Investments (8th Canadian Edition)


Download Investments (8th Canadian Edition) written by Zvi Bodie, Alex Kane, Alan J Marcus, Stylianos Perrakis, Peter J Ryan, Lorne Switzer in PDF format. This book is under the category Business and bearing the isbn/isbn13 number 007133887X/9780071338875. You may reffer the table below for additional details of the book.

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Bodie/Kane/Marcus/Perrakis/Ryan Investments eighth Canadian edition (PDF); introduces common ideas in a up to date context constructed on a protracted historical past of trusted content material. In order to emphasise and develop the intuitive abilities of potential enterprise professionals and practitioners; extreme mathematical and technological element has been averted the place attainable.

This model introduces Canadian college students to rising funding matters that each one traders are involved with. Students will be capable to carry out a complicated evaluate of present matters and debates reported by the mass media in addition to extra specialised finance journals after studying our ebook.  They’ll want these abilities in the event that they wish to be an funding advisor or only a refined particular person investor. Many options of this textbook are deliberate to be appropriate with and relevant to the CFA curriculum; together with finish-of-chapter issues from earlier CFA exams; so as to relate idea to follow.

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Zvi Bodie, Alex Kane, Alan J Marcus, Stylianos Perrakis, Peter J Ryan, Lorne Switzer











Table of contents

Table of contents :
CHAPTER 1 The Investment Environment
1.1 A Short History of Investing
1.2 The Economic System and Investment
Real Investment Versus Financial Investment
1.3 The Participants: Individuals and Financial Intermediaries
Individuals and Financial Objectives
The Investment Process
Financial Intermediaries
1.4 Recent Trends
Financial Engineering
Information and Computer Networks
1.5 The Agency Problem: Executives, Analysts, and Auditors
1.6 Lessons to Learn
Free Lunches
Diversification, Information, and Patience
1.7 Outline of the Text
CHAPTER 2 Financial Markets and Instruments
2.1 The Money Market
Treasury Bills
Certificates of Deposit and Bearer Deposit Notes
Commercial Paper
Bankers’ Acceptances
Repos and Reverses
Federal Funds
Brokers’ Call Loans
The LIBOR Market
Yields on Money Market Instruments
2.2 The Bond Market
Government of Canada Bonds
Provincial and Municipal Bonds
Corporate Bonds
International Bonds
Mortgages and Mortgage-Backed Securities
2.3 Equity Securities
Common Stock as Ownership Shares
Characteristics of Common Stock
Stock Market Listings
Preferred Stock
Income Trusts
Depository Receipts
2.4 Stock and Bond Market Indices
Stock Market Indices
Foreign and International Stock Market Indices
Bond Market Indicators
2.5 Derivative Markets
Futures Contracts
Other Derivative Assets: Warrants, Swaps, and Hybrid Securities
CHAPTER 3 Trading on Securities Markets
3.1 How Firms Issue Securities
Privately Held Firms
Short Form Prospectus Distribution System (SFPDS)
Initial Public Offerings
3.2 Types of Markets and Orders
Types of Markets
Types of Orders
Trading Mechanisms
The Execution of Trades
The Rise of Electronic Trading
3.3 Securities Markets
The Toronto Stock Exchange
The Bond Market
U.S. Markets
New Trading Strategies
Foreign Markets
Derivatives Markets
3.4 Trading Costs
Internet Investing
3.5 Trading with Margin
Buying on Margin
Short Sales
3.6 Regulation of Securities Markets
Regulatory Responses to Recent Scandals and the 2008–09 Financial Crisis
Self-Regulation and Circuit Breakers
Insider Trading
Appendix 3A: A Detailed Margin Position
CHAPTER 4 Return and Risk: Analyzing the Historical Record
4.1 Determinants of the Level of Interest Rates
Real and Nominal Rates of Interest
The Equilibrium Real Rate of Interest
The Equilibrium Nominal Rate of Interest
Taxes and the Real Rate of Interest
4.2 Comparing Rates of Return for Different Holding Periods
Annual Percentage Rates
Continuous Compounding
4.3 Bills and Inflation, 1957–2012
4.4 Risk and Risk Premiums
Holding-Period Returns
Expected Return and Standard Deviation
Excess Returns and Risk Premiums
4.5 Time Series Analysis of Past Rates of Return
Time Series Versus Scenario Analysis
Expected Returns and the Arithmetic Average
The Geometric (Time-Weighted) Average Return
Variance and Standard Deviation
Mean and Standard Deviation Estimates from Higher-Frequency Observations
The Reward-to-Variability (Sharpe) Ratio
4.6 The Normal Distribution
4.7 Deviations from Normality and Risk Measures
Value at Risk
Expected Shortfall
Lower Partial Standard Deviation and the Sortino Ratio
Relative Frequency of Large, Negative 3-Sigma Returns
4.8 The Historical Record
Bills, Bonds, and Stocks, 1957–2012
Stock Portfolios, Canada and U.S., 1950–2012
A Global View of the Historical Record
Appendix 4A: Long-Term Investments
Normal and Lognormal Returns
Simulation of Long-Term Future Rates of Return
Where Is Research of Rates of Return Headed?
