唯学网小编提醒：本文是关于CFA考试的股权投资部分，小编建议考生学投资学肯定对考CFA有帮助。考试内容中的投资学，在大学本专业一般都会学到投资学。很多债务投资分析、股权投资分析、其它投资分析、投资组合管理和投资表现衡量与原因分析等，都应有相关专业课程。所以，考生还是要从平时多积累这方面的知识点。希望考生能够顺利通过特许金融分析师考试。
Reading 35 回报率
1. Return concept:
1) Holding period return (HPR) and annualized HPR (有效年利率);
2) Expected return: E(r), required return: fair return on similar asset,
Alpha = Expected return – required return,
Ex ante alpha (pricing model), Ex post alpha (historical return).
2. Equity risk premium:
1) Equity risk premium = rM – rf, long-term;
2) Estimating equity risk premium:
a) Historical estimates;
b) Forward looking estimates: Gordon growth model: D1 / P + g – rf,;
c) Ibbotson-Chen model: rM – rf = (Pt + Dt) / Pt-1 – 1 – rf = (Pt/Et * Et-1/Pt-1)(Et/Et-1) + Dt/Pt-1 – 1 – rf = (1 + P/E growth rate)(1 + nominal EPS growth rate) + dividend yield – 1 – rf.
3. Estimating required return:
1) CAPM;
2) APT: required return = rf + Σ(risk premium)i = rf + Σ(factor sensitivity or exposure * factor risk premium)i:
a) Fama-French model: required return = rf + βm * equity risk premium + βs * small-cap return premium + βh * high book-to-market return premium = rf + βm * (rM - rf) + βs * (rsmall - rbig) + βh * (rhigh - rlow);
注：High book-to market value — value basis, small — growth basis;
Value firms outperform growth firms.
b) Pastor-Stambaugh model: required return = Fama-French return + βl * liquidity premium;
c) Macroeconomic multifactor model.
3) Build-up method: r = rf + equity risk premium + more related premiums.
4. Estimating beta:
1) For public companies: regression β, adjusted β;
Blume adjustment: adjusted β = 2/3 * unadjusted β + 1/3.
2) For non-public companies, pure-play method: leveled β = unleveled β * (1 + D / S).
Reading 34 市场和工具
1. 市场类型：
1) Order-driven market: no market makers, match supply and demand directly);
2) Price-driven market (market marker maintain an inventory of securities and quote price to buy (bid price) and sell (ask price).
2. Execution cost:
1) Tangible: commissions (佣金), taxes;
Cost of buying = P * (1 + commission rate + tax rate);
Return of selling = P * (1 – commission rate – tax rate).
2) Intangible: market impact (cost of immediate execution or cost of buying liquidity, bid-ask spread), opportunity cost (cost of delaying or failure to complete a trade);
3) Taxes on the return of international investment:
a) Dividend incomes: tax credit = D*t1
Foreign country withholding tax = D*t1 Investor tax = D*t2 Home country
b) Capital gains: taxed in home country only, no withholding tax to foreign country .
3. International investment instruments:
1) American depositary receipt (ADR) 存券凭证:
a) Issued by US banks, representing shares of a foreign stock, trading in US;
b) Level 1: trading on the over-the-counter market, not required to comply with SEC registration and reporting requirements;
Level 2: listed on an exchange, must comply;
Level 3: listed on an exchange and can raise new equity capital, must comply.
2) Closed- (open-) end country fund: mutual fund that can invest foreign stocks; international ETFs.
想要更多金融分析师考试模拟试题吗?想要第一时间了解金融分析师考试的考试大纲吗?想要得到2013年金融分析师考试的最新资讯吗?来唯学网金融分析师培训频道吧，唯学网是一个大型的教育考试培训平台，各种各样的考试信息教育新闻小编都会第一时间为大家更新提供!敬请大家关注!
| 附件 [大小：55.00 KB 下载： 次] |
 点击下载文件：cfa股权投资附件.doc |
