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" Investments / "
Zvi Bodie, Boston University, Alex Kane, University of California, San Diego, Alan J. Marcus, Boston College
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BL
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| Record Number
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580627
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| Doc. No
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b409846
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| Main Entry
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Bodie, Zvi
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| Title & Author
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Investments /\ Zvi Bodie, Boston University, Alex Kane, University of California, San Diego, Alan J. Marcus, Boston College
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| Edition Statement
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Ninth edition
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| Series Statement
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The McGraw-Hill/Irwin series in finance, insurance and real estate
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| Page. NO
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1 v. (various pagings) :: ill. ;; 27 cm
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| ISBN
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9780073530703 (alk. paper)
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: 0073530700 (alk. paper)
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| Bibliographies/Indexes
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Includes bibliographical references and indexes
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| Contents
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Note continued: The Issues -- The Magnitude Issue -- The Selection Bias Issue -- The Lucky Event Issue -- Weak-Form Tests: Patterns in Stock Returns -- Returns over Short Horizons -- Returns over Long Horizons -- Predictors of Broad Market Returns -- Semistrong Tests: Market Anomalies -- The Small-Firm-in-January Effect -- The Neglected-Firm Effect and Liquidity Effects -- Book-to-Market Ratios -- Post-Earnings-Announcement Price Drift Strong-Form Tests: Inside Information -- Interpreting the Anomalies -- Risk Premiums or Inefficiencies? -- Anomalies or Data Mining? -- Bubbles and Market Efficiency -- 11.5.Mutual Fund and Analyst Performance -- Stock Market Analysts -- Mutual Fund Managers -- So, Are Markets Efficient? -- End of Chapter Material -- ch. 12 Behavioral Finance and Technical Analysis -- 12.1.The Behavioral Critique -- Information Processing -- Forecasting Errors -- Overconfidence -- Conservatism -- Sample Size Neglect and Representativeness -- Behavioral Biases Framing -- Mental Accounting -- Regret Avoidance -- Prospect Theory -- Limits to Arbitrage Fundamental Risk -- Implementation Costs -- Model Risk Limits to Arbitrage and the Law of One Price -- "Siamese Twin" Compnies -- Equity Carve-Outs -- Closed-End Funds -- Bubbles and Behavioral Economics -- Evaluating the Behavioral Critique -- 12.2.Technical Analysis and Behavioral Finacne -- Trends and Corrections -- Down Theory -- Moving Averages -- Breadth Sentiment Indicators -- Trin Statistic -- Confidence Index -- Put -- Call Ratio A Warning -- End of Chapter Material -- ch. 13 Empirical Evidance on Security Returns -- 13.1.The Index Model and the Single-Factor APT -- The Expected Return -- Beta Relationship Setting Up the Sample Data -- Estimating the SCL -- Estimating the SML -- Tests of the CAPM -- The Market Index -- Measurement Error in Beta -- The EMH and the CAPM -- Accounting for Human Capital and Cyclical Variations in Asset Betas -- Accounting for Nontraded Business -- 13.2.Tests of Multifactor CAPM and APT -- A Macro Factor Model -- 13.3.The Fama-French Three-Factor Model -- Risk-Based Interpretations -- Behavioral Explanations -- Momentum: A Fourth Factor -- 13.4.Liquidity and Asset Pricing -- Liquidity and Efficient Market Anomalies -- 13.5.Consumption-Based Asset Pricing and the Equity Premium Puzzle -- Consumption Growth and Market Rates of Return -- Expected versus Realized Returns -- Survivorship Bias -- Extensions to the CAPM May Resolve the Equity Premium Puzzle -- Liquidity and the Equity Premium Puzzle -- Behavioral Explanations of the Equity Premium Puzzle -- End of Chapter Material -- pt. IV Fixed-Income Securities -- ch. 14 Bond Prices and Yields -- 14.1.Bond Characteristics -- Treasury Bonds and Notes -- Accrued Interest and Quoted Bond Prices -- Corporate Bonds -- Call Provisions on Corporate Bonds -- Convertible Bonds -- Puttable Bonds -- Floating-Rate Bonds -- Preferred Stock -- Other Issuers -- International Bonds -- Innovation in the Bond Market -- Inverse Floaters -- Asset-Backed Bonds -- Catastrophe Bonds -- Indexed Bonds -- 14.2.Bond Pricing -- Bond Pricing between Coupon Dates -- 14.3.Bond Yields -- Yield to Maturity -- Yield to