CFA一級強(qiáng)化班-權(quán)益-另類-衍生-標(biāo)準(zhǔn)版

CFA一級培訓(xùn)項目

⑥TopicWeightingsinCFALevelI

SessionNO.ContentWeightings!

StudySession1EthicalandProfessionalStandards15-20

StudySession2-3QuantitativeMethods8-12

StudySession4-5Economics8-12

StudySession6-9FinancialReportingandAnalysis13-17

StudySession10-11CorporateFinance8-12

StudySession12-13EquityInvestments10-12

StudySession14-15FixedIncome10-12

StudySession16Derivatives5-8

StudySession17AlternativeInvestments5-8

StudySession18-19PortfolioManagement5-8

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@FrameworkSS12EquityInvestment(1)

?R36MarketOrganizationand

Structure

EquityInvestments

、、?R37SecurityMarketIndexes

I

?R38MarketEfficiency

SS13EquityInvestment(2)

?R39OverviewofEquity

Securities

?R40IntroductiontoIndustry

andCompanyAnalysis

?R41EquityValuation:

ConceptsandBasicTools

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、1.MainFunctionsoftheFinancialMarket

Framework2-IntermediariesofFinancialMarket

3.Wellfunctionedfinancialmarket

4.Classificationofassets

5.Classificationofmarkets

Primaryvs.Secondarymarkets

Moneyvs.Capitalmarkets

Traditionalvs.Alternativemarkets

6.Positionsinanasset

7.Instructionsoftransactionprocesses

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?Intermediariesoffinancialmarket

FinancialintermediariesTheservicesthattheyprovide

Brokers,dealers,and

Helpwiththetradeofsecurities.

exchanges

Managetheprocessofbuyingassets,placingthemina

Securitizerspool,thensellingsecuritiesthatrepresentownershipofthe

pool.Thisprocessiscalledsecuritization.

Absorbdepositsbypayinginterestoncustomerdeposits.

DepositoryinstitutionsProvidetransactionservicesononehand,andthenmake

loanswiththedepositsontheotherhand.

Createinsurancecontracts(policies)thatprovidea

paymentintheeventthatsomelossoccurs;

InsurancecompaniesThebuyersbenefitbecausetheycaneasilyobtaintherisk

transfers;

Moralhazard;adverseselection;fraud.

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?Intermediariesoffinancialmarket

FinancialintermediariesTheservicesthattheyprovide

Seektogaincertainreturnwithoutbearinganyrisk;

ArbitrageursBuyandsellidenticaloressentiallysimilarinstrumentsat

differentpricesindifferentmarkets.

Clearinghouses:arrangeforfinalsettlementoftradesto

limitthecounterpartyrisk;

Clearinghousesand

Custodians:holdsecuritiesonbehalfoftheirclientsto

custodians

preventthelossofsecuritiesthroughfraud,oversight,or

naturaldisaster.

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?WellFunctionedFinancialMarket

,Awellfunctionedfinancialmarket:

?Allowstraderstosolvefinancingandriskmanagementproblems.

>Characteristicsofawellfunctionedfinancialmarket

?Completemarkets:saversreceiveareturn,borrowerscanobtain

capital,hedgerscanmanagerisks,andtraderscanacquireneeded

assets.

?Operationalefficiency:amarkethasrelativelylowtransactioncosts.

?Informationalefficiency:amarketinwhichassetpricesreflectnew

informationquicklyandrationally.

?Allocationalefficiency:amarketpromotestheallocationofresources

totheirhighestvalueuses.

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?Classificationofmarkets

Classificationofmarkets

/Primarymarket:theplaceforfirmstopubliclyrise

PrimaryVScapital.IPO(initialpublicofferings),Seasoned

Secondarymarketsofferings(secondaryissues)

/Secondarymarket

/Moneymarkets:themarketforshort-termdebt

instruments(one-yearmaturityorless).

MoneyVSCapital

/Capitalmarkets:financialmarketsthattrade

markets

securitiesoflongerduration,suchasbondsand

equities.

/Traditionalinvestmentmarkets:marketsfor

TraditionalVStraditionalinvestments,includeallpubliclytraded

Alternativemarketsdebtsandequities.

