國際投資管理—課程內容

1. 國際投資管理—課程內容

2. 課程內容

3. 評分標準：課堂報告（30%）、期中考（35%）、期末考（35%）評分標準：課堂報告（30%）、期中考（35%）、期末考（35%） • 課堂報告 • 第一組：美國市場發展過程 • 第二組：英國市場發展過程 • 第三組：德國市場發展過程 • 第四組：日本市場發展過程 • 第五組：香港及新加坡市場發展過程 • 第六組：泰國、馬來西亞、韓國、印尼等市場發展過程

4. Investments: Background and IssuesInternational Investment

5. Investment and Financial Assets • Definition of Investments • Sacrifice current consumption in the expectation to enjoy more future consumption • Tradeoff between current and future • 交換 • 投資學的目的 • 個人VS公司 • 避險VS賺錢 • Categories of Assets • Real assets : assets used to produce goods and services • 黃金、房地產、商品 • Financial assets : claims on real assets or the income generated by real assets • 股票、債券、共同基金、衍生性金融商品、匯率、保險

6. 投資的利得與損失 • 投資的利得 • 以報酬或報酬率來衡量 • 投資的損失 • 機會成本 • 因從事一種投資而放棄其他投資收益的成本 • 銀行所支付的利息是為了償還存款人的機會成本 • 風險 • 利損的不確定性 • 時間、利損不確定

7. 貨幣的時間價值 • Time is Money • A given dollar amount today is equal to a larger dollar amount in the future • Compounding • 72 Law • 72/rate of return *100= 多少年投資價值才可加倍 • 72/ (0.02*100)=36 • 投資期限愈長、或報酬率愈高，複利愈高 • Discounting • Inflation • Annuity

8. Rate of Investment Return • Real assets • Bank Deposit, Bond • Interest rate • Fixed:term, interest rate • Stock • Dividend: stock dividend, cash dividend • Capital gain • Not fixed • Capital Gain: • $100, +50%, -50%

9. Categories of Assets-- Financial assets • Equity • Represents an ownership share • Fixed Income Security • Promises a stream of periodic income • Derivative Security • Payoffs depend on values of other assets • Foreign Exchang • Risk, vulation

10. Investment Process • What is a objective of investment • 年紀、教育背景、風險偏好、花錢習慣、生活限制（扶養人數、工作發展性）、所得 • What is a portfolio • Composition of investment assets • 選擇投資工具 • Asset allocation • Choice among different classes of assets • 分配投資金額比例 • Security selection • Choice among securities within each asset class • 選擇標的物及時間 • Risk and return tradeoff • High return assets have high risks？行為財務學 • Market force push to equilibrium:供需決定均衡

11. 初級與次級市場 • 初級市場又稱為發行市場，是有價證券首次發行的市場； • 次級市場又稱為流通市場，是指有價證券發行之後買賣或交易的市場。 • 有健全的發行市場，流通市場才會活絡 • 有活絡的流通市場，才能吸引好的公司上市、上 櫃。

12. 集中市場與店頭市場 • 集中市場是指在「集中」的交易場所，交易「標準化」商品的市場； • 而店頭市場是指在非集中的場所，如證券商的櫃檯，交易「個別化」、「特殊化」等「非標準化」商品的市場。

14. The Players • Firms : net borrowers • 也有的公司是債權人 • Householders : net lenders • 也有的個人是債務人 • Government • Financial intermediaries • Bridge between borrowers and lenders • Banks, insurance firms, investment bank etc.

15. The Players (continued) • Investment companies證券投資信託公司，投信 • Pool and manage money of many (small) investors • Mutual funds, pension funds, etc. • Why can’t individuals do just as well? • Diversification • Profession • 富蘭克林坦伯頓基金集團 • Investment bankers投資銀行 • Specialize in sale of new securities (security offerings) • Why firms need them? • Efficiency • Professial • Merrill Lynch

16. 投資銀行 • 最狹義的投資銀行為綜合證券商，如台灣 • 1993年美國通過格拉斯—史蒂格勒法案，使得投資銀行與商業銀行分開 • 投資銀行的主要業務 • 發行有價證券 • 承銷 • 自營 綜合證券商 • 經紀 • 購併、重整、創投、基金管理、顧問服務、資金管理、商業投資

