Figure 6.3: Tangency portfolios for different riskless rates.
        • NO SHORT SELLING AND NO RISKLESS LENDING AND BORROWING
        • THE INCORPORATION OF ADDITIONAL CONSTRAINTS
          • Table 6.1: Input Data for Asset Allocation
        • AN EXAMPLE
          • Figure 6.4: The efficient frontier with riskless lending and borrowing and short sales allowed.
          • Figure 6.5: The efficient frontier with no riskless lending and borrowing and no short sales.
          • Table 6.2: Proportions Invested When Short Sales Are Not Allowed
        • CONCLUSION
        • APPENDIX A: AN ALTERNATIVE DEFINITION OF SHORT SALES
        • APPENDIX B: DETERMINING THE DERIVATIVE
        • APPENDIX C: SOLVING SYSTEMS OF SIMULTANEOUS EQUATIONS
        • APPENDIX D: A GENERAL SOLUTION
          • Determining the General Coefficient from Two Portfolios
          • Tracing Out the Efficient Frontier
          • The Number of Securities Included
            • Figure 6.6: The minimum variance frontier.
        • APPENDIX E: QUADRATIC PROGRAMMING AND KUHN–TUCKER CONDITIONS
          • Figure 6.7: Portfolio proportion as a function of the riskless rate.
          • Figure 6.8: Value of the function as X changes.
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
    • Section 2: Simplifying the Portfolio Selection Process
      • 7: The Correlation Structure of Security Returns—the Single-Index Model
        • THE INPUTS TO PORTFOLIO ANALYSIS
        • SINGLE-INDEX MODELS: AN OVERVIEW
          • Table 7.1: Decomposition of Returns for the Single-Index Model
        • CHARACTERISTICS OF THE SINGLE-INDEX MODEL
          • Table 7.2: Residual Risk and Portfolio Size
        • ESTIMATING BETA
          • Estimating Historical Betas
            • Figure 7.1: Plot of security return versus market return.
          • Accuracy of Historical Betas
            • Table 7.3: Association of Betas over Time
          • Adjusting Historical Estimates
            • Table 7.4: Betas on Ranked Portfolios for Two Successive Periods
          • Measuring the Tendency of Betas to Regress toward 1—Blume’s Technique
            • Figure 7.2: Plot of beta in two adjacent periods.
          • Measuring the Tendency of Betas to Regress toward 1—Vasicek’s Technique
          • Accuracy of Adjusted Beta
          • Betas as Forecasters of Correlation Coefficients
          • Fundamental Betas
            • Table 7.5: Correlation between Accounting Measures of Risk and Market Beta
        • THE MARKET MODEL
        • AN EXAMPLE
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
      • 8: The Correlation Structure of Security Returns—Multi-Index Models and Grouping Techniques
        • MULTI-INDEX MODELS
          • General Multi-index Models
          • Industry Index Models
          • How Well Do Multi-index Models Work?
        • AVERAGE CORRELATION MODELS
        • MIXED MODELS
        • FUNDAMENTAL MULTI-INDEX MODELS
          • Fama–French Models
          • Chen, Roll, and Ross Model
            • Table 8.1: Sector Sensitivities
          • Improving Forecasts of Correlation
        • CONCLUSION
        • APPENDIX A: PROCEDURE FOR REDUCING ANY MULTI-INDEX MODEL TO A MULTI-INDEX MODEL WITH ORTHOGONAL INDEXES
        • APPENDIX B: MEAN RETURN, VARIANCE, AND COVARIANCE OF A MULTI-INDEX MODEL
          • Expected Return
          • Variance of Return
          • The Covariance
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
      • 9: Simple Techniques for Determining the Efficient Frontier
        • THE SINGLE-INDEX MODEL
          • The Formation of Optimal Portfolios
          • Ranking Securities
            • Table 9.1: Data Required to Determine Optimal Portfolio RF = 5%
            • Table 9.2: Calculations for Determining Cutoff Rate with sm2=10
          • Setting the Cutoff Rate (C*)
          • Calculating the Cutoff Rate C*
          • Constructing the Optimal Portfolio
          • Another Example
            • Table 9.3: Data Required to Determine Optimal Portfolio; RF = 5
            • Table 9.4: Calculations for Determining Cutoff Rate with sm2=10
          • Short Sales Allowed
            • Table 9.5: Optimum Percentages
        • SECURITY SELECTION WITH A PURCHASABLE INDEX
          • Constructing an Efficient Frontier
        • THE CONSTANT CORRELATION MODEL
