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1、财务管理专业英语第1页，本讲稿共38页Wisdomn n Dontputallyoureggsinonebasket.Dontputallyoureggsinonebasket.AnonymousAnonymous不要把鸡蛋放在同一个篮子里。不要把鸡蛋放在同一个篮子里。不要把鸡蛋放在同一个篮子里。不要把鸡蛋放在同一个篮子里。n n MyventuresarenotinonebottomtrustedMyventuresarenotinonebottomtrusted，nottoonenottooneplace,norismywholeestateuponthefortuneofthispres
2、entplace,norismywholeestateuponthefortuneofthispresentyears;Therefore,mymerchandisemakesmenotsad.years;Therefore,mymerchandisemakesmenotsad.Shakespear,MerchantofVeniceShakespear,MerchantofVenice我的买卖的成败并不完全寄托在一艘船上，更不是倚赖着一处地方；我的全我的买卖的成败并不完全寄托在一艘船上，更不是倚赖着一处地方；我的全我的买卖的成败并不完全寄托在一艘船上，更不是倚赖着一处地方；我的全我的买卖的成败
3、并不完全寄托在一艘船上，更不是倚赖着一处地方；我的全部财产，也不会因为这一年的盈亏而受到影响，所以我的货物并不能使我忧部财产，也不会因为这一年的盈亏而受到影响，所以我的货物并不能使我忧部财产，也不会因为这一年的盈亏而受到影响，所以我的货物并不能使我忧部财产，也不会因为这一年的盈亏而受到影响，所以我的货物并不能使我忧愁。愁。愁。愁。第2页，本讲稿共38页n nHeisthepartofwisemantokeephimselftodayfortomorrow,andnotHeisthepartofwisemantokeephimselftodayfortomorrow,andnotventurea
4、llhiseggsinonebasket.ventureallhiseggsinonebasket.Cervantes,DonQuixoteCervantes,DonQuixote他是智者中的一员，为明天而在今天保存自己，不会冒险把鸡蛋放在同一个篮子里。他是智者中的一员，为明天而在今天保存自己，不会冒险把鸡蛋放在同一个篮子里。他是智者中的一员，为明天而在今天保存自己，不会冒险把鸡蛋放在同一个篮子里。他是智者中的一员，为明天而在今天保存自己，不会冒险把鸡蛋放在同一个篮子里。n nThereasonwhycorporationsdonotentergambleswithvolatileTherea
5、sonwhycorporationsdonotentergambleswithvolatilepayoffsandsmallpositiveexpectedreturnsisthatmanagerspayoffsandsmallpositiveexpectedreturnsisthatmanagersknowthatgenerallyvolatilitymatters.knowthatgenerallyvolatilitymatters.ReneM.StulzReneM.Stulz一些企业之所以没有涉足到一些带有极大不确定性回报和预期收益很小的类似赌博似的业务中，是因一些企业之所以没有涉足到一
6、些带有极大不确定性回报和预期收益很小的类似赌博似的业务中，是因一些企业之所以没有涉足到一些带有极大不确定性回报和预期收益很小的类似赌博似的业务中，是因一些企业之所以没有涉足到一些带有极大不确定性回报和预期收益很小的类似赌博似的业务中，是因为经理人知道极大的不确定性是存在的。为经理人知道极大的不确定性是存在的。为经理人知道极大的不确定性是存在的。为经理人知道极大的不确定性是存在的。Wisdom第3页，本讲稿共38页Mini caseFormanypeopleitisquiteacceptabletorisk$20everyweekinthelottery,Formanypeopleitisqui
7、teacceptabletorisk$20everyweekinthelottery,inviewofpotentialreturnsofhundredsofthousands(orevenmillions)ofinviewofpotentialreturnsofhundredsofthousands(orevenmillions)ofdollars.Whenyoubuyalotteryticket,theriskoflosingyour$20isveryhighdollars.Whenyoubuyalotteryticket,theriskoflosingyour$20isveryhigh(
8、howoftenhaveyouwonanythingatlotto).(howoftenhaveyouwonanythingatlotto).Howmuchyouwillbewillingtorisk,givenasetprobabilityofwinningHowmuchyouwillbewillingtorisk,givenasetprobabilityofwinningorlosing,dependsonyourcharacteryoumaybearisk-loveroryouorlosing,dependsonyourcharacteryoumaybearisk-loveroryoum
