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Investment Analysis: An Introduction to Portfolio Theory and Management [Pehme köide]

  • Formaat: Paperback / softback, 358 pages, kõrgus x laius: 246x174 mm, kaal: 725 g, 38 Tables, black and white; 27 Line drawings, black and white; 36 Halftones, black and white; 63 Illustrations, black and white
  • Ilmumisaeg: 24-Oct-2019
  • Kirjastus: Routledge
  • ISBN-10: 1138388742
  • ISBN-13: 9781138388741
Teised raamatud teemal:
Investment Analysis: An Introduction to Portfolio Theory and ManagementSuurem pilt
  • Formaat: Paperback / softback, 358 pages, kõrgus x laius: 246x174 mm, kaal: 725 g, 38 Tables, black and white; 27 Line drawings, black and white; 36 Halftones, black and white; 63 Illustrations, black and white
  • Ilmumisaeg: 24-Oct-2019
  • Kirjastus: Routledge
  • ISBN-10: 1138388742
  • ISBN-13: 9781138388741
Teised raamatud teemal:
Püsilink: https://www.kriso.ee/db/9781138388741.html
Märksõnad:
This textbook is designed as a core text for finance courses that cover market investments, portfolio formation, and the management of investment portfolios. As such, the text seeks to convey insight and actual wisdom as to the nature of these activities. When combined with a commitment to thinking independently, the text offers the student a rigorous preparation for entry to the funds management industry.

The text is presented in three parts. In Part A, the text introduces the fundamental techniques of investment analysis: a "bottom-up" and "top-down" analysis of the firm aimed at an evaluation of the underlying share as a "buy", "hold", or a "sell" recommendation. Part B offers the reader an intuitive grasp of the nature of investment growth, both across time and across assets. Part C introduces the reader to the technicalities of portfolio construction and portfolio management. The text concludes with an assessment of the funds management industry.

The text builds in step-by-step stages with Illustrative Examples that consolidate the students progress and understanding through each chapter. Each of parts A, B, and C (above) has sufficient material to justify a separate course. If the student has exposure to a more foundational course in finance, Parts A and B can be covered as a single course. If from other courses, the student is familiar with the essence of Parts A and B and with statistical concepts, the text can be covered as a single course. The text can therefore be presented readily at either an undergraduate or postgraduate level at a pace appropriate to the students prior exposure to the concepts.

Arvustused

"This book offers a comprehensive, yet intuitive, overview of portfolio theory and investment analysis for a student with little background in these subjects. I especially like how self-contained and accessible the book is. A beginning student with a little mathematics background should have no difficulty following the arguments and formulae." Professor Raghavendra Rau, Sir Evelyn de Rothschild Professor of Finance, Cambridge Judge Business School, University of Cambridge, Cambridge

"This book is organized in three excellent parts. The author, Michael Dempsey, not only provides a great depth of knowledge about the foundations of investments, portfolio analysis and management, but also shows carefully how the techniques acquired can be used and implemented in various business situations. Students and professionals who want to excel in the financial services industry would greatly benefit from reading this interesting book." Duc Khuong Nguyen, Professor of Finance, Head, Department of Finance, Auditing and Accounting, Deputy Director for Research, IPAG Business School, Paris.

"Professor Dempsey does an excellent job in explaining investment and portfolio management in a clear and easy-to-understand style. The illustrative examples in the text will surely help students better understand complexities and bring more clarity to the analysis. I highly encourage anyone with an interest in finance, students and professionals alike, to read this book and to have it on their shelves." Sabri Boubaker, Ph.D., Professor of Finance, South Champagne Business School & University of Paris Est