Forecasts for the Long Haul
CHAPTER 5 Capital Allocation to Risky Assets
5.1 Risk and Risk Aversion
Risk, Speculation, and Gambling
Risk Aversion and Utility Values
Estimating Risk Aversion
5.2 Capital Allocation Across Risky and Risk-Free Portfolios
5.3 The Risk-Free Asset
5.4 Portfolios of One Risky Asset and One Risk-Free Asset
5.5 Risk Tolerance and Asset Allocation
Non-normal Returns
5.6 Passive Strategies: The Capital Market Line
Appendix 5A: Risk Aversion and Expected Utility
Appendix 5B: Utility Functions and Equilibrium Prices of Insurance Contracts
CHAPTER 6 Optimal Risky Portfolios
6.1 Diversification and Portfolio Risk
6.2 Portfolios of Two Risky Assets
6.3 Asset Allocation with Stocks, Bonds, and Bills
Asset Allocation with Two Risky Assets
6.4 The Markowitz Portfolio Optimization Model
Security Selection
Capital Allocation and Separation Property
The Power of Diversification
Asset Allocation and Security Selection
Optimal Portfolios and Non-normal Returns
6.5 A Spreadsheet Model
The Covariance Matrix
Expected Returns
The Bordered Covariance Matrix and Portfolio Variance
Using the Excel Solver
Finding the Minimum Variance Portfolio
Charting the Efficient Frontier of Risky Portfolios
Finding the Optimal Risky Portfolio on the Efficient Frontier
The Optimal CAL
The Optimal Risky Portfolio and the Short-Sales Constraint
Appendix 6A: Risk Pooling, Risk Sharing, and the Risk of Long-Term Investments
Risk Pooling and the Insurance Principle
Risk Pooling
Risk Sharing
Investment for the Long Run
CHAPTER 7 The Capital Asset Pricing Model
7.1 The Capital Asset Pricing Model
Why Do All Investors Hold the Market Portfolio?
The Passive Strategy Is Efficient
The Risk Premium of the Market Portfolio
Expected Returns on Individual Securities
The Security Market Line
7.2 Assumptions and Extensions of the CAPM
Assumptions of the CAPM
Challenges and Extensions to the CAPM
The Zero-Beta Model
Labour Income and Nontraded Assets
A Multiperiod Model and Hedge Portfolios
A Consumption-Based CAPM
Liquidity and the CAPM
7.3 The CAPM and the Academic World
7.4 The CAPM and the Investment Industry
CHAPTER 8 Index Models and the Arbitrage Pricing Theory
8.1 A Single-Factor Security Market
The Input List of the Markowitz Model
Normality of Returns and Systematic Risk
8.2 The Single-Index Model
The Regression Equation of the Single-Index Model
The Expected Return–Beta Relationship
Risk and Covariance in the Single-Index Model
The Set of Estimates Needed for the Single-Index Model
The Index Model and Diversification
8.3 Estimating the Single-Index Model
The Security Characteristic Line for XA Corporation
The Explanatory Power of the SCL for XA
Analysis of Variance
The Estimate of Alpha
The Estimate of Beta
Firm-Specific Risk
Correlation and Covariance Matrix
8.4 Portfolio Construction and the Single-Index Model
Alpha and Security Analysis
The Index Portfolio as an Investment Asset
8.5 Portfolio Management with the Single-Index Model
Is the Index Model Inferior to the Full-Covariance Model?
