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Global investments

Author: Solnik, Bruno ; McLeavey, Dennis Series: Prentice Hall series in finance Publisher: Pearson , 2009. ; Prentice Hall, 2009.Edition: International ed. and 6th ed.Language: EnglishDescription: 664 p. : Graphs/Photos ; 24 cm.ISBN: 9780321552129Type of document: BookNote: Previous title known as International investments (5th ed.) by Solnik, Bruno;McLeavey, Dennis • Doriot: for 2018-2019 courses Bibliography/Index: Includes bibliographical references and index and glossary Previous title: International investments - Solnik, Bruno;McLeavey, Dennis - 2003 - Book
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Previous title known as International investments (5th ed.) by Solnik, Bruno;McLeavey, Dennis

Doriot: for 2018-2019 courses

Includes bibliographical references and index and glossary

Digitized

Contents Global Investment Global Investment Preface xix Chapter 1 Currency Exchange Rates 1 Learning Outcomes 1 Currency Exchange Rate Quotations 3 Direct and Indirect Quotations 4 Cross-Rate Calculations 5 Forex Market and Quotation Conventions 6 Bid-Ask (Offer) Q~~otes Spreads 8 and Cross-Rate Calculations with Bid-Ask Spreads 10 NeArbitrage Conditions with Exchange Rates 12 Forward Quotes 14 Interest Rate Parity: The Forward Discount and the Interest Rate Differential 15 Forward Exchange Rate Calculations with BirGAsk Spreads 20 Summary 22 Problems 23 Chapter 2 Foreign Exchange Parity Relations Learning Outcomes 27 Foreign Exchange Fundamentals 28 Supply and Demand for Foreign Exchange 28 Balance of Payments 30 Current Account Deficits and Financial Account Surpluses 31 Factors Affecting the Financial Account 33 Government Policies: Monetary and Fiscal 35 Exchange Rate Regimes 36 International Parity Relations 38 Some Definitions 39 Interest Rate Parity 40 Purchasing Power Parity: The Exchange Rate and the Inflation Differential 40 International Fisher Relation: The Interest Rate and Expected Inflation Rate Differentials 42 Uncovered Interest Rate Parity 44 Foreign Exchange Expectations: The Forward Premium (Discount) and the Expected Exchange Rate Movement 46 Combining the Relations 48 Inikmational Parity Relations and Global Asset M a n a g a a t 48 Exchange Rate Determination 50 Purchasing Power Parity h i s i t e d 51 Fundamental Value Based on Absolute PPP 51 Fundamental ValueBased on Relative PPP 54 The Balance of Payments Approach 56 The Asset Market Approach 61 Summary 68 Problems 70 Bibliography 74 Chapter 3 Foreign Exchange Determination and Forecasting 75 Learning Outcomes 75 International Monetary Arrangements 76 A Historical Perspective 76 The Empirical Evidence 83 Interest Rate Parity 83 International Fisher Relation 84 Purchasing Power Parity 85 Fandgn Exchange Expectations 88 Practical Implications 90 Exchange Rate Forecasting 91 Is the Market Efficient and Rational? 92 The Econometric Approach 94 Technical Analysis 95 Central Bank Intervention 97 The Use and Performance of Forecasts 99 Summary I02 Problems 103 Bibliography 106 Chapter 3 Appendix: Statistical Supplements on Forecasting Asset Returns 109 Some Notations 109 Traditional Statistical Modelr with Constant Moments 110 Traditional Statistical Models with Time-VaryingMoments 111 Nontraditional Models 113 Data Mining, Data Snooping, and Model Mining 115 Chapter 4 International Asset Pricing 117 Learning Outcomes 11 7 International Market Efficiency 118 Asset Pricing Theory 121 The Domestic Capital Asset Pricing Model 121 Asset Returns and Exchange Rate Movements 723 The Domestic CAPM Extended to the International Context 125 lnternational CAPM 126 Marht Imperfections and Segmentation 135 Practical implications 136 A Global Approach to Equilibrium F'ricing 136 Estimating Cuwency Exposures 139 Tests of the ICAPM 146 Summary 148 Problems 151 Bibliography 155 Chapter 5 Equity: Markets and Instruments 157 158 Learning Outcomes 157 Market Differences: A Historical Perspective Historical D v f m c e s in Market Organization 159 Historical Dvfmnces i n Trading Procedures 159 Automation on the Major Stock Exchanffes 161 Some Statistics 167 Market Size 167 Liquidity 170 Concentration 171 Some Practical Aspects 171 Tax Aspects 172 Stock Market Indexes 172 I n f m a t i o n 1 76 Execution Costs 177 Components of Execution Costs 177 Estimation and Uses of Execution Costs 179 Some Approaches to Reducing Execution Costs 182 Investing in Foreign Shares Listed at Home 185 Global Shares and American Depositary Receipts I85 Motivation jor Multiple Listing 186 Foreign Listing and ADand 186 Closed-End Country Funds 189 Open-End Funds I93 Exchange! Traded Funds 193 Summary 196 Problems 197 Bibliography 202 Chapter 6 Equity: Concepts and Techniques 203 Learning Outcomes 203 Approaching International Analysis 204 The I nf m a t i o n Problem 205 A Vision of t h World 206 Differences in National Accounting Standards 207 Histwical Setting 208 International Harmonization of Accounting Practices 209 Differences in Global Standards 21 2 The Effects of Accounting Princzples on Earnings and Stock Aices 215 Global Industry Analysis 217 Country Analysis 21 7 Industry Analysis: Return Expectation Elements 222 Industry Analysis: Risk E h e n t s 227 Equity Analysis 232 Global Risk Factors