17. 證券投顧公司 • 經營業務 • 提供投資人買賣股票的建議 • 銷售海外共同基金 • 代客操作

18. How Do Investors Measure Risk and Return for Alternative Investments ? • Historical rates of return • Average rates over time • Average rate of a portfolio • Variance and standard deviation • Expected rates of return • Measures of uncertainty

19. Measures of Historical Rates of Return Holding Period Return 1.1

20. Measures of Historical Rates of Return 1.2 • Holding Period Yield • HPY = HPR - 1 • 1.10 - 1 = 0.10 = 10%

21. Measures of Historical Rates of Return Annual Holding Period Return • Annual HPR = HPR 1/n • where n = number of years investment is held Annual Holding Period Yield • Annual HPY = Annual HPR - 1 1.3

22. Measures of Historical Rates of Return Arithmetic Mean 1.4

23. Measures of Historical Rates of Return Geometric Mean 1.5

24. Measures of Historical Rates of Return Arithmetic mean return over time Geometric mean will be lower than arithmetic mean if returns vary over time Arithmetic mean = 0.25 Geometric mean = 0.00

25. Portfolio of Investments • Weighted average of HPYs for the individual investments in the portfolio is the mean historical rate of return (HPY) for a portfolio

26. Computation of HoldingPeriod Yield for a Portfolio Table 1.1

27. Expected Rates of Return • Risk is uncertainty of return • Point estimates are most likely expected return • Range of possible returns • Probabilities of various possible returns

28. Expected Rates of Return 1.6

29. Probability Distributions Figure 1.1 Risk-free Investment

30. Probability Distributions Figure 1.2 Risky Investment with 3 Possible Returns

31. Probability Distributions Figure 1.3 Risky investment with ten possible rates of return

32. Measuring the Risk of Expected Rates of Return 1.7

33. Measuring the Risk of Expected Rates of Return 1.8 Standard Deviation square root of the variance

34. Measuring the Risk of Expected Rates of Return 1.9 Coefficient of variation (CV) measures risk relative to expected return: Standard Deviation of Returns Expected Rate of Returns

35. Measuring the Risk of Historical Rates of Return 1.10 variance of the series holding period yield during period I expected value of the HPY that is equal to the arithmetic mean of the series the number of observations

36. Determinants of Required Rates of Return • Time value of money • Expected rate of inflation • Risk involved

37. Promised Yieldson Alternative Bonds Table 1.2

38. Time Value of Money The real risk-free rate (RFR) • Assumes no inflation. • Assumes no uncertainty about future cash flows. • Is the price charged for exchanging current goods and future goods.

39. Nominal Risk-Free Rate Dependent upon • Expected rate of inflation • Monetary environment

40. Adjusting For Inflation 1.11 Nominal RFR = (1+Real RFR) x (1+Expected Rate of Inflation) - 1

41. Adjusting For Inflation 1.12 Real RFR =

42. Three-Month T-Bill Yieldsand Rates of Inflation Table 1.3

43. Risk Premiumand Fundamental Risk • Business risk • Financial risk • Liquidity risk • Exchange rate risk • Country risk

44. Business Risk • Uncertainty of income flows caused by the nature of a firm’s business affect income flows to an investor. • 台積電產能閒置、錸德 • Investors demand a risk premium based on the uncertainty caused by the basic business of the firm.

45. Financial Risk • Uncertainty is introduced by the method by which the firm finances its investments. • 週轉不靈 • Borrowing requires fixed payments which must be paid ahead of payments to stockholders. • 借錢發股利 • The use of debt increases uncertainty of stockholder income and causes an increase in the stock’s risk premium. • 負債增加的風險

46. Liquidity Risk • Uncertainty is introduced by the secondary market for an investment. • How long will it take to convert an investment into cash? • 無量下跌時 • How certain is the price that will be received? • Investors increase their required rate of return to compensate for liquidity risk.

47. Exchange Rate Risk • Uncertainty of return is introduced by acquiring securities denominated in a currency different from your own. • Changes in exchange rates affect the investors return when converting an investment back into the “home” currency.

48. Country Risk • Political risk is the uncertainty of returns caused by the possibility of a major change in the political or economic environment in a country. • Individuals who invest in countries that have unstable political-economic systems must include a country risk-premium when determining their required rate of return

49. Total Risk Risk Premium is a function of • Business Risk, • Financial Risk • Liquidity Risk • Exchange Rate Risk • Country Risk

50. Risk Premium and Portfolio Theory • Systematic risk relates the variance of the investment to the variance of the market • Beta measures this systematic risk of an asset