Call -- Realized Compound Return versus Yield to Maturity -- 14.4.Bond Prices over Time -- Yield to Maturity versus Holding-Period Return -- Zero-Coupon Bonds and Treasury Strips -- After-Tax Returns -- 14.5.Default Risk and Bond Pricing -- Junk Bonds -- Determinants of Bond Safety -- Bond Indentures -- Sinking Funds -- Subordination of Further Debt -- Dividend Restrictions -- Collateral -- Yield to Maturity and Default Risk -- Credit Default Swaps -- Credit Risk and Collateralized Debt Obligations -- End of Chapter Material -- ch. 15 The Term Structure of Interest Rates -- 15.1.The Yield Curve -- Bond Pricing -- 15.2.The Yield Curve and Future Interest Rates -- The Yield Curve under Certainty -- Holding-Period Returns -- Forward Rates -- 15.3.Interest Rate Uncertainty and Forward Rates -- 15.4.Theories of the Term Structure -- The Expectations Hypothesis -- Liquidity Preference -- 15.5.Interpreting the Term Structure -- 15.6.Forward Rates as Forward Contracts -- End of Chapter Material -- ch. 16 Managing Bond Portfolios -- 16.1.Interest Rate Risk -- Interst Rate Sensitivity -- Duration -- What Determines Duration? -- Rule 1 for Duration -- Rule 2 for Duration -- Rule 3 for Duration -- Rule 4 for Duration -- Rule 5 for Duration -- 16.2.Convexity -- Why Do Investors Like Convexity? -- Duration and Convexity of Callable Bonds -- Duration and Convexity of Mortagage-Backed Securities -- 16.3.Passive Bond Management -- Bond-Index Funds -- Immunization -- Cash Flow Matching and Dedication -- Other Problems with Conventional Immunization -- 16.4.Active Bond Management -- Sources of Potential Profit -- Horizon Analysis -- End of Chapter Material -- pt. V Security Analysis -- ch. 17 Macroeconomic and Industry Analysis -- 17.1.The Global Economy -- 17.2.The Domestic Macroeconomy -- 17.3.Demand and Supply Shocks -- 17.4.Federal Government Policy -- Fiscal Policy -- Monetary Policy -- Supply-Side Policies -- 17.5.Business Cycles -- The Business Cycle -- Economic Indicators -- Other Indicators -- 17.6.Industry Analysis -- Defining an Industry -- Sensitivity to the Business Cycle -- Sector Rotation -- Industry Life Cycles -- Start-Up Stage -- Consolidation Stage -- Maturity Stage -- Relative Decline -- Industry Structure and Performance -- Threat of Entry -- Rivalry between Existing Competitors -- Pressure from Substitute Products -- Bargaining Power of Buyers -- Bargaining Power of Suppliers -- End of Chapter Material -- ch. 18 Equity Valuation Models -- 18.1.Valuation by Comparables -- Limitations of Book Value -- 18.2.Intrinsic Value versus Market Price -- 18.3.Dividend Discount Models -- The Constant-Growth DDM -- Convergence of Price to Intrinsic Value -- Stock Prices and Investment Opportunities -- Life Cycles and Multistage Growth Models -- Multistage Growth Models -- 18.4.Price-Earnings Ratio -- The Price-Earnings Ratio and Growth Opportunities -- P/E Ratios and Stock Risk -- Pitfalls in P/E Analysis -- Combining P/E Analysis and the DDM -- Other Comparative Valuation Ratios -- Price-to-Book Ratio -- Price-to-Cash-Flow Ratio -- Price-to-Sales Ratio -- 18.5.Free Cash Flow Valuation Approaches -- Comparing the Valuation Models -- 18.6.The Aggregate Stock Market -- Explaining Past Behavior -- Forecasting the Stock Market -- End of Chapter Material -- ch. 19 Financial Statement Analysis -- 19.1.The Major Financial Statements -- The Income Statement -- The Balance Sheet -- The Statement of Cash Flows -- 19.2.Accounting versus Economic Earnings -- 19.3.Profitability Measures -- Past versus Future ROE -- Financial Leverage and ROE -- 19.4.Ratio Analysis -- Decomposition of ROE -- Turnover and Other Asset Utilization Rations -- Liquidity Ratios -- Market Price Ratios: Growth versus Value -- Choosing a Benchmark -- 19.5.Economic Value Added -- 19.6.An Illustration of Financial Statement Analysis -- 19.7.Comparability Problems -- Inventory Valuation -- Depreciation -- Inflation and Interest Expense -- Fair Value Accounting -- Quality of Earnings -- International Accounting Conventions -- 19.8.Value Investing: The Graham Technique -- End of Chapter Material -- pt. VI Options, Futures, and Other Derivatives -- ch. 20 Options Markets: Introduction -- 20.1.The Option Contract -- Options Trading -- American and European Options -- Adjustments in Option Contract Terms -- The Options Clearing Corporation -- Other Listed Options -- Index Options -- Futures Options -- Foreign Currency Options -- Interest Rate Options -- 20.2.Values of Options at Expiration -- Call Options -- Put Options -- Option versus Stock Investments -- 20.3.Option Strategies -- Protective Put -- Covered Calls -- Straddle -- Spreads -- Collars -- 20.4.The Put-Call Parity Relationship -- 20.5.Option-like Securities -- Callable Bonds -- Convertible Securities -- Warrants -- Collateralized Loans -- Levered Equity and Risky Debt -- 20.6.Financial Engineering -- 20.7.Exotic Options -- Asian Options -- Barrier Options -- Lookback Options -- Currency-Translated Options -- Digital Options -- End of Chapter Material -- ch.
