Financial market analysis

著者

書誌事項

Financial market analysis

David Blake

Wiley, 2000

2nd ed

大学図書館所蔵 件 / 全15件

この図書・雑誌をさがす

注記

Includes bibliographical references and index

内容説明・目次

内容説明

The eagerly awaited second edition of this highly successful book has been greatly expanded from 400 to over 700 pages and contains new material on value at risk, speculative bubbles, volatility effects in financial markets, chaos and neural networks. Financial Market Analysis deals with the composition of financial markets and the analysis and valuation of traded securities. It describes the use of securities both in constructing and managing portfolios and in contributing to portfolio performance. Particular attention is paid to new types of investment product, different portfolio management strategies, speculation, arbitrage and risk management strategies and to financial market failure. Financial Market Analysis is an essential text for all finance-related degree courses at undergraduate, postgraduate, and MBA level. It also provides a useful source of reference for financial institutions and professionals in the financial markets.

目次

Preface xix Abbreviations xxi I Introduction to Financial Markets 1 1 The Financial System 5 1.1 Participants 5 1.1.1 End-users of the financial system 5 1.1.2 General financial intermediaries 7 1.1.3 Specialist financial intermediaries 12 1.1.4 Market-makers 16 1.2 Securities 16 1.3 Markets 20 1.3.1 The classification of financial markets 20 1.3.2 Financial markets in the UK 25 1.4 Trading arrangements 38 1.4.1 Types of order 39 1.4.2 Types of account 39 1.4.3 Stock borrowing agreements 41 1.4.4 Clearing and settlement of trades 42 1.4.5 Official intervention in markets 43 1.5 Regulation 44 1.6 The financial system in a temporal context 51 1.6.1 The recent past: the Big Bang of October 1986 51 1.6.2 The near future 53 Appendix: The City Research Project 1991-95 69 2 The market determination of discount rates 79 2.1 The price of time and risk 79 2.2 The expected real interest rate 80 2.3 The expected inflation rate 82 2.4 The expected liquidity premium 83 2.5 The expected risk premium 84 2.6 Interest rates and discount rates 87 3 Financial arithmetic 89 3.1 Future values: single payments 89 3.1.1 Simple interest 89 3.1.2 Compound interest: annual compounding 90 3.1.3 Compound interest: more frequent compounding 90 3.1.4 Flat and effective rates of interest 92 3.2 Present values: single payments 92 3.2.1 Present value: annual discounting 92 3.2.2 Present values: more frequent discounting 93 3.3 Future values: multiple payments 93 3.3.1 Irregular payments 93 3.3.2 Regular payments: annual payments with annual compounding 94 3.3.3 Regular payments: annual payments with more frequent compounding 95 3.3.4 Regular payments: more frequent payments and compounding 96 3.4 Present values: multiple payments 96 3.4.1 Irregular payments 96 3.4.2 Regular payments: annual payments with annual discounting 97 3.4.3 Regular payments: annual payments with more frequent discounting 97 3.4.4 Regular payments: more frequent payments and discounting 98 3.4.5 Perpetuities 100 3.5 Rates of return 100 3.5.1 Single-period rale of return 100 3.5.2 Internal rate of return or money-weighted rate of return 101 3.5.3 Time-weighted rate of return or geometric mean rate of return 103 Appendix: A simple iterative method for calculating internal rates of return 104 II The Analysis and Valuation of Securities 107 4 Monty market securities 111 4.1 Securities quoted on a yield basis 112 4.1.1 Money market deposits 112 4.1.2 Negotiable certificates of deposit 113 4.2 Securities quoted on a discount basis 116 4.3 Recent innovations 120 5 Bonds 123 5.1 Types of bond 123 5.2 The fair pricing of bonds 127 5.3 Clean and dirty bond prices 128 5.4 Yield measures on bonds 129 5.4.1 Current yield 130 5-4.2 Simple yield to maturity 131 5.4.3 Yield to maturity 131 5.4.4 Holding-period yield 135 5.4.5 Yield to par 135 5.4.6 Yield to call and yield to put 135 5.4.7 Yield to average life and yield to equivalent life 136 5.4.8 Index-linked yields 138 5.5 Yield curves 141 5.5.1 The yield to maturity yield curve 142 5.5.2 The coupon yield curve 142 5.5.3 The par yield curve 142 5.5.4 The spot (or zero-coupon) yield curve 144 5.5.5 The forward yield curve 146 5.5.6 The annuity yield curve 150 5.5.7 Rolling yield