Details

Subject(s)

• Investments [Browse]
• Portfolio management [Browse]

Related name

• Kane, Alex, 1942- [Browse]
• Marcus, Alan J. [Browse]

Series

• McGraw-Hill/Irwin series in finance, insurance, and real estate [More in this series]
• The McGraw-Hill/Irwin series in finance, insurance and real estate

Summary note

"Bodie, Kane, and Marcus' Investments sets the standard for graduate/MBA investments textbooks. It blends practical and theoretical coverage, while maintaining an appropriate rigor and a clear writing style. Its unifying theme is that security markets are nearly efficient, meaning that most securities are priced appropriately given their risk and return attributes. The text places greater emphasis on asset allocation and offers a much broader and deeper treatment of futures, options, and other derivative security markets than most investment texts. It is also the only graduate Investments text to offer an online homework management system, McGraw-Hill's Connect Finance."--Publisher's website.

Bibliographic references

Includes bibliographical references and indexes.

Contents

• Note continued: The Issues
• The Magnitude Issue
• The Selection Bias Issue
• The Lucky Event Issue
• Weak-Form Tests: Patterns in Stock Returns
• Returns over Short Horizons
• Returns over Long Horizons
• Predictors of Broad Market Returns
• Semistrong Tests: Market Anomalies
• The Small-Firm-in-January Effect
• The Neglected-Firm Effect and Liquidity Effects
• Book-to-Market Ratios
• Post-Earnings-Announcement Price Drift Strong-Form Tests: Inside Information
• Interpreting the Anomalies
• Risk Premiums or Inefficiencies?
• Anomalies or Data Mining?
• Bubbles and Market Efficiency
• 11.5.Mutual Fund and Analyst Performance
• Stock Market Analysts
• Mutual Fund Managers
• So, Are Markets Efficient?
• End of Chapter Material
• ch. 12 Behavioral Finance and Technical Analysis
• 12.1.The Behavioral Critique
• Information Processing
• Forecasting Errors
• Overconfidence
• Conservatism
• Sample Size Neglect and Representativeness
• Behavioral Biases Framing
• Mental Accounting
• Regret Avoidance
• Prospect Theory
• Limits to Arbitrage Fundamental Risk
• Implementation Costs
• Model Risk Limits to Arbitrage and the Law of One Price
• "Siamese Twin" Compnies
• Equity Carve-Outs
• Closed-End Funds
• Bubbles and Behavioral Economics
• Evaluating the Behavioral Critique
• 12.2.Technical Analysis and Behavioral Finacne
• Trends and Corrections
• Down Theory
• Moving Averages
• Breadth Sentiment Indicators
• Trin Statistic
• Confidence Index
• Put
• Call Ratio A Warning
• ch. 13 Empirical Evidance on Security Returns
• 13.1.The Index Model and the Single-Factor APT
• The Expected Return
• Beta Relationship Setting Up the Sample Data
• Estimating the SCL
• Estimating the SML
• Tests of the CAPM
• The Market Index
• Measurement Error in Beta
• The EMH and the CAPM
• Accounting for Human Capital and Cyclical Variations in Asset Betas
• Accounting for Nontraded Business
• 13.2.Tests of Multifactor CAPM and APT
• A Macro Factor Model
• 13.3.The Fama-French Three-Factor Model
• Risk-Based Interpretations
• Behavioral Explanations
• Momentum: A Fourth Factor
• 13.4.Liquidity and Asset Pricing
• Liquidity and Efficient Market Anomalies
• 13.5.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
• Behavioral Explanations of the Equity Premium Puzzle
• pt. IV Fixed-Income Securities
• ch. 14 Bond Prices and Yields
• 14.1.Bond Characteristics
• Treasury Bonds and Notes
• Accrued Interest and Quoted Bond Prices
• Corporate Bonds
• Call Provisions on Corporate Bonds
• Convertible Bonds
• Puttable Bonds
• Floating-Rate Bonds
• Preferred Stock
• Other Issuers
• International Bonds
• Innovation in the Bond Market
• Inverse Floaters
• Asset-Backed Bonds
• Catastrophe Bonds
• Indexed Bonds
• 14.2.Bond Pricing
• Bond Pricing between Coupon Dates
• 14.3.Bond Yields
• Yield to Maturity
• Yield to Call
• Realized Compound Return versus Yield to Maturity
• 14.4.Bond Prices over Time
