(asset securitization) 是指将缺乏流动性的资产，转换为在金融市场上可以自由买卖的证券的行为，使其具有流动性。
一，广义的资产证券化是指某一资产或资产组合采取证券资产这一价值形态的资产运营方式，它包括以下四类：
1 ）实体资产证券化：即实体资产向证券资产的转换，是以实物资产和无形资产为基础发行证券并上市的过程。
2 ）信贷资产证券化：是指把欠流动性但有未来现金流的信贷资产（如银行的贷款、企业的应收帐款等）经过重组形成资产池，并以此为基础发行证券。
3 ）证券资产证券化：即证券资产的再证券化过程，就是将证券或证券组合作为基础资产，再以其产生的现金流或与现金流相关的变量为基础发行证券。
4 ）现金资产证券化：是指现金的持有者通过投资将现金转化成证券的过程。
二，狭义的资产证券化是指信贷资产证券化。按照被证券化资产种类的不同：
信贷资产证券化可分为住房抵押贷款支持的证券化（ Mortgage-Backed Securitization,MBS ）和资产支持的证券化（ Asset-Backed Securitization, ABS ）。
概括地讲，一次完整的证券化融资的基本流程是：发起人将证券化资产出售给一家特殊目的机构 (Special Purpose Vehicle, SPV) ，或者由 SPV 主动购买可证券化的资产，然后 SPV 将这些资产汇集成资产池（ Assets Pool ），再以该资产池所产生的现金流为支撑在金融市场上发行有价证券融资，最后用资产池产生的现金流来清偿所发行的有价证券。
举例简单通俗地了解一下资产证券化:
A:在未来能够产生现金流的资产
B:上述资产的原始所有者；信用等级太低，没有更好的融资途径
C:枢纽（受托机构）SPV
D:投资者
资产证券化——B把A转移给C，C以证券的方式销售给D。
B低成本地（不用付息）拿到了现金；D在购买以后可能会获得投资回报；C获得了能产生可见现金流的优质资产。
投资者D之所以可能获得收益，是因为A不是垃圾，而是被认定为在将来的日子里能够稳妥地变成钱的好东西。
SPV是个中枢，主要是负责持有A并实现A与破产等麻烦隔离开来，并为投资者的利益说话做事。
SPV进行资产组合，不同的A在信用评级或增级的基础上进行改良、组合、调整。目的是吸引投资者，为发行证券。
过去有很多资产成功进行了证券化，例如应收账款，汽车贷款等，现在出现了更多类型的资产，例如电影特许权使用费，电费应收款单，健康会所会员资格等。但核心是一样的：这些资产必须能产生可预见的现金流。
目前我国试点资产证券化的银行有两家，分别是国家开发银行和中国建设银行。
Sunday, May 16, 2010
Yield Measures, Spot Rates, and Forward Rates
3 sources of returns:
1. coupon interest payments
2. recovery of principal, along with any capital gain or loss
1. coupon interest payments
2. recovery of principal, along with any capital gain or loss
Introduction to the Valuation of Debt Securities
3 steps in the bond valuation process:
Step 1: Estimate the cash flow
Step 2: Determine the appropriate discount rate
Step 3: Calculate the PV of the estimated cash flow
3 situations where estimating future cash flows poses additional difficulties.
1. The principal repayment stream is not known with certainty.
2. The coupon payments are not known with certainty.
3. The bond is convertible or exchangeable into another security.
Price-yield curve 下凸曲线，横轴是市场收益利率，纵轴为市值。
溢价，折价，等价证券图。3种性质债券随成熟期的临近趋于面值。
A zero-coupon bond 一般都为半年期。计算注意：N*2, I/2, PMT/2, 其他不变。
Step 1: Estimate the cash flow
Step 2: Determine the appropriate discount rate
Step 3: Calculate the PV of the estimated cash flow
3 situations where estimating future cash flows poses additional difficulties.
1. The principal repayment stream is not known with certainty.
2. The coupon payments are not known with certainty.
3. The bond is convertible or exchangeable into another security.
Price-yield curve 下凸曲线，横轴是市场收益利率，纵轴为市值。
溢价，折价，等价证券图。3种性质债券随成熟期的临近趋于面值。
A zero-coupon bond 一般都为半年期。计算注意：N*2, I/2, PMT/2, 其他不变。
Saturday, May 15, 2010
Understanding Yield Spread
4 interest rate tools of the Fed use:
The discount rate
Open market operation
Bank reserve requirement
Persuading banks to tighten or loosen their credit policies
4 general shapes of yield curve
Flat
Normal
Inverted
Humped
Basic theories of the term structure of interest rates
Pure expectation theory
short-term rates are expected to rise in the future - upward sloping yield curve
short-term rates are expected to fall in the future - downward sloping yield curve
short-term rates are expected to up then fall in the future - humped yield curve
short-term rates are expected to remain constant - flat yield curve
Liquidity preference theory
besides the expectations about future short-term rates, investors require a risk premium for holding longer term bonds.
