北京大学光华管理学院：《证券投资学》课程教学资源（PPT课件）第1章 金融市场

证券投资学

证券投资学

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 fil nance 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

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

Why does not there exists any advice unguaranteed 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 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

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 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

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

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

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

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

历史 ·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

历史 • 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 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 1958261-297

• 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. • 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

·F. Black M. Scholes r. Merton期权定价的 Black-scholes公式 F. Black and M. Scholes, The Pricing of Options and corporate liabilities Journal of Political economy, 81(3): 637-654 R. Merton, Theory of Rational Option Pricing Bell Journal of Economics and management Science,4(1):141-183

• F. Black M. Scholes R. Merton 期权定价的 Black-Scholes 公式 – F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654. – R. Merton, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1):141-183

第一章金融市场

第一章 金融市场

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。 投资一般具有两个特性:时间和风险

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。 • 投资一般具有两个特性：时间和风险