9、ayberisk-averse.mayberisk-averse.第4页，本讲稿共38页Words study1.Portfolio1.Portfolio组合组合组合组合 PortfolioriskPortfoliorisk投资组合风险投资组合风险投资组合风险投资组合风险ThereisanimportantdifferencebetweenThereisanimportantdifferencebetweenstand-alonestand-aloneandandportfolioriskportfoliorisk,andanassetthathasagreatdealofriskifheld
10、by,andanassetthathasagreatdealofriskifheldbyitselfmaybemuchlessriskyifitisheldaspartoflargerportfolio.itselfmaybemuchlessriskyifitisheldaspartoflargerportfolio.2.Diversifiablerisk2.Diversifiablerisk可分散风险可分散风险可分散风险可分散风险Inaportfoliocontext,anassetsriskcanbedividedintotwoInaportfoliocontext,anassetsris
11、kcanbedividedintotwocomponents:(1)components:(1)diversifiableriskdiversifiablerisk,whichcanbediversifiedaway,whichcanbediversifiedawayandthusisoflittleconcerntodiversifiedinvestors,and(2)andthusisoflittleconcerntodiversifiedinvestors,and(2)marketmarketriskrisk,whichreflectstheriskofageneralstockmark
12、etdeclineand,whichreflectstheriskofageneralstockmarketdeclineandcannotbeeliminatedbydiversification,anddoesconcerninvestors.cannotbeeliminatedbydiversification,anddoesconcerninvestors.第5页，本讲稿共38页3.Expectedreturn3.Expectedreturn期望收益期望收益期望收益期望收益ExpectedreturnExpectedreturnreferstotheexpectedchangeinth
13、evaluereferstotheexpectedchangeinthevalueofanassetoveragiven(future)timeperiod.Sincewecannotofanassetoveragiven(future)timeperiod.Sincewecannotknowthefuture,wehavetomakeaguessastowhatto“expect”,knowthefuture,wehavetomakeaguessastowhatto“expect”,basedonwhathashappenedtoreturnsinthepast.basedonwhathas
14、happenedtoreturnsinthepast.4.Radomvariable4.Radomvariable随机变量随机变量随机变量随机变量5.Probability5.Probability概率概率概率概率TheuncertaintyoffutureoutcomesisusuallyexpressedintermsTheuncertaintyoffutureoutcomesisusuallyexpressedintermsofofprobabilityprobabilityandplottedinaandplottedinaprobabilitydistributionprobabil
15、itydistributionwhichcanwhichcanbeexpressedasanequationcalledthebeexpressedasanequationcalledtheprobabilitydistributionprobabilitydistributionfunction.function.Words study第6页，本讲稿共38页6.Normalityassumption6.Normalityassumption正态假设正态假设正态假设正态假设IncorporatefinancewealmostalwaysassumethatfinancialIncorporat
16、efinancewealmostalwaysassumethatfinancialreturnscanbedescribedbyacontinuousreturnscanbedescribedbyacontinuousnormaldistributionnormaldistribution functionthisisalsocalledthefunctionthisisalsocalledthenormalityassumption.normalityassumption.7.Coefficient7.Coefficient系数系数系数系数standarddeviationstandardd
17、eviation标准离差率标准离差率标准离差率标准离差率 VarianceVariance方差方差方差方差sensitivityanalysissensitivityanalysis灵敏度分析灵敏度分析灵敏度分析灵敏度分析 scenarioanalysisscenarioanalysis情况分析情况分析情况分析情况分析 mean-varianceworldmean-varianceworld均值均值均值均值-方差世界方差世界方差世界方差世界Words study第7页，本讲稿共38页8.Efficientmarkethypothesis(EMH)8.Efficientmarkethypothe