          • Ranking and Selecting from among Securities—Short Sales Not Allowed
          • Setting the Cutoff Rate
            • Table 9.6: Data to Determine Ranking RF = 5%
            • Table 9.7: Determining the Cutoff Rate ? = 0.5
          • Short Sales Allowed
        • OTHER RETURN STRUCTURES
        • AN EXAMPLE
        • CONCLUSION
        • APPENDIX A: SINGLE-INDEX MODEL—SHORT SALES ALLOWED
        • APPENDIX B: CONSTANT CORRELATION COEFFICIENT—SHORT SALES ALLOWED
        • APPENDIX C: SINGLE-INDEX MODEL—SHORT SALES NOT ALLOWED
        • APPENDIX D: CONSTANT CORRELATION COEFFICIENT—SHORT SALES NOT ALLOWED
        • APPENDIX E: SINGLE-INDEX MODEL, SHORT SALES ALLOWED, AND A MARKET ASSET
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
    • Section 3: Selecting the Optimum Portfolio
      • 10: Estimating Expected Returns
        • AGGREGATE ASSET ALLOCATION
          • Market Timing or Dynamic Asset Allocation
          • Estimating Expected Returns
            • Table 10.1
          • History and the Equity Risk Premium
          • Bayesian Models of Expected Returns
          • Time Variation in Expected Returns
            • Table 10.2: Summary Statistics for New York Stock Exchange Returns, U.S. Bond Yields, Call Money Rates, and Inflation 1792–1925
          • A New Approach: The Recovery Theorem
            • Table 10.3: Summary Statistics for U.S. Stocks, Bonds, Bills, and Inflation 1926–2011
        • FORECASTING INDIVIDUAL SECURITY RETURNS
          • Figure 10.1: Relationship between expected return and beta.
        • PORTFOLIO ANALYSIS WITH DISCRETE DATA
        • APPENDIX: THE ROSS RECOVERY THEOREM—A NEW APPROACH TO USING MARKET DATA TO CALCULATE EXPECTED RETURN
        • BIBLIOGRAPHY
      • 11: How to Select among the Portfolios in the Opportunity Set
        • CHOOSING DIRECTLY
          • Table 11.1: Return and Risk on Portfolios in the Efficient Set
          • Figure 11.1: The distribution of returns for portfolios shown in Table 11.1
        • AN INTRODUCTION TO PREFERENCE FUNCTIONS
          • Table 11.2: Two Alternative Investments
          • Table 11.3: Data for Ranking Hockey Teams
          • Table 11.4: A Weighing Function
          • Table 11.5: Outcomes and Associated Probabilities for Three Investments
          • Table 11.6: Including Utility
        • RISK TOLERANCE FUNCTIONS
          • Table 11.7: Choices Using Risk Tolerance
        • SAFETY FIRST
          • Table 11.8: Mean Returns, Standard Deviations, and Lower Limits
          • Figure 11.2: Lines of constant preference—Roy’s criterion.
          • Figure 11.3: The portfolio choice problem with Kataoka’s safety-first rule.
          • Figure 11.4: The investor’s choice problem—Telser’s criterion.
          • Figure 11.5: No feasible portfolio—Telser’s criterion.
        • MAXIMIZING THE GEOMETRIC MEAN RETURN
          • Table 11.9: Geometric Mean Returns
        • VALUE AT RISK (VaR)
        • UTILITY AND THE EQUITY RISK PREMIUM
          • Empirical Solutions
          • Theoretical Solutions
        • OPTIMAL INVESTMENT STRATEGIES WITH INVESTOR LIABILITIES
          • Figure 11.6: Expected return versus variance considering liabilities.
        • LIABILITIES AND SAFETY-FIRST PORTFOLIO SELECTION
        • SIMULATIONS IN PORTFOLIO CHOICE
          • Figure 11.7: Trade-off between maximum return and different probabilities.
          • Figure 11.8: Simulated distribution of average returns.
          • Figure 11.9: Simulated growth of $1 over 79 years.
          • Multiple-Asset Bootstrapping
          • Biased Bootstrapping and Scenario Analysis
          • Time Series Dependence
          • Bootstrapping Applications
          • Applications
            • Value at Risk
            • Dynamic choice
            • Taxes
              • Table 11.10: Simulated Total Return Distributions for the Period 1976–2000: Geometric Average Annual Rates (in %), Selected Percentiles, All Series
        • CONCLUSION
        • APPENDIX: THE ECONOMIC PROPERTIES OF UTILITY FUNCTIONS
          • Table 11.11: An Example of a Fair Gamble
          • Figure 11.10: Characteristics of functions with different risk-aversion coefficients. (1) Utility function of a risk-seeking investor. (2) Utility function of a risk-neutral investor. (3) Utility function of a risk-averse investor.
