savings borrowing債 issuing equity發股票 risk management exchange asset utilizing information（information- motivated traders）

平衡貨幣的供給與需求 （平衡點取決於risk，liquidity，maturity）

市面上錢有限，需合理配置ppt5-7

fixed income vs. equity securities

Pooled Investment Vehicles（集合投資產品，一般說的是fund）

public vs. private

匯率代表著一種經濟實力

basic information

how securities are sold

basic information

在二級市場交易時

how securities are sold

Leveraged Positions(簡而言之，借錢投資） Definition: An investor is said to be take leveraged positions if he borrowed funds to purchase an asset. Buy on margin: Investors who use leverage to buy securities by borrowing from their brokers are said to buy on margin and the borrowed funds are referred to as a margin loan.The interest rate paid on the funds is the call money rate. Leverage ratio: The leverage ratio of a margin investment is the value of the asset divided by the value of the equity position.（自有資金2購買價格為10的股票，槓桿率就是10/2=5.

Initial Margin（IM)

Maintenance Margin(MM)

Margin Call

Margin Call Price for a Leverage Position（跌到多少錢的時候接電話）

Make the market：限價的買賣價就是目前市面上最優的買賣價，提供流動性

Make a new market：限價的買家比目前市場最有的買價高，但是低於最優的賣價，提供流動性

Take the market：限定的賣價等於市面上最優的買價，可以立即成交，減少了市場的流動性

Behind the market：限定的買價比市面上最優的買價低，或限定的賣家比市面上最優的賣價高，提供流動性

Far from the market：限定的買家遠低於目前市場上最優的買價，或限定的賣價遠高於目前市場上最優的賣價，提供流動性

All-or-nothing orders execute only if the whole order can be filled要不是全成交或不成交

Hidden orders只有交易商能看到指令，盤口不顯示

Iceberg orders只顯示指令的一部分

A price-weighted index is an arithmetic average of current security prices, which means that indexes movements are influenced by the differential prices of the components. The price-weighted index assumes you purchase an equal number of shares (one) of each stock represented in the index

實際演算

1.買相同的股票數，簡單易操作 2.容易受到高價股的影響 3.如果有拆分的情況是需要調整的（2 for 1，一股拆2股，與拆分之前的市值應該相同）詳情見衝刺筆記P24。

購買相同的金額，剔除了收到高價股的影響

幾何平均始終是小於算數平均的

實際演算（先計算RA,RB,RC,然後再算平均數）

容易受到小型股的影響，因為小型股的價格波動較大

市值加權指數，每個成分股的權重等於其市值除以該指數中所有成分股的總市值

實際演算

容易受到大盤股的影響，因為在指數中大盤股的市值佔比較大，動量效應（momentum effect)

經過浮動調整的按市值加權：每隻股票的權重是由該股票的流通股的市值在總市值中的比重來決定的

剔除了限售股和非流動股的影響，股票只有在能夠交易的情況下才會對市場產生影響。

透過價值面的指標來決定成分股的權重。價值面的指標通常用股利

購買的價值股會更多，從而剔除了市值加權法的缺點

value-tilted：更傾向於價值股

contrarian-style：逆向選擇，一般低估的股票大家都覺得還得跌，需要在大家都拋售的時候買入，所以是逆市的

1.固收的範圍比股票的範圍大很多 2.固收類不僅由公司發行，還可以以政府發行 3.一個公司只能發一種股票，但是卻可以發多種債券 4.固收的周轉率比較高因為會有一些到期的固收被剔除出指數

固收證券主要是由做市商交易，所以做指數的時候很大程度依賴做市商定的價格。例如：長期債券的流動性差，定價難度很高。

在有效市場中，證券的當前價格可以充分、快速、合理的反應有關該證券的所有可用信息

1. The time frame for an asset’s price to incorporate information can be used to measure a market’s efficiency. If the time frame of price adjustment allows many traders to earn profits with little risk, then the market is relatively inefficient. 2. An informational efficient capital market is where security prices adjust rapidly to the infusion of new information. 3. Prices should be expected to react only to the elements of information releases that are not anticipated fully by investors.（已經被合理預測到的信息，而這個信息真的發生了，是不會影響股價的，只有新公佈的信息與市場預期不符，財務影響到市場預期）