Market segmentation theory
investors and borrowers have preferences for different maturity ranges (short-term, mid-term, and long-term).
The appropriate discount rates for individual futre payments are called spot rates.
Absolute yield spread = higher yield of bond - lower hield of bond
Relative yield spread = absolute yield spread / benchmark yield bond
yield ratio = subject yield bond / benchmark yield bond = higer yield bond / lower yield bond
Credit spread (信用溢价) is the difference in yields between 2 issues that are similar in all respects except for credit rating.
在经济膨胀期，信用溢价较小，因为投资者倾向投资高风险债券获取高收益，因此差价就会缩小。反之亦然。
Call option状态下，溢价增加，因为投资者需要风险补偿，原因是承担回购的风险；收益率增加。但是在put option状态下，溢价减小，因为投资者有售出权利抵消部分风险，收益率较低。
流动性的风险存在于所有的收益曲线中，它能否改变曲线的形状完全取决与它在总风险中的权重和其他原因。
After-tax yield = taxable*(1 - marginal tax rate)
Taxable-equivalent yield = Tax-free yield / (1- marginal tax rate)
Lond Interbank Offered Rate (LIBOR) 是浮动利率债券定价和一年以下期限短期借贷的重要参考利率。LIBOR被认为是非政府私有高信用等级借款者的利率，因此看作是接待的成本或者短期投资的回报。Funded Investors融资投资者，简单地讲就是借钱投资，所以他们必须考察投资的回报率至少要大于LIBOR才有利可图。
The discount rate
Open market operation
Bank reserve requirement
Persuading banks to tighten or loosen their credit policies
4 general shapes of yield curve
Flat
Normal
Inverted
Humped
Basic theories of the term structure of interest rates
Pure expectation theory
short-term rates are expected to rise in the future - upward sloping yield curve
short-term rates are expected to fall in the future - downward sloping yield curve
short-term rates are expected to up then fall in the future - humped yield curve
short-term rates are expected to remain constant - flat yield curve
Liquidity preference theory
besides the expectations about future short-term rates, investors require a risk premium for holding longer term bonds.
Market segmentation theory
investors and borrowers have preferences for different maturity ranges (short-term, mid-term, and long-term).
The appropriate discount rates for individual futre payments are called spot rates.
Absolute yield spread = higher yield of bond - lower hield of bond
Relative yield spread = absolute yield spread / benchmark yield bond
yield ratio = subject yield bond / benchmark yield bond = higer yield bond / lower yield bond
Credit spread (信用溢价) is the difference in yields between 2 issues that are similar in all respects except for credit rating.
在经济膨胀期，信用溢价较小，因为投资者倾向投资高风险债券获取高收益，因此差价就会缩小。反之亦然。
Call option状态下，溢价增加，因为投资者需要风险补偿，原因是承担回购的风险；收益率增加。但是在put option状态下，溢价减小，因为投资者有售出权利抵消部分风险，收益率较低。
流动性的风险存在于所有的收益曲线中，它能否改变曲线的形状完全取决与它在总风险中的权重和其他原因。
After-tax yield = taxable*(1 - marginal tax rate)
Taxable-equivalent yield = Tax-free yield / (1- marginal tax rate)
Lond Interbank Offered Rate (LIBOR) 是浮动利率债券定价和一年以下期限短期借贷的重要参考利率。LIBOR被认为是非政府私有高信用等级借款者的利率，因此看作是接待的成本或者短期投资的回报。Funded Investors融资投资者，简单地讲就是借钱投资，所以他们必须考察投资的回报率至少要大于LIBOR才有利可图。
Thursday, May 13, 2010
Industry Analysis
4 types of structural changes are:
Demographics
Lifestyle
Technology
Politics and Regulation
Demographics
Lifestyle
Technology
Politics and Regulation
Wednesday, May 12, 2010
An Introduction to Security Valuation
Overview of Security Valuation Techiques
1. Valuation based on the present value of expected futrure cash flows.
2. Relative valuation techniques based on an expected multiple of a firm's expected performance, such as earnings per share or sales per share.