          • Table 11.12: Implications of Attitude toward Risk
        • RELATIVE RISK AVERSION AND WEALTH
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
    • Section 4: Widening the Selection Universe
      • 12: International Diversification
        • HISTORICAL BACKGROUND
        • CALCULATING THE RETURN ON FOREIGN INVESTMENTS
          • Figure 12.1a: Typical price movement of the representative stocks of Great Britain, France, United States of America, Argentina. Produced in 1907.
          • Figure 12.1b: Individual price movements of 10 stocks covering different geographical divisions. Produced in 1907.
        • THE RISK OF FOREIGN SECURITIES
          • Table 12.1: Correlation Among Stock Indexes Measured in U.S. Dollars (2002–2011)
          • Table 12.2: Risk for U.S. Investors in Stocks 2002–2011
          • Figure 12.2: Average correlation of capital appreciation returns for all available markets. This figure shows the time series of the average off-diagonal correlation of dollar-valued capital appreciation returns for all available markets. A rolling window of 60 months is used. Source: Goetzmann, Li, and Rouwenhorst (2005)
          • Figure 12.3: Risk reduction from international diversification: Selected periods. This figure shows the ratio of the average covariance of the equally weighted portfolio of country indexes scaled by the average variance of the country indexes, as a function of the number of countries in the portfolio. Source: Goetzmann, Li, and Rouwenhorst (2005)
          • Figure 12.4: Average relative covariance versus investment opportunity set. Source: Goetzmann, Li, and Rouwenhorst (2005).
          • Figure 12.5: Diversification with capital market weights. This figure shows the risk reduction for portfolios of 45 country indexes and the risk reduction of the four core countries. A rolling window of 120 months is used. Returns are exponentially weighted with a half time of 60 months. Source: Goetzmann, Li, and Rouwenhorst (2005).
        • MARKET INTEGRATION
        • RETURNS FROM INTERNATIONAL DIVERSIFICATION
          • Table 12.3: Return to U.S. Investor in Stocks 2002–2011 (percent per annum)
        • THE EFFECT OF EXCHANGE RISK
          • Table 12.4: The Effect of Country of Domicile on Mean Returns and Risk 2002–2012
        • RETURN EXPECTATIONS AND PORTFOLIO PERFORMANCE
        • EMERGING MARKETS
          • Figure 12.6: S&P/IFC Emerging Market Composite Index vs. S&P 500 Index, 1989–2011. (Courtesy Morningstar/Ibbotson Encorr)
          • Figure 12.7: Sample of global markets from 1922 to 1994. Source: Goetzmann and Jorion (1991).
          • International Diversification of Bonds
            • Table 12.5: Correlations Among Bond Indicies Measured in U.S. Dollars (2002–2011)
            • Table 12.6: Risk for U.S. Investors in Bonds 2002–2012
        • OTHER EVIDENCE ON INTERNATIONALLY DIVERSIFIED PORTFOLIOS
          • Table 12.7: Return to U.S. Investors in Bonds 2002–2012 (percent per annum)
          • Table 12.8: Performance Data on Stock Funds (2002–2012)
          • Table 12.9: Performance Data on Bond Funds (2002–2011)
        • SOVEREIGN FUNDS
        • MODELS FOR MANAGING INTERNATIONAL PORTFOLIOS
          • Active Short-Term Bond Management
        • CONCLUSION
        • QUESTIONS AND PROBLEMS
        • BIBLIOGRAPHY
  • Part 3: MODELS OF EQUILIBRIUM IN THE CAPITAL MARKETS
    • 13: The Standard Capital Asset Pricing Model
      • THE ASSUMPTIONS UNDERLYING THE STANDARD CAPITAL ASSET PRICING MODEL (CAPM)
      • THE CAPM
        • Deriving the CAPM—A Simple Approach
          • Figure 13.1: The efficient frontier—no lending and borrowing.
          • Figure 13.2: The efficient frontier with lending and borrowing.
          • Figure 13.3: Combinations of portfolios.
          • Figure 13.4: The security market line.
        • Deriving the CAPM—A More Rigorous Approach
      • PRICES AND THE CAPM
      • CONCLUSION
        • Figure 13.5: The efficient frontier.
        • Figure 13.6: The security market line.
      • APPENDIX: Appropriateness of the Single-Period Asset Pricing Model
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 14: Nonstandard Forms of Capital Asset Pricing Models
      • SHORT SALES DISALLOWED
      • MODIFICATIONS OF RISKLESS LENDING AND BORROWING
        • Figure 14.1: Portfolios in expected return beta space.
