证券投资学这门课能给我们带来什么？
点金术？
Why does not there exists any advice on
“guaranteed” ways to beat the market？
Any system designed to beat the market,once known to more
than a few people,carries the seeds of its own destruction.
There are two reasons for not including advice on,guaranteed”
ways to beat the market in this book.
First,to do so would make a successful system public and hence
unsuccessful.
Second,the authors do not know of such system.
This does not mean that financial analysis is useless,Although
individuals should be skeptical when others tell them how to use
financial analysis to beat the market,individuals can try to
understand the market with the use of financial analysis.---------
----------W,Sharpe,etc.
本课程的目标
A sound investment decision requires in-depth
knowledge of the financial markets,rigorous
analytical thinking and precise mathematical
derivation,This class help you build the following
skills:
Analytical ability,modeling skills that are important in
making investment decisions,
Quantitative skills,developing problem solving skills,data
analysis,probability evaluation of uncertain events.
Empirical knowledge of the financial markets,equity,fixed
income (default-free and default) and their respective
derivatives.
Why do we study the theory？
Managers learn from experience how to cope with routine
problems,But the best manager are also able to respond to
change,To do this you need more than time-honored rules
of thumb; you must understand why companies and
financial markets behave the way they do,In other words,
you need a theory of finance.…… Good theory helps you
grasp what is going on in the world around you,It helps you
to ask the right questions when times change and new
problems must be analyzed,It also tells you what things you
do not need to worry about.---------Brealey and Myers
证券投资是一门科学，也是一种艺术，
是一件知难行易的事，但做起来容易的事如果只碰运气，却是难以成功的，证券投资必须要有策略和方法，加上果断的决策与好运，才能成功。
这门课的主要内容
Financial theories,Portfolio theory,the CAPM
and the APT,option pricing theory
Equity analysis and pricing,and empirical
evidence
Fixed income instruments,the term structure
of interest rates and managing bond
portfolios
Market efficiency and active investments
A brief introduction to behavioral finance
什么是金融学 (Finance)
Finance is a subfield of economics distinguished by
both its focus and its methodology,The primary
focus of finance is the workings of the capital
markets and the supply and the pricing of capital
assets,The methodology of finance is the use of
close substitutes to price financial contracts and
instruments,This methodology is applied to value
instruments whose characteristics extend across time
and whose payoffs depend upon the resolution of
uncertainty.
---Palgrave Dictionary of Money and Finance
金融学的研究领域
金融市场
宏观层面：金融框架
微观层面：定价、风险管理
公司财务这门课所属的位置
微观层面：定价、风险管理
基础课
Basic principles of finance
No arbitrage
Optimization and equilibrium
efficiency
Classical papers
H,M,Markowitz 均值 -方差模型 (Mean-
variance model)
Harry M,Markowitz,Portfolio Selection,Journal of
Finance,7(1):77-91,1952.
W,F,Sharpe,J,Lintner,J,Mossin 资本资产定价模型 Capital Asset Pricing Model
(CAPM)
W,F,Sharpe,Capital Asset Prices,A Theory od
Market Equilibrium Under Conditions of Risk,
Journal of Finance,20(3):425-442,1964.
S,A,Ross 套利定价理论 Arbitrage Pricing
Theory(APT)
S,A,Ross,The Arbitrage Theory of Capital Asset
Pricing,,Journal of Economic Theory,13(3):341-
360,1976.
Pricing and hedging contingent claims
F,Black and M,Scholes,The Pricing of Options
and Corporate Liabilities,Journal of Political
Economy,81(3):637-654,1973.
R,Merton,Theory of Rational Option Pricing,
Bell Journal of Economics and Management
Science,4(1):141-183,1973.
J,Cox,S,Ross,and M,Rubinstein,Option
Pricing,A simplified approach,Journal of
Financial Economics,7,229-264,1979.
Consumption and portfolio decisions
Complete markets
R,Merton,Optimum consumption and portfolio rules in a
continuous time model,Journal of Economic Theory,3,373-
413,1971,
J,C,Cox and Chi-fu Huang,Optimal consumption and portfolio
policies when asset prices follow a diffusion process,Journal of
Economic Theory 39,33-83,1989.
I,Karatzas,J,Lehoczky,and S Shreve,Optimal portfolio and
consumption decisions for a small investor on a finite horizon,
SIAM Journal on Control and Optimization,25,1557-1586,
1987.
G,Constantinides,Habit Formation,A resolution of equity
premium puzzle,Journal of Political Economy 98,519-543,
1990.