The Industry Version of the Index Model
Company Beta Estimates
Index Models and Tracking Portfolios
8.6 Multifactor Models
Factor Models of Security Returns
8.7 Arbitrage Pricing Theory
Arbitrage, Risk Arbitrage, and Equilibrium
Well-Diversified Portfolios
Diversification and Residual Risk in Practice
Executing Arbitrage
The No-Arbitrage Equation of the APT
8.8 The APT, the CAPM, and the Index Model
The APT and the CAPM
The APT and Portfolio Optimization in a Single-Index Market
8.9 A Multifactor APT
8.10 Where Should We Look for Factors?
8.11 The Multifactor Capm and the Apt
CHAPTER 9 Market Efficiency
9.1 Random Walks and the Efficient Market Hypothesis
Competition as the Source of Efficiency
Versions of the Efficient Market Hypothesis
9.2 Implications of the EMH for Investment Policy
Technical Analysis
Fundamental Analysis
Active Versus Passive Portfolio Management
The Role of Portfolio Management in an Efficient Market
Resource Allocation
9.3 Event Studies
9.4 Are Markets Efficient?
The Issues
Weak-Form Tests: Patterns in Stock Returns
Returns over Long Horizons
Semistrong Tests: Market Anomalies
Strong-Form Tests: Inside Information
Interpreting the Evidence
Bubbles and Market Efficiency
The “Noisy Market Hypothesis” and Fundamental Indexing
9.5 Mutual Fund and Analyst Performance
Stock Market Analysts
Mutual Fund Managers
Survivorship Bias in Mutual Fund Studies
So Are Markets Efficient?
CHAPTER 10 Behavioural Finance and Technical Analysis
10.1 The Behavioural Critique
Information Processing
Behavioural Biases
Limits to Arbitrage
The Law of One Price
Bubbles and Behavioural Economics
Evaluating the Behavioural Critique
10.2 The Appeal of Technical Analysis
10.3 Trends and Charting
Trends and Corrections
A Warning
Moving Averages
10.4 Technical Indicators
Sentiment Indicators
Flow of Funds
Market Structure
10.5 Can Technical Analysis Work in Efficient Markets?
Information and Signalling
CHAPTER 11 Empirical Evidence on Security Returns
11.1 The Index Model and the Single-Factor APT
The Expected Return–Beta Relationship
Tests of the CAPM
Estimating Index Models for Canadian Stocks
Thin Trading
The Market Index
Measurement Error in Beta
11.2 Tests of the Multifactor CAPM and APT
Labour Income
Private (Nontraded)
11.3 Early Versions of the Multifactor CAPM and APT
A Macro Factor Model
11.4 The Fama-French-Type Factor Models
Size and B/M as Risk Factors
Behavioural Explanations
Momentum: A Fourth Factor
11.5 Liquidity and Asset Pricing
11.6 Consumption-Based Asset Pricing and the Equity Premium Puzzle
Consumption Growth and Market Rates of Return
Expected Versus Realized Returns
Survivorship Bias
Extensions to the CAPM May Resolve the Equity Premium Puzzle
Liquidity and the Equity Premium Puzzle
Behavioural Explanations of the Equity Premium Puzzle
CHAPTER 12 Bond Prices and Yields
12.1 Bond Characteristics
Canada Bonds
Corporate Bonds
Preferred Stock
Other Issuers
International Bonds
Innovation in the Bond Market
12.2 Bond Pricing
Review of the Present Value Relationship
Bond Pricing Between Coupon Dates
12.3 Bond Yields
Yield to Maturity
Yield to Call
Realized Compound Yield Versus Yield to Maturity
12.4 Bond Prices over Time
Yield to Maturity Versus Holding-Period Return
Zero-Coupon Bonds
After-Tax Returns
12.5 Default Risk
Junk Bonds
Determinants of Bond Safety
Bond Indentures
Yield to Maturity and Default Risk
Credit Default Swaps
Credit Risk and Collateralized Debt Obligations
CHAPTER 13 The Term Structure of Interest Rates
13.1 The Yield Curve
Bond Pricing
13.2 The Yield Curve and Future Interest Rates
The Yield Curve Under Certainty
Holding-Period Returns
Forward Rates
13.3 Interest Rate Uncertainty and Forward Rates
13.4 Theories of the Term Structure
The Expectations Hypothesis
Liquidity Preference
13.5 Interpreting the Term Structure
13.6 Forward Rates as Forward Contracts
CHAPTER 14 Managing Bond Portfolios
14.1 Interest Rate Risk
Interest Rate Sensitivity
14.2 Convexity
Why Do Investors Like Convexity?