        • No Riskless Lending or Borrowing
          • Simple Proof
            • Figure 14.2: The zero-beta capital asset pricing line.
          • Rigorous Derivation
            • Figure 14.3: The opportunity set with rate RF.
            • Figure 14.4: The location of portfolios with return RF'.
          • Proof
            • Figure 14.5: The minimum-variance frontier.
        • Riskless Lending but No Riskless Borrowing
          • Figure 14.6: The opportunity set with riskless lending.
          • Figure 14.7: The location of investments in expected return beta space.
        • Other Lending and Borrowing Assumptions
          • Figure 14.8: The opportunity set with a differential lending and borrowing rate.
      • PERSONAL TAXES
      • NONMARKETABLE ASSETS
      • HETEROGENEOUS EXPECTATIONS
      • NON-PRICE-TAKING BEHAVIOR
      • MULTIPERIOD CAPM
      • THE MULTI-BETA CAPM
      • CONSUMPTION CAPM
      • CONCLUSION
      • APPENDIX: DERIVATION OF THE GENERAL EQUILIBRIUM WITH TAXES
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 15: Empirical Tests of Equilibrium Models
      • THE MODELS—EX ANTE EXPECTATIONS AND EX POST TESTS
      • EMPIRICAL TESTS OF THE CAPM
        • Some Hypotheses of the CAPM
        • A Simple Test of the CAPM
          • Table 15.1: Average Returns and Betas on Portfolios Ranked by Betas
          • Figure 15.1: Estimated security market line.
        • Some Early Empirical Tests
        • Tests of Black, Jensen, and Scholes
          • Table 15.2: Tests of the CAPM as Reported by Black, Jensen, and Scholes (1972)
        • Tests of Fama and McBeth
          • Table 15.3: Tests of the Two-Parameter Model
        • Extensions of Fama and MacBeth
      • TESTING SOME ALTERNATIVE FORMS OF THE CAPM MODEL
      • TESTING THE POSTTAX FORM OF THE CAPM MODEL
        • Testing the Consumption-Based CAPM (CCAPM)
      • SOME RESERVATIONS ABOUT TRADITIONAL TESTS OF GENERAL EQUILIBRIUM RELATIONSHIPS AND SOME NEW RESEARCH
        • Proof
      • CONCLUSION
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 16: The Arbitrage Pricing Model APT—A Multifactor Approach to Explaining Asset Prices
      • APT—WHAT IS IT?
        • A Simple Proof of APT
        • A More Rigorous Proof of APT
      • ESTIMATING AND TESTING APT
        • Simultaneous Determination of Factors and Characteristics
        • An Alternative Approach to Testing the APT
        • Specifying Attributes of Securities
          • Table 16.1: Cross-Sectional Data on Sharpe’s Multifactor Model
        • Specifying the Influences Affecting the Return-Generating Process
        • Specifying a Set of Portfolios Affecting the Return-Generating Process
          • Table 16.2: Empirical Tests of Multifactor Asset Pricing Models 1963–2004
      • APT AND CAPM
      • RECAPITULATION
        • Multi-index Models, APT, and Portfolio Management
        • Review of Multi-index Models and APT
        • Passive Management
        • Active Management
        • Factor Investing: An Active-Passive Approach
          • Figure 16.1: Fama, French, and Carhart Factor Performance, 1927–2012. Source: Data courtesy of Kenneth French.
          • Annualized Summary Statistics for Fama, French, and Carhart Factors, 1927–2011
      • TERM STRUCTURE FACTOR
      • CREDIT RISK FACTOR
      • FOREIGN EXCHANGE [FX] CARRY
      • VALUE FACTOR
      • SIZE FACTOR
      • MOMENTUM FACTOR
      • VOLATILITY FACTOR
      • LIQUIDITY FACTOR
      • INFLATION FACTOR
      • GDP FACTOR
      • EQUITY RISK PREMIUM
      • LIMITATIONS OF FACTOR INVESTING
      • FACTOR INVESTING SUMMARY
        • Performance Measurement and Attribution
      • CONCLUSION
      • APPENDIX A: A SIMPLE EXAMPLE OF FACTOR ANALYSIS
        • Table 16.2: Correlation Coefficient between Returns in Four Countries
      • APPENDIX B: SPECIFICATION OF THE APT WITH AN UNOBSERVED MARKET FACTOR
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
  • Part 4: SECURITY ANALYSIS AND PORTFOLIO THEORY
    • 17: Efficient Markets
      • EARLY DEVELOPMENT
      • THE NEXT STAGES OF THEORY
      • RECENT THEORY5
      • SOME BACKGROUND
      • TESTING THE EMH6
      • TESTS OF RETURN PREDICTABILITY
      • TESTS ON PRICES AND RETURNS
        • Intraday and Day-of-the-Week Patterns
          • Table 17.1: January Effect: 1926–2012
      • MONTHLY PATTERNS
        • Predicting Return from Past Return
        • Short-term Predictability
        • Correlation Tests
          • Table 17.2: Daily Correlation Coefficients (from Fama, 1970)
        • Correlation for Portfolios of Securities
        • Correlation over Long-Run Horizons
          • Runs Tests
            • Table 17.3: Total Actual and Expected Numbers of Runs for 1-, 4-, 9-, and 16-Day Differencing Intervals (from Fama, 1965)
          • Filter Rules
            • Figure 17.1: Security price and time.