D,Duffie and L,Epstein,Stochastic differential utility,
Econometrica,60,353-394,1991.
Incomplete markets and portfolio constraints
H.He and N,Pearson,Consumption and portfolio policies
with incomplete markets and short-sale constraints,The
finite dimension case,Mathematical Finance,3(1),1-10,
1991.
H.He and N,Pearson,Consumption and portfolio policies
with incomplete markets and short-sale constraints,The
infinite dimension case,Journal of Economic Theory,54,
259-305,1991.
H,Leland,Option pricing and replication with transaction
cost,Journal of Finance,40,1283-1301,1985.
Arbitrage and martingales
J,M,Harrison and D,M,Kreps,Martingales and
arbitrage in multiperiod securities markets,
Journal of economic theory 20:381-408,1979.
Equilibrium theory
R,Lucas,Asset prices in an exchange economy,
Econometrica,46,1429-144,1978.
J,Cox,J Ingersoll,and S,Ross,An
intertemporal general equilibrium model of
asset prices,Econometrica,53,363-384,1985.
F,Modigliani M,H,Miller Modigliani -
Miller 定理
Modigliani,F.,and M,H,Miller,The Cost of Capital,
Corporation Finance,and the Theory of Investment,
American Economic Review,June 1958,261-297.
第一章 金融市场
金融市场表面看起来似乎处于混沌状态，
实际上在它的工具和市场安排上有特定的原因和规律
本章目的：讨论金融市场和金融机构是如何应运需求、技术和管制约束而发展起来的？
1,实物投资和金融投资
投资：投资者运用自己持有的资本，用来购买实际资产或金融资产，或者取得这些资产的权利，目的是在一定时期内预期获得资产增值和一定收入。
实资产和金融资产
实资产一般包括有形资产，例如土地、机器、
厂房、自然资源、人力资源等
金融资产包括写在纸上的各种合约，例如股票、
债券等
各自的特点
实资产代表一个经济的生产能力，决定一个社会的财富
金融资产不代表一个社会的财富，对生产能力具有间接的作用
所有权和经营权的分离
使得资金流向具有好的投资机会的企业
风险分担
金融资产的特点：
moneyness
divisibility
reversibility
term of maturity
liquidity
convertibility
tax status
两者之间是一种互补关系，而不是替代关系
例子：房地产
金融资产的价值来源并依赖于实资产的价值
金融资产是投资者拥有实资产的方式
证券投资就是运用投资购买有价证券及其派生工具以期获得收益的一种行为。
投资一般具有两个特性,时间和风险
Time
Example:
Risk
Example
Time and uncertainty are two key
elements in investment
Time value
Riskness value
2,金融系统三个组成部分的需求和市场的反映
个人
如何投资 ——证券、金融中介、金融创新、投资基金、衍生证券
需求的多样化，
风险影响的例子,30年后从北京移居青岛
税收影响的例子：印花税、资本利得税、利息税
公司
如何融资 ——投资银行、衍生产业
高价格、低成本
专业发行公司集团 ——投行
发行简单证券
政府
税收 与 管制 ——金融创新
金融创新的例子：利息剥离（ coupon stripping)
监管的例子：证券法、基金法、保险资金入市、商业银行的业务
金融中介
When enough clients demand and are
willing to pay for a services,it is likely in a
capitalistic economy that a profit-seeking
supplier will find a way to provide and
charge for that service,This is the
mechanism that lead to the diversity of
financial markets.
The waves of product development in the last two
decades are responses to perceived profit
opportunities created by as yet unsatisfied demands
for securities with particular risk,return,tax,and
timing attributes,As the investment banking industry
become ever more sophisticated,security creation
and customization become more routine,Most new
securities are created by dismantling and rebundling
more basic securities.
A Wall Street joke asks how many
investment bankers it takes to sell a
lightbulb,The answer is 100----one to
break the bulb and 99 to sell off the
individual fragments.
个人需求的多样化金融中介投行金融创新与衍生证券公司供给简单化政府税收 税收监管
3.投资环境
包括上市证券的种类、在哪里及如何进行证券的买卖
证券：在指定的条件下，获得将来预期利润的权利的一种法律证明
证券种类
货币市场
短期、流动性好、风险小的债券
资本市场
长期固定收益证券
股票
期权、期货及其它衍生证券
回报率与风险之间的关系
一般来说，具有高平均回报率的证券也具有高的风险
The historical variability is not necessarily an
indication of prospective risk.
