Equity Markets and Portfolio Analysis E-Book

R. Stafford Johnson

• Herausgeber: John Wiley & Sons
• Kategorie: Fachliteratur
• Serie: Bloomberg Professional
• Sprache: Englisch

Seitenzahl: 1247

Veröffentlichungsjahr: 2014

Beschreibung

Understand today's investment challenges and the role of the Bloomberg system

In recent years, changes have swept through the investment industry like wildfire. Academia has followed along and provided new lenses for viewing this transformation, as well as new strategies for gaining a true understanding and knowledge of investment and financial markets. Now, Equity Markets and Portfolio Analysis has been created to further inform investment professionals and finance students on the basic concepts and strategies of investments, and to provide more detailed discussions on advanced strategies and models. The concepts covered in this book will help readers gain a better understanding of the markets and uses for an increasing number of securities, strategies, and methodologies.

Equity Markets and Portfolio Analysis is the only core investment book that covers the functionality of Bloomberg terminals, increasingly critical tools both in the classroom and on the trading floor. As Bloomberg terminals now play a key role in the research, teaching, and managing of student investment funds, understanding the system's information and analytical functions has become more important than ever.

• In-depth coverage of fundamentals through more detailed concepts for students and professionals who want to better understand the evaluation, selection, and management of securities
• One-of-a-kind training and instructional course, introduction to Bloomberg investment subjects, and reference for CFA preparation
• Bloomberg material provided in an appendix accompanying each chapter, a useful option for professors
• Ideal for finance practitioners, investment bankers, and academics

This unique resource will give readers both the foundational knowledge and the analytical tools necessary for investment success, both in the classroom and in the real world.

Leseprobe

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EQUITY MARKETS AND PORTFOLIO ANALYSIS

R. Stafford Johnson

Cover design: C. Wallace

Cover images: Background © Jamie Carroll/iStockPhoto; charts courtesy of R. Stafford Johnson

Copyright © 2014 by R. Stafford Johnson. All rights reserved.

Published by John Wiley & Sons, Inc., Hoboken, New Jersey.

Published simultaneously in Canada.

No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, [phone], fax [phone], or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, [phone], fax [phone], or online at http://www.wiley.com/go/permissions.

Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.

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Library of Congress Cataloging-in-Publication Data:

Johnson, R. Stafford.     Equity markets and portfolio analysis / R. Stafford Johnson.         pages cm. — (Bloomberg financial series)     Includes index.     ISBN 978-1-118-20268-5 (cloth)   1. Stock exchanges.    2. Investment analysis.    3. Portfolio management.    4. Investments.    I. Title. HG4551.J645 2014 332.63′2—dc23

2013049989

ISBN 9781118202685 (Hardcover) ISBN 9781118228272 (ePDF) ISBN 9781118240656 (ePub)

This book is dedicated to the memory of my beloved wife, Jan—mother, grandmother, and educator—a beautiful person.

Contents

Preface

Content

Acknowledgments

CHAPTER 1 Overview of the Financial System

Real and Financial Assets

Types of Equity Claims

Types of Debt Claims

Financial Markets

Types of Financial Markets

Regulations

Efficient Financial Markets

Characteristics of Assets

Conclusion

Web Site Information

Notes

Selected References

CHAPTER 2 Overview and Guide to the Bloomberg System

Introduction

Bloomberg System—Bloomberg Keyboard

Accessing Some of the Information Discussed in Chapter 1

Indexes

Functionality

Economic, Industry, Law, and Municipal Information Screens

Monitor and Portal Screens

Portfolios and Baskets

Screening and Search Functions

The Bloomberg Excel Add-In: Importing Bloomberg into Excel

Launchpad

Other Bloomberg Functions

Conclusion

Bloomberg Exercises

CHAPTER 3 Stock and Bond Valuation and Return

Introduction

Rate of Return

Future and Present Values

Bond Valuation

The Yield to Maturity and Other Rates of Return Measures for Bonds

Total Return

Spot Rates and Equilibrium Prices

Geometric Mean

Stock Valuation and Return

Fundamental Stock Valuation

Two-Stage and Three-Stage Growth Models

The Bloomberg Three-Stage Growth Model—DDM

Valuation of Preferred Stock

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

CHAPTER 4 Equity Securities, Markets, and Trading

Introduction

Types of Equity Securities

How Stocks and other Securities are Traded—Primary Market

The Markets for Existing Securities

Convergences of Organized Exchanges, the OTC Market, and the Electronic Communications Networks

