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CHATER1

ContentsPART ONEELEMENTS OF INVESTMENTS1

CHAPTER2

Investments:Background and Issues2

CHAPTER3

1.1 Real Assets versus Financial Assets3

1.2 A Taxonomy of Financial Assets4

CHAPTER4

1.3 Financial Markets and the Economy5

CHAPTER5

CHAPTER6

CHAPTER7

Consumption Timing7

Allocation of Risk7

Separation of Ownership andManagement7

1.4 The Investment Process8

1.5 Markets Are Competitive8

The Risk-Return Trade-Off8

CHAPTER8

Efficient Markets9

CHAPER9

CHAPTER10

1.6 The Players10

Financial Intermediaries10

CHAPTER11

CHAPTER12

1.7 Markets and Market Structure12

Investment Bankers12

Auction Markets13

Brokered Markets13

Direct Search Markets13

CHAPTER13

Dealer Markets13

Globalization14

1.8 Recent Trends14

CHAPTER14

Securitization14

CHAPTER15

CHAPTER16

CHAPTER17

Financial Engineering17

1.9 Outline of the Text18

CHAPTER18

Summary19

CHAPTER19

CHAPTER20

CHAPTER21

Financial Markets and Instruments23

2.1 The Money Market23

Treasury Bills24

Bank Discount Yields24

Commercial Paper28

Bankers Acceptances28

Certifcates of Deposit28

Brokers Calls29

Repos and Reverses29

Eurodollars29

The LIBOR Market30

Federal Funds30

Yields on Money Market Instruments30

2.2 The Fixed-Income Capital Market31

Treasury Notes and Bonds31

Federal Agency Debt32

Municipal Bands33

Mortgages and Mortage-BackedSecurities36

Corporate Bonds36

Common Stock as Ownership Shares38

2.3 Equity Securities38

Stock Market Listings39

Characteristics of Common Stock39

Preferred Stock40

Stock Market Indexes41

2.4 Stock and Bond Market Indexes41

Dow Jones Averages44

Standard Poor s Indexes45

Other Market Value Indexes46

Foreign and International Stock MarketIndexes48

Equally Weighted Indexes48

Bond Market Indicators49

2.5 Derivative Markets49

Options49

Futures Contracts51

Summary52

3.1 How Firms Issue Securities57

How Securities Are Traded57

Investment Banking58

Shelf Registration59

Initial Public Offerings59

The Secondary Markets61

3.2 Where Securities Are Traded61

The Third and Fourth Markets64

The Over-the-Counter Market64

The Participants65

3.3 Trading on Exchanges65

The National Market System65

Types of Orders66

Specialists and the Execution of Trades67

Block Sales69

The DOT System69

Settlement69

3.4 Trading on the OTC Market70

Market Structure in Other Countries71

3.5 Trading Costs72

3.6 Buying on Margin74

3.7 Short Sales76

3.8 Regulation of Securities Markets77

Self-Regulation and Circuit Breakers78

Insider Trading80

Summary82

Mutual Funds and Other InvestmentComPanies88

4.1 Investment Companies89

4.2 Types of Investment Companies89

Unit Investment Trusts90

Managed Investment Companies90

Other Investment Organizations92

4.3 Mutual Funds93

Investment Policies93

How Funds Are Sold94

Fee Structure95

4.4 Costs of Investing in Mutual Funds95

Fees and Mutual Fund Returns97

4.5 Taxation of Mutual Fund Income99

4.6 Mutual Fund Investment Performance:AFirst Look101

4.7 Information on Mutual Funds104

Summary108

Investors and the Investment Process112

5.1 Investors and Objectives113

Professional Investors115

Individual lnvestors115

Pension Funds116

Nonlife lnsurance Companies117

Banks117

Life Insurance Companies117

5.2 Investor Constraints118

Endowment Funds118

Liquidity119

Investment Horizon119

Regulations119

The Considerations120

Unique Needs120

5.3 Objectives and Constraints of VariousInvestors121

Objectives121

Constraints122

5.4 Investment Policies123

Top-Down Policies for InstitutionalInvestors124

Active versus Passive Policies125

Tax-Shelter Options127

5.5 Taxes and Investment Strategy127

5.6 Monitoring and Revising InvestmentPortfolios129

Summary130

PARTTWOPORTFOLIO THEORY136

Measuring Investment Returns over MultiplePeriods137

6.1 Rates of Retum137

Risk and Return:Past and Prologue137

Conventions for Quoting Rates ofReturn140

Scenario Analysis and ProbabilityDistributions141

6.2 Risk and Risk Premiums141

Bills,Bonds,and Stocks,1926-1996145

6.3 The Historical Record145

6.4 Inflation and Real Rates of Return146

The Equilibrium Nominal Rate ofInterest150

6.5 Asset Allocation Across Risky and Risk-FreePortfolios151

The Risky Asset151

The Risk-Free Asset152

Portfolio Expected Return and Risk153

The Capital Allocation Line155

Risk Tolerance and Asset Allocation156

6.6 Passive Strategies and the Capital MarketLine157

Historical Evidence on the Capital MarketLine159

Summary160

Costs and Benefits of Passive Investing160