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21 Option Valuation -- 21.1.Option Valuation: Introduction -- Intrinsic and Time Values -- Determinants of Option Values -- 21.2.Restrictions on Option Values -- Restrictions on the Value of a Call Option -- Early Exercise and Dividends -- Early Exercise of American Puts -- 21.3.Binomial Option Pricing -- Two-State Option Pricing -- Generalizing the Two-State Approach -- 21.4.Black-Scholes Option Valuation -- The Black-Scholes Formula -- Dividends and Call Option Valuation -- Put Option Valuation -- Dividends and Put Option Valuation -- 21.5.Using the Black-Scholes Formula -- Hedge Ratios and the Black-Scholes Formula -- Profolio Insurance -- Hedging Bets on Mispriced Options -- 21.6.Empirical Evidence on Option Pricing -- End of Chapter Material -- ch. 22 Futures Markets -- 22.1.The Futures Contract -- The Basics of Futures Contracts -- Existing Contracts -- 22.2.Trading Mechanics -- The Clearinghouse and Open Interest -- The Margin Account and Marking to Market -- Cash versus Actual Delivery -- Regulations -- Taxation -- 22.3.Futures Markets Strategies -- Hedging and Speculation -- Basis Risk and Hedging -- 22.4.Futures Prices -- The Spot-Futures Parity Theorem -- Spreads -- Forward versus Futures Pricing -- 22.5.Futures Prices versus Expected Spot Prices -- Expection Hypothesis -- Normal Backwardation -- Contango -- Modern Portfolio Theory -- End of Chapter Material -- ch. 23 Futures, Swaps, and Risk Management -- 23.1.Foreign Exchange Futures -- The Markets -- Interest Rate Parity -- Direct versus Indirect Quotes -- Using Futures to Manage Exchange Rate Risk -- 23.2.Stock-Index Futures -- The Contracts -- Creating Synthetic Stock Positions: An Asset Allocation Tool -- Index Arbitrage --
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Note continued: Using Index Futures to Hedge Market Risk -- 23.3.Interest Rate Futures -- Hedging Interest Rate Risk -- 23.4.Swaps -- Swaps and Balance Sheet Restructuring -- The Swap Dealer -- Other Interest Rate Contracts -- Swap Pricing -- Credit Risk in the Swap Market -- Credit Default Swaps -- 23.5.Commodity Futures Pricing -- Pricing with Storage Costs -- Discounted Cash Flow Analysis for Commodity Futures -- End of Chapter Material -- pt. VII Applied Portfolio Management -- ch. 24 Portfolio Performance Evaluation -- 24.1.The Conventional Theory of Performance Evaluation -- Average Rates of Return -- Time-Weighted Returns versus Dollar-Weighted Returns -- Adjusting Returns for Risk -- The M2 Measure of Performance -- Sharpe's Measure as the Criterion for Overall Portfolios -- Appropriate Performance Measures in Two Scenarios -- Jane's Portfolio Represents Her Entire Risky Investment Fund -- Jane's Choice Portfolio is One of Many Portfolios Combined into a Large Investment Fund -- The Role of Alpha in Performance Measures -- Actual Performance Measurement: An Example -- Realized Returns versus Expected Returns -- 24.2.Performance Measurement for Hedge Funds -- 24.3.Performance Measurement with Changing Portfolio Composition -- 24.4.Market Timing -- The Potential Value of Market Timing -- Valuing Market Timing as a Call Option -- The Value of Imperfect -- Forecasting -- 24.5.Style Analysis -- Style Analysis and Multifactor Benchmarks -- Style Analysis in Excel -- 24.6.Morningstar's Risk-Adjusted Rating -- 24.7.Evaluating Performance Evaluation -- 24.8.Performance Attribution Procedures -- Asset Allocation Decisions -- Sector and Security Selection Decisions -- Summing Up Component Contributions -- End of Chapter Material -- ch. 25 International Diversification -- 25.1.Global Markets for Equities -- Developed Countries -- Emerging Markets -- Market Capitalization and GDP -- Home-Country Bias -- 25.2.Risk Factors in International Investing -- Exchange Rate Risk -- Political Risk -- 25.3.Internatinal Investing: Risk, Return, and Benefits from Diversification -- Risk and Return: Summary Statistics -- Are Investments in Emerging Markets Riskier? -- Average Country-Index Returns and Capital Asset Pricing Theory -- Benefits from International Diversification -- Misleading Representation of Diversification Benefits -- Realistic Benefits from International Diversification -- Are Benefits from International Diversification