List of figures
xii
List of illustrative examples
xiv
List of tables
xvii
About the author xviii
1 Introduction
1(6)
PART A Foundations of investment analysis
7(102)
2 The valuation of equity shares: the PIE ratio
9(28)
2.1 Introduction
10(1)
2.2 Investors' expected rate of return and the "discounting of dividends" model of share valuation
11(3)
2.3 A firm with a fixed growth
14(3)
2.4 Interest rates and inflation
17(3)
2.5 A firm with zero (real) growth
20(1)
2.6 Motivation for dividends
21(2)
2.7 Self-sustaining (internally generated) growth
23(3)
2.8 The P/E ratio
26(5)
2.9 Share price determination in practice
31(2)
2.10 Time for reflection: What has been revealed?
33(4)
3 Shareholders' required rate of return (the cost of equity capital)
37(16)
3.1 Introduction
38(1)
3.2 The capital asset pricing model (CAPM)
39(3)
3.3 Empirical issues with the CAPM
42(2)
3.4 Empirical tests of the CAPM
44(3)
3.5 Assessment of the CAPM
47(1)
3.6 The Fama and French three-factor (FF-3F) model
48(2)
3.7 Time for reflection: What have we learned?
50(3)
4 Financial leverage: the value of the firm and the economic cycle
53(24)
4.1 Introduction
54(1)
4.2 Financial leverage
55(2)
4.3 Modigliani and Miller's Proposition I
57(1)
4.4 The Modigliani and Miller equations, the CAPM, and the "discounting of dividends" model
58(7)
4.5 Debt and profitability
65(3)
4.6 Debt and corporate tax
68(1)
4.7 Debt and the global financial crisis
69(3)
4.8 Debt and the economy
72(1)
4.9 The markets and the economy more broadly
73(1)
4.10 Time for reflection: What has been revealed?
74(3)
5 Accounting statements and ratio analysis
77(32)
5.1 Introduction
78(2)
5.2 The statements
80(9)
5.3 Ratio analysis
89(10)
5.4 Du Pont ratio analysis
99(3)
5.5 Common size analysis
102(2)
5.6 Time for reflection: What has been revealed?
104(5)
PART B The nature of investment growth
109(98)
6 The nature of growth (the exponential function)
111(23)
6.1 Introduction
112(1)
6.2 Percentages as fractions
113(1)
6.3 Discrete compounding
113(2)
6.4 Compounding growth
115(2)
6.5 Continuously compounding growth
117(3)
6.6 Continuously compounding growth rates over many periods
120(2)
6.7 Exponential growth in nature
122(1)
6.8 Graph of et (optional reading)
122(2)
6.9 Further analysis of the exponential growth factor, ex (optional reading)
124(2)
6.10 Application of logarithms
126(4)
6.11 Time for reflection: What has been revealed?
130(4)
7 Prediction of returns (the normal distribution)
134(14)
7.1 Introduction
135(1)
7.2 The normal distribution
136(1)
7.3 Mean and variance for a normal distribution
136(2)
7.4 The equation for the normal probability distribution (optional reading)
138(1)
7.5 Tabulation of the unit normal probability distribution
139(2)
7.6 Generalization of the unit normal distribution
141(4)
7.7 Time for reflection: What has been revealed?
145(3)
8 Statistical relations for component assets
148(22)
8.1 Introduction
149(1)
8.2 Addition of discrete returns
150(1)
8.3 Expected return, variance, and standard deviation
151(2)
8.4 Co-variance (optional reading, but take note of Eqn 8.4)
153(1)
8.5 Variance of portfolio returns (optional reading, but take note of Eqn 8.6)
154(1)
8.6 Portfolios with a risk-free asset (optional reading, but take note of Eqn 8.8)
155(1)
8.7 Portfolio predictions allowing normally distributed outcomes
155(3)
8.8 Beta
158(3)
8.9 Correlation
161(5)
8.10 Time for reflection: What has been revealed?
166(4)
9 Growth over many periods
170(26)
9.1 Introduction
172(1)
9.2 The normal distribution and asset growth
172(1)
9.3 The central limit theorem
173(1)
9.4 The implications of the central limit theorem for share price growth
174(1)
9.5 The exponential growth rate, R, that delivers the expected wealth outcome
175(2)