18、sis(EMH)有效市场假设有效市场假设有效市场假设有效市场假设EfficientmarkethypothesisEfficientmarkethypothesissuggeststhat,atanygiventime,suggeststhat,atanygiventime,pricesfullyreflectallavailableinformationonaparticularpricesfullyreflectallavailableinformationonaparticularstockand/ormarket.Thus,accordingtotheEMH,noinvestorsto
19、ckand/ormarket.Thus,accordingtotheEMH,noinvestorhasanadvantageinpredictingareturnonastockpricesincenohasanadvantageinpredictingareturnonastockpricesincenoonehasaccesstoinformationnotalreadyavailableeveryoneonehasaccesstoinformationnotalreadyavailableeveryoneelse.else.9.Pricetaker9.Pricetaker价格接受者价格接
20、受者价格接受者价格接受者AfirmcanbeconsideredaAfirmcanbeconsideredapricetakerpricetakerwhenachangeinitswhenachangeinitsrateofproductionandsaleswillnotsignificantlyaffecttherateofproductionandsaleswillnotsignificantlyaffectthemarketpriceofitsproduct.Again,theunderlyingreasonismarketpriceofitsproduct.Again,theunde
21、rlyingreasonisperfectcompetitiveness.perfectcompetitiveness.Words study第8页，本讲稿共38页10.investorrationality10.investorrationality投资者的理性投资者的理性投资者的理性投资者的理性InvestorrationalityInvestorrationalityimpliesthatinvestorsbehaveasiftheyimpliesthatinvestorsbehaveasiftheywererationalandpossessedafullknowledgeofalla
22、vailablewererationalandpossessedafullknowledgeofallavailablemarketinformationtoahighdegreeofaccuracy.marketinformationtoahighdegreeofaccuracy.RationalbehaviorRationalbehaviormeansthatindividualsmaximizesomemeansthatindividualsmaximizesomeobjectivefunctiontheirutilityfunctionundertheobjectivefunction
23、theirutilityfunctionundertheconstraintsthattheyface.constraintsthattheyface.11.Institutionalinvestor11.Institutionalinvestor机构投资者机构投资者机构投资者机构投资者 retailinvestorretailinvestor个人投资者（散户投资者）个人投资者（散户投资者）个人投资者（散户投资者）个人投资者（散户投资者）Words study第9页，本讲稿共38页12.Allocationallyefficientmarkets12.Allocationallyefficie
24、ntmarkets配置有效市场配置有效市场配置有效市场配置有效市场operationallyefficientmarketsoperationallyefficientmarkets运营有效市场运营有效市场运营有效市场运营有效市场informationallyefficientmarketsinformationallyefficientmarkets信息有效市场信息有效市场信息有效市场信息有效市场n n WhenpricesaredeterminedinawaythatequatestheWhenpricesaredeterminedinawaythatequatesthemarginalr
25、atesofreturn(adjustedforrisk)forallproducersmarginalratesofreturn(adjustedforrisk)forallproducersandsavers,themarketissaidtobeandsavers,themarketissaidtobeallocationallyefficient.allocationallyefficient.n n Whenthecostoftransferringfundsis“reasonable”,theWhenthecostoftransferringfundsis“reasonable”,