Trading Securities in the Market

Types of Transactions

Types of Orders

Cost of Trading

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

CHAPTER 5 Investment Funds, Intermediate Securities, and Global Equity Markets

Introduction

Investment Funds

Exchange-Traded Funds

Other Investment-Type Funds and Securities

Insurance Companies, Pension Funds, and Investment Banks

Financial Service Industry, the 2008 Financial Crisis, and Regulations

Global Equity Markets and Exchanges

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

CHAPTER 6 Expected Rate of Return and Risk—Stock

Introduction

Risk-Free Security, Nominal Rates, and Real Rates

Stock Risk: Firm, Industry, and Market Risk

Statistical Measurements of Expected Return and Risk

Parameter Estimates: Historical Averages

Parameter Estimates: Regression

Relationship between Return and Risk

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

CHAPTER 7 Portfolio Evaluation

Introduction

Portfolio Return and Risk

Portfolio Risk and Size Relation

Return and Risk of a Portfolio of Risky Stocks and a Risk-Free Security

Portfolio Performance Evaluation Using Bloomberg

Conclusion

Web Site Information

Selected References

Bloomberg Exercises

CHAPTER 8 Portfolio Selection— Markowitz Model

Introduction

Two-Security Portfolio Return-Risk Relation

Markowitz Portfolio Selection

Efficiency Frontier

Single-Index Model

Elton, Gruber, and Padberg

Multi-Index Models

Conclusion

Notes

Selected References

Bloomberg Exercises

CHAPTER 9 The Capital Asset Pricing Model

Introduction

Overview

Derivation of the CAPM

Empirical Tests of the CAPM

Application of CAPM: Wells Fargo Stock Selection Approach

Conclusion

Notes

Selected References

Bloomberg Exercises

CHAPTER 10 The Arbitrage Pricing Theory

Introduction

Derivation of the Model

Empirical Tests of the APT

Application of APT: Factor Models

Conclusion

Notes

Selected References

Bloomberg Exercises

CHAPTER 11 The Financial Anatomy of a Company—Fundamental Analysis

Introduction

Stock Value

Equity Valuation of a Firm

Capital Structure

Corporate Investments

Mergers and Acquisitions

Conclusion

Notes

Selected References

Bloomberg Exercises

CHAPTER 12 Applied Fundamental Analysis

Introduction

Valuation Using the Multiplier Approach

Valuation Using the Discounted-Cash Flow Model and Bloomberg's DDM Model

Growth Duration Model

Economic Value Added

Relative Analysis

Qualitative Analysis

When to Sell

Conclusion

Web Site Information

Selected References

Bloomberg Exercises

CHAPTER 13 Market and Industrial Analysis: Top-Down Approach

Introduction

Macroeconomic Environment

Business Fluctuations: Overshooting, Corrections, and Financial Crisis

Economic Indicators

Industry Analysis

Aggregate Stock Market Analysis and Valuation

Industry Analysis and Valuation

Top-Down Portfolio Management

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

CHAPTER 14 Technical Analysis

Introduction

Price Trends

Price Trends Combined with Volume and Moving Averages

Market and Stock Metrics

Technical Analysis of Other Markets and Portfolios

Behavioral Finance

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

CHAPTER 15 Efficient Markets

Introduction

Efficient Market Theory

Studies of the Weak-Form Hypothesis

Studies of the Semi-Strong-Form Hypothesis

Studies of the Strong-Form Hypothesis

Conclusions on the Strong-Form Efficient Markets

Portfolios Revisited: Equity Style Portfolios

Conclusion

Notes

Selected References

Bloomberg Exercises

CHAPTER 16 Options Markets

Introduction: Short History of the Derivative Market

Option Strategies

Fundamental Option Strategies

Other Option Strategies

Option Price Relations

Option Exchanges

Stock Index Options

Black-Scholes Option Pricing Model

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

CHAPTER 17 Futures Markets

Introduction

The Nature of Futures Trading and the Role of the Clearinghouse

The Market and Characteristics of Futures Contracts

Equity Index Futures

Pricing Futures and Forward Contracts: Carrying-Cost Model

Options on Futures Contracts

Conclusion

Web Site Information

Notes

Selected References

Bloomberg Exercises

Index

End User License Agreement

List of Illustrations

Chapter 1

EXHIBIT 1.1

Security Acts of 1933 and 1934: Price Manipulation

EXHIBIT 1.2

U.S. Federal Laws Related to Security Training

EXHIBIT 1.3

Bond Ratings

Chapter 2

EXHIBIT 2.1

Bloomberg Description (DES) and Price Graph (GP)

EXHIBIT 2.2

Bloomberg Menu and Description (DES) for a Bond

EXHIBIT 2.3

Bloomberg Government Bond

EXHIBIT 2.4

Bloomberg Government Bond Description Slide

EXHIBIT 2.5

Bloomberg Index Search (SECF)

EXHIBIT 2.6

Bloomberg DES and MEMB Screens for S&P 500

EXHIBIT 2.7

Bloomberg's Financial Analysis (FA) Screen, GMCR

EXHIBIT 2.8

Bloomberg's Relative Valuation (RV) Screen, GMCR

EXHIBIT 2.9

Bloomberg's Graphical Financial Analysis (GF) Screen, GMCR

EXHIBIT 2.10

Bloomberg's ECOF Screen

EXHIBIT 2.11

Bloomberg's ECO Screen

EXHIBIT 2.12

Bloomberg's ECST

EXHIBIT 2.13

Bloomberg's Sector and Industry Information (BI) Screen

EXHIBIT 2.14

Bloomberg IMAP Screen

EXHIBIT 2.15

Bloomberg Country Information and Indicators, COUN

EXHIBIT 2.16

Bloomberg's EVTS Screen

EXHIBIT 2.17

Portfolio Screens, PMEN: PORT, Characteristics Tab

EXHIBIT 2.18

GP Screen for CIXB-Created Portfolio

EXHIBIT 2.19

Launchpad, Xavier Student Equity Fund

Chapter 3

EXHIBIT 3.1

The Value Over Time of an Original 10-Year, 9 Percent Annual Coupon Bond Selling at Par, Discount, and Premium

EXHIBIT 3.2

P&G Bond, Bloomberg Screens: DES and YAS

EXHIBIT 3.3

Bloomberg Price Quotes and Descriptions of U.S. Treasury Securities: Bloomberg FIT, YAS, Cash Flows (CSHF), Composite Quotes (ALLQ)

EXHIBIT 3.4

Value of Perpetuity

EXHIBIT 3.5

Call Schedule and Yield-to-Call Calculations, Bloomberg YAS Screen (Call Tab)

EXHIBIT 3.6

Total Realized Return

EXHIBIT 3.7

Total Realized Return with Semiannual Cash Flows

EXHIBIT 3.8

Total Return, P&G Bond