Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.
Contents:- Introduction
- Information and Security Valuation:
- Accounting Information and Regression Analysis
- Common Stock: Return, Growth, and Risk
- Introduction to Valuation Theories
- Bond Valuation and Analysis
- The Uses and Calculation of Market Indexes
- Portfolio Theory and Asset Pricing:
- Sources of Risk and Their Determination
- Risk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection Model
- Capital Asset Pricing Model and Beta Forecasting
- Index Models for Portfolio Selection
- Performance-Measure Approaches for Selecting Optimum Portfolios
- The Efficient-Market Hypothesis and Security Valuation
- Arbitrage Pricing Theory and Intertemporal Capital Asset Pricing Model
- Futures and Option:
- Futures Valuation and Hedging
- Commodity Futures, Financial Futures, and Stock-Index Futures
- Options and Option Strategies
- Option Pricing Theory and Firm Valuation
- Decision Tree and Microsoft Excel Approach for Option Pricing Model
- Normal, Log-Normal Distribution, and Option Pricing Model
- Comparative Static Analysis of the Option Pricing Models
- Applied Portfolio Management:
- Security Analysis and Mutual Fund Performance
- International Diversification and Asset Pricing
- Bond Portfolios: Management and Strategy
- Portfolio Insurance and Synthetic Options
- Special Topics:
- Capturing Equity Risk Premia
- Simultaneous Equation Models for Security Valuation
- Itô's Calculus: Derivation of the Black–Scholes Option Pricing Model
Readership: Advanced undergraduate students/graduate students, academics with interest in investment analysis.
