1、證券投資學.這門課能給我們帶來什么？這門課所屬的位置這門課的主要內容.Why do we study the theory？Managers learn from experience how to cope with routine problems. But the best manager are also able to respond to change. To do this you need more than time-honored rules of thumb; you must understand why companies and financial markets

2、behave the way they do. In other words, you need a theory of finance.Good theory helps you grasp what is going on in the world around you. It helps you to ask the right questions when times change and new problems must be analyzed. It also tells you what things you do not need to worry about.-Breale

3、y and Myers.Why does not there exists any advice on “guaranteed ways to beat the market？Any system designed to beat the market, once known to more than a few people, carries the seeds of its own destruction.There are two reasons for not including advice on “guaranteed ways to beat the market in this

4、 book.First, to do so would make a successful system public and hence unsuccessful.Second, the authors know of such system.This does not mean that financial analysis is useless. Although individuals should be skeptical when others tell them how to use financial analysis to beat the market, individua

5、ls can try to understand the market with the use of financial analysis.-W. Sharpe, etc.什么是金融學(Finance)Finance is a subfield of economics distinguished by both its focus and its methodology. The primary focus of finance is the workings of the capital markets and the supply and the pricing of capital

6、assets. The methodology of finance is the use of close substitutes to price financial contracts and instruments. This methodology is applied to value instruments whose characteristics extend across time and whose payoffs depend upon the resolution of uncertainty. .金融學的研討領域金融市場宏觀層面：金融框架微觀層面：定價、風險管理公司

7、財務.歷史H. M. Markowitz 均值-方差模型 (Mean-variance model)Harry M. Markowitz, Portfolio Selection, Journal of Finance, 7(1):77-91, 1952.W. F. Sharpe , J. Lintner, J. Mossin 資本資產定價模型 Capital Asset Pricing Model (CAPM)W. F. Sharpe, Capital Asset Prices: A Theory od Market Equilibrium Under Conditions of Risk,

8、 Journal of Finance, 20(3):425-442, 1964.S. A. Ross 套利定價實際Arbitrage Pricing Theory(APT)S. A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic Theory, 13(3):341-360, 1976.F. Modigliani M. H. Miller Modigliani - Miller 定理 Modigliani, F., and M. H. Miller, The Cost of Capital, C

9、orporation Finance, and the Theory of Investment, American Economic Review, June 1958, 261-297.F. Black M. Scholes R. Merton 期權定價的Black-Scholes 公式F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81(3):637-654.R. Merton, Theory of Rational Optio

10、n Pricing, Bell Journal of Economics and Management Science, 4(1):141-183.第一章 金融市場.金融市場外表看起來似乎處于混沌形狀，實踐上在它的工具和市場安排上有特定的緣由和規律本章目的：討論金融市場和機構是如何應運投資者的需求、技術和控制約束而開展的？.1. 實物投資和金融投資投資：投資者運用本人持有的資本，用來購買實踐資產或金融資產，或者獲得這些資產的權益，目的是在一定時期內預期獲得資產增值和一定收入。投資普通具有兩個特性：時間和風險.實資產和金融資產實資產普通包括有形資產，例如土地、機器、廠房等金融資產包括寫在紙上的各

11、種合約，例如股票、債券等各自的特點實資產代表一個經濟的消費才干，決議一個社會的財富金融資產不代表一個社會的財富，但對消費才干具有間接的作用一切權和運營權的分別使得資金流向具有好的投資時機的企業代表持有者的財富.兩者之間是一種互補關系，而不是替代關系例子：房地產金融資產的價值來源并依賴于實資產的價值金融資產是投資者擁有實資產的方式.證券投資就是運用投資購買有價證券及其派生工具以期獲得收益的一種行為。.2. 金融系統三個組成部分的需求和市場的反映個人如何投資證券、金融中介、金融創新、投資基金、衍生證券需求的多樣化，風險影響的例子：30年后從北京移居青島稅收影響的例子：印花稅、資本利得稅、公司如何融

12、資投資銀行、衍消費業高價錢、低本錢專業發行公司集團投行發行簡單證券.政府放債 與 控制金融創新.3.投資環境包括上市證券的種類、在哪里及如何進展證券的買賣證券：在指定的條件下，獲得未來預期利潤的權益的一種法律證明證券種類貨幣市場短期、流動性好、風險小的債券資本市場長期固定收益證券股票期權、期貨及其它衍生證券.報答率與風險之間的關系普通來說，具有高平均報答率的證券也具有高的風險The historical variability is not necessarily an indication of prospective risk.證券市場一級市場二級市場.金融中介銀行、投資公司、保險公司、信

13、托公司特點：中介集少成多分散風險專業化、規模經濟數量、聲譽、搜集信息等.4. 投資過程對投資的證券種類、數量、投資的時間作出決議投資政策：決議投資的目的和投資的財富數量投資的目的：報答和風險證券分析：技術分析；根本分析證券組合構造:selectivity, timing, diversification證券組合調整證券組合評價：根據報答率和風險.5. 證券發行市場投資銀行證券的承銷Initial public offering (IPO)Seasoned new issuespublic offering and private placement.6.證券買賣市場National and l

14、ocal securities exchangesbroker dealerover -the-account marketbid priceask pricedirect trading between two parties.定單公司的稱號買還是賣定單的規模有效時間定單的類型定單的類型按時間劃分: day order, open order, discretionary order按對價錢的限制劃分.證券買賣方式現貨買賣期貨買賣信譽買賣期權買賣.保證金購買(Margin purchase)預期證券價錢將上漲時利用該戰略初始保證金(initial margin requirement)實踐保

15、證金(actual margin)盯市(marked to the market)維持保證金(maintenance margin)利用金融杠桿報答率.賣空預期證券價錢將下跌時利用該戰略初始保證金(initial margin requirement)實踐保證金(actual margin)盯市(marked to the market)維持保證金(maintenance margin)報答率.賣空前X Brock, Inc Mr. Lane紅利，年報選舉權紅利，年報選舉權.賣空 Mr. JonesX Brock, Inc Mr. Lane Ms. Smith紅利，年報選舉權紅利，年報選舉權接

16、受股票支付價錢提供初始保證金.賣空后 Mr. JonesX Brock, Inc Mr. Lane Ms. Smith紅利，年報年報提供現金支付紅利紅利年報選舉權.7. 股票價錢指數股票價錢指數的作用股票價錢指數的主要計算方法價錢加權平均指數price-weighted average index市值加權平均指數market-value-weighted index世界幾種重要股票價錢指數道瓊斯股票價錢指數規范和普爾股票價錢綜合指數.紐約證券買賣所的股票綜合指數倫敦金融時報的股票價錢指數日本經濟新聞道式股票指數香港恒生股票指數中國的股票價錢指數上海證券買賣所股價指數深圳證券買賣所股價指數.8.金融市場的作用Consumption