Top-down, 3-step approach
Economic Analysis -- Industry Analysis -- Stock analysis
Step 1: Forecast macroeconomic influence
Step 2: Determine industry effects
Step 3: Perform firm analysis
Forms of Investment returns
Cash flows from projects
interest income on bonds
dividend income on stocks
capital gains
increase in the prices of an asset
The General Dividend Discount Model (DDM): Preferred stock value = Dp / kp
Multiple-year holding period DDM: 不同年度的利息现值+末年本金的现值=证券价值
Infinite period DDM: PV0 = D1 / (ke - gc)
Assumptions of the infinite period DDM:
1. the stock pays dividends, and they grow at a constant rate.
2. the constant growth rate, g, is never expected to change.
3. k must be greater than g. If not, the math will not work.
推出公式 Pn = D(n+1) / (k - g)
Supernormal growth
由超级增长率求出n期利息dividend，然后折现n-1期的利息，用第n期利息根据DDM法则求出第n-1期本金，然后和折现的利息相+的出超级增长债券价值
P0 / E1 = (D1 / E1) / (k - g)
D/E = the expected dividend payout ratio
k = the required rate of return on the stock
g = the expected constant growth rate of dividends
There are several problems with using P/E analysis:
Earnings are historical cost accounting numbers and may be of differing quality.
Business cycles may affect P/E ratios.
k
RFR(nominal) = [1 + RFR (real)](1+IP) - 1
RFR(nominal) = RFR(real) +IP
k = RFR(nominal) + RP
k = RFR + b[E(R) - RFR]
Country Risk Premium:
Business Risk
Financial Risk
Liquidity Risk
Exchange Rate Risk
Country Risk
g=(Retention Rate)(ROE)
Retention rate = 1 - payout ratio
Net profit/ - ROE/ - g/ - (k - g)/ - price of stock/
1. Valuation based on the present value of expected futrure cash flows.
2. Relative valuation techniques based on an expected multiple of a firm's expected performance, such as earnings per share or sales per share.
Top-down, 3-step approach
Economic Analysis -- Industry Analysis -- Stock analysis
Step 1: Forecast macroeconomic influence
Step 2: Determine industry effects
Step 3: Perform firm analysis
Forms of Investment returns
Cash flows from projects
interest income on bonds
dividend income on stocks
capital gains
increase in the prices of an asset
The General Dividend Discount Model (DDM): Preferred stock value = Dp / kp
Multiple-year holding period DDM: 不同年度的利息现值+末年本金的现值=证券价值
Infinite period DDM: PV0 = D1 / (ke - gc)
Assumptions of the infinite period DDM:
1. the stock pays dividends, and they grow at a constant rate.
2. the constant growth rate, g, is never expected to change.
3. k must be greater than g. If not, the math will not work.
推出公式 Pn = D(n+1) / (k - g)
Supernormal growth
由超级增长率求出n期利息dividend，然后折现n-1期的利息，用第n期利息根据DDM法则求出第n-1期本金，然后和折现的利息相+的出超级增长债券价值
P0 / E1 = (D1 / E1) / (k - g)
D/E = the expected dividend payout ratio
k = the required rate of return on the stock
g = the expected constant growth rate of dividends
There are several problems with using P/E analysis:
Earnings are historical cost accounting numbers and may be of differing quality.
Business cycles may affect P/E ratios.
k
RFR(nominal) = [1 + RFR (real)](1+IP) - 1
RFR(nominal) = RFR(real) +IP
k = RFR(nominal) + RP
k = RFR + b[E(R) - RFR]
Country Risk Premium:
Business Risk
Financial Risk
Liquidity Risk
Exchange Rate Risk
Country Risk
g=(Retention Rate)(ROE)
Retention rate = 1 - payout ratio
Net profit/ - ROE/ - g/ - (k - g)/ - price of stock/
Efficient Capital Markets
Market efficiency is based on the following set of assumptions:
1. A large number of profit maximizing participants are analyzing and valuing securities independent of each other.
2. New information comes to the market in a random fashion, and new announcements are independent of each other in regard to timing.
3. Investors adjust their estimates of security prices rapidly to reflect their interpretation of the new information received.
