(CSIA 1 2 2.1 2.2 2.2.1 2.2.2 25%, 2.2.3 25%, 2.2.4 25%, 1. / 2 ( 2. / 1 ( 3. (ROE / (ROE( / ( / ( / ( 4. (P/E / /( ROE 5. (P/B / 6. (ROE (P/E / /( ROE 1. VS ( ( -
2. 1 2 XXX 100 ( XXX XXX XXX XXX : 100 XXX 100 100(A 100(A 100 100(B 0(A+B 1/n / 2 n n= n(n+1 2 n= 1-( / 1/n ( - ( - ( - ( - 1. ( ( 2. ( ( 3. ( : : : : : : : : : : : : : :
1. 2. ( - 3. 4. 1. 2. 1. 2. 3. 1. (1 (2 (3 (4 (5 (6 (7 2.
(1 (2 (3 (4 (5 (6 (7 (8 3. : (1 (2 10% (3 (90.1Q.17 (A (B (C (D Sol: C
1.. : (1 (by a nation:,.. (2 (during a period:,, (flow 1. (3 (produced: GNP,, GNP. (4 (final goods and services:. (5 (market value: GNP,, GNP, GNP. 2. GNP GDP (1 :GNE = C + I + G + X M (2 : GNI = w + r + i + π + D + IBT (3 : GNP = Total Additional Value 3. GNP GDP (Net National Product;NNP NNP = GNP- (Depreciation = C+(I-D+G+X-M ( I-D=Net Investment 1 (stock, 500,500 (flow, 3, : :
(National Income;NI NI=NNP-IBT=GNP-D-IBT (Personal Income;PI PI=NI+ (Disposal Personal Income;DPI DPI=PI-Direct Tax=Private Saving+Private Consumption 94Q1 no.8,9,10 no.1 93Q4 no.25 95Q2 no.1,2,3,4,5 (Money and Bank 1. 2. M1A k +1 m1 A = = H k + r + rs + rt + r d s t e 3. open market operation ;OMO (rediscount rate 94Q1 no.12,15,16,17,18,19 4 93Q4 no.7,8,20,23 no.1,4 93Q3 no.14,15,17,18 no.1,3 95Q3 no.6,8 1 1. (Simple Keynesian Model Y C = C + I + G = C 0 + by I = I 0 + fy G = G 0 X = X 0 M = M + my 0 d + X M Y d T = R = = Y T R 0 0 + T ty + R
Y = C0 + b( Y T0 ty + R0 + I0 + fy + G0 + X 0 M 0 my 1 Y = 1 b(1 t f 1 m = 1 b(1 t + m f + [ C m 0 bt0 + br0 + I0 + G0 + X0 M0 ] 2. IS-LM IS Y = C( Y T( Y + I( Y, r + G + X M( Y dr 1 CY(1 TY + MY IY =, dy I r dr dy = 1 C (1 T + M I I Y Y Y Y r LM : M P = L( Y, r = : ky + lr dr dy = L L r y = k l : dy dg IS= LM = [1 C Y (1 T Y 1 I Y + M r ] + I r L L r y, : dy S M d( P IS= LM = [1 C Y (1 T Y I L r i I Y + M Y ] + I r L L r y
4. IS LM C Y T Y I r L y L r 5. 94Q1 no.11,13,14 93Q4 no.1,2,3,4,5,6,10,22,24 93Q3 no.1,4,12,19 no.2 95Q2 no.2 (Mundell-Flemming Model 1. IS-LM-BP 2. Flemming (1962 (1,,, (2, 3. Mundell (1963 (1, (2, 93Q4 no.14,16,17,18,19 93Q3 no.5,6,8,10,20 no.1,3 8
V.S 1. ( ( 2. a. b. (Var (SD VarX i =(X i - U x 2 /N SD= x =VarX i 1/2 c. ( x ( x CAPM APT CAPM APT 2 2 d. i = im / m = i * m * im / m = i/ m * im e. (Coefficient of VarianceCV CV= x /U x 1. =E(R P =W i *E(R i 2. = P = W i * i 3. = σ ij (Covariance=σ i *σ j *ρ ij
ρ ij ( -1 +1( 4. a. =1 2 P =(W 1 σ 1 + W 2 σ 2 2 P = W 1 σ 1 + W 2 σ 2 ( b. =-1 2 P =(W 1 σ 1 - W 2 σ 2 2 P =W 1 σ 1 - W 2 σ 2 c.-1 1 2 P =W 2 2 1 σ 1 + W 2 2 2 σ 2 +2*W 1 *W 2 *σ 1 *σ 2 *ρ 12 d. (Coefficient of DeterminationR 2 R 2 1R 2 0 R 2 5. (CMLE(R i = Rf +(E(R m - Rf/ m * i Sharpe Ratio=(R p -R f / p 6. (Capital Asset Pricing Model CAPM (SML E(R i = Rf + (E(R m - Rf* i Rf y (E(R m - Rf SML SML SML Treynor Index=(R p -R f / p 7. a. (Jensen s =Rr-E(R=Rr-Rf+(Rm-Rf* b. (Information RatioInformation Ratio=(R p -R a / p-a p-a=
