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Equity/Alternative > II-Indexes/Market Efficiency-3 > Flashcards

II-Indexes/Market Efficiency-3 Flashcards

1
Q
  1. 区分

price index, price return/

total return index, total return

  1. 名词解释：

constituent securities

divisor

A
  1. price只考虑股价变化回报率，total return包括dividends and other distributions
  2. 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
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2
Q

index construction流程

5

A
  1. identify target market
  2. select securities
  3. put weight to securities
  4. rebanlance and frequency
  5. re-examination and re-constitution
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3
Q

Market Indexes 的用途

5

A
  1. gauges of market sentiment & confidence
  2. benchmark of active portfolio managers
  3. proxy to systematic risk β, and risk-adjusted performance
  4. proxies for assets in asset allocation
  5. 构建investment products - ETF
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4
Q

5 methods to

weight an Index

A
  1. Price-weighted index
  2. Equal-weighted
  3. Market capitalization-weighted
  4. (free) float-adjusted market capitalizataion-weight
  5. fundemental weighting
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5
Q

price weighting

  1. 做法
  2. index=? equation
  3. special attention
  4. 缺点2
A
  1. 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
  2. index=sum of prices/#stocks adjusted for spits
  3. 股票分割时股价变化，需要调整divisor以保证index不变
  4. 缺点：arbitrary weights to each security/ 某股股票分割，所有股票权重要跟着调整
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6
Q

equal-weighting

  1. 做法
  2. index return=
  3. 缺点 2
  4. 小结论
A
  1. equal weight on returns: 每只股票都花1000元买入。
  2. return=各股回报率的算数/几何平均
  3. 大市值underpresented,小市值overpresented

股价变化后不再equal-weighted，需要frequent rebalancing.

  1. geometric return <= arithmetic return
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7
Q

market cap-weighting

  1. 做法
  2. 缺点
  3. 特点
  4. 解释float-adjusted market cap-weighting
  5. free float means
A
  1. 各成分股市值(price*outstanding share)作为各自权重
  2. 涨价的股票overweighted, 跌价的underweighted
  3. “momentum effect” 涨价股票逐渐占有最大weight
  4. 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
  5. domestic 流通中的股份
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8
Q

fundemental weighting

  1. 做法
  2. 缺点
A
  1. 使用公司基本面数据作为权重基础，如earnings, dividends, book value, CF
  2. “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

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9
Q
  1. 辨析rebalancing/ reconstitution
  2. price-weighted下的rebalancing
  3. equal-weighted下的rebalancing
  4. market-cap下的rebalancing
  5. 解释turnover
A
  1. rebalancing: 仅改变权重，成分股不变。reconsititiution:更改成分股
  2. 不需要rebalancing，price即代表权重
  3. 最需要rebalancing的
  4. 不需要rebalancing，市值即代表权重
  5. 一次rebalancing即一次turnover
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10
Q

Types of Equity Indexes

  1. Broad Market Index
  2. Multi-Market Index
  3. Sector Index
  4. Style Index
A
  1. 某一市场的全部股票，罗素2000
  2. 跨市场跨国家， MSCI Emerging Markets
  3. 按领域划分
  4. 大市值小市值/ 成长型价值型
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11
Q

3 challenges to

construct Fixed-incom indexes

A
  1. large universe of securities
  2. dealer market: unavailable pricing data
  3. illiquid trading
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12
Q
  1. commodities indexs特点2
  2. hedge fund indexes特点2
  3. real estate indexes 包括3
A
  1. different index different weight method/ 指数基于futures, performance 与现货关系不大
  2. 选择性上报：survivorship bias/ little overlap among indexes
  3. appraisal index, repeat sales index, REIT index
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13
Q

4 factors

that affect Market Efficiency

A
  1. market participants: 数量越多越有效
  2. information availability: requirement of disclosure
  3. limits of trading:允许套利和卖空的存在
  4. transaction/information costs: 大于一定程度时会逐出套利者
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14
Q

4forms of market efficiency

结合

A. reflect what information

B. who could have abnormal return

A
  1. inefficient market: 没有有效信息，技术分析可超额收益
  2. weak-form efficient: all past info, 基本面分析可
  3. semi-strong effcient: all public info (firm FR, market data), 内幕交易者可
  4. strong efficient: all info (public+private), 无人可超额收益
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15
Q

阐释implications to efficient market

  1. fundemental analysis
  2. technical analysis
  3. portfolio management
A
  1. 在半强有效市场也有作用，即disseminate value-relevant info
  2. 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
  3. 总体cannot consistently beat the market, 但存在的意义在于diversification of market allocation
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16
Q
  1. 阐释event study
  2. in semi-strong market, managers should invest ?
A
  1. in semi-strong market, examine abnormal returns before and after the release of new info
  2. passively
17
Q

【market anomalies - time series】

  1. 解释market anomalies
  2. calendar anomalies
  3. momentum anomalies
  4. overreaction anomalies
A
  1. 价格的变化not linked to release of new info. usually not violation to market efficiency, but rather result of statistical methodoloties
  2. (January effect) 为了1. tax-loss selling,避税， 2. window-dressing: 年末卖risky securities to apprear less risky, 来年再买回来
  3. 回报高的股票会继续获得高回报. based on past patterns and get abnormal return: contradicts to weak efficiency
  4. loser stocks outperform the market, winner stocks underperform
18
Q

【market anomalies - cross sectional】

  1. size effect
  2. value effect

【market anomalies - other】

  1. closed-end Fund
  2. earnings surprise
  3. IPO2
A
  1. 小市值公司outperform大市值公司
  2. value stocks out perform growth stocks. contradicts semi-strong efficiency
  3. close-end fund shares trade at discount of NAV
  4. unexpected earnings没能及时反映在价格。contradicts to semi-strong efficiency
  5. IPO时价格压得太低，往往发行时abnormal return. 由于前期回报高，透支后期回报，long-term performance不好
19
Q

【Behavioral Finance】

  1. loss aversion
  2. herding
  3. over confidence
  4. information cascades
A
  1. dislike losses more than like comparable gains, 解释overreaction anomalies
  2. 从众心态。overreaction anomalies
  3. react slowly to new info
  4. 与herding区别在于，强调信息的传播，不是盲从
20
Q

【Behavioral Finance】

  1. representativeness
  2. mental accounting
  3. conservatism
  4. narrow framing
  5. disposition effect
A
  1. 对信息系没有认真审查，直接贴标签。好公司不等于好投资
  2. 对资金进行分类管理shouldn’t have any difference
  3. slowly react to new info
  4. isolation处理信息
  5. rarely realize loss, but usually realize gains
21
Q

名词解释

  1. dark pool
  2. α
A
  1. Dark pools are trading venues that function like exchanges but do not exercise regulatory authority over their subscribers
  2. Alpha, the difference between the return of the actively managed portfolio and the return of the passive portfolio, is a measure of risk-adjusted return.

Equity/Alternative (5 decks)

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