14.3 Passive Bond Management
Bond Index Funds
Cash Flow Matching and Dedication
Other Problems with Conventional Immunization
14.4 Active Bond Management
Sources of Potential Profit
Horizon Analysis
Contingent Immunization
14.5 Financial Engineering and Interest Rate Derivatives
Appendix 14A: Duration and Convexity of Callable Bonds and Mortgage-Backed Securities
Callable Bonds
Mortgage-Backed Securities
CHAPTER 15 Macroeconomic and Industry Analysis
15.1 The Global Economy
15.2 The Domestic Macroeconomy
15.3 Demand and Supply Shocks and Government Policy
15.4 Federal Government Policy
Fiscal Policy
Monetary Policy
Supply-Side Policies
15.5 Business Cycles
The Business Cycle
Economic Indicators
15.6 Industry Analysis
Defining an Industry
Sensitivity to the Business Cycle
Sector Rotation
Industry Life Cycles
Industry Structure and Performance
15.7 The Aggregate Stock Market
CHAPTER 16 Equity Evaluation Models
16.1 Valuation by Comparables
The Balance Sheet Approach
16.2 Intrinsic Value Versus Market Price
16.3 Dividend Discount Models
Convergence of Price to Intrinsic Value
Stock Prices and Investment Opportunities
Life Cycles and Multistage Growth Models
Multistage Growth Models
16.4 Earnings, Growth, and Price-Earnings Ratios
Growth or Value Investing
P/E Ratios and Stock Risk
Pitfalls in P/E Analysis
Combining P/E Analysis and the DDM
Other Comparative Valuation Ratios
16.5 Free Cash Flow Valuation
FCF Versus the DDM
The Problem with DCF Models
Appendix 16A: Derivation of the Dividend Discount Model
The Constant-Growth DDM
CHAPTER 17 Financial Statement Analysis
17.1 The Major Financial Statements
The Income Statement
The Balance Sheet
The Statement of Changes in Financial Position
17.2 Measuring Firm Performance
17.3 Profitability Measures and Their Analysis
Past Versus Future ROE
Financial Leverage and ROE
Decomposition of ROE
17.4 More Ratio Analysis
Turnover and Other Asset Utilization Ratios
Liquidity Ratios
Market Price Ratios: Growth Versus Value
Choosing a Benchmark
17.5 Economic Value Added
17.6 An Illustration of Financial Statement Analysis
17.7 Comparability Problems
Inventory Valuation
Inflation and Interest Expense
Fair Value Accounting
Quality of Earnings and Accounting Practices
International Accounting Conventions
17.8 The Value of Fundamental Analysis
The Potential
Value Investing: The Graham Technique
CHAPTER 18 Options and Other Derivatives Markets: Introduction
18.1 The Option Contract
Options Trading
American and European Options
Adjustments in Option Contract Terms
The Option Clearing Corporation
Other Listed Options
18.2 Values of Options at Expiration
Call Options
Put Options
Options Versus Stock Investments
18.3 Option Strategies
Protective Put
Covered Call
18.4 The Put–Call Parity Relationship
18.5 Option-Like Securities
Callable Bonds
Convertible Securities
Collateralized Loans
Levered Equity and Risky Debt
18.6 Financial Engineering
18.7 Exotic Options
Asian Options
Barrier Options
Lookback Options
Currency-Translated Options
Digital Options
CHAPTER 19 Option Valuation
19.1 Option Valuation: Introduction
Intrinsic and Time Values
Determinants of Option Values
19.2 Restrictions on Option Values
Restrictions on the Value of a Call Option
Early Exercise and Dividends
Early Exercise of American Puts
19.3 Binomial Option Pricing
Two-State Option Pricing
Generalizing the Two-State Approach
Making the Valuation Model Practical
19.4 Black-Scholes Option Valuation
The Black-Scholes Formula
Dividends and Call Option Valuation
Put Option Valuation
19.5 Using the Black-Scholes Formula
Hedge Ratios and the Black-Scholes Formula
Portfolio Insurance
Option Pricing and the Crisis of 2008–2009
Option Pricing and Portfolio Theory
Hedging Bets on Mispriced Options
19.6 Stochastic Dominance Option Pricing
Complete and Incomplete Markets
Generalizing the Binomial Option Pricing Model
19.7 Empirical Evidence
CHAPTER 20 Futures, Forwards, and Swap Markets
20.1 The Futures Contract
The Basics of Futures Contracts
Existing Contracts
20.2 Mechanics of Trading in Futures Markets
The Clearinghouse and Open Interest
Marking to Market and the Margin Account
Cash Versus Actual Delivery
20.3 Futures Markets Strategies
Hedging and Speculating
Basis Risk and Hedging
20.4 Futures Prices
The Spot–Futures Parity Theorem
Forward Versus Futures Pricing
20.5 Commodity Futures Pricing
Pricing with Storage Costs
Discounted Cash Flow Analysis for Commodity Futures
Futures Prices Versus Expected Spot Prices
Expectations Hypothesis
Normal Backwardation
Modern Portfolio Theory