4. Expected returns implicitly include risk in the price of the security.
3 forms of Efficient Market Hypothesis (EMH)
Weak-form efficient markets
Semistrong efficient markets
Strong-form efficient markets
Weaks-Form Tests of the EMH
Statisitical tests for independence
Autocorrelation tests
Runs tests
Trading rule tests
考察三天期张，三天期降的趋势
Semi-storng Tests of the EMH
Return prediction studies
Time-series tests
Event studies
Cross-sectional tests 截面检验
Strong Form Tests of EMH
Insider trading
Exchange specialists
Security analysis
Professional money managers
Documented market anomalies:
1. Earings surprises to predict returns
2. Calendar studies 年底股价高，12月底到1月初股价低
3. Price-earnings ratio (P/E)
4. Small firm effect
5. The neglected firms effect
6. Book value/market value --semi-strong EMH
Overall Conclusion About the EMH
the results support the weak-form of the EMH
Event studies support semistorng EMH but time-series and cross-sectional tests do not support
Insider/specialist tests support the strong form of the EMH
IMPLICATIONS OF EFFICIENT MARKETS
Protfolio managers should help:
1. quantify their clients' risk tolerances and return needs within the bounds of the client's liquidity, income, time horizon, and legal and regulatory constraints.
2. Verbalize their clients' portfolio policies and strategies needed to meet the client's needs, then construct an optimal portfolio by allocating funds between financial and real assets. This is referred to as asset allocation.
3. Diversify their clients' portfolio (on a global basis) to eliminate unsystematic costs.
4. Monitor and evaluate changing capital market expectatinons as they affect the risk/return expectations of the assets in the client's portfolio.
5. Monitor their clients' needs and circumstances.
6. Rebalance their clients' portfolios when changes are necessary.
Peformance Measurement
Money Managers
分离好的和坏的股票
The rationale for investing in index funds
指数基金的功能是分享总体上涨
Behavior Finance
Overconfidence Bias
Confirmation Bias
Escalation Bias
1. A large number of profit maximizing participants are analyzing and valuing securities independent of each other.
2. New information comes to the market in a random fashion, and new announcements are independent of each other in regard to timing.
3. Investors adjust their estimates of security prices rapidly to reflect their interpretation of the new information received.
4. Expected returns implicitly include risk in the price of the security.
3 forms of Efficient Market Hypothesis (EMH)
Weak-form efficient markets
Semistrong efficient markets
Strong-form efficient markets
Weaks-Form Tests of the EMH
Statisitical tests for independence
Autocorrelation tests
Runs tests
Trading rule tests
考察三天期张，三天期降的趋势
Semi-storng Tests of the EMH
Return prediction studies
Time-series tests
Event studies
Cross-sectional tests 截面检验
Strong Form Tests of EMH
Insider trading
Exchange specialists
Security analysis
Professional money managers
Documented market anomalies:
1. Earings surprises to predict returns
2. Calendar studies 年底股价高，12月底到1月初股价低
3. Price-earnings ratio (P/E)
4. Small firm effect
5. The neglected firms effect
6. Book value/market value --semi-strong EMH
Overall Conclusion About the EMH
the results support the weak-form of the EMH
Event studies support semistorng EMH but time-series and cross-sectional tests do not support
Insider/specialist tests support the strong form of the EMH
IMPLICATIONS OF EFFICIENT MARKETS
Protfolio managers should help:
1. quantify their clients' risk tolerances and return needs within the bounds of the client's liquidity, income, time horizon, and legal and regulatory constraints.
2. Verbalize their clients' portfolio policies and strategies needed to meet the client's needs, then construct an optimal portfolio by allocating funds between financial and real assets. This is referred to as asset allocation.
3. Diversify their clients' portfolio (on a global basis) to eliminate unsystematic costs.
4. Monitor and evaluate changing capital market expectatinons as they affect the risk/return expectations of the assets in the client's portfolio.
5. Monitor their clients' needs and circumstances.
6. Rebalance their clients' portfolios when changes are necessary.
Peformance Measurement
Money Managers
分离好的和坏的股票
The rationale for investing in index funds
指数基金的功能是分享总体上涨
Behavior Finance
Overconfidence Bias
Confirmation Bias
Escalation Bias
Sunday, May 9, 2010
Organization and Functioning of Securities Markets
A well-functioning securities market will offer the following characteristics:
Timely and accurate information
Liquidity
Internal efficiency
Informational efficiency
市场分类：
一级市场：
组织 organization
风险承担 risk bearing
分配 distribution
二级市场：underwriter 承销
二级市场的繁荣，即流通顺畅，价格反应迅速，交易量增加，可以变相刺激一级市场的繁荣。
Call market & continuous market
In call market, the stock is traded at specific times; in continuous markets, trades occur at any time the market is open.
Primary listing markets are the exchanges that formally list a corporation's stock. (国家挂牌股票交易所)
New York Security Exchange (NYSE) lists more than 2700 firms and has an average daily volume of 1.5 billion shares.