/Alternativemarkets:marketforinvestmentsother

thantraditionalsecuritiesinvestments.

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?Classificationofmarkets

>Howsecuritiesaresoldthroughprimarymarket

Securitytransactionmethods

/Underwrittenoffering(themostcommonway);

/Bestefforts;

Soldpublicly

/Indicationsofinterest.

/Bookbuilding.

Soldprivately/Privateplacement.

/Shelfregistration;

Othertransaction

/Dividendreinvestmentplan;

methods

/Rightsoffering.

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?Classificationofmarkets

>Howsecuritiesaresoldthroughprimarymarket-soldpublicly

?Differencebetweenunderwrittenofferingandbestefforts.

UnderwrittenofferingBestefforts

GuaranteesthesaleoftheissueNotobligatedtobuytheunsoldportion

Investmentbankshavestrongincentives

tochoosealowpricethatbankscanInvestmentbankgenerallyaresupposed

allocatevaluablesharestobenefittheirtoselecttheofferingpricethatwillraise

clientsandtherebyindirectlybenefitthethemostmoney.

banks.

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?Classificationofmarkets

HowsecuritiesaretradedinSecondaryMarkets

/Order-drivenmarketsarrangetradesusingrulestomatchbuy

orderstosellorders

?Pricepriority:thehighestpricedbuyordersandthelowest

Order-driven

pricedsellordersgofirst;

market

?Secondaryprecedencerule:usetimeprecedencetorank

ordersatthesameprice.Thefirstordertoarrivehas

precedenceoverotherorders.

/Adealermarket,aprice-drivenmarketoranover-the-counter

marketprovideliquidityforinvestorsbybuyingandselling

Quote-driventhesharesofstockforthemselves;

market/Numerousdealerscompeteagainsteachothertoprovidethe

highestbidprices(lowestaskingprice)wheninvestorsare

selling(buying).

/Brokersarrangetradesamongtheirclients.Tradingassetsare

Brokeredsomethinginfrequentlytradedandexpensivetocarryin

marketsinventory,includingverylargeblocksofstock,realestate

properties,fineartmasterpieces.

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?Classificationofmarkets

>Secondarycapitalmarkets

?Howsecuritiesaretradedinsecondarymarkets

CallMarketsContinuousMarkets

AtspecifictimesAtanytimewhenmarketisopen

Allbidsandasksaregathered

andthenanegotiatedpriceisThepriceisdeterminedeitherby

producedtomakethedemandanauctionprocessorthrougha

quantityascloseaspossibletodealerbid-askprocess.

thesupplyquantity.

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?Positionsinanasset

>Longposition

?Peoplehavelongpositionswhentheyov/nassetsorcontracts;

?Benefitformanincreaseintheprice.

>Shortposition

?Peoplehaveshortpositionswhentheyhavesoldassetsthattheydonot

own,orwhentheywriteandsellcontracts.

?Forashort-sale,theprocedureisasbelow

/Borrowsecuritiesfromsecuritylenderswhoarelongholders.Then

selltheborrowedsecuritiestoothertraders;

/Closetheirpositionsbyrepurchasingthesecuritiesandreturning

themtothesecuritylenders;

/Maintaintheproceedsofshort-salesascollateral.

?Benefitfromadecreaseintheprice.

?Thepotentialgainsonashortpositionarelimitedtonomorethan100

percentwhereasthepotentiallossesareunbounded.

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?Positionsinanasset

>Leveragedpositions

?Definition:tradersbuysecuritiesbyborrowingsomeofthepurchase

price.

?Buyonmargin:traderscanbuysecuritiesbyborrowingsomeofthe

purchaseprice.Theyusuallyborrowthemoneyfromtheirbrokers.

/Theborrowedmoneyiscalledthemarginloan;

/Andtheyaresaidtobuyonmargin.

?Theinterestratethatthebuyerspayfortheirmarginloaniscalledthe

callmoneyrate.

?Leverageratio=l/margin

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?Positionsinanasset

>Leveragedpositions

?Marginrequirement:therequiredequitypositioniscalledthemargin

requirement.