        • Returns and Firm Characteristics
          • The “Size Effect”
          • Market to Book
          • Earnings Price
        • Predicting Long-Run Returns from Firm and Market Characteristics
      • ANNOUNCEMENT AND PRICE RETURN
      • METHODOLOGY OF EVENT STUDIES
        • Figure 17.2: Excess return around announcement day.
        • Figure 17.3: Cumulative excess return around split rate.
        • Results of Some Event Studies
          • Figure 17.4: Cumulative excess return around announcement date.
          • Figure 17.5: Excess return around publication date.
      • STRONG-FORM EFFICIENCY
        • Insider Trading
        • Information in Analysts’ Forecasts
        • Mutual Fund Performance
      • MARKET RATIONALITY
        • Volatility Tests
        • Winners—Losers
        • Market Crash of 1987 and 2008
      • CONCLUSION
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 18: The Valuation Process
      • DISCOUNTED CASH FLOW MODELS
        • Constant Growth Model
        • The Two-Period Growth Model
          • Table 18.1: Price and Dividend Behavior under a Two-Period Growth Model
        • The Three-Period Model
          • Figure 18.1: Growth rate pattern for a three-period model.
        • Finite Horizon Models
      • CROSS-SECTIONAL REGRESSION ANALYSIS
        • Figure 18.2: P/E ratios versus growth rates.
        • Market Tastes
        • Input Data
        • Firm Effects
      • AN ONGOING SYSTEM
        • Table 18.2: Forecasts for Company 1
        • Table 18.3: Determining Mispriced Assets
        • An Evolving System of Security Selection
        • Forecasting Ability
        • Portfolios Customized for User Characteristics
      • CONCLUSION
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 19: Earnings Estimation
      • THE ELUSIVE NUMBER CALLED EARNINGS
        • Table 19.1: Accounting Magic Using Generally Accepted Accounting Principles
      • THE IMPORTANCE OF EARNINGS
        • Table 19.2: Excess Returns by Eliminating from Portfolio Those Firms That Had Earnings Estimates the Most Above (or Least Below) Realizations
      • CHARACTERISTICS OF EARNINGS AND EARNINGS FORECASTS
        • The Influence of the Economy and Industry
          • Table 19.3: Proportion of Earnings Movement Attributable to Economy or Industry Influences
        • Past Earnings and Future Earnings
          • Table 19.4: Persistence of Growth
          • Table 19.5: Possible Levels of Earnings
          • Table 19.6: Possible Changes in Earnings
        • Forecasting Earnings with Additional Types of Historical Data
        • Analysts Forecasts
      • CONCLUSION
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 20: Behavioral Finance, Investor Decision Making, and Asset Prices
      • PROSPECT THEORY AND DECISION MAKING UNDER UNCERTAINTY
        • An Experiment
          • Figure 20.1: Prospect Theory utility function concave in gains and convex in losses.
        • The Disposition Effect
      • BIASES FROM LABORATORY EXPERIMENTS
        • Heuristics
        • Other Biases
          • Cognitive Dissonance
          • Mental Accounting
          • Mood and Emotion
          • Local Bias
          • The Path of Least Resistance
          • Diversification Heuristic
      • SUMMARY OF INVESTOR BEHAVIOR
      • BEHAVIORAL FINANCE AND ASSET PRICING THEORY
        • Opportunity
        • Financing
        • Asset Prices and Demand Curves
          • Figure 20.2: Supply and demand curve for stocks.
        • The Marginal Investor
        • Stock Prices and Social Dynamics
          • Figure 20.3: Time series of one year confidence intervals. Source: International Center for Finance (http://icf.som.yale.edu/stock-market-confidence-indices-united-states-yearindex).