9.6 Relation with discrete growth rates
177(1)
9.7 The growth rate, R, over many periods
178(3)
9.8 Stock market outcomes and the investment time horizon: empirical observations and the normal distribution
181(5)
9.9 The binomial representation of normally distributed exponential growth rates
186(3)
9.10 Time for reflection: What has been revealed?
189(7)
10 Growth with many assets
196(11)
10.1 Introduction
197(1)
10.2 The outcome for many assets
198(5)
10.3 The implication for a portfolio of assets with high volatility returns (smallfirms)
203(1)
10.4 Time for reflection: What has been revealed?
204(3)
PART C Principles of portfolio construction and management
207(100)
11 Portfolio choice between risky and risk-free assets
209(18)
11.1 Introduction
210(1)
11.2 Portfolio formation with one risky asset and one risk-free asset
211(1)
11.3 Demonstration of the model
212(5)
11.4 The log-wealth utility function
217(2)
11.5 Utility and the example of Fig. 11.1
219(1)
11.6 Optimal portfolio selection
219(1)
11.7 Portfolio allocation and expectation of market return
220(2)
11.8 The market risk premium
222(1)
11.9 Market collapse and self-correction
223(1)
11.10 Time for reflection: What was revealed?
224(3)
12 A fundamental model of asset pricing and portfolio allocation
227(25)
12.1 Introduction
229(1)
12.2 A generalized utility function
230(2)
12.3 Repeated investment periods
232(1)
12.4 Utility and the addition of growth rates
233(1)
12.5 Portfolio optimization
234(2)
12.6 The CAPM
236(1)
12.7 A worked example
237(2)
12.8 The capital market line and homogenous expectations
239(3)
12.9 A note of caution as to the CML
242(1)
12.10 Stability of the portfolio allocation model (Eqns 12.21 and 22)
243(1)
12.11 Can we retain log-wealth utility?
244(2)
12.12 Generalization of the equations of portfolio choice
246(1)
12.13 Time for reflection: What has been revealed?
247(5)
13 Fluctuations of opinion: stock mispricing
252(18)
13.1 Introduction
253(1)
13.2 The model
254(4)
13.3 Mispricing and the investment time horizon
258(2)
13.4 Mispricing and implied overpricing
260(3)
13.5 Mispricing and the expectation of stock returns
263(1)
13.6 Mispricing, equal weighting, and portfolio performance
264(1)
13.7 The requirement to rebalance
265(1)
13.8 Mispricing and indexation (Fundamental Indexation)
266(1)
13.9 Time for reflection: What has been revealed?
266(4)
14 Portfolio algorithms
270(16)
14.1 Introduction
272(1)
14.2 The single index model
272(4)
14.3 A passive index (benchmark portfolio) in combination with active stock selection: the Treynor--Black model
276(2)
14.4 The active portfolio curtailed by analyst uncertainty
278(1)
14.5 Challenges to active stock selection
279(1)
14.6 Sector analysis and the Black--Litterman model
279(5)
14.7 Time for reflection: What has been revealed?
284(2)
15 Institutional portfolio management
286(17)
15.1 Introduction
287(1)
15.2 The organization of institutional investment
288(2)
15.3 Index following (passive portfolio management)
290(1)
15.4 Tactical adjustment of funds
291(2)
15.5 Active portfolio management (stock picking)
293(1)
15.6 The mandate
294(1)
15.7 Herding of portfolio management
295(1)
15.8 Measurement of portfolio performance
296(2)
15.9 The success record of active management
298(1)
15.10 Looking forward
299(1)
15.11 Time for reflection: What has been revealed?
300(3)
16 Conclusion and text review
303(4)
Appendix: differentiation, integration, and optimization 307(11)
Solutions to Illustrative Examples 318(37)
Index 355
Michael Dempsey is Professor of Finance at Ton Duc Thang University in Ho Chi Minh City, Vietnam, having previously been Professor of Finance and Head of Finance at RMIT University, Melbourne, Australia. His personal web page can be found at dempseymichael.com.