Issuance of Securities
Public Offering
open to all legal social investors
- Listed company
Private Offering
open to specific investors with underwriter
- less cost
- cannot be traded in secondary market
IPO(Initial Public Offerings)
- Roadshows to promote upcoming new securities offerings
- Establishing files of investors' willingness (bookbuilding)
- IPO underpricing
SEO(Seasoned Equity Offerings)再次增发
辛迪加
核准制(approval-based IPO system）-注册制(registration-based system)
BID买入价-ASK卖出价
- When there is no significant imbalance between supply and demand, the higher the liquidity, the smaller the bid-ask spread
- When the price drops significantly, the bid-ask spread will increase
交易指令Trading Order
Market order: execute immediately，Traders accept the current market price- Limit order:
- Limit buying order: buy when the stock price drops to or below the agreed price
- Limit selling order: sell when the stock price rises to or exceeds the agreed price
- Stop order:
- Stop-Loss：Only when the stock price drops to a specified price will the stock be sold
- Stop-Buy：Only when the stock price rises to a specified price will the stock be bought
Order with Margin Requirement（以保证金购买）
- 权益价值（账户净值）Equity
- 初始保证金 Initial margin requirement (IMR): Least Cash
- 维持保证金 Maintenance margin requirement (MMR)
如果证券价值Equity/Market Value<MMR下降太多，经纪人就会发出保证金催缴通知(margin call)，必须追加保证金。
short-selling卖空
Pros
- correct the price of overestimated securites
Cons
- intensify the volatility of the market
超额收益
无风险收益率(Risk-free Rate)
- 把资金投资于一个没有任何风险的投资对象所能得到的收益率，如短期国库券，货币基金等
风险溢价Risk Premium
- 风险资产的期望收益率和无风险收益率的差值
\[\text{risk premium} =𝐸 (𝑟_𝑝) − 𝑟_𝑓 \]
- 是对投资人承担一定风险的报酬
超额收益Excess Return
- 在任何一个特定的阶段，风险资产的实际收益率与实际无风险收益率的差值
- 风险溢价是超额收益的期望值，超额收益的标准差是其风险的测度
风险厌恶Risk Aversion
系统性风险 Systematic Risk
公司特有风险 Idiosyncratic Risk
收益波动性（夏普）比率 Sharp Ratio
收益(风险溢价)和风险(通过标准差SD来衡量)之间的权衡TRADEOFF意味着人们需要利用投资的风险溢价与标准差比率来度量投资组合的吸引力\[SR = \frac{E(r_p)-r_f}{\sigma_p} \]
夏普比率广泛用于投资经理业绩评估evaluation of investors:
理性的投资人选择投资标的与投资组合的主要目的为：在固定所能承受的风险下，追求最大的报酬；或在固定的预期报酬下，追求最低的风险。
With the risk fixed, pursue the highest return
均值-方差(M-V) 准则
纵轴是期望收益，横轴是标准差
- P点西北方向的任何组合都优于组合P
如何评判两个投资组合的吸引力？
均值-方差准则：假设投资组合A优于投资组合B:
\(E(r_A)\ge E(r_B)\)与\(\sigma_A \le \sigma_B\)至少有一个条件严格成立。
风险资产和无风险(Risk-Free)资产的组合
\[E(r_C)=r_f+\frac{E(r_P)-r_f}{\sigma_P}\sigma_C \]
和无差异曲线相切找到最优配置点
资本市场线（Captial Market Line）就是把风险资产换成指数
马科维茨资产组合(Markowitz Model)选择模型证券选择
第一步，有一堆风险资产，决定风险收益机会。
所有最小方差边界(minimum-variance frontier)上最小方差组合上方的点提供最优的风险和收益。这部分边界被称为风险资产的有效边界(efficient frontier)。第二步，我们寻找Expected Return - Volatility最高的资本配置线(CAL)。
这条资本配置线优于其他资本配置线，与有效边界相切，切点是最优风险组合P——夏普比率最高第三步，投资者基于自己的风险偏好在最优风险资产P和无风险资产之间选择合适的比例构成最终组合
So this Markowitz Model firstly finds an efficient frontier among some risk assets, then selects a CAL line whose slope is largest, and finally chooses a portfolio according to the risk preference.
单因子模型（CAPM雏形）Single Index Model\[R_p=\alpha_p+\beta_pR_M+e_p,\quad R_i = r_i-r_f\]
\(\beta\)衡量了证券对市场因素系统性风险的敏感度(sensitivity to the systematic risk)
\[\beta=\frac{cov(R_p,R_M)}{\sigma_M^2}\]
SIM非常的简单
Security Characteristic Line即拟合曲线
Basically, Markowitz is more accurate, but the calculation is too complex, which means accumulating more errors.
Simplifying Assumptions
- All the investors only take excess return and variance as standard measurement, they are all price-takers.
- Investors are greedy.
- Investors are risk averse.
- Securities are infinitely divided.
- No tax or other cost.
- Take debt at risk-free rate with no limit.
- The investing cycles are the same.
- Their expectation is the same.
Separation theorem
We can determine the optimal combination of its risky assets without knowing investors' preferences for risk and return.
若市场是有效的，由分离定理，资产组合选择问题可以分为两个独立的工作，即资本配置决策（Capital allocation decision）和资产配置（Asset allocation decision）
- Capital allocation decision: Consider the allocation of funds between risk-free assets and risk portfolios.
- Asset allocation decision: selecting the appropriate composition of risky assets among numerous risky securities Asset portfolio.
According to the separation theorem, fund companies can determine the optimal risk portfolio.
Resulting Equilibrium of CAPM
All the investors invest in the market index portfolio.\(\alpha\): Difference between 投资者期望收益率(Expected Return)与合理收益率 (Fair Return)(CAPM给出的期望收益率)之差