        • Media and Behavior and Contrarian Investors
        • Explaining Anomalies
      • BIBLIOGRAPHY
    • 21: Interest Rate Theory and the Pricing of Bonds
      • Table 21.1: Rates of Return on Selected Bond Portfolios
      • AN INTRODUCTION TO DEBT SECURITIES
        • Government Bonds
        • Corporate Bonds
        • Mortgage Bonds
        • Municipal Bonds
      • THE MANY DEFINITIONS OF RATES
        • Table 21.2: Illustrating the Nonadditivity of Yields
        • Figure 21.1: Graph of yield versus price.
        • Table 21.3: Cash Flow with Pure Discount Bonds
      • BOND PRICES AND SPOT RATES
        • Table 21.4: Determination of Forward Rates
        • Table 21.5: Cash Flows Associated with Three Different Bonds
      • DETERMINING SPOT RATES
      • THE DETERMINANTS OF BOND PRICES
        • Term to Maturity and Term Structure Theory
          • Segmented Market Theory
            • Figure 21.2: Possible term structure.
            • Figure 21.3: Possible term structure.
          • Pure Expectations Theory
            • Table 21.6: Two Hypothesized Sequences of Expected One-Period Rates
          • Liquidity Premium Theory
            • Table 21.7: Yield Curve with a Liquidity Premium (Expressed in Percentage)
            • Figure 21.4: Yield curves with liquidity premiums.
          • Preferred Habitat
          • Term Structure and Coupon Bonds
            • Figure 21.5: Possible term structure curves.
            • Figure 21.6: Possible term structure curves.
          • Summary of the Term Structure of Interest Rates
        • Default Risk
          • Table 21.8: Components of Interest Rates on Corporate Bonds
          • Table 21.9: Key to Moody’s Corporate Ratings
        • Tax Effects
          • Table 21.10: Historical Default Rates—Straight Bonds Only, 1985–2011 (Dollars in Millions)
          • Table 21.11: Mortality Rates by Original Rating—All Rated Corporate Bonds* (1971–2011)
        • Option Features of Bonds
        • Corporate Bonds
          • Corporate Bond Spreads
            • Table 21.12: Corporate Bond Spreads for Industrial Bonds and Various Ratings, 1987–1996
            • Figure 21.7: Spot rates for A-rated industrial bonds and for Treasuries.
          • Floating Rate Bonds
      • COLLATERAL MORTGAGE OBLIGATIONS
      • THE FINANCIAL CRISIS OF 2008
        • Subprime Loans
        • Transmittal to the Banks
        • Credit Default Swaps
      • CONCLUSION
      • APPENDIX A: SPECIAL CONSIDERATIONS IN BOND PRICING
      • APPENDIX B: ESTIMATING SPOT RATES
        • Figure 21.8: Discrete versus continuous discount functions.
      • APPENDIX C: CALCULATING BOND EQUIVALENT YIELD AND EFFECTIVE ANNUAL YIELD
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 22: The Management of Bond Portfolios
      • DURATION
        • Price Change due to Passage of Time
        • Unanticipated Price Change
        • Sensitivity to Shifts in the Yield Curve
          • Table 22.1: The Effect of a Change in Interest Rates on the Price of a Pure Discount Bond
          • Table 22.2: Duration of Bonds with Different Maturities and Couponsa
        • Convexity
          • Figure 22.1: Actual price change and estimated price change.
          • Figure 22.2: The relationship between yield and price for a callable bond.
      • PROTECTING AGAINST TERM STRUCTURE SHIFTS
        • Exact Matching or Dedication
          • Table 22.3: Cash Flow Matched Portfolios
        • Immunization
          • Table 22.4: The Value of a Bond with Changing Interest Rates
      • BOND PORTFOLIO MANAGEMENT OF YEARLY RETURNS
        • Indexation
        • Active Bond Management
          • Aggregate Interest Rate Forecasting
          • Sector Selection
          • Sector Rotation
          • Mispriced Bonds
        • Active Bond Selection Using Modern Portfolio Theory
          • Estimating Expected Return
            • Table 22.5: Hypothetical Set of Rates
            • Table 22.6: Assumed Forward Rates (in Percentages)
          • Index Models
            • Single-Index Models
            • Multi-index Models
      • SWAPS
        • Bond Swaps
          • Substitution Swap
          • Yield Pickup Swaps
          • Tax Swaps
        • Interest Rate Swaps
          • Table 22.7: Cash Flows of a Fixed-for-Floating Swap Assuming a $10 Million Notational Principal
      • APPENDIX A: DURATION MEASURES
        • 1. Macaulay’s Second Measure
        • 2. Nonproportional Shift in Spot Rates
        • 3. Numerical Estimation of Duration
          • Table 22.8: Assumed Term Structures
        • 4. Duration Measures with Semiannual or Monthly Cash Flows
      • APPENDIX B: EXACT MATCHING PROGRAMS
      • APPENDIX C: BOND-SWAPPING TECHNIQUES
      • APPENDIX D: CONVEXITY
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 23: Option Pricing Theory
      • TYPES OF OPTIONS
        • Calls
          • Figure 23.1: Profit from call.
