投资学,9e,精要版,48772,48760,英文PPT Chap001.ppt 31页

Chapter1TheInvestmentEnvironment 1-2RealAssetsVersusFinancialAssetsRealAssetsDeterminetheproductivecapacityandnetincomeoftheeconomyExamples:Land,buildings,machines,knowledgeusedtoproducegoodsandservicesFinancialAssetsClaimsonrealassets 1-3FinancialAssetsThreetypes:FixedincomeordebtCommonstockorequityDerivativesecurities 1-4FixedIncomePaymentsfixedordeterminedbyaformulaMoneymarketdebt:shortterm,highlymarketable,usuallylowcreditriskCapitalmarketdebt:longtermbonds,canbesafeorrisky 1-5CommonStockandDerivativesCommonStockisequityorownershipinacorporation.Paymentstostockholdersarenotfixed,butdependonthesuccessofthefirmDerivativesValuederivesfrompricesofothersecurities,suchasstocksandbondsUsedtotransferrisk 1-6FinancialMarketsandtheEconomyInformationRole:CapitalflowstocompanieswithbestprospectsConsumptionTiming:Usesecuritiestostorewealthandtransferconsumptiontothefuture 1-7FinancialMarketsandtheEconomy(Ctd.)AllocationofRisk:InvestorscanselectsecuritiesconsistentwiththeirtastesforriskSeparationofOwnershipandManagement:Withstabilitycomesagencyproblems 1-8FinancialMarketsandtheEconomy(Ctd.)CorporateGovernanceandCorporateEthicsAccountingScandalsExamples–Enron,RiteAid,HealthSouthAuditors–watchdogsofthefirmsAnalystScandalsArthurAndersenSarbanes-OxleyActTightentherulesofcorporategovernance 1-9TheInvestmentProcessAssetallocationChoiceamongbroadassetclassesSecurityselectionChoiceofwhichsecuritiestoholdwithinassetclassSecurityanalysistovaluesecuritiesanddetermineinvestmentattractiveness 1-10MarketsareCompetitiveRisk-ReturnTrade-OffEfficientMarketsActiveManagementFindingmispricedsecuritiesTimingthemarket 1-11MarketsareCompetitive(Ctd.)PassiveManagementNoattempttofindundervaluedsecuritiesNoattempttotimethemarketHoldingahighlydiversifiedportfolio 1-12ThePlayersBusinessFirms–netborrowersHouseholds–netsaversGovernments–canbebothborrowersandsavers 1-13ThePlayers(Ctd.)FinancialIntermediaries:PoolandinvestfundsInvestmentCompaniesBanksInsurancecompaniesCreditunions 1-14UniversalBankActivitiesInvestmentBankingUnderwritenewstockandbondissuesSellnewlyissuedsecuritiestopublicintheprimarymarketInvestorstradepreviouslyissuedsecuritiesamongthemselvesinthesecondarymarketsCommercialBankingTakedepositsandmakeloans 1-15FinancialCrisisof2008AntecedentsoftheCrisis:“TheGreatModeration”:atimeinwhichtheU.S.hadastableeconomywithlowinterestratesandatamebusinesscyclewithonlymildrecessionsHistoricboominhousingmarket 1-16Figure1.3TheCase-ShillerIndexofU.S.HousingPrices 1-17ChangesinHousingFinanceOldWayLocalthriftinstitutionmademortgageloanstohomeownersThrift’smajorasset:aportfoliooflong-termmortgageloansThrift’smainliability:deposits“Originatetohold”NewWaySecuritization:FannieMaeandFreddieMacboughtmortgageloansandbundledthemintolargepoolsMortgage-backedsecuritiesaretradableclaimsagainsttheunderlyingmortgagepool“Originatetodistribute” 1-18Figure1.4CashFlowsinaMortgagePass-ThroughSecurity 1-19ChangesinHousingFinance(Ctd.)Atfirst,FannieMaeandFreddieMacsecuritizedconformingmortgages,whichwerelowerriskandproperlydocumented.Later,privatefirmsbegansecuritizingnonconforming“subprime”loanswithhigherdefaultrisk.LittleduediligencePlacedhigherdefaultriskoninvestorsGreateruseofARMsand“piggyback”loans 1-20MortgageDerivativesCollateralizeddebtobligations(CDOs)MortgagepooldividedintoslicesortranchestoconcentratedefaultriskSeniortranches:Lowerrisk,highestratingJuniortranches:Highrisk,loworjunkrating 1-21MortgageDerivativesProblem:Ratingswerewrong!Riskwasmuchhigherthananticipated,evenfortheseniortranches 1-22WhywasCreditRiskUnderestimated?NooneexpectedtheentirehousingmarkettocollapseallatonceGeographicdiversificationdidnotreduceriskasmuchasanticipatedAgencyproblemswithratingagenciesCreditDefaultSwaps(CDS)didnotreduceriskasanticipated 1-23CreditDefaultSwap(CDS)ACDSisaninsurancecontractagainstthedefaultoftheborrowerInvestorsboughtsub-primeloansandusedCDStoinsuretheirsafety 1-24CreditDefaultSwap(CDS)SomebigswapissuersdidnothaveenoughcapitaltobacktheirCDSwhenthemarketcollapsed.Consequence:CDOinsurancefailed 1-25RiseofSystemicRiskSystemicRisk:apotentialbreakdownofthefinancialsysteminwhichproblemsinonemarketspilloveranddisruptothers.OnedefaultmaysetoffachainoffurtherdefaultsWavesofsellingmayoccurinadownwardspiralasassetpricesdropPotentialcontagionfrominstitutiontoinstitution,andfrommarkettomarket 1-26RiseofSystemicRisk(Ctd.)Bankshadamismatchbetweenthematurityandliquidityoftheirassetsandliabilities.LiabilitieswereshortandliquidAssetswerelongandilliquidConstantneedtorefinancetheassetportfolioBankswereveryhighlylevered,givingthemalmostnomarginofsafety. 1-27RiseofSystemicRisk(Ctd.)Investorsreliedtoomuchon“creditenhancement”throughstructuredproductslikeCDSCDStradedmostly“overthecounter”,solesstransparent,nopostedmarginrequirementsOpaquelinkagesbetweenfinancialinstrumentsandinstitutions 1-28TheShoeDrops2000-2006:Sharpincreaseinhousingpricescausedmanyinvestorstobelievethatcontinuallyrisinghomepriceswouldbailoutpoorlyperformingloans2004:Interestratesbeganrising2006:Homepricespeaked 1-29TheShoeDrops2007:Housingdefaultsandlossesonmortgage-backedsecuritiessurged2007:BearStearnsannouncestroubleatitssubprimemortgage–relatedhedgefunds 1-30TheShoeDrops2008:TroubledfirmsincludeBearStearns,FannieMae,FreddieMac,MerrillLynch,LehmanBrothers,andAIGMoneymarketbreaksdownCreditmarketsfreezeupFederalbailouttostabilizefinancialsystem 1-31SystemicRiskandtheRealEconomyAddliquiditytoreduceinsolvencyriskandbreakaviciouscircleofvaluationrisk/counterpartyrisk/liquidityriskIncreasetransparencyofstructuredproductslikeCDScontractsChangeincentivestodiscourageexcessiverisk-takingandtoreduceagencyproblemsatratingagencies