• Yield to Maturity versus Holding-Period Return
• Zero-Coupon Bonds and Treasury Strips
• After-Tax Returns
• 14.5.Default Risk and Bond Pricing
• Junk Bonds
• Determinants of Bond Safety
• Bond Indentures
• Sinking Funds
• Subordination of Further Debt
• Dividend Restrictions
• Collateral
• Yield to Maturity and Default Risk
• Credit Default Swaps
• Credit Risk and Collateralized Debt Obligations
• ch. 15 The Term Structure of Interest Rates
• 15.1.The Yield Curve
• Bond Pricing
• 15.2.The Yield Curve and Future Interest Rates
• The Yield Curve under Certainty
• Holding-Period Returns
• Forward Rates
• 15.3.Interest Rate Uncertainty and Forward Rates
• 15.4.Theories of the Term Structure
• The Expectations Hypothesis
• Liquidity Preference
• 15.5.Interpreting the Term Structure
• 15.6.Forward Rates as Forward Contracts
• ch. 16 Managing Bond Portfolios
• 16.1.Interest Rate Risk
• Interst Rate Sensitivity
• Duration
• What Determines Duration?
• Rule 1 for Duration
• Rule 2 for Duration
• Rule 3 for Duration
• Rule 4 for Duration
• Rule 5 for Duration
• 16.2.Convexity
• Why Do Investors Like Convexity?
• Duration and Convexity of Callable Bonds
• Duration and Convexity of Mortagage-Backed Securities
• 16.3.Passive Bond Management
• Bond-Index Funds
• Immunization
• Cash Flow Matching and Dedication
• Other Problems with Conventional Immunization
• 16.4.Active Bond Management
• Sources of Potential Profit
• Horizon Analysis
• pt. V Security Analysis
• ch. 17 Macroeconomic and Industry Analysis
• 17.1.The Global Economy
• 17.2.The Domestic Macroeconomy
• 17.3.Demand and Supply Shocks
• 17.4.Federal Government Policy
• Fiscal Policy
• Monetary Policy
• Supply-Side Policies
• 17.5.Business Cycles
• The Business Cycle
• Economic Indicators
• Other Indicators
• 17.6.Industry Analysis
• Defining an Industry
• Sensitivity to the Business Cycle
• Sector Rotation
• Industry Life Cycles
• Start-Up Stage
• Consolidation Stage
• Maturity Stage
• Relative Decline
• Industry Structure and Performance
• Threat of Entry
• Rivalry between Existing Competitors
• Pressure from Substitute Products
• Bargaining Power of Buyers
• Bargaining Power of Suppliers
• ch. 18 Equity Valuation Models
• 18.1.Valuation by Comparables
• Limitations of Book Value
• 18.2.Intrinsic Value versus Market Price
• 18.3.Dividend Discount Models
• The Constant-Growth DDM
• Convergence of Price to Intrinsic Value
• Stock Prices and Investment Opportunities
• Life Cycles and Multistage Growth Models
• Multistage Growth Models
• 18.4.Price-Earnings Ratio
• The Price-Earnings Ratio and Growth Opportunities
• P/E Ratios and Stock Risk
• Pitfalls in P/E Analysis
• Combining P/E Analysis and the DDM
• Other Comparative Valuation Ratios
• Price-to-Book Ratio
• Price-to-Cash-Flow Ratio
• Price-to-Sales Ratio
• 18.5.Free Cash Flow Valuation Approaches
• Comparing the Valuation Models
• 18.6.The Aggregate Stock Market
• Explaining Past Behavior
• Forecasting the Stock Market
• ch. 19 Financial Statement Analysis
• 19.1.The Major Financial Statements
• The Income Statement
• The Balance Sheet
• The Statement of Cash Flows
• 19.2.Accounting versus Economic Earnings
• 19.3.Profitability Measures
• Past versus Future ROE
• Financial Leverage and ROE
• 19.4.Ratio Analysis
• Decomposition of ROE
• Turnover and Other Asset Utilization Rations
• Liquidity Ratios
• Market Price Ratios: Growth versus Value
• Choosing a Benchmark
• 19.5.Economic Value Added
• 19.6.An Illustration of Financial Statement Analysis
• 19.7.Comparability Problems
• Inventory Valuation
• Depreciation
• Inflation and Interest Expense
• Fair Value Accounting
• Quality of Earnings
• International Accounting Conventions
• 19.8.Value Investing: The Graham Technique
• pt. VI Options, Futures, and Other Derivatives
• ch.
• 20 Options Markets: Introduction
• 20.1.The Option Contract
• Options Trading
• American and European Options
• Adjustments in Option Contract Terms
• The Options Clearing Corporation
• Other Listed Options