The American Stock Exchange (AMEX) primarily lists stocks not traded on the NYSE, along with foreign shares, warrants, options, and exchange-traded funds (ETFs).
The Nasdaq National Market System (NMS) has traditionally been desrcribed as an over-the-counter (OTC) market.
Reginal exchange (地区股票交易所)
当地小公司股票在此交易。对挂牌上市的公司规模要求要低很多。如Chicago and Pacific stock exchanges.
Third market (柜台市场) = over-the counter market (又称柜台市场) 只要任何具有一定资格的交易商愿意充当某种证券的做市场，这种证券就可以在柜台市场上交易。
已在交易所公开挂牌上市的证券也可以在柜台市场进行交易，非交易所会员的投资公司可以作为证券的交易上而不通过交易所。
Alternative trading systems refer to computerized systems that do not formally list stocks. These include electronic communications networks that serve retail borkers and small institutional traders, and electronic crossing systems that match large buy and sell orders. these systems do not list stocks, but stocks that are listed on exchanges trade on the alternative systems. This is referred to as "fourth market" trading.
Membership on the U.S. Exchanges falls into 4 different categories.
Specialists 但当做市商
Commission brokers 佣金经纪人
Floor brokers 大堂经纪人：为其他经纪人交易，并收取费用。
Registered traders trade for their own accounts 自营商，为自己账户交易。
订单指令种类：
market orders 普通的市场股票交易买卖
limit orders 限量订单指令
short sale orders 保证金指令
stop loss orders 止损指令：如买时$10为了防止过度损失，规定$8平仓
做市商：（通俗点讲就一套利的仓库）
美国证券交易所的做市商成为专家(specialists)。当某种证券交易清淡，交易者少，可能一个买者要等待很久才能碰到一个卖者交易。做市商用来这种情况下增加市场的流动性，他同时报出买入价(bid price)和卖出价(ask price)以供投资者进行交易，用自己的账户从卖者处买入证券，将证券卖给买入者，从而提供流动性。做市商同时负责保存并处理该证券的限价指令。做市商的收入来源于买入价和卖出价的差额以及限价指令交易的佣金。
卖空是指股票投资者当某种股票价格看跌时，便从经纪人手中借入该股票抛出，在发生实际交割前，将卖出股票如数补进，交割时，只结清差价的投机行为。若日后该股票价格果然下落时，再从更低的价格买进股票归还经纪人，从而赚取中间差价。<转自百度>
Marginal transaction 保证金交易：用借的钱购买证券，经纪公司节前给客户，用所购买的证券做抵押。
trigger price = P0[(1- initial margin) / (1-maintenance margin)]
Timely and accurate information
Liquidity
Internal efficiency
Informational efficiency
市场分类：
一级市场：
组织 organization
风险承担 risk bearing
分配 distribution
二级市场：underwriter 承销
二级市场的繁荣，即流通顺畅，价格反应迅速，交易量增加，可以变相刺激一级市场的繁荣。
Call market & continuous market
In call market, the stock is traded at specific times; in continuous markets, trades occur at any time the market is open.
Primary listing markets are the exchanges that formally list a corporation's stock. (国家挂牌股票交易所)
New York Security Exchange (NYSE) lists more than 2700 firms and has an average daily volume of 1.5 billion shares.
The American Stock Exchange (AMEX) primarily lists stocks not traded on the NYSE, along with foreign shares, warrants, options, and exchange-traded funds (ETFs).
The Nasdaq National Market System (NMS) has traditionally been desrcribed as an over-the-counter (OTC) market.
Reginal exchange (地区股票交易所)
当地小公司股票在此交易。对挂牌上市的公司规模要求要低很多。如Chicago and Pacific stock exchanges.
Third market (柜台市场) = over-the counter market (又称柜台市场) 只要任何具有一定资格的交易商愿意充当某种证券的做市场，这种证券就可以在柜台市场上交易。
已在交易所公开挂牌上市的证券也可以在柜台市场进行交易，非交易所会员的投资公司可以作为证券的交易上而不通过交易所。
Alternative trading systems refer to computerized systems that do not formally list stocks. These include electronic communications networks that serve retail borkers and small institutional traders, and electronic crossing systems that match large buy and sell orders. these systems do not list stocks, but stocks that are listed on exchanges trade on the alternative systems. This is referred to as "fourth market" trading.
Membership on the U.S. Exchanges falls into 4 different categories.