26、themarketissaidtobemarketissaidtobeoperationallyefficient.operationallyefficient.n n Whenpricesfullyreflectallavailableinformation,itisWhenpricesfullyreflectallavailableinformation,itisinformationallyefficient.informationallyefficient.Words study第10页，本讲稿共38页13.Weekform13.Weekform弱式弱式弱式弱式 semi-strong
27、semi-strong半强式半强式半强式半强式 strongformstrongform强式强式强式强式n nWeekformWeekformassetspricesreflectallhistoricalpriceinformation.assetspricesreflectallhistoricalpriceinformation.n nSemi-strongSemi-strongassetspricesreflectallhistoricalpriceinformationassetspricesreflectallhistoricalpriceinformationandallpubl
28、iclyavailableinformation.andallpubliclyavailableinformation.n nStrongformStrongformassetspricesreflectallhistoricalpriceinformation,allassetspricesreflectallhistoricalpriceinformation,allpubliclyavailableinformation,andallprivateinformation(includingpubliclyavailableinformation,andallprivateinformat
29、ion(includinginformationonlyknowntoinsiders,suchascompanydirectors).informationonlyknowntoinsiders,suchascompanydirectors).Words study第11页，本讲稿共38页14.Anomaly14.Anomaly异常异常异常异常15.Underpricing15.Underpricing价格低估价格低估价格低估价格低估16.Mondayeffect16.Mondayeffect星期一效应星期一效应星期一效应星期一效应 JanuaryeffectJanuaryeffect元月效
30、应元月效应元月效应元月效应Onaverage,stockshavelower(negative)returnsonMonday,Onaverage,stockshavelower(negative)returnsonMonday,comparedto(positive)paredto(positive)returnsonotherdaysoftheweek.StockshavehigherreturnsinJanuary,relativetoothermonthsStockshavehigherreturnsinJanuary,relativetoothermonthsoftheyear.of
31、theyear.Words study第12页，本讲稿共38页17.post-earningsannouncementdrift17.post-earningsannouncementdrift期后盈余披露期后盈余披露期后盈余披露期后盈余披露18.Behavioralfinance18.Behavioralfinance行为财务行为财务行为财务行为财务 BehavioralfinanceBehavioralfinanceisthedisciplinewithinfinanceisthedisciplinewithinfinance whichrelieswhichreliesonpsychol
32、ogy-basedtheoriestoexplainsuchanomalieswhereonpsychology-basedtheoriestoexplainsuchanomalieswhererationalexplanationsfail.rationalexplanationsfail.19.Prospecttheory19.Prospecttheory期望理论期望理论期望理论期望理论 PortfoliotheoryPortfoliotheory组合理论组合理论组合理论组合理论20.Mutualfund20.Mutualfund共同基金共同基金共同基金共同基金21.mean-varian
33、ceefficientfrontier21.mean-varianceefficientfrontier均值均值均值均值-方差有效边界方差有效边界方差有效边界方差有效边界CorrelationcoefficientCorrelationcoefficient相关系数相关系数相关系数相关系数Words study第13页，本讲稿共38页22.Capitalassetpricingmodel22.Capitalassetpricingmodel（CAPM)CAPM)资本资产定价模型资本资产定价模型资本资产定价模型资本资产定价模型BetacoefficientBetacoefficient贝塔系数贝