证券市场
一级市场
二级市场
金融中介
银行、投资公司、保险公司、信托公司
特点：
中介
集少成多
分散风险
专业化、规模经济（数量、声誉、搜集信息等）
4,投资过程
对投资的证券种类、数量、投资的时间作出决定
投资政策：决定投资的目标和投资的财富数量
投资的目标：回报和风险
证券分析：技术分析；基本分析
证券组合构造,selectivity,timing,diversification
证券组合调整
证券组合评估：依据回报率和风险
5,证券发行市场
投资银行
证券的承销
Initial public offering (IPO)
Seasoned new issues
public offering and private placement
6.证券交易市场
National and local securities exchanges
broker
dealer
over -the-account market
bid price
ask price
direct trading between two parties
卖空
预期证券价格将下跌时利用该策略
初始保证金 (initial margin requirement)
实际保证金 (actual margin)
盯市 (marked to the market)
维持保证金 (maintenance margin)
回报率
卖空前
X Brock,Inc Mr,Lane
红利，年报选举权红利，年报选举权
卖空 Mr,Jones
X Brock,Inc Mr,Lane
Ms,Smith
红利，年报选举权红利，年报 选举权接受股票支付价格提供初始保证金
卖空后 Mr,Jones
X Brock,Inc Mr,Lane
Ms,Smith
红利，年报年报提供现金支付红利红利年报选举权
7,股票价格指数
股票价格指数的作用
股票价格指数的主要计算方法
价格加权平均指数 price-weighted average
index
市值加权平均指数 market-value-weighted
index
世界几种重要股票价格指数
道?琼斯股票价格指数
标准和普尔股票价格综合指数
纽约证券交易所的股票综合指数
伦敦金融时报的股票价格指数
日本经济新闻道式股票指数
香港恒生股票指数
中国的股票价格指数
上海证券交易所股价指数
深圳证券交易所股价指数
8.金融市场的作用
Allocation resources
allocate resources across time
贷款买房、买车、上学
allocate resources across different states of economy---
allocate risk
投资大公司股票与投资小公司股票
Separation of ownership and management
gives the firm a stability
The financial markets provide some guidance for the
objectives of the firm,enhance the value of the shares
Communicating information
market prices reflect available information
9.新趋势
全球化 Globalization
证券化 Securitization
金融工程 Financial engineering
The process of bundling and unbundling is
called financial engineering
计算机网络 computer networks
点金术？
Why does not there exists any advice on
“guaranteed” ways to beat the market？
Any system designed to beat the market,once known to more
than a few people,carries the seeds of its own destruction.
There are two reasons for not including advice on,guaranteed”
ways to beat the market in this book.
First,to do so would make a successful system public and hence
unsuccessful.
Second,the authors do not know of such system.
This does not mean that financial analysis is useless,Although
individuals should be skeptical when others tell them how to use
financial analysis to beat the market,individuals can try to
understand the market with the use of financial analysis.---------
----------W,Sharpe,etc.
本课程的目标
A sound investment decision requires in-depth
knowledge of the financial markets,rigorous
analytical thinking and precise mathematical
derivation,This class help you build the following
skills:
Analytical ability,modeling skills that are important in
making investment decisions,
Quantitative skills,developing problem solving skills,data
analysis,probability evaluation of uncertain events.
Empirical knowledge of the financial markets,equity,fixed
income (default-free and default) and their respective
derivatives.
Why do we study the theory？
Managers learn from experience how to cope with routine
problems,But the best manager are also able to respond to
change,To do this you need more than time-honored rules
of thumb; you must understand why companies and
financial markets behave the way they do,In other words,
you need a theory of finance.…… Good theory helps you
grasp what is going on in the world around you,It helps you
to ask the right questions when times change and new
problems must be analyzed,It also tells you what things you
do not need to worry about.---------Brealey and Myers
证券投资是一门科学，也是一种艺术，
是一件知难行易的事，但做起来容易的事如果只碰运气，却是难以成功的，证券投资必须要有策略和方法，加上果断的决策与好运，才能成功。
这门课的主要内容
Financial theories,Portfolio theory,the CAPM
and the APT,option pricing theory
Equity analysis and pricing,and empirical
evidence
Fixed income instruments,the term structure
of interest rates and managing bond
portfolios
Market efficiency and active investments
A brief introduction to behavioral finance
什么是金融学 (Finance)
Finance is a subfield of economics distinguished by
both its focus and its methodology,The primary
focus of finance is the workings of the capital
markets and the supply and the pricing of capital
assets,The methodology of finance is the use of
close substitutes to price financial contracts and
instruments,This methodology is applied to value
instruments whose characteristics extend across time
and whose payoffs depend upon the resolution of
uncertainty.