        • Puts
          • Figure 23.2: Profit from put.
        • Warrants
        • Combinations
          • Figure 23.3: Profit from straddle.
          • Figure 23.4: The value of a combination of common stock and a call.
          • Figure 23.5: Profit from put and stock.
      • SOME BASIC CHARACTERISTICS OF OPTION VALUES 5
        • Relative Prices of Calls with Alternative Characteristics
        • Minimum Value of a European Call
          • Table 23.1: Payoffs from Alternative Holdings
        • Early Exercise of an American Call
        • Put Call Parity
          • Table 23.2: Payoffs of Portfolios Involving Puts
      • VALUATION MODELS
        • Binomial Option Pricing Formula
          • Table 23.3: Cash Flows on a Zero-Payoff Portfolio
          • Table 23.4: Cash Flows on a Zero-Payoff Portfolio
          • Table 23.5: Cash Flows on a Zero-Payoff Portfolio
          • Table 23.6: Cash Flows from a Portfolio of Calls and Stock
          • Table 23.7: Cash Flows on a Zero-Payoff Portfolio of Stock and Calls
          • Figure 23.6: The movement of stock prices through time.
        • The Black–Scholes Option Valuation Formula
          • Using the Black–Scholes Model
          • Implicit Estimates of Stock’s Own Variance from Option Formulas
      • ARTIFICIAL OR HOMEMADE OPTIONS
        • Table 23.8: Illustration of Homemade Put
      • USES OF OPTIONS
        • Modifying the Return Pattern
          • Figure 23.7: The efficient frontier.
          • Figure 23.8: Distribution of returns with various amounts in the risky portfolio.
          • Figure 23.9: The effect of puts on the return distribution.
        • Betting on Information
        • Advanced Uses
      • CONCLUSION
      • APPENDIX A: DERIVATION OF THE BINOMIAL FORMULA
        • Figure 23.10: Stock price paths.
      • APPENDIX B: DERIVATION OF THE BLACK–SCHOLES FORMULA
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 24: The Valuation and Uses of Financial Futures
      • DESCRIPTION OF FINANCIAL FUTURES
        • Table 24.1: Some Underlying Instruments with Financial Futures
        • Profits and Losses from Futures Contracts
          • Table 24.2: Cash Flows on a Forward and Futures Contract
        • Some Important Attributes of Futures Contracts
          • Margin
          • Limits
          • Delivery
      • VALUATION OF FINANCIAL FUTURES
        • Treasury Bill Futures
          • Table 24.3: Cash Flows on T-bill and Homemade T-bill Contract
          • Buy the Cheapest Instrument
          • Swap
          • Pure Arbitrage
        • Treasury Bond Futures
        • Stock Index Futures
        • Foreign Currency Futures
      • THE USES OF FINANCIAL FUTURES
        • Hedging
        • Changing Investment Policy
          • Changing the Market Exposure of a Stock Portfolio
          • Changing Interest Rate Exposure on Bonds
          • Changing the Bond–Stock Mix
        • Creating New Products
      • NONFINANCIAL FUTURES AND COMMODITY FUNDS
        • Table 24.4: Returns and Risk of Different Investments, 1980–88
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
  • Part 5: EVALUATING THE INVESTMENT PROCESS
    • 25: Mutual Funds
      • Table 25.1: Total Net Assets by Type
      • OPEN-END MUTUAL FUNDS
        • Table 25.2: Number of Mutual Funds by Type
        • Table 25.3: Expense Ratio in Annual Percentagea
        • Table 25.4: Total Net Assets of Mutual Funds (in Billions)
      • CLOSED-END MUTUAL FUNDS
        • Explaining the Discount
        • Why Closed-End Funds Exist
      • EXCHANGE-TRADED FUNDS (ETFS)
        • Tracking error
        • The Relationships of Price to NAV
        • Performance Relative to Other Instruments
        • Their Use of Price Formation
        • The Effect of Leverage
        • Active ETFs
      • CONCLUSION
      • BIBLIOGRAPHY
    • 26: Evaluation of Portfolio Performance
      • EVALUATION TECHNIQUES
        • Measures of Return
          • Table 26.1: Hypothetical Inflows and Outflows
          • Table 26.2: Cash Flows and Returns for Two Funds
        • Measures of Risk
          • Table 26.3: Comparison of Investment Performance of Mutual Funds and Random Portfolios (Jan. 1960–June 1968)
        • Direct Comparisons
          • Table 26.4a: Return
          • Table 26.4b: Risk (Standard Deviation)
        • One-Parameter Performance Measures
          • The Excess Return to Variability Measure
            • Figure 26.1: Combinations of a riskless asset and a risky portfolio.
