金融市场实用总结.docx
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金融市场实用总结.docx
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名词
lPrimarymarket:
themarketfornewlyissuedfinancialassets.
Registrationstatement
Prospectus(招股说明书)isdistributedtothepublic
SupplementalinformationisavailablefromSECuponrequest
Waitingperiod(等待期)isthetimebetweenfilingtheregistrationandtheeffectivedate.Duringthistimetheprospectusiscalledtheredherring
Duringtheunderwritingprocessduediligence(尽职调查)mustbeexercisedbytheinvestmentbanks
ShelfRegistrationRule
sellcertainamountofacertainclassofsecuritiesatdifferenttimesovernexttwoyears
PrivatePlacement(私募)securitiesarenotofferedtothegeneralpublicinvestors
lSecuritiesunderwriting:
Securitiesunderwriting(证券承销)referstotheprocessbywhichinvestmentbanksraisedfundsfrominvestorsonbehalfofcorporationsandgovernmentsthatareissuingsecurities(bothequityanddebtcapital)
Grossspread(承销毛利):
thedifferencebetweenthepricepaidtotheissuerandthepriceatwhichtheunderwritingfirmthenoffersthesecuritytothepublic.
Boughtdeal(包销)occurswhentheunderwriterbuysthesecuritiesbypassingthesyndicationprocess
l二级市场:
Order-drivenmarket(指令驱动型市场):
allparticipantsarenaturalbuyersandnaturalsellerswithnodealeractingasanintermediary.Alsocalledauctionmarket(竞价市场)
Continuousorderdrivenmarket(连续指令驱动型市场):
pricesaredeterminedthroughouttheday
Periodiccallauction(集合竞价):
ordersarebatchedtogetherforsimultaneousexecutionatpreannouncedtimes
Quote-Drivenmarket(报价驱动市场):
wherethepriceisdeterminedbythedealerbasedonprevailingmarketconditions.Alsocalleddealermarketordealershipmarket.
lShortselling(卖空):
sellingsecuritiesnotownedattimeofsaleandpurchasingthemlaterandreturned证券价格如果下降就盈利,上升则亏损
payoff=sellingprice–purchasingprice–commissions–costofborrowingthestock.
Margintransaction(保证金交易)
lBuyingonmargin(融资):
Aninvestorborrowsfromabrokertobuysecuritiesusingthemascollateral
Payoff=sellingprice–purchasingprice–servicecharge–callrate*callmoney
MarginrequirementsiswhattheinvestormustpayincashinmargintransactionandissetbytheFederalReserve.
lEfficientportfolio:
maximizetheexpectedreturnwithagivenlevelofrisk
lRiskyasset:
oneinwhichthefuturereturnhasuncertaintysuchascorporations
lRisk-freeasset:
oneinwhichthefuturereturnhasnouncertaintysuchasshorttermobligationsoftheU.S.government
lMarkowitzefficientportfolio:
Aportfoliothathasthehighestexpectedreturnforagivenlevelofrisk
lSystematicrisk(系统性风险)isthatpartofreturnvariabilitythatissubjecttomarketriskandcannotbediversifiedawayrepresentingtheminimumlevelofrisk
lUnsystematicrisk(非系统性风险)isthatpartofreturnvariabilitythatcanbediversifiedawayreferredtoasresidualrisk
简答题
1.SML,CML,CAPM,MarketModel的含义和区别
CML:
theexpectedreturnonaportfolio,whichequalstherisk-freerateofreturnplustheproductofthemarketpriceofriskandthequantityofriskintheportfolio
SML:
TheSMLisanalogousinthattheCMLisforaportfolioandtheSMLisforanindividualsecurity
CAPM:
AmorecommonversionoftheSMLusestheBetaofasecurityandisknownastheCapitalAssetPricingModel(CAPM).WerefertheequationastheCAPM,thegraphasSML.
InequilibriumtheexpectedratesofreturnforindividualsecuritieswilllieontheSMLandnottheCMLduetotheunsystematicriskthatremainsinsecuritiesthatcanbediversifiedoutofportfolios.
TheCMLandtheSMLrepresentapredictivemodelforexpectedreturns.Themarketmodelisadescriptivemodelusedtodescribehistoricaldata.
lFuturescontract(期货合约)isanagreementrequiringapartytoeitherbuyorsellsomethingatadesignatedfuturedate(settlementordeliverydate交割日)andatapredeterminedprice(futureprice)
lHedging
Hedging(套期保值,对冲)istheuseoffuturestransactionstotemporarilysubstitutefortransactionsinthecashmarket
Whenthepricesofcashandfuturesmovetogetherandlossinonepositionwillbeoffsetbyagainintheother
PerfectHedgeoccurswhenlossesandprofitsareequalbecausethebasismaintainthesame
Alonghedge(多头对冲)isundertakentoprotectagainstanincreaseinthepriceofafinancialinstrumentorportfolio
Itinvolvesthepurchaseoffuturescontractstodaybyaninvestorwhomustbuytheactualsecuritiesatalaterdate
Ashorthedge(空头对冲)isusedtoprotectagainstadeclineinthefuturecashpriceofafinancialinstrumentorportfolio.
Itinvolvesthesaleoffuturescontractstodaybyaninvestorwhomustselltheactualsecuritiesatsomelaterpoint
Acrosshedge(交叉对冲)iswhentheindividualinstrumentisnotidenticaltotheinstrumentunderlyingthefutures
Cross-hedgingriskthepricemovementoftheunderlyinginstrumentsofthefuturesmaynotaccuratelytrack
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