(APTArbitrage Pricing Theorem 1.R x =E(R x + x1 *F 1 + x2 *F 2 + x3 *F 3 + + xn *F n + x 2.CAPM APT CAPM APT ( ( APT CAPM APT CAPM Note: APT CAPM 1. (Gorden Model P0 =D1/(r-g= (D0(1+g/(r-g (r-g D0 r ( CAPM g (g=0 g<0 g g = ROE*b = ROE*(1-d b= d= 2. (PE Ratio P = EPS* 3. = + (PVGOPresent Value of Growth Opportunity = EPS1/r + PVGO
1. (V V= I/(1+r t +P/(1+r n t=1~n n= I= ( P= (Par Value r= ( YTMyield to maturity 2. a. b. c. 3. Duration a.macaulay Duration( D= (t*cf t /(1+r t /V=-(V/V/(r/(1+r b.modified Duration(MD MD=-(V/V/rMD=D/(1+r c.effective Duration(ED=ED=(V - -V + /(2*V 0 *r (Callable BondABS d.dollar Duration(DD =DD=V*MD r =-DD*r r=1bp(1 basis point=0.01% Dollar Duration PVBP(Price Value of a Basis Point DV01 e. DurationPortfolio Duration=Wi*Di 4. (Convexity Convexity=(V - +V + -2*V 0 /2*V 0 *(r 2
5. = + =-Duration*r + Convexity*(r 2 1. 2. / a. v.s. ( ( (Marked to the Mark ( b. (Initial Margin (Maintenance Margin Marked to the market Margin call (Variation Margin= Margin call c. = F t =S*e (r-qt or F t =S*(1+r-q t F= t= S= r= ( q= ( 3. (Put-Call Parity P + S =C + Ke -rt Delta Call- Delta Put = 1
K S t V D r Put + - + + + - Call - + + + - + 1. (IPOInitial Public Offering 2. (SPOSecondary Public Offering 3. 4. (Consol 5. (Strip (PO (IO 6.TIPSTreasury Inflation-protected Securities 7. (Foreign Bond (Yankee Bond (Samurai Bond 8. (Euro Bond 9. (Exchangeable Bond CSIA (CSIA 50 50 60 1.
2.1 2.2 2.3 2.4 2.5 2.6 2/3x1/2 1/2X2/3 2.7 (1 + 10% (2 + 50% 50% 2.8 2.9 2.10 2.11 2.12 2.13 2.14 2.15 3.1 3.2
3.3 (1 (a (b (2 (a 1 7 ; (b 5 (3 (1 + (2 (3 N/A + 3.4 3.5 3.6 4.1 4.2 4.3 5.1 v. 5.2
5.3 (1 50,000 (2 (a (b 0.2% 100,000 800,000 (3 3% 5.4 (1 10% 10 (2 5 15 (3 5 (4 10,000 (5 5.5 5.6 (1 2/3 X 1/2 (2 10% (3 (4 6.1 6.2 6.3 6.4 / 6.5 6.6 (a (b (c 1 3 (d
6.7 7.1 7.2 7.3 7.4 8.1 (1 1 6 45 (2 3 30 (3 ( 8.2 (1 10% 10% (2 10% (3 5 (4 (5 ( 2 8.3 35 8.4 8.5 8.6
9.1 (1 (2 9.2 9.3 9.4 10.1 10.2 (1 20% (2 (3 25% (4 10.3 (1 2 (2 5 (3 5 (4 2 (5 10.4 11.1
11.2 11.3 12.1 12.2 (1 (i 1. 27 1 (ii 2. 10% (i 12 3. 10 (iii 4. 6 5. (ii 6. 1 2 22-2 3 3 6 (iii 95/01/11 (2 (2 1. 6 2. 10% 2 6 (i (ii
(3 (i (ii (iii (iv (4 12.3 3 2 12.4 12.5 12.6 *************************************************************** 1.
2. 兼任其他證券商之董監 a. N/A b. 3. 5%
*************************************************************** / 1/% 1/% 300 5 10 1 10
(95/01/20 N/A 66I 22-1 (95.01.20 66III 17( 66I N/A 66III 66III 1521 17( X 66III 1012 14 66III 10 (95.01.20 ( 17( X 66III 1012 14 X 17( N/A N/A N/A N/A
, CSIA, CPA, CIA (CSIA (CSIA (CPA (CIA CFP 20%, (NYU
, Ph.D 87-89 1970 10 (Frank, CSIA, CFA, FRM, CFP (CSIA (CFA (FRM (CFP CAPM Markowitz Sharpe (CAPM
(CSIA (CSIA 2005/12 66.7% 20% CFA FRM CFA FRM CFP CFP (CSIA 57 6 4 (02 2375-3000 http://www.gocharter.com.tw/csia_index.htm