curve 150 5.6 Theories of the yield curve 152 5.6.1 The expectations hypothesis 152 5.6.2 The liquidity preference theory 153 5.6.3 The segmentation or preferred habitat theory 154 5.7 Fitting the yield curve 154 5.7.1 Polynomial curve fitting 154 5.7.2 Regression analysis 155 5.7.3 Matrix modelling 156 5.8 Interest rate risk 158 5.8.1 Duration 158 5.8.2 Convexity 164 5.8.3 Dispersion 166 5.9 Floating rate notes 166 5.10 Recent innovations: the gilt repurchase market 170 6 Shares 181 6.1 Types of share in the firm 181 6.2 The financial structure of the firm 183 6.2.1 The income statement and statement of retained earnings 183 6.2.2 Inflation accounting 184 6.2.3 Depreciation 184 6.2.4 Corporation tax and corporate capital gains tax 185 6.2.5 The effect of accounting conventions on reported earnings 188 6.2.6 The balance sheet 190 6.3 The fair pricing of shares 192 6.3.1 Valuation based on expected dividends 192 6.3.2 Valuation based on expected earnings 194 6.4 Dividend policy 196 6.5 Earnings analysis 198 6.5.1 Constant or normal growth models 198 6.5.2 Differential growth models 201 6.5.3 Forecasting earnings 205 6.6 The value of the firm: the effect of leverage 206 7 Foreign currency 215 7.1 The foreign exchange market 215 7.1.1 Spot foreign exchange transactions 216 7.1.2 Forward foreign exchange transactions 219 7.2 Exchange rate risk 222 7.3 Covering foreign exchange transactions 226 7.3.1 Covering forward transactions 226 7.3.2 Covering spot transactions 228 7.4 The fair pricing of foreign currency 230 7.4.1 Consistent cross exchange rates 230 7.4.2 Purchasing power parity 231 7.4.3 International Fisher effect 234 7.4.4 Covered interest rate parity 235 7.4.5 Uncovered interest rale parity 236 8 Forwards and futures 239 8.1 Forward and futures contracts 239 8.1.1 Forward contracts 239 8.1.2 Futures contracts 240 8.2 Financial futures contracts 244 8.2.1 Short-term interest rale futures 247 8.2.2 Long-term interest rate futures 250 8.2.3 Currency futures 257 8.2.4 Stock index futures 257 8.3 The fair pricing of forward and financial futures contracts 260 8.3.1 Fair pricing with no uncertainty 260 8.3.2 Futures prices and expected spot prices 262 8.3.3 Fair pricing of the short-term interest rate contract 263 8.3.4 Fair pricing of the long-term interest rate contract 264 8.3.5 Fair pricing of the currency contract 266 8.3.6 Fair pricing of the stock index contract 267 9 Options, warrants and convertibles 273 9.1 Option contracts 273 9.2 Option combinations 277 9.3 Financial options contracts 283 9.3.1 Equity options 288 9.3.2 Interest-rate options 291 9.3.3 Currency options 297 9.3.4 Stock index options 297 9.3.5 Restricted-life traded options 301 9.3.6 Traditional options 302 9.3.7 Over-the-counter options 302 9.4 The fair pricing of options contracts 303 9.4.1 Factors influencing the premium 303 9.4.2 Boundary conditions for options 304 9.4.3 The binomial model of the fair European call option price 309 9.4.4 The Black-Scholes model of die fair European call option price 312 9.4.5 Properties of the Black-Scholes model: the Greeks 316 9.4.6 Pricing a European put option 321 9.4.7 Modifications to the Black-Scholes model 322 9.5 Exotic options 327 9.6 Warrants and convertibles 334 9.6.1 Warrants 334 9.6.2 Convertibles 336 Appendix A: Accounting issues with options and futures contracts 338 Appendix B: Taxation issues with options and futures contracts 340 Appendix C: Standard normal distribution table 342 10 Synthetic securities 349 10.1 The basic building blocks of synthetic securities 349 10.2 Synthetic options and futures 352 10.3 Swaps 357 10.3.1 Interest rate swaps 358 10.3.2 Basis swaps 363 10.3.3 Currency swaps 363 10.3.4 Asset swaps 369 10.3.5 More esoteric swaps 370 10.3.6 The risks involved in swaps 371 10.3.7 The uses of swaps 372 10.4 Forward rate agreements 373 10.5 Caps, floors and collars 375 10.6 Bundled and unbundled securities 378 10.6.1 Bundled securities 378 10.6.2 Unbundled securities 380 III Portfolio Analysis, Management and Performance Measurement 385 11 Market efficiency: theory and evidence 389 11.1 Allocative operational and informational efficiency 389 11.2 The EMH the fair game model and random walk 390 11.3 The EMH and information 392 11.4 The EMH and an information-efficient equilibrium 393 11.5 Tests of the efficient markets hypothesis 394 11.5.1 Evidence favouring the efficient markets hypothesis 394 11.5.2 Evidence against the efficient markets hypothesis 398 11.5.3 Are the financial markets efficient? 