/Initialmargin:aminimumamountofequityatthetimeofanew

marginpurchase;

/Maintenancemarginistheinvestor'srequiredequitypositionin

theaccount;

/Margincall:ifaninvestor'smarginaccountbalancefallsbelowthe

maintenancemargin,thebuyerwillreceiveamargincallandwill

berequiredtoeitherliquidatethepositionorbringtheaccount

backtoitsmaintenance(minimum)marginrequirement.

/Margincallpriceforaleverageposition.

，1?IM'

P=Po

LJ

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1512(2)1706⑴2012(1)

?Instructionsoftransactionprocesses

Compareexecution,validity,and

Comparemarketorderswithlimitorders

clearinginstructions

/Themostcommonorders

?Marketorders;

?Limitorder.

Executioninstructions:that/Instructionsconcernthevolumeofthetrade

specifyhowtotrade?All-or-nothingorders.

/Instructionsconcernthevisibilityofthetrade

?Hiddenorders;

?Icebergorders.

/Dayorders;

/Good-till-cancelledorders(GTC);

Validityinstructions:/Immediateorcancelorders;

/Good-on-closeorders;

thatspecifywhentheordercanbe/Good-on-openorders;

filled/Stoporders(Emphasismomentumeffect)

?stop-sellorder;

?stop-buyorder.

Clearinginstructions:Usuallynotattachedtoanorder.

thatspecifyhowtosettlethetrade

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1906(1)

?Instructionsoftransactionprocesses

,Thehighestbidinthemarketisthebestbid,andthelowestaskinthe

marketisthebestoffer

?Makethemarket:Abuy/sellorderplacedatthebestbid/offer;

?Takethemarket:Thosewhotradewiththepeoplewhoplacedorderat

postedpricesaresaidtotakethemarket;

?Behindthemarket:Abuyorderplacedbelowthebestbidorasellorder

placedabovethebestoffer;

?Farfromthemarket:Abehindthemarketorderwhosepriceisfarfrom

theirbestask/offer;

?Marketable/aggressivelypriced:Abuyorderwithalimitedpriceabove

thebestaskorasellorderwithalimitedpricebelowthebestbid.

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?Instructionsoftransactionprocesses

OrderPrices

BidsOffers(Asks)

Theleastaggressivelypricedsellordersarefar

fromthemarket.

Ihescsellordersarcbehindthemarket.Wealsosay

thattheyarccmayfrontthemarket.

Thebestofferisatthemarket.

ThebestbidandThespacebetweenthecurrentbestbidandofferis

bestoftermakeinsidethemarket.Itanewlimitorderarriveshere,itmakes

themarket.anewmarket.

26Thebesthidisatthemarket.

25

24Thesebuyorderswebehindthemarket.Wcalsosaythatthey

23areawayfromthemarket.

22

21I'heleastaggressivelypricedbuyordersarefarfromthe

market

20-57

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SecurityMarketIndices

21-57

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1.DefinitionsaboutMarketIndexes

Framework2-Howanindexisconstructed

3.UsesofSecurity-MarketIndexes

A4.Weightingschemesforstockindexes

Price-WeightedIndex

Equal-WeightedIndex

MarketCapitalization-WeightedIndex

AFloat-AdjustedMarketCapitalization-

WeightedIndex

Fundamentalweighting

5.RebalancingandReconstitution

6.Otherinvestmentindexes

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?Introductionofsecuritymarketindex

Asecuritymarketindex:isusedtorepresenttheperformanceofanasset

class,securitymarket,orsegmentofamarket.

Apriceindexreflectsonlythepricesoftheconstituent

securitieswithintheindex;

Priceindex

Apricereturnmeasuresonlypriceappreciationorpercentage

changeinprice.

Atotareturnindexreflectsnotonlythepricesofthe

constituentsecuritiesbutalsothereinvestmentofallincome

Returnindexreceivedsinceinception;

Totalreturnmeasurespriceappreciationplusinterest,dividends,

andotherdistributions.

