II-Indexes/Market Efficiency-3 Flashcards
1
Q
- 区分
price index, price return/
total return index, total return
- 名词解释:
constituent securities
divisor
A
- price只考虑股价变化回报率,total return包括dividends and other distributions
- 成分股
divisor: 构建指数的分母,但需要随时调整以便avoid changes to the index that are irrelavent to changes in the prices价格意外的因素出现导致指数变化时,调整divisor以排除这些因素
2
Q
index construction流程
5
A
- identify target market
- select securities
- put weight to securities
- rebanlance and frequency
- re-examination and re-constitution
3
Q
Market Indexes 的用途
5
A
- gauges of market sentiment & confidence
- benchmark of active portfolio managers
- proxy to systematic risk β, and risk-adjusted performance
- proxies for assets in asset allocation
- 构建investment products - ETF
4
Q
5 methods to
weight an Index
A
- Price-weighted index
- Equal-weighted
- Market capitalization-weighted
- (free) float-adjusted market capitalizataion-weight
- fundemental weighting
5
Q
price weighting
- 做法
- index=? equation
- special attention
- 缺点2
A
- purchase equal amount of shares of each stock,每只股票买一张,因此股票价格即是权重
- index=sum of prices/#stocks adjusted for spits
- 股票分割时股价变化,需要调整divisor以保证index不变
- 缺点:arbitrary weights to each security/ 某股股票分割,所有股票权重要跟着调整
6
Q
equal-weighting
- 做法
- index return=
- 缺点 2
- 小结论
A
- equal weight on returns: 每只股票都花1000元买入。
- return=各股回报率的算数/几何平均
- 大市值underpresented,小市值overpresented
股价变化后不再equal-weighted,需要frequent rebalancing.
- geometric return <= arithmetic return
7
Q
market cap-weighting
- 做法
- 缺点
- 特点
- 解释float-adjusted market cap-weighting
- free float means
A
- 各成分股市值(price*outstanding share)作为各自权重
- 涨价的股票overweighted, 跌价的underweighted
- “momentum effect” 涨价股票逐渐占有最大weight
- 仅使用流通中的股份作为计算市值基础。有的股份不流通,掌握在large shareholder手中
- domestic 流通中的股份
8
Q
fundemental weighting
- 做法
- 缺点
A
- 使用公司基本面数据作为权重基础,如earnings, dividends, book value, CF
- “value tilt” 价值型股票相比成长型股票有更多dividend,权重上升
“contrarian effect” 在rebalancing中,increasing value公司权重被稀释
9
Q
- 辨析rebalancing/ reconstitution
- price-weighted下的rebalancing
- equal-weighted下的rebalancing
- market-cap下的rebalancing
- 解释turnover
A
- rebalancing: 仅改变权重,成分股不变。reconsititiution:更改成分股
- 不需要rebalancing,price即代表权重
- 最需要rebalancing的
- 不需要rebalancing,市值即代表权重
- 一次rebalancing即一次turnover
10
Q
Types of Equity Indexes
- Broad Market Index
- Multi-Market Index
- Sector Index
- Style Index
A
- 某一市场的全部股票,罗素2000
- 跨市场跨国家, MSCI Emerging Markets
- 按领域划分
- 大市值小市值/ 成长型价值型
11
Q
3 challenges to
construct Fixed-incom indexes
A
- large universe of securities
- dealer market: unavailable pricing data
- illiquid trading
12
Q
- commodities indexs特点2
- hedge fund indexes特点2
- real estate indexes 包括3
A
- different index different weight method/ 指数基于futures, performance 与现货关系不大
- 选择性上报:survivorship bias/ little overlap among indexes
- appraisal index, repeat sales index, REIT index
13
Q
4 factors
that affect Market Efficiency
A
- market participants: 数量越多越有效
- information availability: requirement of disclosure
- limits of trading:允许套利和卖空的存在
- transaction/information costs: 大于一定程度时会逐出套利者
14
Q
4forms of market efficiency
结合
A. reflect what information
B. who could have abnormal return
A
- inefficient market: 没有有效信息,技术分析可超额收益
- weak-form efficient: all past info, 基本面分析可
- semi-strong effcient: all public info (firm FR, market data), 内幕交易者可
- strong efficient: all info (public+private), 无人可超额收益
15
Q
阐释implications to efficient market
- fundemental analysis
- technical analysis
- portfolio management
A
- 在半强有效市场也有作用,即disseminate value-relevant info
- 在弱有效市场也有作用,正是他们的投机套利使弱有效市场称为弱有效市场,偶尔可获超额收益,but not consistently
- 总体cannot consistently beat the market, 但存在的意义在于diversification of market allocation