现代金融理论基础2025|PDF|Epub|mobi|kindle电子书版本百度云盘下载

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1 Understanding Financial Statements1

1.1 Introduction1

1.2 The Basic Accounting Statements2

1.3 Measuring Asset Value5

1.3.1 Accounting Principles on Asset Measurement5

1.3.2 Asset Valuation6

1.3.3 An Example of Asset Measurement13

1.4 Measuring Liabilities and Equity15

1.4.1 Accounting Principles on Liabilities and Equity Measurement15

1.4.2 Liabilities and Equity Valuation16

1.4.3 An Example of Liabilities and Equity Valuation23

1.5 Measuring Earnings and Profitability24

1.5.1 Accounting Principles on Earnings and Profitability Measurement25

1.5.2 Measuring Accounting Earnings26

1.5.3 Measuring Accounting Profitability28

1.6 Measuring Risk30

1.6.1 Accounting Principles on Risk Measurement31

1.6.2 Accounting Measures of Risk31

1.7 Summary39

2 Understanding Risk43

2.1 Introduction43

2.2 Equity Risk and Expected Return44

2.2.1 Defining Risk in Finance44

2.2.2 Equity Risk45

2.3 Diversifiable and Non-diversifiable Risk49

2.3.1 The Components of Risk50

2.3.2 A Simple Statistical Analysis of Diversification52

2.3.3 Why A Marginal Investor Is Diversified53

2.4 Models Measuring Market Risk54

2.4.1 The Capital Asset Pricing Model (CAPM)54

2.4.2 The Arbitrage Pricing Model (APM)57

2.4.3 Multi-factor Models for Risk and Return59

2.4.4 Regression or Proxy Models60

2.4.5 A Comparison of Risk and Return Models61

2.5 Models of Default Risk64

2.5.1 The Determinants of Default Risk65

2.5.2 Bond Ratings and Interest rates66

2.6 Summary69

2.7 Appendix:The New Definition of Risk70

3 Theory of Investment Decisions77

3.1 Introduction77

3.2 Investment Decisions under Perfect Certainty78

3.2.1 Consumption and Investment without Capital Markets79

3.2.2 Consumption and Investment with Capital Markets84

3.2.3 Transaction Costs and the Breakdown of Separation90

3.3 Investment Decisions under Uncertainty93

3.3.1 Uncertainty and State Preference Theory94

3.3.2 Determinants of Security Prices97

3.4 The Expected Utility Hypothesis105

3.5 Optimal Investment and Portfolio Separation107

3.6 Summary111

3.7 Appendix:Creating Arrow-Debreu Securities112

3.8 Appendix:Investors Attitude Towards Risk115

4 Theory of Portfolio Choice117

4.1 Introduction117

4.2 Risk and Return for A Single Asset118

4.2.1 Measures of Location119

4.2.2 Measures of Dispersion121

4.3 Measuring Portfolio Risk and Return125

4.3.1 The Normal Distribution126

4.3.2 Mean and Variance of A Two-asset Portfolio127

4.3.3 Correlation Coefficient131

4.3.4 The Minimum Variance Portfolio133

4.3.5 Perfectly Correlated Assets134

4.4 Optimal Portfolio Choice:Two Assets137

4.3.6 The Minimum Variance Opportunity Set137

4.4.1 Efficient Set with Two Risky Assets138

4.4.2 Efficient Set with One Risky and One Risk-free Asset141

4.5 Optimal Portfolio Choice:Many Assets144

4.5.1 Mean-Variance Portfolio with n Risky Assets144

4.5.2 Investment Opportunity Set with n Risky Assets147

4.5.3 Two-fund Separation Theorem149

4.5.4 Mean-Variance Portfolio with A Riskless Asset151

4.6 Diversification and Individual Asset Risk154

4.7 An Application:Cross Hedging157

4.8 Summary159

5 Equilibrium Asset Pricing Models163

5.1 Introduction163

5.2 Theoretical and Empirical Issues on CAPM164

5.2.1 Efficiency of Market Portfolio165

5.2.2 Derivation of CAPM166

5.2.3 Properties of CAPM170

5.2.4 Applications of CAPM173

5.2.5 Empirical Tests of CAPM178

5.3 Extensions of CAPM181

5.3.1 No Riskless Asset181

5.3.2 Returns Not Jointly Normal184

5.3.3 Existence of Nonmarketable Assets184

5.3.4 Existence of Heterogeneous Expectations and Taxes185

5.4 Problem of Measuring Performance:Roll s Critique186

5.5.1 Theoretical Foundation of APM189

5.5 The Arbitrage Pricing Model189

5.5.2 A Numerical Example of Arbitrage Pricing198

5.5.3 Empirical Tests of APM201

5.6 Summary203

5.7 Appendix:Taking on Beta204

6 Market Efficiency:Theory ＆ Evidence209

6.1 Introduction209

6.2.1 What Is Efficient Market211

6.2 Efficient Markets:Theoretical Explanations211

6.2.2 Versions of Market Efficiency212

6.2.3 Implications for Investment Policy213

6.3 Empirical Tests of Market Efficiency215

6.3.1 Event Study217

6.3.2 Portfolio Study224

6.3.3 Pitfalls in Testing for Market Efficiency226

6.4 Empirical Evidence on Efficient Markets228

6.4.1 Time Series Properties of Price Changes229

6.4.2 Market Reaction to Information Events238

6.4.3 Market Anomalies244

6.4.4 Evidence on Insiders and Investment Professionals255

6.5 Implications of Evidence on Market Efficiency261

6.6 Summary263

6.7 Appendix:The Grossman-Stiglitz Paradox264

6.8 Appendix:Investment Newsletters266

7.1 Introduction271

7 Option Pricing:Theory ＆ Applications271

7.2 Basics on Option272

7.2.1 Call and Put Options272

7.2.2 Determinants of Option Value274

7.2.3 American versus European Options276

7.3 Option Pricing Models:The Binomial Approach278

7.3.1 Creating A Replicating Portfolio278

7.3.2 Binomial Option Valuation279

7.4 The Black-Scholes Option Pricing Model282

7.4.1 Implied Volatility and the Black-Scholes Model282

7.4.2 Model Limitations and Fixes285

7.4.3 Put-Call Parity and the Valuation of Puts294

7.5 Extensions of Option Pricing296

7.6 Summary298

7.7 Appendix:Cox-Ross-Rubinstein Option Pricing299

Bibliography309