34、塔系数贝塔系数贝塔系数pany-pany-specificfactor公司特有风险公司特有风险公司特有风险公司特有风险24.Arbitragepricingtheory(APT)24.Arbitragepricingtheory(APT)套利定价模型套利定价模型套利定价模型套利定价模型Words study第14页，本讲稿共38页Text study n n6.1IntroductiontoRiskandReturn6.1IntroductiontoRiskandReturnn n6.2EfficientMarketHypothesis(EMH)6.2EfficientMarketHypoth
35、esis(EMH)n n6.3PortfolioTheory6.3PortfolioTheoryn n6.4BetaandCapitalAssetPricingModel6.4BetaandCapitalAssetPricingModeln n6.5ArbitragePricingTheory6.5ArbitragePricingTheory第15页，本讲稿共38页Introduction to Risk and ReturnRiskcanbemeasuredindifferentways,anddifferentRiskcanbemeasuredindifferentways,anddiff
36、erentconclusionsaboutanassetsriskcanbereachedconclusionsaboutanassetsriskcanbereacheddependingonthemeasureused.Weshouldrememberthedependingonthemeasureused.Weshouldrememberthefollowing:following:1 1.Allfinancialassetsareexpectedtoproducecashflows,andtheriskofanAllfinancialassetsareexpectedtoproducec
37、ashflows,andtheriskofanassetisjudgedbytheriskofitscashflows.assetisjudgedbytheriskofitscashflows.2 2.Herearetwoassumptionsaboutriskandreturn:Herearetwoassumptionsaboutriskandreturn:Assumption(1):ThereturnsfrominvestmentsareAssumption(1):Thereturnsfrominvestmentsarenormallydistributed.normallydistrib
38、uted.Assumption(2):Investorsarerisk-averse.Assumption(2):Investorsarerisk-averse.第16页，本讲稿共38页3 3.Theriskofanassetcanbeconsideredintwoways:Theriskofanassetcanbeconsideredintwoways:(1)onastand-alonebasis(1)onastand-alonebasis(2)inaportfoliocontext(2)inaportfoliocontext4 4.Inaportfoliocontext,anassetsr
39、iskcanbedividedintoInaportfoliocontext,anassetsriskcanbedividedintotwocomponents:twocomponents:(1)diversifiablerisk(1)diversifiablerisk(2)marketrisk(2)marketrisk5 5.Anassetwithahighdegreeofrelevant(market)riskmustAnassetwithahighdegreeofrelevant(market)riskmustprovidearelativelyhighexpectedrateofret
40、urntoattractprovidearelativelyhighexpectedrateofreturntoattractinvestors.investors.Introduction to Risk and Return第17页，本讲稿共38页Introduction to Risk and Return returnSupposeyoubuy1shareofastockfor$1,000.ThestockpaynoSupposeyoubuy1shareofastockfor$1,000.Thestockpaynodividends,butattheendofoneyear,youse
41、llthestockfor$1,100.dividends,butattheendofoneyear,yousellthestockfor$1,100.Whatisthereturnonyour$1,000investment?Whatisthereturnonyour$1,000investment?Dollarreturn=Amountreceived-AmountinvestedDollarreturn=Amountreceived-Amountinvested=$1,100-$1,000=$100=$1,100-$1,000=$100Therateofreturnonaninvestm
42、entcanbecalculatedasfollows:Therateofreturnonaninvestmentcanbecalculatedasfollows:Return=(AmountreceivedAmountinvested)/AmountinvestedReturn=(AmountreceivedAmountinvested)/Amountinvested第18页，本讲稿共38页InvestmentriskisrelatedtotheprobabilityofearningInvestmentriskisrelatedtotheprobabilityofearningalowor
