唯學(xué)網(wǎng)小編提醒：本文是關(guān)于CFA考試的股權(quán)投資部分，小編建議考生學(xué)投資學(xué)肯定對(duì)考CFA有幫助�？荚噧�(nèi)容中的投資學(xué)，在大學(xué)本專業(yè)一般都會(huì)學(xué)到投資學(xué)。很多債務(wù)投資分析、股權(quán)投資分析、其它投資分析、投資組合管理和投資表現(xiàn)衡量與原因分析等，都應(yīng)有相關(guān)專業(yè)課程。所以，考生還是要從平時(shí)多積累這方面的知識(shí)點(diǎn)。希望考生能夠順利通過(guò)特許金融分析師考試。

Reading 35 回報(bào)率

1. Return concept:

1) Holding period return (HPR) and annualized HPR (有效年利率);

2) Expected return: E(r), required return: fair return on similar asset,

Alpha = Expected return – required return,

Ex ante alpha (pricing model), Ex post alpha (historical return).

2. Equity risk premium:

1) Equity risk premium = rM – rf, long-term;

2) Estimating equity risk premium:

a) Historical estimates;

b) Forward looking estimates: Gordon growth model: D1 / P + g – rf,;

c) Ibbotson-Chen model: rM – rf = (Pt + Dt) / Pt-1 – 1 – rf = (Pt/Et * Et-1/Pt-1)(Et/Et-1) + Dt/Pt-1 – 1 – rf = (1 + P/E growth rate)(1 + nominal EPS growth rate) + dividend yield – 1 – rf.

3. Estimating required return:

1) CAPM;

2) APT: required return = rf + Σ(risk premium)i = rf + Σ(factor sensitivity or exposure * factor risk premium)i:

a) Fama-French model: required return = rf + βm * equity risk premium + βs * small-cap return premium + βh * high book-to-market return premium = rf + βm * (rM - rf) + βs * (rsmall - rbig) + βh * (rhigh - rlow);

注：High book-to market value — value basis, small — growth basis;

Value firms outperform growth firms.

b) Pastor-Stambaugh model: required return = Fama-French return + βl * liquidity premium;

c) Macroeconomic multifactor model.

3) Build-up method: r = rf + equity risk premium + more related premiums.

4. Estimating beta:

1) For public companies: regression β, adjusted β;

Blume adjustment: adjusted β = 2/3 * unadjusted β + 1/3.

2) For non-public companies, pure-play method: leveled β = unleveled β * (1 + D / S).

Reading 34 市場(chǎng)和工具

1. 市場(chǎng)類型：

1) Order-driven market: no market makers, match supply and demand directly);

2) Price-driven market (market marker maintain an inventory of securities and quote price to buy (bid price) and sell (ask price).

2. Execution cost:

1) Tangible: commissions (傭金), taxes;

Cost of buying = P * (1 + commission rate + tax rate);

Return of selling = P * (1 – commission rate – tax rate).

2) Intangible: market impact (cost of immediate execution or cost of buying liquidity, bid-ask spread), opportunity cost (cost of delaying or failure to complete a trade);

3) Taxes on the return of international investment:

a) Dividend incomes: tax credit = D*t1

Foreign country withholding tax = D*t1 Investor tax = D*t2 Home country

b) Capital gains: taxed in home country only, no withholding tax to foreign country .

3. International investment instruments:

1) American depositary receipt (ADR) 存券憑證:

a) Issued by US banks, representing shares of a foreign stock, trading in US;

b) Level 1: trading on the over-the-counter market, not required to comply with SEC registration and reporting requirements;

Level 2: listed on an exchange, must comply;

Level 3: listed on an exchange and can raise new equity capital, must comply.

2) Closed- (open-) end country fund: mutual fund that can invest foreign stocks; international ETFs.

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