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1、证券投资学这门课能给我们带来什么?这门课所属的位置这门课的主要内容Whydowestudythetheory?Managerslearnfromexperiencehowtocopewithroutineproblems.Butthebestmanagerarealsoabletorespondtochange.Todothisyouneedmorethantime-honoredrulesofthumb;youmustunderstandwhycompaniesandfinancialmarketsbehavethewaytheydo.Inotherwords,youneedathe
2、oryoffinance.……Goodtheoryhelpsyougraspwhatisgoingonintheworldaroundyou.Ithelpsyoutoasktherightquestionswhentimeschangeandnewproblemsmustbeanalyzed.Italsotellsyouwhatthingsyoudonotneedtoworryabout.---------BrealeyandMyersWhydoesnotthereexistsanyadviceon“guaranteed”waystobeatthemarket?Anysystemdes
3、ignedtobeatthemarket,onceknowntomorethanafewpeople,carriestheseedsofitsowndestruction.Therearetworeasonsfornotincludingadviceon“guaranteed”waystobeatthemarketinthisbook.First,todosowouldmakeasuccessfulsystempublicandhenceunsuccessful.Second,theauthorsknowofsuchsystem.Thisdoesnotmeanthatfinancial
4、analysisisuseless.Althoughindividualsshouldbeskepticalwhenotherstellthemhowtousefinancialanalysistobeatthemarket,individualscantrytounderstandthemarketwiththeuseoffinancialanalysis.-------------------W.Sharpe,etc.什么是金融学(Finance)Financeisasubfieldofeconomicsdistinguishedbybothitsfocusanditsmethod
5、ology.Theprimaryfocusoffinanceistheworkingsofthecapitalmarketsandthesupplyandthepricingofcapitalassets.Themethodologyoffinanceistheuseofclosesubstitutestopricefinancialcontractsandinstruments.Thismethodologyisappliedtovalueinstrumentswhosecharacteristicsextendacrosstimeandwhosepayoffsdependupont
6、heresolutionofuncertainty.金融学的研究领域金融市场宏观层面:金融框架微观层面:定价、风险管理公司财务历史H.M.Markowitz均值-方差模型(Mean-variancemodel)HarryM.Markowitz,PortfolioSelection,JournalofFinance,7(1):77-91,1952.W.F.Sharpe,J.Lintner,J.Mossin资本资产定价模型CapitalAssetPricingModel(CAPM)W.F.Sharpe,CapitalAssetPrices:ATheoryodMarketEquilibriu
7、mUnderConditionsofRisk,JournalofFinance,20(3):425-442,1964.S.A.Ross套利定价理论ArbitragePricingTheory(APT)S.A.Ross,TheArbitrageTheoryofCapitalAssetPricing,,JournalofEconomicTheory,13(3):341-360,1976.F.ModiglianiM.H.MillerModiglian