43、negativeactualreturn.Thegreaterthechanceofalowornegativeactualreturn.Thegreaterthechanceoflowerthanexpectedornegativereturns,theriskierthelowerthanexpectedornegativereturns,theriskiertheinvestment.investment.riskisusuallyestimatedwiththestandarddeviation,riskisusuallyestimatedwiththestandarddeviatio
44、n,whichisthesquarerootofthevarianceofreturns.whichisthesquarerootofthevarianceofreturns.Introduction to Risk and Return risk第19页，本讲稿共38页n n收益率的方差用来表示资产收益率的各种可能值与其期望收益率的方差用来表示资产收益率的各种可能值与其期望收益率的方差用来表示资产收益率的各种可能值与其期望收益率的方差用来表示资产收益率的各种可能值与其期望值之间的偏离程度。值之间的偏离程度。值之间的偏离程度。值之间的偏离程度。n n 收益率的标准差：它等于方差的开方（平方根）
45、。收益率的标准差：它等于方差的开方（平方根）。收益率的标准差：它等于方差的开方（平方根）。收益率的标准差：它等于方差的开方（平方根）。Introduction to Risk and Return risk第20页，本讲稿共38页标准差和方差都是用绝对指标来衡量资产的风险大小。标准差和方差都是用绝对指标来衡量资产的风险大小。标准差和方差都是用绝对指标来衡量资产的风险大小。标准差和方差都是用绝对指标来衡量资产的风险大小。1 1适用条件：在预期收益率相同的情况下，标准差或方适用条件：在预期收益率相同的情况下，标准差或方适用条件：在预期收益率相同的情况下，标准差或方适用条件：在预期收益率相同的情况下
46、，标准差或方差越大则风险越大；标准差或方差越小则风险也越小。差越大则风险越大；标准差或方差越小则风险也越小。差越大则风险越大；标准差或方差越小则风险也越小。差越大则风险越大；标准差或方差越小则风险也越小。2 2局限：预期收益率不同的资产的风险不适用。局限：预期收益率不同的资产的风险不适用。局限：预期收益率不同的资产的风险不适用。局限：预期收益率不同的资产的风险不适用。n n 标准离差率是资产收益率的标准差与期望值之比。也可称标准离差率是资产收益率的标准差与期望值之比。也可称标准离差率是资产收益率的标准差与期望值之比。也可称标准离差率是资产收益率的标准差与期望值之比。也可称为变异系数。为变异系数
47、。为变异系数。为变异系数。Introduction to Risk and Return risk第21页，本讲稿共38页标准离差率是一个相对指标。它表示某资产每单位预期收标准离差率是一个相对指标。它表示某资产每单位预期收标准离差率是一个相对指标。它表示某资产每单位预期收标准离差率是一个相对指标。它表示某资产每单位预期收益中所包含的风险的大小。益中所包含的风险的大小。益中所包含的风险的大小。益中所包含的风险的大小。1 1适用条件：一般情况下标准离差率越大，资产的相对适用条件：一般情况下标准离差率越大，资产的相对适用条件：一般情况下标准离差率越大，资产的相对适用条件：一般情况下标准离差率越大，资
48、产的相对风险越大；相反，标准离差率越小，资产的相对风险越小。风险越大；相反，标准离差率越小，资产的相对风险越小。风险越大；相反，标准离差率越小，资产的相对风险越小。风险越大；相反，标准离差率越小，资产的相对风险越小。标准离差率指标可以用来比较预期收益率不同的资产之间标准离差率指标可以用来比较预期收益率不同的资产之间标准离差率指标可以用来比较预期收益率不同的资产之间标准离差率指标可以用来比较预期收益率不同的资产之间的风险大小。的风险大小。的风险大小。的风险大小。2 2注意：如果资产的预期收益率相同，不需要计算注意：如果资产的预期收益率相同，不需要计算注意：如果资产的预期收益率相同，不需要计算注意
49、：如果资产的预期收益率相同，不需要计算标准离差率。标准离差率。标准离差率。标准离差率。Introduction to Risk and Return risk第22页，本讲稿共38页风险对策风险对策要点要点采取措施（多选采取措施（多选）规避规避放弃项目彻底避免放弃项目彻底避免拒绝与不守信用的企业合拒绝与不守信用的企业合作、放弃亏损项目作、放弃亏损项目减少减少控制风险因素减少风险控制风险因素减少风险的发生控制发生频率降的发生控制发生频率降低损害程度低损害程度准确预测、多方案选择、准确预测、多方案选择、搜集信息、市场调研、多搜集信息、市场调研、多元化组合投资元化组合投资转移转移以一定代价将风险转移
50、以一定代价将风险转移给他人给他人投保、联营、技术转让、投保、联营、技术转让、业务外包业务外包接受接受风险自担风险自担承担损失计入成本、冲减承担损失计入成本、冲减利润利润风险自保风险自保提取准备金提取准备金第23页，本讲稿共38页Efficient Market Hypothesis(EMH)n nAssumption1:ThereturnsfrominvestmentsarenormallyAssumption1:Thereturnsfrominvestmentsarenormallydistributed.distributed.n nAssumption2:Investorsarerisk