20.6 Stock Index Futures
The Contracts
Creating Synthetic Stock Positions: An Asset Allocation Tool
Index Arbitrage
20.7 Foreign Exchange Futures
The Markets
Interest Rate Parity
20.8 Interest Rate Futures
The Markets
Hedging Interest Rate Risk
20.9 Swaps
Swaps and Balance Sheet Restructuring
The Swap Dealer
Other Interest Rate Contracts
Swap Pricing
Credit Risk in the Swap Market
Credit Default Swaps
CHAPTER 21 Active Management and Performance Measurement
21.1 The Objective of Active Management
Performance Measurement Under Active Management
21.2 Measuring Returns and Calculating Averages
Average Rates of Return
Time-Weighted Returns Versus Dollar-Weighted Returns
Dollar-Weighted Return and Investment Performance
21.3 Risk-Adjusted Performance Measures
Risk Adjustment Techniques
The M2 Measure of Performance
The Sharpe Ratio as the Criterion for Overall Portfolios
Appropriate Performance Measures in Two Scenarios
The Role of Alpha in Performance Measures
Actual Performance Measurement: An Example
Performance Manipulation and the Morningstar Risk-Adjusted Rating
Realized Returns Versus Expected Returns
21.4 Style Analysis
Style Analysis and Multifactor Benchmarks
Style Analysis in Excel
Other Performance Measures
21.5 Market Timing
The Potential Value of Market Timing
The Value of Imperfect Forecasting
Identifying Timing Ability
21.6 Performance Evaluation
21.7 Performance Attribution Procedures
Asset Allocation Decisions
Sector and Security Allocation Decisions
Summing up Component Contributions
Appendix 21A: Valuing Market Timing as a Call Option
CHAPTER 22 Portfolio Management Techniques
22.1 A Framework for Investment Policy
Institutions and Their Objectives
Unique Needs
22.2 Indexing
Index Strategies
22.3 Hedging
Hedging Systematic Risk
Hedging Interest Rate Risk
22.4 Asset Allocation
22.5 Security Selection: The Treynor-Black Model
Alpha and Security Analysis
The Index Portfolio as an Investment Asset
The Optimal Risky Portfolio in the Single-Index Model
The Information Ratio
Summary of Optimization Procedure
An Example
22.6 The Black-Litterman Model
A Black-Litterman Asset Allocation Decision
A Five-Step Process
22.7 The Two Models: Complements, Not Substitutes
Enhancement or Replacement of TB by BL
22.8 The Value of Active Management
The Contribution of the Information Ratio
The Performance of Alternative Forecasts
Appendix 22A: Refinements to Treynor-Black
Forecasts of Alpha Values and Extreme Portfolio Weights
Restriction of Benchmark Risk
Imperfect Forecast and Adjustments to Alpha
Adjusting Forecasts for the Precision of Alpha
Distribution of Alpha Values
Organizational Structure and Performance
Appendix 22B: The General Black-Litterman Model
Steps 1 and 2: The Covariance Matrix and Baseline Forecasts
Step 3: The Manager’s Private Views
Step 4: Revised (Posterior) Expectations
Step 5: Portfolio Optimization
CHAPTER 23 Managed Funds
23.1 Investment Companies
Other Investment Organizations
Private Equity and Hedge Funds
23.2 Mutual Funds
Investment Policies
How Funds Are Sold
Taxation of Mutual Fund Proceeds
23.3 Hedge Funds: Strategies and Alpha
Hedge Fund Strategies
Statistical Arbitrage
Portable Alpha
23.4 Costs of Investing in Mutual and Hedge Funds
Fee Structure
Fees and Mutual Fund Returns
Fee Structure in Hedge Funds
23.5 Investment Performance of Managed Funds
Mutual Fund Performance
Persistence in Performance
Hedge Fund Performance
23.6 Exchange-Traded Funds
23.7 Information on Mutual Funds
Appendix 23A: Taxation and Tax Sheltering
The Canadian Tax System
Tax Deferral and Shelters
Appendix 23B: Pension Funds
Defined-Contribution Plans
Defined-Benefit Plans
Alternative Perspectives on Defined-Benefit Pension Obligations
Pension Investment Strategies
Pension Fund Appraisal
CHAPTER 24 International Investing
24.1 International Investments
The World Equity Portfolio
International Diversification
Market Capitalization and GDP
Home-Country Bias
Techniques for Investing Internationally
24.2 Risk Issues in International Investing
Political Risk
Exchange Rate Risk
Using Futures to Manage Exchange Rate Risk
24.3 Risk, Return, and Benefits from International Diversification
Integration of Markets
Risk and Return: Summary Statistics
Are Investments in Emerging Markets Riskier?
Are Average Returns in Emerging Markets Greater?
The Home Bias
24.4 Assessing the Potential of International Investing
24.5 Assessment of International Investing
Constructing a Benchmark Portfolio of Foreign Assets

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