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      CFA金融分析師考試輔導(dǎo):股權(quán)投資

      CFA金融分析師考試輔導(dǎo):股權(quán)投資

      唯學(xué)網(wǎng) • 教育培訓(xùn)

      2013-10-24 15:44

      CFA

      金融分析師

      唯學(xué)網(wǎng) • 中國(guó)教育電子商務(wù)平臺(tái)

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      唯學(xué)網(wǎng)小編提醒:本文是關(guān)于CFA考試的股權(quán)投資部分,小編建議考生學(xué)投資學(xué)肯定對(duì)考CFA有幫助?荚噧(nèi)容中的投資學(xué),在大學(xué)本專業(yè)一般都會(huì)學(xué)到投資學(xué)。很多債務(wù)投資分析、股權(quán)投資分析、其它投資分析、投資組合管理和投資表現(xiàn)衡量與原因分析等,都應(yīng)有相關(guān)專業(yè)課程。所以,考生還是要從平時(shí)多積累這方面的知識(shí)點(diǎn)。希望考生能夠順利通過特許金融分析師考試。

      Reading 35 回報(bào)率

      1. Return concept:

      1) Holding period return (HPR) and annualized HPR (有效年利率);

      2) Expected return: E(r), required return: fair return on similar asset,

      Alpha = Expected return – required return,

      Ex ante alpha (pricing model), Ex post alpha (historical return).

      2. Equity risk premium:

      1) Equity risk premium = rM – rf, long-term;

      2) Estimating equity risk premium:

      a) Historical estimates;

      b) Forward looking estimates: Gordon growth model: D1 / P + g – rf,;

      c) Ibbotson-Chen model: rM – rf = (Pt + Dt) / Pt-1 – 1 – rf = (Pt/Et * Et-1/Pt-1)(Et/Et-1) + Dt/Pt-1 – 1 – rf = (1 + P/E growth rate)(1 + nominal EPS growth rate) + dividend yield – 1 – rf.

      3. Estimating required return:

      1) CAPM;

      2) APT: required return = rf + Σ(risk premium)i = rf + Σ(factor sensitivity or exposure * factor risk premium)i:

      a) Fama-French model: required return = rf + βm * equity risk premium + βs * small-cap return premium + βh * high book-to-market return premium = rf + βm * (rM - rf) + βs * (rsmall - rbig) + βh * (rhigh - rlow);

      注:High book-to market value — value basis, small — growth basis;

      Value firms outperform growth firms.

      b) Pastor-Stambaugh model: required return = Fama-French return + βl * liquidity premium;

      c) Macroeconomic multifactor model.

      3) Build-up method: r = rf + equity risk premium + more related premiums.

      4. Estimating beta:

      1) For public companies: regression β, adjusted β;

      Blume adjustment: adjusted β = 2/3 * unadjusted β + 1/3.

      2) For non-public companies, pure-play method: leveled β = unleveled β * (1 + D / S).

      Reading 34 市場(chǎng)和工具

      1. 市場(chǎng)類型:

      1) Order-driven market: no market makers, match supply and demand directly);

      2) Price-driven market (market marker maintain an inventory of securities and quote price to buy (bid price) and sell (ask price).

      2. Execution cost:

      1) Tangible: commissions (傭金), taxes;

      Cost of buying = P * (1 + commission rate + tax rate);

      Return of selling = P * (1 – commission rate – tax rate).

      2) Intangible: market impact (cost of immediate execution or cost of buying liquidity, bid-ask spread), opportunity cost (cost of delaying or failure to complete a trade);

      3) Taxes on the return of international investment:

      a) Dividend incomes: tax credit = D*t1

      Foreign country withholding tax = D*t1 Investor tax = D*t2 Home country

      b) Capital gains: taxed in home country only, no withholding tax to foreign country .

      3. International investment instruments:

      1) American depositary receipt (ADR) 存券憑證:

      a) Issued by US banks, representing shares of a foreign stock, trading in US;

      b) Level 1: trading on the over-the-counter market, not required to comply with SEC registration and reporting requirements;

      Level 2: listed on an exchange, must comply;

      Level 3: listed on an exchange and can raise new equity capital, must comply.

      2) Closed- (open-) end country fund: mutual fund that can invest foreign stocks; international ETFs.

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