            • Figure 26.2: Combinations of a riskless asset and some mutual funds.
            • Figure 26.3: Funds in expected return standard deviation space.
            • Figure 26.4: Treynor measure.
          • The Treynor Measure: Excess Return to Nondiversifiable Risk
          • The Jensen Measure: Differential Return When Risk Is Measured by Beta
            • Table 26.5: Performance Summary—All Funds with Complete Data for 1960–1969 Period
      • A MANIPULATION-PROOF PERFORMANCE MEASURE
      • TIMING
        • Figure 26.5: Beta and security returns.
        • Figure 26.6: Measuring timing.
        • Figure 26.7: Returns for manager without timing.
        • Figure 26.8: Returns for manager with timing.
      • HOLDING MEASURES OF TIMING
      • MULTI-INDEX MODELS AND PERFORMANCE MEASUREMENT
        • Multi-index Benchmarks Estimated Using Returns Data
          • Indexes based on the major types of securities held by a fund.
          • Indexes based on influences that explain security characteristics.7
          • Indexes extracted from historical returns.
          • Performance Measurement Using Multi-index Models
          • Using portfolio composition to estimate portfolio betas.
      • USING HOLDINGS DATA TO MEASURE PERFORMANCE DIRECTLY
      • TIME-VARYING BETAS
      • CONDITIONAL MODELS OF PERFORMANCE MEASUREMENT, BAYESIAN ANALYSIS, AND STOCHASTIC DISCOUNT FACTORS
      • BAYESIAN ANALYSIS12
      • STOCHASTIC DISCOUNT FACTORS
      • WHAT’S A RESEARCHER TO DO?
      • MEASURING THE PERFORMANCE OF ACTIVE BOND FUNDS
      • THE PERFORMANCE OF ACTIVELY MANAGED MUTUAL FUNDS
      • HOW HAVE MUTUAL FUNDS DONE?
        • Table 26.6: Mutual Fund Performance Results (Annualized)
      • THE PERSISTENCE OF PERFORMANCE
      • PERSISTENCE
        • Table 26.7: Persistence
        • Table 26.8: Realized Alphas with Forecast in Previous Year (Work Data)
        • Performance in the Hedge and Commodity Fund Industries
        • Special Issues with Hedge Funds
          • Transparency
      • APPENDIX: The Use of APT Models to Evaluate and Diagnose Performance
        • Table 26A-1: Effect of Different Sensitivities on Performance
        • Table 26A-2: Decomposition of Performance Using APT
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 27: Evaluation of Security Analysis
      • WHY THE EMPHASIS ON EARNINGS?
      • THE EVALUATION OF EARNINGS FORECASTS
        • Overall Forecast Accuracy
          • Table 27.1: TIC over Time
        • Diagnosis of Forecasting Errors
          • Graphical Analysis
            • Figure 27.1: Prediction Realization Diagram.
            • Figure 27.2: Prediction Realization Diagram: Optimistic forecaster.
            • Figure 27.3: Prediction Realization Diagram: The overreactor.
          • Numerical Analysis
            • Error Decomposed by Level of Aggregation
            • Errors Decomposed by Forecast Characteristics
              • Table 27.2: Percentage Error in Earnings Change by Level of Aggregation
        • The Evaluation of Earnings Forecasts—Again
      • EVALUATING THE VALUATION PROCESS
        • Evaluating the Valuation Process with a Full Set of Outputs
        • Evaluating the Output of the Valuation Process: Incomplete Information
          • Figure 27.4: Examination of buy-hold-sell recommendations.
      • CONCLUSION
      • QUESTIONS AND PROBLEMS
      • BIBLIOGRAPHY
    • 28: Portfolio Management Revisited
      • Figure 28.1: Modern version of traditional approach.
      • MANAGING STOCK PORTFOLIOS
        • Passive Management
      • ACTIVE MANAGEMENT
      • PASSIVE VERSUS ACTIVE
      • INTERNATIONAL DIVERSIFICATION
      • BOND MANAGEMENT
        • Passive Strategies
        • Active Strategies
      • BOND AND STOCK INVESTMENT WITH A LIABILITY STREAM
        • Fixed Liability Stream
        • Stochastic Liability Stream
        • Bond–Stock Mix
      • BIBLIOGRAPHY
  • Back Matter
    • Index

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