---Palgrave Dictionary of Money and Finance
金融学的研究领域
金融市场
宏观层面：金融框架
微观层面：定价、风险管理
公司财务这门课所属的位置
微观层面：定价、风险管理
基础课
Basic principles of finance
No arbitrage
Optimization and equilibrium
efficiency
Classical papers
H,M,Markowitz 均值 -方差模型 (Mean-
variance model)
Harry M,Markowitz,Portfolio Selection,Journal of
Finance,7(1):77-91,1952.
W,F,Sharpe,J,Lintner,J,Mossin 资本资产定价模型 Capital Asset Pricing Model
(CAPM)
W,F,Sharpe,Capital Asset Prices,A Theory od
Market Equilibrium Under Conditions of Risk,
Journal of Finance,20(3):425-442,1964.
S,A,Ross 套利定价理论 Arbitrage Pricing
Theory(APT)
S,A,Ross,The Arbitrage Theory of Capital Asset
Pricing,,Journal of Economic Theory,13(3):341-
360,1976.
Pricing and hedging contingent claims
F,Black and M,Scholes,The Pricing of Options
and Corporate Liabilities,Journal of Political
Economy,81(3):637-654,1973.
R,Merton,Theory of Rational Option Pricing,
Bell Journal of Economics and Management
Science,4(1):141-183,1973.
J,Cox,S,Ross,and M,Rubinstein,Option
Pricing,A simplified approach,Journal of
Financial Economics,7,229-264,1979.
Consumption and portfolio decisions
Complete markets
R,Merton,Optimum consumption and portfolio rules in a
continuous time model,Journal of Economic Theory,3,373-
413,1971,
J,C,Cox and Chi-fu Huang,Optimal consumption and portfolio
policies when asset prices follow a diffusion process,Journal of
Economic Theory 39,33-83,1989.
I,Karatzas,J,Lehoczky,and S Shreve,Optimal portfolio and
consumption decisions for a small investor on a finite horizon,
SIAM Journal on Control and Optimization,25,1557-1586,
1987.
G,Constantinides,Habit Formation,A resolution of equity
premium puzzle,Journal of Political Economy 98,519-543,
1990.
D,Duffie and L,Epstein,Stochastic differential utility,
Econometrica,60,353-394,1991.
Incomplete markets and portfolio constraints
H.He and N,Pearson,Consumption and portfolio policies
with incomplete markets and short-sale constraints,The
finite dimension case,Mathematical Finance,3(1),1-10,
1991.
H.He and N,Pearson,Consumption and portfolio policies
with incomplete markets and short-sale constraints,The
infinite dimension case,Journal of Economic Theory,54,
259-305,1991.
H,Leland,Option pricing and replication with transaction
cost,Journal of Finance,40,1283-1301,1985.
Arbitrage and martingales
J,M,Harrison and D,M,Kreps,Martingales and
arbitrage in multiperiod securities markets,
Journal of economic theory 20:381-408,1979.
Equilibrium theory
R,Lucas,Asset prices in an exchange economy,
Econometrica,46,1429-144,1978.
J,Cox,J Ingersoll,and S,Ross,An
intertemporal general equilibrium model of
asset prices,Econometrica,53,363-384,1985.
F,Modigliani M,H,Miller Modigliani -
Miller 定理
Modigliani,F.,and M,H,Miller,The Cost of Capital,
Corporation Finance,and the Theory of Investment,
American Economic Review,June 1958,261-297.