Calendar anomalies

The overreaction effect:

Momentum anomalies:

Size effect：規模效應，小公司的股票表現往往優於大公司股票的表現

Value effect：價值效應，價值股的表現優於成長股的表現

Closed-end investment funds：封閉式投資基金的價值通常會比基金的淨資產值低，因為流動性比較差。但是封閉式基金的交易是有成本的，所以雖然折價，也不能獲得超額報酬。與弱勢有效市場的假設是一致的。

Earnings announcements：獲利公告，公司的獲利狀況可能不能第一時間反應在股價上，中間會有時間差，那麼就可以透過基本面的分析獲得超額收益，這與弱勢有效市場的假設是一致的。

Initial public offerings：整體而言，IPO公司的長期表現低於平均水平，IPO之後的表現是比較差勁的，因為投行基於自己的利益考慮，發行時候的價格並不公允。

Economic fundamentals：經濟基本面，股票的波動有時會與基本面的情況相背離（僅在短期內），基於股息率的交易策略不會產生持續的異常回報。

普通股是最常見的,如果公司被清算，普通股股東對資產有剩餘索取權（在債權人與優先股之後），並且透過投票權管理公司。

voting

Callable common shares可贖回普通股

Putable common shares可回售普通股

basic

characteristics

Cumulative preference shares

Convertible preference shares

participating preference shares

Private equity is usually issued to institutional investors via private placements.

Less liquidity because no public market for the shares exists.

Share price is negotiated between the firm and its investors, not determined in a market.

More limited firm financial disclosure because there is no government or exchange requirement to do so.

Lower reporting costs because of less onerous reporting requirements.

Potentially weaker corporate governance because of reduced reporting requirements and less public scrutiny.

Greater ability to focus on long-term prospects because there is no public pressure for short-term results.

Potentially greater return for investors once the firm goes public.

Venture capital

Leveraged buyout(LBO)：風險小，所以通常都舉著槓桿

Private investment in public equity(PIPE)

直接在外國市場購買外國的公司的證券，但是存在一些障礙： 1.投資與收益用外幣計價，會受到匯率波動的風險 2.有一些外國的證券交易所可能缺乏流動性 3.有一些地區報告的要求不嚴格，可能會​​影響分析 4.投資者必須熟悉當地的法規與程序。

全球註冊交易：在全球各交易所以不同的貨幣進行交易 優點：不用考慮匯率的風險。 缺點：能做到全球註冊發行的公司太少了，投資標的非常有限。

definition

classification

Gains from dividends and the reinvestment of dividends have been an important part equity investors’ long-term returns.

For investors who purchase depository receipts or foreign shares directly also subject foreign exchange gains (or losses)

ROE淨資產收益率，投資人觀察公司管理階層是否有效運用資本產生利潤

在任何時間點，其餘條件不變，股價下跌預期報酬率上升，股價上漲預期報酬率下降

公司的股權成本可以解釋為為了補償投資者所承擔的風險所需的最低迴報率

一般用CAPM模型計算：RE=RF β（RM-RF)

Industry analysis is often a critical early step in stock selection and valuation because it provides insights into the issuer’s growth opportunities, competitive dynamics, and business risks .

Industry valuation can be used in an active management strategy to determine which industries to overweight or underweight in a portfolio. Some investors engage in industry rotation(產業板塊輪動）, which is overweighting or underweighting industries based on the current phase of the business cycle.

Performance attribution, which addresses the sources of a portfolio’s returns, usually in relation to the portfolios benchmark, includes industry or sector selection. Industry classifications chemes play a role in such performance attribution.

products

services

Cyclical firm：highly dependent on the stage of the business cycle.（基礎製造業，非剛需品）

Non-cyclical firm：demand is relatively stable over the business cycle

definition

limitation

A peer group is a set of similar companies an analyst will use for valuation comparisons.

Rivalry increases when many firms of relatively equal size compete within an industry.

Industries that have significant barriers to entry will find it easier to maintain premium pricing.

Substitute products limit the profit potential of an industry.