Preserved in Bear Markets? -- 25.4.Assessing the Potential of International Diversification -- 25.5.International Investing and Performance Attribution -- Constructing a Benchmark Portfolio of Foreign Assets -- Performance Attribution -- End of Chapter Material -- ch. 26 Hedge Funds -- 26.1.Hedge Funds versus Mutual Funds -- 26.2.Hedge Fund Strategies -- Directional and Nondirectional Strategies -- Statistical Arbitrage -- 26.3.Portable Alpha -- An Example of a Pure Play -- 26.4.Style Analysis for Hedge Funds -- 26.5.Performance Measurement for Hedge Funds -- Liquidity and Hedge Fund Performance -- Hedge Fund Performance and Survivorship Bias -- Hedge Fund Performance and Changing Factor Loadings -- Tail Events and Hedge Fund Performance -- 26.6.Fee Structure in Hedge Funds -- End of Chapter Material -- ch. 27 The Theory of Active Portfolio Management -- 27.1.Optimal Portfolios and Alpha Values -- Forecasts of Alpha Values and Extreme Portfolio Weights -- Restriction of Benchmark Risk -- 27.2.The Treynor-Black Model and Forecast Precision -- Adjusting Forecasts for the Precision of Alpha -- Distribution of Alpha Values -- Organizational Structure and Performance -- 27.3.The Black-Litterman Model -- A Simple Assets Allocation Decision -- Step 1 The Covariance Matrix from Historical Data -- Step 2 Determination of a Baseline Forecast -- Step 3 Integrating the Manger's Private Views -- Step 4 Revised (Posterior) Expectations -- Step 5 Portfolio Optimization -- 27.4.Treynor-Black versus Black-Litterman: Complements, Not Substitutes -- The BL Model as Icing on the TB Cake -- Why Not Replace the Entire TB Cake with the BL Icing? -- 27.5.The Value of Active Management -- A Model for the Estimation of Potential Fees -- Results from the Distribution of Actual Information Ratios -- Results from Distribution of Actual Forecasts -- Results with Reasonable Forecasting Records -- 27.6.Concluding Remarks on Active Management -- End of Chapter Material -- Appendix A Forecasts and Realizations of Alpha -- Appendix B The General Black-Litterman Model -- ch. 28 Investment Policy and the Framework of the CFA Institute -- 28.1.The Investment Management Process -- Objectives -- Individual Investors -- Personal Trusts -- Mutual Funds -- Pension Funds -- Endowment Funds -- Life Insurance Companies -- Non-Life Insurance Companies -- Banks -- 28.2.Constraints -- Liquidity -- Investment Horizon -- Regulations -- Tax Considerations -- Unique Needs -- 28.3.Policy Statements -- Sample Policy Statements for Individual Investors -- 28.4.Asset Allocation -- Policy Statements -- Taxes and Asset Allocation -- 28.5.Managing Portfolios of Individual Investors -- Human Capital and Insurance -- Investment in Residence -- Saving for Retirement and the Assumption of Risk -- Retirement Planning Models -- Manage Your Own Portfolio or Rely on Others? -- Tax Sheltering -- The Tax-Deferral Option -- Tax-Deferred Retirement Plans -- Deferred Annuities -- Variable and Universal Life Insurance -- 28.6.Pension Funds -- Defined Contribution Plans -- Defined Benefit Plans -- Alternative Perspectives on Defined Benefit Pension Obligations -- Pension Investment Strategies -- Investing in Equities -- Wrong Reasons to Invest in Equities -- 28.7.Investments for the Long Run -- Advice from the Mutual Fund Industry -- Target Investing and the Term Structure of Bonds -- Making Simple Investment Choices -- Inflation Risk and Long-Term Investors -- End of Chapter Material
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Investments
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| Subject
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Portfolio management
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| Dewey Classification
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332.6
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| LC Classification
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HG4521.B564 2011
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HG4521.B564 2011
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| Added Entry
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Kane, Alex,1942-
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Marcus, Alan J.
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