Specialists 但当做市商
Commission brokers 佣金经纪人
Floor brokers 大堂经纪人：为其他经纪人交易，并收取费用。
Registered traders trade for their own accounts 自营商，为自己账户交易。
订单指令种类：
market orders 普通的市场股票交易买卖
limit orders 限量订单指令
short sale orders 保证金指令
stop loss orders 止损指令：如买时$10为了防止过度损失，规定$8平仓
做市商：（通俗点讲就一套利的仓库）
美国证券交易所的做市商成为专家(specialists)。当某种证券交易清淡，交易者少，可能一个买者要等待很久才能碰到一个卖者交易。做市商用来这种情况下增加市场的流动性，他同时报出买入价(bid price)和卖出价(ask price)以供投资者进行交易，用自己的账户从卖者处买入证券，将证券卖给买入者，从而提供流动性。做市商同时负责保存并处理该证券的限价指令。做市商的收入来源于买入价和卖出价的差额以及限价指令交易的佣金。
卖空是指股票投资者当某种股票价格看跌时，便从经纪人手中借入该股票抛出，在发生实际交割前，将卖出股票如数补进，交割时，只结清差价的投机行为。若日后该股票价格果然下落时，再从更低的价格买进股票归还经纪人，从而赚取中间差价。<转自百度>
Marginal transaction 保证金交易：用借的钱购买证券，经纪公司节前给客户，用所购买的证券做抵押。
trigger price = P0[(1- initial margin) / (1-maintenance margin)]
Saturday, May 8, 2010
Security -Market Index
Security market indexes are used in the following ares of investment management:
Measuring porfolio performance over various time periods.
Helping in the construction of index portfolio.
Evaluating the financial variables that influence overall security price movements.
Aiding market technicians in their investment decisions.
Helping in the calculation of beta and portfolio theory studies.
Price-weighted index is the arithmetic average of current security prices.
Price-weighted index = sum of stock prices/ # of stocks in index adjusted for splits
Price-Weighted indexes: Dow Jones Industrial Average(DJIV) and the Nikkei Dow Jones Stock Average.
Cristicism of the DJIA that contains 30 stocks are:
Limited number of stocks in the index. 样本小
Downward bias in the computation of the index.
Large size of the companies included in the index.
The Nikkei Dow is the arithmetic average of the prices of 225 stocks that trade in the first section of the Tokyo Stock Exchange.
Market value-weighted index is calculated by summing the total value of all the stocks in the index - Standard & Poor's 500 (S&P 500) 标准普尔
Unweighted index places an equal weighted onthe returns of all index stocks. 计算方法有两种：
算术平均法和几何平均法，前者总是大于后者。
三种方法的偏见：
对于价格权重方法的偏见是指数被低估，原因是大公司运用股票分割频繁造成股价下降，但是此方法却无法体现。
对于市值权重发的偏见是指数的波动受大公司影响严重，因为大公司的市值比重比较大。因此大公司们的表现业绩即涨跌主导这指数的动向。
无权重发的偏见是几何平均数要比算术平均数小。
Domestic and Global Equity Indexes:
Domestic Equity Indexes: DJIA in the U.S. & Nikkei DJIA in Tokyo Japan.
Global Equity Indexes:
Financial Times/S&P Actuaries World Indexes are based on about 2500 stocks from 30 countries.
Morgan Stanley Capital International (MSCI) Indexes are made up of three international, 19 national, and 38 international industry indexes.
Dow Jones World Stock Index represents 2200 companies from around the globe, organized into 120 industry groups.
Bond market indexes:
the creation of bond market indexes is more difficult than stock market indexes for several reasons:
The bond universe is much broader than the universe of stocks.
The bond universe is changing constantly due to the wide variety of new issues, bond maturities, calls, and sinking funds.
The price volatility of a bond is constantly changing Volatility is measured by the bond's duration, which changes with the bond's maturity and the market yield.
There are significant problems in pricing the individual bond issues in an index due to the lack of continuous trade data like that found for most exchange-listed stocks.
Bond indexes fall into 3 basic categories:
1. Investment-grade bond indexes
2. High-yield bond indexes
3. Global bond indexes
Composite stock-bond indexes are developed to measure the performance of all securities in a given country.
Style indexes
Comparaison of indexes over time. the risk/return performances of indexes are different.
国际市场内的国际投资的低相关性
我们知道一个投行的不同部门的金融产品都存在有较低的相关性，国际市场内的金融投资存在着更低的相关性。
Measuring porfolio performance over various time periods.
Helping in the construction of index portfolio.