第一章 金融市场
金融市场表面看起来似乎处于混沌状态，
实际上在它的工具和市场安排上有特定的原因和规律
本章目的：讨论金融市场和金融机构是如何应运需求、技术和管制约束而发展起来的？
1,实物投资和金融投资
投资：投资者运用自己持有的资本，用来购买实际资产或金融资产，或者取得这些资产的权利，目的是在一定时期内预期获得资产增值和一定收入。
实资产和金融资产
实资产一般包括有形资产，例如土地、机器、
厂房、自然资源、人力资源等
金融资产包括写在纸上的各种合约，例如股票、
债券等
各自的特点
实资产代表一个经济的生产能力，决定一个社会的财富
金融资产不代表一个社会的财富，对生产能力具有间接的作用
所有权和经营权的分离
使得资金流向具有好的投资机会的企业
风险分担
金融资产的特点：
moneyness
divisibility
reversibility
term of maturity
liquidity
convertibility
tax status
两者之间是一种互补关系，而不是替代关系
例子：房地产
金融资产的价值来源并依赖于实资产的价值
金融资产是投资者拥有实资产的方式
证券投资就是运用投资购买有价证券及其派生工具以期获得收益的一种行为。
投资一般具有两个特性,时间和风险
Time
Example:
Risk
Example
Time and uncertainty are two key
elements in investment
Time value
Riskness value
2,金融系统三个组成部分的需求和市场的反映
个人
如何投资 ——证券、金融中介、金融创新、投资基金、衍生证券
需求的多样化，
风险影响的例子,30年后从北京移居青岛
税收影响的例子：印花税、资本利得税、利息税
公司
如何融资 ——投资银行、衍生产业
高价格、低成本
专业发行公司集团 ——投行
发行简单证券
政府
税收 与 管制 ——金融创新
金融创新的例子：利息剥离（ coupon stripping)
监管的例子：证券法、基金法、保险资金入市、商业银行的业务
金融中介
When enough clients demand and are
willing to pay for a services,it is likely in a
capitalistic economy that a profit-seeking
supplier will find a way to provide and
charge for that service,This is the
mechanism that lead to the diversity of
financial markets.
The waves of product development in the last two
decades are responses to perceived profit
opportunities created by as yet unsatisfied demands
for securities with particular risk,return,tax,and
timing attributes,As the investment banking industry
become ever more sophisticated,security creation
and customization become more routine,Most new
securities are created by dismantling and rebundling
more basic securities.
A Wall Street joke asks how many
investment bankers it takes to sell a
lightbulb,The answer is 100----one to
break the bulb and 99 to sell off the
individual fragments.
个人需求的多样化金融中介投行金融创新与衍生证券公司供给简单化政府税收 税收监管
3.投资环境
包括上市证券的种类、在哪里及如何进行证券的买卖
证券：在指定的条件下，获得将来预期利润的权利的一种法律证明
证券种类
货币市场
短期、流动性好、风险小的债券
资本市场
长期固定收益证券
股票
期权、期货及其它衍生证券
回报率与风险之间的关系
一般来说，具有高平均回报率的证券也具有高的风险
The historical variability is not necessarily an
indication of prospective risk.
证券市场
一级市场
二级市场
金融中介
银行、投资公司、保险公司、信托公司
特点：
中介
集少成多
分散风险
专业化、规模经济（数量、声誉、搜集信息等）
4,投资过程
对投资的证券种类、数量、投资的时间作出决定
投资政策：决定投资的目标和投资的财富数量
投资的目标：回报和风险
证券分析：技术分析；基本分析
证券组合构造,selectivity,timing,diversification
证券组合调整
证券组合评估：依据回报率和风险
5,证券发行市场
投资银行
证券的承销
Initial public offering (IPO)
Seasoned new issues
public offering and private placement
6.证券交易市场
National and local securities exchanges
broker
dealer
over -the-account market
bid price
ask price
direct trading between two parties
卖空
预期证券价格将下跌时利用该策略
初始保证金 (initial margin requirement)
实际保证金 (actual margin)
盯市 (marked to the market)
维持保证金 (maintenance margin)
回报率
卖空前
X Brock,Inc Mr,Lane
红利，年报选举权红利，年报选举权
卖空 Mr,Jones
X Brock,Inc Mr,Lane
Ms,Smith
红利，年报选举权红利，年报 选举权接受股票支付价格提供初始保证金
卖空后 Mr,Jones
X Brock,Inc Mr,Lane
Ms,Smith
红利，年报年报提供现金支付红利红利年报选举权
7,股票价格指数
股票价格指数的作用
股票价格指数的主要计算方法
价格加权平均指数 price-weighted average
index
市值加权平均指数 market-value-weighted
index
世界几种重要股票价格指数
道?琼斯股票价格指数
标准和普尔股票价格综合指数
纽约证券交易所的股票综合指数
伦敦金融时报的股票价格指数
日本经济新闻道式股票指数
香港恒生股票指数
中国的股票价格指数
上海证券交易所股价指数
深圳证券交易所股价指数
8.金融市场的作用
Allocation resources
allocate resources across time
贷款买房、买车、上学
allocate resources across different states of economy---
allocate risk
投资大公司股票与投资小公司股票
Separation of ownership and management
gives the firm a stability
The financial markets provide some guidance for the
objectives of the firm,enhance the value of the shares
Communicating information
market prices reflect available information
9.新趋势
全球化 Globalization
证券化 Securitization
金融工程 Financial engineering
The process of bundling and unbundling is
called financial engineering
计算机网络 computer networks