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?Methodsofindexconstruction

Weightingschemesforstockindexes

.......sumofstockprices

Price-weightedindex

numberofstocksinindexadjustedforsplits

Arithmeticmean:x,isthereturn口eachstock

...yXj

changeinaverageindexvalue=——

Equal-weightedindex

Geometricmean:x尸1+hpnn

changeinaverageindexvalue=^/x1x2**?xn-l

Marketcapitalization-currenttotalmarketvalueofindexstocksA....

yuhAaCoOcyear11IUCAvalue

weightedindexbaseyeartotalmarketvalueofindexstocks

Theweightoneachconstituentsecurityisdeterminedby

Afloat-adjustedmarket

adjustingitsmarketcapitalizationforthenumberofshares

capitalization-weighted

oftheconstituentsecuritythatareavailabletothe

index

investingpublic.

Weightingbyusingmeasuresofacompany'ssizethatare

Fundamentalweightingindependentofitssecuritypricetodeterminetheweight

oneachconstituentsecurity.(E.G.bookvalue,revenue,etc.)

-----------------------------------------------------------------------------------------------------------------------一，，，一，――

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?Characteristicsofequityindexes

Alternativeinvestment

EquityindexesFixedincomeindexes

indexes

?Broadmarketindex?Severalissueswiththe?Commodityindexes

?Multi-marketindexconstructionoffixed?Realestateindexes

?Multi-marketindexwithincomeindexes?Hedgefundindexes

fundamentalweightingJLargeuniverseof

?Sectorindexsecurities

?Styleindex/Dealermarketsand

infrequenttrading

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?Rebalancingandreconstitution

,RebalancingandReconstitution

?Rebalancing

/Tomaintaintheweightofeachsecurityconsistentwiththeindex's

weightingmethod,theindexproviderrebalancestheindexby

adjustingtheweightsoftheconstituentsecuritiesonaregularly

scheduledbasis,usuallyquarterly.

?Reconstitution

/Reconstitutionistheprocessofchangingtheconstituentsecurities

inanindex;

/Constituentsecuritiesthatnolongermeetthecriteriaarereplaced

withsecuritiesthatdomeetthecriteria.

26-57

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MarketEfficiency

27-57

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1.WhatisEfficientCapitalMarket

Framework2.Factorsaffectthedegreeofmarket

efficiency

3.Threeformsofmarketefficiency

?Theweak-formEMH

?Thesenii-strongformEMH

?Thestrong-formEMH

4.Tests,ImplicationsandConclusionsof

EMH

5.MarketAnomalies

6.BehaviorFinance

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?Threeformsofmarketefficiency

>Threeformsofmarketefficiency:

Weak-FormSemi-StrongStrong-Form

____________

MarketinfoPublicinfoAllinfoavailable

Price

Volume

TypesAssumptionImplication

Weak-formEMHMarketinfo.TechnicalanalysisX

Semistrong-formTechnicalanalysisX

Publicinfo.

EMHFundamentalanalysisX

TechnicalanalysisX

Strong-formEMHAllinfo.FundamentalanalysisX

NobodycanwinthemarketX

29-57

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?Tests,implicationsandconclusionsofEMH

Calendaranomalies

Anomaliesintime-seriesdata

Momentumanomalies

Sizeeffect

Anomaliesincross-sectionaldata

Valueeffect

Closed-endinvestmentfunds

Earningsannouncements

OtheridentifiedanomaliesInitialpublicofferings

Economicfundamentals

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?Behavioralfinance

Behavioralbiasesthathavebeenidentifiedinclude

Lossaversionreferstothetendencyofpeopletodislikelosses

Lossaversion

morethantheylikecomparablegains.

Overconfidencebiasexplainsthatinvestorsoranalystsare

Overconfidenceoverconfidentintheirearningforecastswhichresultinthe

overestimationofgrowth,goodnews.

Investorsassumegoodcompaniesorgoodmarketsaregood

Representativeness

investments.

Gambler'sfallacyRecentresultsaffectinvestorestimatesoffutureprobabilities.

Investorsclassifydifferentinvestmentsintoseparatemental

Mentalaccounting

accountsinsteadofviewingthemasatotalportfolio.

ConservatismInvestorsreactslowlytochanges.

Investorsarewillingtorealizegainsbutunwillingtorealize

Dispositioneffect

losses.

NarrowframingInvestorsvieweventsinisolation.

31-57

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OverviewofEquitySecurities

32-57

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1.ClassificationofPublicEquitySecurities

Framework2.PrivateEquitySecurities