Efficient Diversification166

7.1 Diversification and Portfolio Risk167

7.2 Asset Allocation with Two RiskyAssets168

Covariance and Correlation168

The Three Rules of Two-Risky-AssetPortfolios171

The Risk-Return Trade-Off with TWo-Risky-Asset Portfolios172

Mean-Variance Criteria173

Using Historical Data176

7.3 The Optimal Risky Portfolio with a Risk-Free Asset177

The Efficient Frontier of Risky Assets180

7 4 Edducient Diversification with Many RiskyAssets180

Choosing the Optimal Risky Portfolio181

7.5 A Single-Factor Asset Market182

The Preferred Complete Portfolio and theSeparation Property182

Specification of a Single-Index Model ofSecurity Returns183

Statistical and Graphical Representation ofthe Single-Index Model184

Summary188

Diversification in a Single-Factor SecurityMarket188

Appendix:The Fallacy of TimeDiversification196

Capital Asset Pricing and Arbitrage PricingTheory198

8.1 The Capital Asset Pricing Model199

Why All Investors Would Hold the MarketPortfolio200

The Risk Premium of the MarketPortfolio201

The Passive Strategy Is Efficient201

Expected Returns on IndividualSecurities202

The Security Market Line204

Applications of the CAPM205

8.2 The CAPM and Index Models206

The Index Model,Realized Returns,and theExpected Return-Beta Relationship206

Estimating the Index Model207

The CAPM and the Index Model209

Predicting Betas213

8.3 The CAPM and the Real World215

8.4 Arbitrage Pricing Theory217

Arbitrage Opportunities and Profits217

Well-Diversified Portfolios and the ArbitragePricing Theory219

Multifactor Generalization of the APT andCAPM222

The APT and the CAPM222

Summary224

The Efficient Market Hypothesis231

9.1 Random Walks and the Efficient MarketHypothesis232

Competition as the Source of Efficiency232

Versions of the Efficient MarketHypothesis233

Technical Analysis234

9.2 Implications of the EMH for InvestmentPolicy234

Active versus Passive PortfolioManagement235

Fundamental Analysis235

The Role of Portfolio Management in anEfficient Market236

The Issues237

9.3 Are Markets Efficient?237

Tests of Predictability in Stock MarketReturns239

Predictors of Broad Market Movements240

Portfolio Strategies and MarketAnomalies240

Scientific and Computing Power in Search ofAbnormal Returns251

Summary253

So,Are Markets Efficient?253

PAR THREEFIXED-INCOME SECURITIES258

Bond Prices and Yields259

10.1 Bond Characteristics260

Treasury Bonds and Notes260

Corporate Bonds262

Preferred Stock264

International Bonds265

Other Domestic Issuers265

Innovation in the Bond Market265

10.2 Default Risk266

Junk Bonds267

Determinants of Bond Safety268

Bond Indentures269

10.3 Bond Pricing270

Yield to Matmity273

10.4 Bond Yields273

Yield to Call275

Yield to Maturity and Default Risk277

Realized Compound Yield versus Yield toMaturity278

Yield to Maturity versus Holding-PeriodReturn279

10.5 Bond Prices over Time280

Zero-Coupon Bonds281

After-Tax Recturns282

The Expectations Theory283

10.6 The Yield Curve283

The Liquidity Preference Theory285

Market Segmentation Theory286

A Synthesis286

Summary288

Managing Fixed-Income Investments296

11.1 Interest Rate Risk297

Interest Rate Sensitivity297

Duration299

What Determines Duration?301

11.2 Passive Bond Management303

Target Date Immunization304

Net worth Immunization304

Cash Flow Matching and Dedication309

11.3 Convexity310

Sources of Potential Profit313

11.4 Active Bond Management313

Contingent Immunization315

Horizon Analysis315

An Example of a Fixed-Income ImestmentStrategy316

11.5 Interest Rate Swaps318

Summary320

PARTFOURSECURITY ANALYSIS327

Macroeconomic and Industry Analysis328

12.1 The Global Economy329

12.2 The Domestic Macroeconomy329

Inflation331

Employment331

Gross Domestic Product331

Budget Deficit332

12.3 Interest Rates332

Interest Rates332

Sentiment332

12.4 Demand and Supply Shocks334

12.5 Federal Govemment Policy334

Fiscal Policy335

Monetary Policy336

Supply-Side Policies336

The Business Cycle337

12.6 Business Cycles337

Economic Indicators340

Defining an Industry341

12.7 Industry Analysis341

Sensitivity to the Business Cycle344

Industry Life Cycles346

Industry Structure and Performance349

Summary350

Equity Valuation355

13.1 Balance Sheet Valuation Methods355

13.2 Intrinsic Value versus Market Price356

13.3 Dividend Discount Models358

The Constant Growth DDM359

Stock Prices and InvestmentOpportunities362

Life Cycles and Multistage GrowthModels364

13.4 Price/Earnings Ratios368

