TAILIEUCHUNG - Essentials of Investments: Chapter 7 - Capital Asset Pricing and Arbitrage Pricing Theory

Essentials of Investments: Chapter 7 - Capital Asset Pricing and Arbitrage Pricing Theory presents Capital Asset Pricing Model, Resulting Equilibrium Conditions, Capital Market Line, Slope and Market Risk Premium, Expected Return and Risk on Individual Securities. | 1 Bodie • Kane • Marcus Essentials of Investments Fourth Edition Chapter 7 Capital Asset Pricing and Arbitrage Pricing Theory Irwin / McGraw-Hill © 2001 The McGraw-Hill Companies, Inc. All rights reserved. 2 Bodie • Kane • Marcus Essentials of Investments Fourth Edition Capital Asset Pricing Model (CAPM) • Equilibrium model that underlies all modern financial theory • Derived using principles of diversification with simplified assumptions • Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development Irwin / McGraw-Hill © 2001 The McGraw-Hill Companies, Inc. All rights reserved. 3 Bodie • Kane • Marcus Essentials of Investments Fourth Edition Assumptions • Individual investors are price takers • Single-period investment horizon • Investments are limited to traded financial assets • No taxes, and transaction costs Irwin / McGraw-Hill © 2001 The McGraw-Hill Companies, Inc. All rights reserved. 4 Bodie • Kane • Marcus Essentials of Investments Fourth Edition Assumptions (cont.) • Information is costless and available to all investors • Investors are rational mean-variance optimizers • Homogeneous expectations Irwin / McGraw-Hill © 2001 The McGraw-Hill Companies, Inc. All rights reserved. 5 Bodie • Kane • Marcus Essentials of Investments Fourth Edition Resulting Equilibrium Conditions • All investors will hold the same portfolio for risky assets – market portfolio • Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value Irwin / McGraw-Hill © 2001 The McGraw-Hill Companies, Inc. All rights .

• Kinh tế học
• Essentials of Investments
• Capital Asset Pricing
• Arbitrage Pricing Theory
• Resulting Equilibrium Conditions
• Capital Market Line
• Market Risk Premium
• Ebook Essentials of investments
• Investment companies
• Debt securities
• Portfolio theory
• Securities markets
• Derivative markets
• Active investment management
• Equity valuation
• Financial statement analysis
• Financial Assets
• The Investment Process
• Major Classes of Financial Assets
• Key Trends
• Global Markets
• Industry analysis
• Options markets
• Option valuation
• Futures markets
• Asset classes
• Financial instruments
• Other investment companies
• Behavioral finance
• Technical analysis
• Mutual funds
• International investing
• Performance evaluation
• Financial Markets
• Money Market Instrument Yields
• Bank Discount Rate
• Bond Equivalent Yield
• Securities market
• Secondary Security Sales
• Investment Banking Arrangements
• Public Offerings
• Private Placements
• Net Asset Value
• Types of Investment Companies
• Rates of Return
• Returns Using Arithmetic
• Geometric Averaging
• Dollar Weighted Returns
• Dollar Weighted Average Using Text
• Efficient Diversification
• Correlation Coefficients
• Three Security Portfolio
• Minimum Variance Combination
• Extending Concepts to All Securities
• The Efficient Market Hypothesis
• Versions of the EMH
• Types of Stock Analysis
• Resource Allocation
• How Tests Are Structured
• Behavioral Critiqu
• Share Price
• Moving Averages
• Bond Prices
• Bond Characteristics
• Corporate Bonds
• Preferred Stock
• Innovation in the Bond Market
• Bond Pricing Relationships
• Rules for Duration
• Callable Bonds
• Mortgage Backed Securities
• Passive Managemen
• Fundamental Analysis
• The Global Econom
• The Domestic Macroeconom
• The Domestic Macroeconomy
• Models of Equity Valuation
• Valuation by Comparables
• Limitations of Book Value
• Financial Statements
• Profitability Measures
• Financial Leverage
• Option Terminology
• Exercise Price Relationships
• European Options
• Different Types of Options
• Factors influencing option values
• BlacScholes option valuation
• Using the BlacScholes formula
• Binomial Option Pricing
• Risk Management
• Basics of Futures Contracts
• Existing Contracts
• Trading Mechanics