• Index Options
• Futures Options
• Foreign Currency Options
• Interest Rate Options
• 20.2.Values of Options at Expiration
• Call Options
• Put Options
• Option versus Stock Investments
• 20.3.Option Strategies
• Protective Put
• Covered Calls
• Straddle
• Spreads
• Collars
• 20.4.The Put-Call Parity Relationship
• 20.5.Option-like Securities
• Callable Bonds
• Convertible Securities
• Warrants
• Collateralized Loans
• Levered Equity and Risky Debt
• 20.6.Financial Engineering
• 20.7.Exotic Options
• Asian Options
• Barrier Options
• Lookback Options
• Currency-Translated Options
• Digital Options
• ch. 21 Option Valuation
• 21.1.Option Valuation: Introduction
• Intrinsic and Time Values
• Determinants of Option Values
• 21.2.Restrictions on Option Values
• Restrictions on the Value of a Call Option
• Early Exercise and Dividends
• Early Exercise of American Puts
• 21.3.Binomial Option Pricing
• Two-State Option Pricing
• Generalizing the Two-State Approach
• 21.4.Black-Scholes Option Valuation
• The Black-Scholes Formula
• Dividends and Call Option Valuation
• Put Option Valuation
• Dividends and Put Option Valuation
• 21.5.Using the Black-Scholes Formula
• Hedge Ratios and the Black-Scholes Formula
• Profolio Insurance
• Hedging Bets on Mispriced Options
• 21.6.Empirical Evidence on Option Pricing
• ch. 22 Futures Markets
• 22.1.The Futures Contract
• The Basics of Futures Contracts
• Existing Contracts
• 22.2.Trading Mechanics
• The Clearinghouse and Open Interest
• The Margin Account and Marking to Market
• Cash versus Actual Delivery
• Regulations
• Taxation
• 22.3.Futures Markets Strategies
• Hedging and Speculation
• Basis Risk and Hedging
• 22.4.Futures Prices
• The Spot-Futures Parity Theorem
• Forward versus Futures Pricing
• 22.5.Futures Prices versus Expected Spot Prices
• Expection Hypothesis
• Normal Backwardation
• Contango
• Modern Portfolio Theory
• ch. 23 Futures, Swaps, and Risk Management
• 23.1.Foreign Exchange Futures
• The Markets
• Interest Rate Parity
• Direct versus Indirect Quotes
• Using Futures to Manage Exchange Rate Risk
• 23.2.Stock-Index Futures
• The Contracts
• Creating Synthetic Stock Positions: An Asset Allocation Tool
• Index Arbitrage --
• Note continued: Using Index Futures to Hedge Market Risk
• 23.3.Interest Rate Futures
• Hedging Interest Rate Risk
• 23.4.Swaps
• Swaps and Balance Sheet Restructuring
• The Swap Dealer
• Other Interest Rate Contracts
• Swap Pricing
• Credit Risk in the Swap Market
• 23.5.Commodity Futures Pricing
• Pricing with Storage Costs
• Discounted Cash Flow Analysis for Commodity Futures
• pt. VII Applied Portfolio Management
• ch. 24 Portfolio Performance Evaluation
• 24.1.The Conventional Theory of Performance Evaluation
• Average Rates of Return
• Time-Weighted Returns versus Dollar-Weighted Returns
• Adjusting Returns for Risk
• The M2 Measure of Performance
• Sharpe's Measure as the Criterion for Overall Portfolios
• Appropriate Performance Measures in Two Scenarios
• Jane's Portfolio Represents Her Entire Risky Investment Fund
• Jane's Choice Portfolio is One of Many Portfolios Combined into a Large Investment Fund
• The Role of Alpha in Performance Measures
• Actual Performance Measurement: An Example
• Realized Returns versus Expected Returns
• 24.2.Performance Measurement for Hedge Funds
• 24.3.Performance Measurement with Changing Portfolio Composition
• 24.4.Market Timing
• The Potential Value of Market Timing
• Valuing Market Timing as a Call Option
• The Value of Imperfect
• Forecasting
• 24.5.Style Analysis
• Style Analysis and Multifactor Benchmarks
• Style Analysis in Excel
• 24.6.Morningstar's Risk-Adjusted Rating
• 24.7.Evaluating Performance Evaluation
• 24.8.Performance Attribution Procedures
• Asset Allocation Decisions
• Sector and Security Selection Decisions
• Summing Up Component Contributions
• ch. 25 International Diversification
• 25.1.Global Markets for Equities
• Developed Countries
• Emerging Markets
• Market Capitalization and GDP
• Home-Country Bias