405 12 Speculation and arbitrage 415 12.1 Speculation 415 12.1.1 The process of speculation 415 12.1.2 Trading strategies with futures 417 12.1.3 Trading strategies with options 426 12.2 Arbitrage 434 12.2.1 The process of arbitrage 434 12.2.2 Arbitrage strategies with futures 435 12.2.3 Arbitrage strategies with options 439 Appendix A: The collapse of Barings Bank 441 Appendix B: Technical analysis 444 13 Portfolio analysis and asset pricing 461 13.1 Portfolio analysis 461 13.1.1 Choice under uncertainty: the consumption of risk and return 461 13.1.2 Portfolios under uncertainty: the production of risk and return 465 13.1.3 Diversification 468 13.1.4 The minimum standard deviation portfolio opportunity set and the efficient set 474 13.1.5 The efficient set when there is a riskless security 476 13.1.6 Market equilibrium, portfolio optimally and the pricing of efficient portfolios 477 13.1.7 Pricing inefficient portfolios and the decomposition of total risk 482 13.2 Asset pricing 489 13.2.1 The capital asset pricing model 489 13.2.2 The multi-factor model 501 13.2.3 The arbitrage pricing model 501 14 Portfolio management 511 14.1 The functions of portfolio management 511 14.2 Assessing the investing client's utility function 514 14.3 Passive portfolio management 519 14.3.1 Passive portfolio management for an expected utility-maximizing client 519 14.3.2 Passive portfolio management for a safety-first client 521 14.4 Active portfolio management and adjustment 528 14.4.1 Active share portfolio management and adjustment 528 14.4.2 Active treasury portfolio management 537 14.4.3 Active bond portfolio management and adjustment 538 14.5 Mixed active-passive portfolio management 542 14.6 Investment management styles 544 14.6.1 Traditional investment management 545 14.6.2 Quantitative investment management 547 14.7 Recent innovations: hedge funds and bear funds 548 Appendix: Investment-Objectives Questionnaire 550 15 Portfolio performance measurement 559 15.1 The components of portfolio performance measurement 559 15.1.1 Ex post returns 559 15.1.2 Adjusting for risk 562 15.1.3 Benchmarks of comparison 562 15.2 Measures of portfolio performance 564 15.2.1 Performance measures based on risk-adjusted excess returns 564 15.2.2 Performance measures based on alpha values 567 15.3 The decomposition of total return 570 15.4 Treasury performance measurement 574 15.5 Asset-liability managed portfolios 574 15.6 Portfolios containing financial futures and options contracts 578 15.6.1 Individual treatment of futures 578 15.6.2 Individual treatment of options 579 15.6.3 A worked example 580 15.7 Performance measurement with multiple fund managers 586 15.8 The Roll critique of performance measurement 588 15.9 Evidence on the performance of fund managers 588 Appendix: A note on the different uses of the geometric mean and the arithmetic mean 590 16 Hedging and efficient portfolio management 597 16.1 The objective of hedging 597 16.2 Money market hedges 599 16.3 Hedging using futures 601 16.3.1 Hedging with short-term interest rate futures contracts 601 16.3.2 Hedging with stock index futures contracts 604 16.3.3 Hedging with long-term interest rate futures contracts 613 16.3.4 Hedging with currency futures contracts 617 16.4 Hedging using options 620 16.4.1 Hedging with individual stock options contracts 621 16.4.2 Hedging with stock index options contracts 627 16.4.3 Hedging with short-term interest rale options contracts 630 16.4.4 Hedging with long-term interest rate options contracts 631 16.4.5 Hedging with currency options contracts 632 16.5 Hedging with swaps and swaptions 633 16.6 Hedging with FRAs 637 16.7 Hedging with caps, floors and collars 637 16.8 Portfolio insurance 638 16.9 Efficient portfolio management 643 IV Postscript 655 17 The failure of financial markets 659 17.1 The anatomy of the crash 659 17.2 The consequences of the crash 661 17.3 The causes of the crash 663 17.4 Conclusion 669 18 Recent developments in financial market analysis 673 18.1 Value-at-risk analysis 673 18.2 Speculative bubbles 676 18.3 Volatility effects in financial markets 678 18.4 Chaos 682 18.5 Neural networks 693

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