investment intertemporal allocation real estate human resources securities direct investment 01 riskuncertainty planning(execution)(feedback) investment objectives constraints() 1 Dr. Jane Ryan30 1200000 3000 IRA Return Requirements Risk Tolerance 1
Liquidity Requirements Taxes Time Horizon / indifference curve 2 / 3investment strategy activepassive Dr. Jane Ryan 90% 10% Savage SEU SEU Bayes 0-3 2
15%mutual fund 10% 500 Amgen( Medtronic)( Bristol Meyers Squibb) 2 3 First data portfolio selection/composition decision market timing 1 / 2 3
Value at Risk- VaR VaR 02 1 2 6-1 Jorion2002 4
3 security analyst Standard poor s CorporationMoody s Investor Service mergersacquisitions(divestitures) spin-offmbosleveraged recapitalizations (buy-side analysts)(sell-side analysts) (brokerage) 9.3 Jensen Meckling (1976) 5
0-1 17 institution descriptionrules of thumb1896 30 1929 1933 Graham Dodd 1934Security Analysis Graham John B. Williams1938The Theory of Investment Value 1970 1962 CFA 50 50Nifty Fifty 1962 Graham Dodd Graham Dodd 1972 50 37 500 181974 500 46 91% 67% 59% 1952 MPT MPT MPT Top-Down AIMR CodeofEthicsStandards ofprofessionalconduct Benjamin Graham 1945 1 Graham 20 1963 6 300 CFACFA 6
Burton Malkiel 2000 Stowe, Robinson, Pinto McLeavey Graham Dodd 1553 (Russia company) 1555 Grant Parti 03 1 A 1 2 3 B C 2 1 23 7
3 A B C 4 QualityControl 01 8
01 ResearchReportingResponsibilitiesAIMR CodeofEthicsStandardsofProfessionalConduct ReasonableCare 02 AIMR II(C) IV(A)1(a) IV(A)1(b) IV(A)1(c) IV(A)1(d) IV(A)2(a) IV(A)2(b) IV(A)2(c) IV(A)3 02 wwwcfainstitutecom 0-2 2004 2 25 20 UBS 2003 10 ChartedfinancialAnalystCFA 21 2004 03 13 9
2 12 1.57 2.31 1.66 1.61 2 25 1.61 1223.HK0539.HK 3 1 3 2 ING 48 3 2 3 1 IOSCO 2003 9 10 04 1 2 3 fundamental analysis 10
GDP Industrial Economics exchange rate Financial Management 1 2 11
3 12 1 23 technical analysis 1 23 12
1952 25 1) 2)3) 4) 5) () 1963 SharpeW αalpha βbetaβ () β 1β 1β 1α 1964 CAPM 1)capital market line CML2)security market linesml SML 3) RossS 1976 arbitrage pricing theoryapt factor model CAPM 0-3 20 60.FamaE 1 2 1 3 2 1990 rational efficient markets formulation(grossman Stiglitz 1980) 13
0-1 0-1 1 2 3 14
/ KaynesSoros 1936 D Kahneman behavior finance 0-1 2003 6 2002 15
0-3 0-4 Gustave Lebon The Crowd Charles MackeyExtraordinary Popular Delusions and the Madness of Crowds animal spirit Burrell 1951 2002 KahnemanD SmithF experimental economics behavior economics Thaler1993 open-minded finance Hsee2000 Thaler Shiller Thaler(19871999) Shiller(19811990a1990b) Odean(1998a)(disposition effect)ritter(1991)ipo Kahneman (1998) normal 1over confidence 90% 70%2 representativeness B A A B base rate neglect B A sample size neglect 3anchoring 4 5 2003 cognitive bias 16
80 CAPM EMH 12abnormal 3 05 02 1 1 2 2 7 3 3 8 4 9 5 10 6 11 7 3 4 5 6 8 12 13 14 0-2 17
markettime a good company a good investment 02 8 7 BlackBox 6 5 4 3 2 1 Topdown 1 structural reform 2 industry structure bottom-up Hooke (1998) 18
3 a b cdrivers 4 absolute valuation modelrelative valuation model present value models The DuPont System WhiteSondhi Fried(1998)Higgins(2001)Reilly Brown(2000) benninga Sarig1997 DCF Value-Base Management Stem Stewart& Company (Economic Value Added)Holt Value Associate (Cash Flow Return on Investment CFROI)(KPMG)(Economic Value Management) economic profits(economic value added) (GAAP) 19
discounted cash flow model DDM free cash flow(residual income) opportunity cost Economic value addedeva price multiplier P/E P/E enterprise value 2001 3 4 20
5 abnormal return alpha alpha perceived mispricing ex ante alpha required rate of return alpha expostalpha contemporaneousrequired return alpha 12 12 10 alpha 121025 alpha 8 alpha 583 alpha market time 3 4 6 7 8 1. 2. Merrill Lynch Institutional Factor Survey2001 19892001 23 () 21
AIMR CFA 3. 4. 5. 6. 7. 8. (Hooke)John D. StoweAnalysis of Equity Investments: Valuation 1. 2. 3. 4. 5. 6. 22
7. 8. 9. 10. 11. 23
24