Evaluating the financial variables that influence overall security price movements.
Aiding market technicians in their investment decisions.
Helping in the calculation of beta and portfolio theory studies.
Price-weighted index is the arithmetic average of current security prices.
Price-weighted index = sum of stock prices/ # of stocks in index adjusted for splits
Price-Weighted indexes: Dow Jones Industrial Average(DJIV) and the Nikkei Dow Jones Stock Average.
Cristicism of the DJIA that contains 30 stocks are:
Limited number of stocks in the index. 样本小
Downward bias in the computation of the index.
Large size of the companies included in the index.
The Nikkei Dow is the arithmetic average of the prices of 225 stocks that trade in the first section of the Tokyo Stock Exchange.
Market value-weighted index is calculated by summing the total value of all the stocks in the index - Standard & Poor's 500 (S&P 500) 标准普尔
Unweighted index places an equal weighted onthe returns of all index stocks. 计算方法有两种：
算术平均法和几何平均法，前者总是大于后者。
三种方法的偏见：
对于价格权重方法的偏见是指数被低估，原因是大公司运用股票分割频繁造成股价下降，但是此方法却无法体现。
对于市值权重发的偏见是指数的波动受大公司影响严重，因为大公司的市值比重比较大。因此大公司们的表现业绩即涨跌主导这指数的动向。
无权重发的偏见是几何平均数要比算术平均数小。
Domestic and Global Equity Indexes:
Domestic Equity Indexes: DJIA in the U.S. & Nikkei DJIA in Tokyo Japan.
Global Equity Indexes:
Financial Times/S&P Actuaries World Indexes are based on about 2500 stocks from 30 countries.
Morgan Stanley Capital International (MSCI) Indexes are made up of three international, 19 national, and 38 international industry indexes.
Dow Jones World Stock Index represents 2200 companies from around the globe, organized into 120 industry groups.
Bond market indexes:
the creation of bond market indexes is more difficult than stock market indexes for several reasons:
The bond universe is much broader than the universe of stocks.
The bond universe is changing constantly due to the wide variety of new issues, bond maturities, calls, and sinking funds.
The price volatility of a bond is constantly changing Volatility is measured by the bond's duration, which changes with the bond's maturity and the market yield.
There are significant problems in pricing the individual bond issues in an index due to the lack of continuous trade data like that found for most exchange-listed stocks.
Bond indexes fall into 3 basic categories:
1. Investment-grade bond indexes
2. High-yield bond indexes
3. Global bond indexes
Composite stock-bond indexes are developed to measure the performance of all securities in a given country.
Style indexes
Comparaison of indexes over time. the risk/return performances of indexes are different.
国际市场内的国际投资的低相关性
我们知道一个投行的不同部门的金融产品都存在有较低的相关性，国际市场内的金融投资存在着更低的相关性。
Sunday, May 2, 2010
Corporate Governance of Listed Companies: A Manual for Investors
Corporate Governance is the set of internal controls, processes, and procedures by which firms are managed.
Good corporate governance practices seek to ensure that:
The borad of directors protects shareholder interests.
The firm acts lawfully and ethically in dealings with shareholders.
The rights of shareholders are protected and shareholders have a vocie in governance.
The board acts independently from management.
Proper procedures and controls cover management's day-to-day operations.
The firm's financial, operating, and governance activities are reported to shareholders in a fair, accurate, and timely manner.
The duty of the board is to act in the shareholders' long-term interests.
To properly protect their long-term interests as shareholders, investors should consider whether:
A majority of the board of directors is comprised of independent members (not management).
The board meets regularly outside the presence of management.
The chairman of the board is also the CEO or a former CEO of the firm. This may impair the ability and willingness of independent board members to express opinions contrary to those of managemet.
Independent board members have a primary or leading board member in cases where the chairman is not independent.
Board members are closely aligned with a firm supplier, customer, share-option plan or pension adviser. Can board members recuse hemselves on any protentila ares of conflict?
While reviewing firm policy regarding election of the board, investors should consider:
Whether there are annual elections or staggered multiple-year terms (a classified board). A classified board may serve another purpose - to act as takeover defense.
Whether the board filled a vacant position for a remaining term without shareholder approval.
Whether shareholders can remove a board member.
Whether the board is the proper size for the specific facts and circumstances of the firm.
A board can be considered independent if its decisions are not controlled or biased by the management of the firm.
To be indenpendent, a board member must not have any material relationship with:
The firm and its subsidiaries, including former employees, executives, and their families.
Individuals or groups, such as a shareholders with a controling interest, which can influence the firm's management.
