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氓遍锺
5 years ago
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11 1 Martin Frankel Martin Frankel Frankel Frankel Frankel

13 1 Ponzi Game

15 1 MMM MMM , MMM 1, MMM 40 MMM 1,000 4,500 1/

16 1 MMM MMM MMM 7 28 MMM MMM

19 %

21 1 T c 1,c 2,c 3,,c T r P = c 1+ 1 r + c2 (1 + r) 2 + c3 (1 + r) ct (1 + r) T

22 2.1 P c = y + c2 (1 + y) 2 + c3 (1 + y) +... ct (1 + y) P P P y YTM yield to maturity 3 + T

23 r = 1+ R 1+ i r = R i 1+ i r R i R i r R=r+E(i)

27 2,,,,,,, ,,,,,,,

28 2, : , , , , 29,,,,, 200,

29 2,,,,,,,,,,,,,,,

30 2 1882,,, ;,,,,

33 3.1 IPO SEO IPO Initial Public Offering Seasoned Equity Offering

34 4 IPO Ibbotson Ritter and Sindelar 1994 IPO ,000 IPO IPO IPO , CRSP Value-Weighted Market Portfolio

35 4 IPO IPO IPO IPO market maker IPO IPO flipping flipping

39 6 Andrew Lo S&P ,296,183,

41 7 Benjamin Graham

42 %

43 3 Prudential Lehman Brothers Bear Stearns CSFB Solomon Smith Barney Merrill Lynch Goldman Sachs Morgan Stanley UBS Warburg J. P. Morgan

44 3 Robert J. Shiller

46 4 Allen & Gale (1992) information-based manipulation action-based manipulation trade-based manipulation rumors

48 4 Aggarwal&Wu %, % 39%

49 8 Daniel Drew Daniel Drew Drew Drew Oshkosh

50 8 Daniel Drew Oshkosh Drew Oshkosh Oshkosh 3 Drew Drew Drew Drew Oshkosh

51 9 Joseph Kennedy Yellow Cab Corporation Joseph Kennedy Joseph Kennedy Joseph Kennedy Joseph Kennedy Joseph Kennedy

52 Mizuho Financial Group J-com 1 J-com / 61 J-com 40 1 botched trade 10 4 J-com

53 J-com J-com % /

54 UBS Jcom UBS Morgan-Stanley 4522 Nikko Cordial 3455 Lehman Brothers 3150 CSFB 2889 Nomura

64 6 Charles Merrill 1915 Charles Merrill Lynch Merrill Lynch Merrill 1928 Merrill

65 6 Charles Merrill 1929 Merrill Merrill Merrill Merrill

66 6 Charles Merrill

69 6 7 Charles Merrill

70 3.2.2 A

73 3.3.3 P/E P/B Price/EPS / 50 5 l

74 3.2.3 P/E P/B Price/Book Value /

76 3.2.3 P/E P/B / EPS / EPS

81 % 10% 13.8% % -11.7% 32% % 30.9% -19.9% % 11% 8% % -8.4% 24.6% % 3.9% 8.1% % 14.6% 1.8% % 18.9% 2.8% % -14.8% 19.5% % -26.4% 31.9% % 37.2% -15.3% % 23.6% 35.7% % -7.4% 39.3%

82 % 6.4% 17.6% % 18.2% 17.5% % 32.3% -13% % -5% 36.4% % 21.4% 18.6% % 22.4% 9.9% % 6.1% 7.5% % 31.6% 16.6% % 18.6% 7.5% % 5.1% 14.4% % 16.6% 3.5% % 31.7% 12.7%

83 % -3.1% 19.5% % 30.5% 9.1% % 7.6% 12.7% % 10.1% 4.2% % 1.3% 12.6% % 37.6% 5.5% % 23% 8.8% % 33.4% 0.7% % 28.6% 19.7% % 21% -20.5% % -9% 15.6% % -11.9% 5.7% % -22.1% 32.1%

84 8 Slow Money vs Quick Money;

87 3.3 ETF

89 % % %

90 % % %

91 9 6,000 5,000 4,000 3,000 2,000 1,

92 9 vs Israelsen

93 9 vs % % % 13%

94 9 vs 1997~ % 119% -91% -18% % 3%

95 9 vs 1995~ % 58% -80% -17% % 0.35%

96 9 vs 1990~ % 38% -43% -9% % 0.4%

98 (CBOT)

100 (CBOT)

101 11 5 / ( )/ 10 / +3% :00 11:30 1:30 3:00 15 ( ) ( ) GB/T % 5% ( )

102 12 cu cu cu E+05 2E+05 cu E+05 1E+05 cu cu cu

103 closing out /

104 / / /

105 4.2 Commodity Futures Financial Futures

106 13 CBOT CME NYMEX LME LIFFE SGX NYBOT /

107 / /

108 / / %

109 4.3 1/

110 / % / /

111

112

113

114

ETF ETF ETF ETF Index Shares Index Tracking Stock Index Participation Units ETF ETF Index Share ETF ETF ETF ETF 1 PD ETF ETF ETF PD ETF ( ) 2

ETF Exchange Traded Fund SPDR QQQ 2002 1,480 ETF ETF ETF ETF ETF 50 ETF ETF ETF ETF ETF ETF ETF ETF ETF ETF 1 ETF ETF ETF ETF Index Shares Index Tracking Stock Index Participation Units ETF ETF Index Share