The Price/Earnings Ratio and GrowthOpportunities368

P/E Ratios and Stock Risk371

Pitfalls in P/E Analysis371

13.5 The Aggregate Stock Market374

Combining P/E Analysis and the DDM374

Summary377

Financial Statement Analysis383

The Balance Sheet384

The Income Statement384

14.1 The Major Financial Statements384

The Statement of Cash Flows385

14.2 Accounting versus Economic Earnings387

14.3 Return on Equity388

Financial Leverage attd ROE388

Past versus Future ROE388

Decomposition of ROE390

14.4 Ratio Analysis390

Turnover and Other Asset UtilizationRatios392

Liquidity and Coverage Ratios393

Market Pric e Ratios394

14.5 An Illustration of Financial StatementAnalysis396

14.6 Comparability Problems398

Inventory Valuation398

Depreciation400

Inflation and Interest Expense401

International Accunting Conventions401

Inflation Accounting402

14.7 Value Investing:The GrahamTechnique404

Summary404

Technical Analysis413

15.1 Technical Analysis413

15.2 Charting414

The Dow Theory414

Other Charring Techniques417

A Warning418

15.3 Technical Indicators421

Sentiment Indicators422

Market Structure424

Flow of Funds424

15.4 The Value Line System427

Self-Desnucting Patterns429

15.5 Can Technical Analysis Work in EfficientMarkets?429

A New View of Technical Analysis430

Summary 43lPART FIVEDERIVATIVE ASSETS:OPTIONSAND FUTURES436

OPtions Markets437

16.1 The Option Contract438

Options Trading439

The Option Clearing Corporation441

American and European Options441

Other Listed Options442

16.2 Values of Options at Expiration445

Call Options445

Put Options446

Options versus Stock Investments448

The Put-Call Pariy Relationship450

Option Strategies453

16.3 Option-Like Securities459

Callable Bonds460

Convertible Securities461

Warrants463

Collateralized Loans463

Levered Equity and Risky Debt464

16.4 Exotic Options464

Asian Options465

Binary Options466

Summary466

Currency-Translated Options466

Lookback Options466

Barrier Options466

17.1 Option Valuation:Introduction474

Intrinsic and Time Values474

Dererminants of Option Values474

Option Valuation474

17.2 Binomial Option Pricing477

TWo-State Option Pricing477

Generalizing the Two-State Approach480

17.3 Black-Scholes Option Valuation482

The Black-Scholes Foemula482

Put Option Valuation486

17.4 Using the Black-Scholes Formula487

Hedge Ratios and the Black-ScholesFormula487

Portfolio Insurance488

17.5 Empirical Evidence492

Summary493

Futures Markets498

18.1 The Futures Contract499

The Basics of Futures Contracts500

Existing Contracts500

18.2 Mechanics of Trading in FuturesMarkets501

The Clearinghouse and Open Interest501

Marking to Market and the MarginAccount505

Cash versus Actual Delivery507

Hedging and Speculation508

Basis Risk and Hedging508

18.3 Futures Market Strategies508

Regulations508

Taxation508

18.4 The Determination of Futures Prices511

The Spot-Futures Parity Theorem511

Spreads513

18.5 Financial Futures514

Stock Index Futures514

Creating Synthetic Stock Positions515

Index Arbitrage and the Triple-WitchingHour516

Foreign Exchange Futures518

Interest Rate Futures519

Summary521

PART SIXACTIVE INVESTMNT MANAGEMENT526

Performance Evaluation527

19.1 Risk-Adjusted Returns527

Comparison Groups527

Risk Adjustments529

Risk Adjustments with Changing PortfolioComposition532

19.2 Market Timing534

19.3 Performance Attribution Procedures535

Asset Allocation Decisions536

Sector and Security Selection Decisions537

Summing Up Component Contributions538

Summary539

International Diversification544

20.1 Intemational Investments545

The World Market Portfolio545

International Diversification545

Exchange Rate Risk550

Passive and Active InternationalInvesting554

Factor Models and InternationalInvesting555

Equilibrium in International CapitalMarkets557

Summary558

Appendix A Investments in Nontraditional AssetGroups562

Real Estate562

Precious Metals562

Other Nontraditional Assets564

Active Portfolio Management565

21.1 The Lure of Active Management565

21.2 Objectives of Active Portfolios567

21.3 Market Timing570

The Value of Imperfect Forecasting572

Valuing Market Timing as an Option572

21.4 Security Selection:The Treynor-BlackModel573

Overview of the Treynor-Black Model573

Portfolio Construction575

21.5 Multifactor Models and Active PortfolioManagement577

Summary578

APPENDIXESA Sources of Financial and EconomicInformation581

B References590

C Mathematical Tables594

D References to CFA Questions599

NAME INDEX602

SUBJECT INDEX604