• 25.2.Risk Factors in International Investing
• Exchange Rate Risk
• Political Risk
• 25.3.Internatinal Investing: Risk, Return, and Benefits from Diversification
• Risk and Return: Summary Statistics
• Are Investments in Emerging Markets Riskier?
• Average Country-Index Returns and Capital Asset Pricing Theory
• Benefits from International Diversification
• Misleading Representation of Diversification Benefits
• Realistic Benefits from International Diversification
• Are Benefits from International Diversification Preserved in Bear Markets?
• 25.4.Assessing the Potential of International Diversification
• 25.5.International Investing and Performance Attribution
• Constructing a Benchmark Portfolio of Foreign Assets
• Performance Attribution
• ch. 26 Hedge Funds
• 26.1.Hedge Funds versus Mutual Funds
• 26.2.Hedge Fund Strategies
• Directional and Nondirectional Strategies
• Statistical Arbitrage
• 26.3.Portable Alpha
• An Example of a Pure Play
• 26.4.Style Analysis for Hedge Funds
• 26.5.Performance Measurement for Hedge Funds
• Liquidity and Hedge Fund Performance
• Hedge Fund Performance and Survivorship Bias
• Hedge Fund Performance and Changing Factor Loadings
• Tail Events and Hedge Fund Performance
• 26.6.Fee Structure in Hedge Funds
• ch. 27 The Theory of Active Portfolio Management
• 27.1.Optimal Portfolios and Alpha Values
• Forecasts of Alpha Values and Extreme Portfolio Weights
• Restriction of Benchmark Risk
• 27.2.The Treynor-Black Model and Forecast Precision
• Adjusting Forecasts for the Precision of Alpha
• Distribution of Alpha Values
• Organizational Structure and Performance
• 27.3.The Black-Litterman Model
• A Simple Assets Allocation Decision
• Step 1 The Covariance Matrix from Historical Data
• Step 2 Determination of a Baseline Forecast
• Step 3 Integrating the Manger's Private Views
• Step 4 Revised (Posterior) Expectations
• Step 5 Portfolio Optimization
• 27.4.Treynor-Black versus Black-Litterman: Complements, Not Substitutes
• The BL Model as Icing on the TB Cake
• Why Not Replace the Entire TB Cake with the BL Icing?
• 27.5.The Value of Active Management
• A Model for the Estimation of Potential Fees
• Results from the Distribution of Actual Information Ratios
• Results from Distribution of Actual Forecasts
• Results with Reasonable Forecasting Records
• 27.6.Concluding Remarks on Active Management
• Appendix A Forecasts and Realizations of Alpha
• Appendix B The General Black-Litterman Model
• ch. 28 Investment Policy and the Framework of the CFA Institute
• 28.1.The Investment Management Process
• Objectives
• Individual Investors
• Personal Trusts
• Mutual Funds
• Pension Funds
• Endowment Funds
• Life Insurance Companies
• Non-Life Insurance Companies
• Banks
• 28.2.Constraints
• Liquidity
• Investment Horizon
• Tax Considerations
• Unique Needs
• 28.3.Policy Statements
• Sample Policy Statements for Individual Investors
• 28.4.Asset Allocation
• Policy Statements
• Taxes and Asset Allocation
• 28.5.Managing Portfolios of Individual Investors
• Human Capital and Insurance
• Investment in Residence
• Saving for Retirement and the Assumption of Risk
• Retirement Planning Models
• Manage Your Own Portfolio or Rely on Others?
• Tax Sheltering
• The Tax-Deferral Option
• Tax-Deferred Retirement Plans
• Deferred Annuities
• Variable and Universal Life Insurance
• 28.6.Pension Funds
• Defined Contribution Plans
• Defined Benefit Plans
• Alternative Perspectives on Defined Benefit Pension Obligations
• Pension Investment Strategies
• Investing in Equities
• Wrong Reasons to Invest in Equities
• 28.7.Investments for the Long Run
• Advice from the Mutual Fund Industry
• Target Investing and the Term Structure of Bonds
• Making Simple Investment Choices
• Inflation Risk and Long-Term Investors
• End of Chapter Material.

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ISBN

• 9780073530703 ((alk. paper))
• 0073530700 ((alk. paper))

LCCN

2010018924

OCLC

496956157

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