Executive management and their families.
The frm's advisers, auditors, and their families.
Any entity which has a cross directorship with the firm.
When evaluating the qualifications of board members, consider whether board members:
Can make informed decisions about the firm's future.
Can act with care and competence as a result of their experience with:
Technologies, products, services which the firm offers.
Financial operations and accouting and auditing opics.
Legal issues.
Strategies and planning.
Business risks the firm faces.
Have made any public statements indicating their ethical stances.
Have had any legal or regulatory problems as a result of working for or serving on the firm's board or the board of another firm.
Have other board experience.
Regularly attend meetings.
Are commiteed to shareholders. Do they have significant stock positions? have they eliminated any confilicts of interest?
Have neccessary experience and qualification?
Have served on board for more than 10 years. While this adds experience, these board members may be too closely allied with management.
When analyzing ethics codes, these are items to be considered;
Make sure the board of directors receives relevant corporate information in a timely manner.
Ethics codes should be in compliance with the corporate governance laws of the location country and with the governance requirements set forth by the local stock exchange. Firms shoudl disclose whether they adhered to their own ethical code, including any reasons for failure.
The ethical code should prohibit advantages to the firm's insiders that are not offered to shareowners.
A person should be designated to be reponsible for corporate governance.
IF selected management personnel receive waivers from the ethics code, reasons should be given.
If any provisions of the ethics code wrre waived recently, the firm should explain why.
The firm's ethics code should be audited and improved periodically.
Good corporate governance practices seek to ensure that:
The borad of directors protects shareholder interests.
The firm acts lawfully and ethically in dealings with shareholders.
The rights of shareholders are protected and shareholders have a vocie in governance.
The board acts independently from management.
Proper procedures and controls cover management's day-to-day operations.
The firm's financial, operating, and governance activities are reported to shareholders in a fair, accurate, and timely manner.
The duty of the board is to act in the shareholders' long-term interests.
To properly protect their long-term interests as shareholders, investors should consider whether:
A majority of the board of directors is comprised of independent members (not management).
The board meets regularly outside the presence of management.
The chairman of the board is also the CEO or a former CEO of the firm. This may impair the ability and willingness of independent board members to express opinions contrary to those of managemet.
Independent board members have a primary or leading board member in cases where the chairman is not independent.
Board members are closely aligned with a firm supplier, customer, share-option plan or pension adviser. Can board members recuse hemselves on any protentila ares of conflict?
While reviewing firm policy regarding election of the board, investors should consider:
Whether there are annual elections or staggered multiple-year terms (a classified board). A classified board may serve another purpose - to act as takeover defense.
Whether the board filled a vacant position for a remaining term without shareholder approval.
Whether shareholders can remove a board member.
Whether the board is the proper size for the specific facts and circumstances of the firm.
A board can be considered independent if its decisions are not controlled or biased by the management of the firm.
To be indenpendent, a board member must not have any material relationship with:
The firm and its subsidiaries, including former employees, executives, and their families.
Individuals or groups, such as a shareholders with a controling interest, which can influence the firm's management.
Executive management and their families.
The frm's advisers, auditors, and their families.
Any entity which has a cross directorship with the firm.
When evaluating the qualifications of board members, consider whether board members:
Can make informed decisions about the firm's future.
Can act with care and competence as a result of their experience with:
Technologies, products, services which the firm offers.
Financial operations and accouting and auditing opics.
Legal issues.
Strategies and planning.
Business risks the firm faces.
Have made any public statements indicating their ethical stances.
Have had any legal or regulatory problems as a result of working for or serving on the firm's board or the board of another firm.
Have other board experience.
Regularly attend meetings.
Are commiteed to shareholders. Do they have significant stock positions? have they eliminated any confilicts of interest?
Have neccessary experience and qualification?
Have served on board for more than 10 years. While this adds experience, these board members may be too closely allied with management.
When analyzing ethics codes, these are items to be considered;
Make sure the board of directors receives relevant corporate information in a timely manner.
Ethics codes should be in compliance with the corporate governance laws of the location country and with the governance requirements set forth by the local stock exchange. Firms shoudl disclose whether they adhered to their own ethical code, including any reasons for failure.
The ethical code should prohibit advantages to the firm's insiders that are not offered to shareowners.
A person should be designated to be reponsible for corporate governance.
IF selected management personnel receive waivers from the ethics code, reasons should be given.
If any provisions of the ethics code wrre waived recently, the firm should explain why.
The firm's ethics code should be audited and improved periodically.
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