Buyers’ ability to bargain for lower prices or higher quality influences industry profitability.

Suppliers’ ability to raise prices or limit supply influences industry profitability.

1. low barriers to entry->little pricing power 2.high barriers to entry do not necessarily mean high pricing power (Overcapacity) 3. Low barriers to exit may have higher pricing power（退出障礙太高會導致很多人退不出來，就會造成行業內的公司太多，定價權就會缺失）

High Industry concentration does not guarantee pricing power（因為衰退期雖然集中度很高，但是定價權並不大）

Undercapacity（產能不足）->higher pricing power and higher return on capital Overcapacity（產能過剩）->lower pricing power and lower return on capital

More stable market shares likely indicate less intense competition. 市場佔有率穩定，那麼競爭就不會太激烈，定價權會更大一些。

Can be cyclical or structural (longer-term) trends, most notably economic output as measured by GDP or some other measure, such as interest rates, inflation and education level.

Change an industry dramatically through the introduction of new or improved products.

The demographics includes not only the population growth and the age distributions, but also the geographical distribution of people, the changing ethnic mix in a society, and changes in income distribution.

Today’s social trend may be tomorrow’s law, regulation, or tax

How people work, play, spend their money, and conduct their lives.

Consumer perception for certain brands, products, and services

Increased government regulations and protections

Potential disruptions to supply chains and the ability to operate, such as an increase in natural disasters or resource shortages in water or energy

Firm overview, including information on operations, governance, and strengths and weaknesses.

Industry characteristics.

Product demand.

A product costs.

Pricing environment.

A financial ratios, with comparisons to other firms and over time.

Projected financial statements and firm valuation.

Cost leadership

Differentiation

Focus

Percentage difference between market prices and estimated values.

Confidence of the appropriateness of the valuation model.

Confidence of the inputs used in the valuation model.

Reasons why stock is mispriced.

Assume that market price will actually move toward estimated intrinsic value and that it will do so to a significant extent within the investment time horizo​​n.

dividend discount models

free cash flow to equity models

the ratio of stock price to fundamentals

the ratio of enterprise value to fundamentals

A dividend is a distribution paid to shareholders based on the number of shares owned, and a cash dividend is a cash distribution made to company’s shareholders.

The dividends paid by a company that does not pay dividends on a regular schedule or a dividend that supplements regular cash dividend with an extra payment.

Stock dividends is a type of dividend in which a company distributes additional shares of its common stock to shareholders instead of cash.

A share repurchase is a transaction in which a company uses cash to buy back its own shares. 已經回購的股票不考慮股利、投票權與計算每股收益

Signaling a belief that their shares are undervalued;

Flexibility in the amount and timing of distributing cash to shareholders;

Tax efficiency in markets where tax rates on dividends exceed tax rates on capital gains;（避稅：資本利得稅比分紅稅低）

The ability to absorb increase in outstanding shares because of the exercise of employee stock options.（反稀釋）

The declaration date股利宣告日

The ex-dividend date除權除息日（由交易所決定的日期）它的前一天是最後一天購買股票可以得到分紅的日期）

Holder-of-record date股權登記日

Payment date股利發放日

equation

Other variable parameters（如何得到其他的參數）

Assumption

Limitations

Important Conclusion

the growth rate starts at a high level for a relatively short period of time, then reverts to a long-run perpetual level.

原理：將現金流拆分成左右兩部分 1.以現金流量折現的方式計算出一階段的現值公式：PV1=D1/(1 r ) D2/(1 r )² 2.根據 GGM 模型計算出永續成長時點的現值，稱為 terminal value ，再將terminal value 折現到0時點，即為二階段現值 3.最後將一階段和二階段現值相加，即為股票的價值

把三個階段的PV都加起來就是股票的估值

1.Valuation obtained by using FCFE involves discounting expected future FCFE by the required rate of return on equity. FCFE reflects the firm’s capacity to pay dividends. 2. FCFE is useful the firm that does not pay dividends or pays dividends but the dividends paid differ significantly from the company’s capacity to pay dividends;

basic information

equation

Compare relative values between one firm to another using price multiples with market price.