financial system functions
1. satisfy needs of saving, borrowing, issuing equity, risk management, exchanging assets, utilizing information
2. determine interest rates
3. allocate capital to its most efficient uses
financial intermediary
- brokers
- investment bank
- exchange
- alternative trading systems
- dealers
- dealer-broker
- securitizers
- insurance companies
- arbitrageur
- clearing house
- custodians
良好运作的市场
- complete markets
- operational efficient
- informational efficient
- allocation efficient
金融市场的分类
- 固定收益fixed income
债券(bonds)、中期票据(notes)、短期票据(bills)、商业票据(commercial paper)、可转让存单(cd)、repos、convertible bonds
- 权益类
- 集合理财品pooled investment vehicle
ETFs
资产担保证券
对冲基金
- 外汇
- 合约
forward contracts 远期
futures contrats 期货
swap contracts 掉期
option contracts 期权
insurance contracts 保险
credit default swaps 信用违约互换
杠杆头寸(leverage position)
追加保证金pL = p0 (1-IM)/(1-MM) im: initial margin mm: maintenance margin
市场分类
一级市场/二级市场
货币市场/资本市场
传统市场/其他类投资市场
公开发行：投资银行业务：包销underwritten offering 代销best efforts
非公开发行：私募配售(private placement)-accredited investors<35，暂搁注册(shelf registration)，股息再投资计划(dividend reinvestment plan), 定向增发(rights offering)面向公司的已有股东
二级市场
- call market用来消化不开盘时的市场变化
- continuous market
交易方式分类：
- order-driven market指令驱动型市场 price priority; secondary precedence rule
- quote-driven market报价驱动型市场 relies on market dealers bid-ask spread
- brokered markets
根据信息透明性分类：
- pre-trade transparent买方
- post-trade transparent 做市商
市场指数
- price index
- return index
price-weighted index = sum of stock prices/(number of stocks in index adjusted for splits)
价格高的股票权重高
equal-weighted index
market cap-weighted index 市值加权
float-adjusted market cap-weighted index 使用流通股计算
fundamental weighting index
练习p478
调整(rebalancing)与重组(reconstitution)
不同资产类型指数
权益市场指数
- board market index主板市场指数
- multi-market index多种市场指数
- 以基本面为权重的多种市场指数(multi-market index with fundamental weighting)
- 行业/区块指数(sector index)
- 投资风格指数(style index)
债券市场指数
有效资本市场
fama
- work-form EMH 充分反映了历史的消息信息
- semi-strong-form EMH 公开消息
- strong-form EMH 所有消息
时间序列分析中的市场异象
- calendar anomalies
- overreaction/momentum anomalies
- size/value effect
- close-end investment funds 封闭式基金每股交易时低于基金资产净值net asset value
- earnings announcement
- IPOs
- economic fundamentals
这些异象由投资者的行为偏差造成：
- representativeness
- gamblers' fallacy
- mental accounting /"isolation effect"?
- conservatism
- disposition effect
- narrow framing /"isolation effect"?
private equity types
- vc
- lbo 杠杆收购 用被收购股权作质押向银行借贷完成收购
- management buyout mbo 改变公司所有制结构，激励企业经营
- private investment in public equity (pipe) 私募股权融资
境外股票投资
- direct investing
- depository receipts, dr
- global depository receipts, gdr
- american depository receipts
- global registered shares, grs
- basket of listed depository receipts, bldr
股票的账面价值和市场价值
roe = net income/(average book value of equity) = ni t / (bv t + bv t-1)/2
股票估值
价格乘数模型price multiple models