in Security Returns 242 Risk-Factor Model: Industry and Country Factors 246 Other Risk Factors: Styles 24 7 Other Risk Factors: Mameconomic 247 Practical Use of Factor Models 249 Summary 251 Problems 252 Bibliography 257 Chapter 7 Global Bond Investing 256 Learning Outcomes 256 The Global Bond Market 260 The Various Segments 260 World Market Size 262 Bond Indexes 263 The International Bond M a h t 264 Emerging Markets and Brady Bonds 269 Major Differences Among Bond Markets 271 Types of Investments 271 Quotations, Day Count, and Frequency of Coupons 272 Legal and Fiscal Aspects 2 74 A Refresher on Bond Valuation 276 Zero-Coupon Bonds 276 Bond with Coupons 278 Duration and Interest Rate Sensitivity 280 Credit Spreads 282 Multicurrency Approach 284 International Yield Curve Comparisons 284 The Return and Risk on Foreign Bond Investments 287 Cumcy-Hedging Strategies 288 lnternational Portfolio Strategies 289 Floating-Rate Notes and Structured Notes 293 Floating-Rates Notes (FRNs) 294 BullFRNs 300 BearIWVs 302 Dual-Currency Bonds 302 Currency-Option Bonds 306 Collateralized Debt Obligations ( W O s ) 307 Summary 310 Problems 312 Bibliography 316 Chapter 8 Alternative lnvestments 317 Learning Outcomes 317 Investment Companies 319 Valuing Investment Company Shares Fund Management Fees 320 Investment Strategies 320 Exchange Traded Funds 323 320 Real Estate 332 Forms of Real Estate Investment 333 Valuation AMroaches 334 Real Estate in a Portfolio Context 342 Private Equity 344 Stages of Venture Capital Investing 346 Investment Charactmistics 34 7 Types of liquidation/Divestment 348 Valuation and Perfmance Measurement 349 Hedge Funds and Absolute Return Strategies 351 Definition of Hedge Funds 35 1 Classzfication 354 Funds of Funds 357 b e r a g e and Unique Risks of Hedge Funds 359 Hedge Funds Universe and Indexes 360 The Casef m Investing in Hedge Funds 363 Closely Held Companies and Inactively Traded Securities 366 Legal Environment 366 Valuation Alternatives 367 Bases for Discounts/Premium 367 Distressed Securities/Bankruptcies 368 Commodity Markets and Commodity Derivatives 369 Commodity Futures 369 Motivation and Investment khicles 370 Active Investment 371 The Example oJGold 372 Commodity-Linked Securities 3 73 Summary 375 Problems 378 Bibliography 383 Chapter 9 The Case for International Diversification 385 Learning Outcomes 385 The Traditional Case for International Diversification 388 Risk Reduction through Attractive Correlations 388 Porfolio Return Performance 398 C u m c y Risk Not a Barrier to International Investment 406 The Case against International Diversification 4 ' 07 Increase in Correlations 407 Past Perfmance Is a Good Indicator of Future Perfmance 41 1 Barriers to Intonational Investments 41 1 The Case for International Diversification Revisited 415 Pitfalls in Estimating CorrelationDuring VolatilePa'ods 4 15 Expanded Investment Universe and P e r f m n c e Opportunities 41 7 Global Investing Rather Than International Divmijcation 41 8 The Case for Emerging Markets 421 The Basic Case 421 Volatility, Correlations, and Currency Risk 422 Partfolio Return Performance 423 Investability of Emerging Markets 424 Segmentation versus Integration Issue 425 Summary 425 Problems 427 Bibliography 430 Chapter 10 Derivatives: Risk Management with Speculation, Hedging, and Risk Transfer 433 Learning Outcomes 433 Forward and Futures 434 The Principles of a Fmward and a Futures Contract 434 The Dqferent Instruments 437 Fmward and Futures Valuation 444 Use o f Forward and Futures 44 7 Swaps 453 The Principles of a Swap 453 The D q f m t Instruments 454 Swaps Valuation 456 Use of Swaps 460 Options 464 Introduction to Options 464 The Dij'jferent Instruments 466 Option Valuation 468 Use of Options 473 Summary 476 Problems 478 Bibliography 483 Chapter 11 Currency Risk Management 485 Learning Outcomes 485 Hedging with Futures or Forward Currency Contracts 486 T h Basic Approach: Hedging the Principal 487 Minimum-Variance Hedge Ratio 490 The Influence of the Basis 494 lmpkmenting Hedging Strategies 496 Hedging Multiple Currencies 497 Insuring and Hedging with Options 499 Insuring with Options 499 Dynamic Hedging with Options 500 Implemeniation 504 Other Methods for Managing Currency Exposure 505 Strategic and Tactical Currency Management 509 Strategic Hedge Ratio 509 Currency Overlay 512 Cuwencies as an Asset Class 5 14 Summary 515 Problems 516 Bibliography 521 Chapter 12 Global Performance Evaluation 523 Learning Outcomes 523 The Basics 524 Principles and Objectives 524 Calculating a Rate of Return 527 Performance Attribution in Global Performance Evaluation 534 The Mathematics of Multicurrency Return 535 Total-ReturnDecomposition 537 Performance Attribution 540 More on Currency Management 545 Multipen'od Attribution Analysis 548 A n Example of Output 555 Performance Appraisal in Global Performance Evaluation 557 Risk 557 Risk-Adjusted Perfmance 559 Risk Allocation and Budgeting 562 Some Potential Biases in Return and Risk 563 Implementation of Performance Evaluation 565 More on Global Benchmarks 565 Global Investment Perfmance Standards and Other Performance Presentation Standards 568 Summary 570 Problems 571 Bibliography 579 Chapter 13 Structuring the Global Investment Process 581 Learning Outcomes 581 A Tour of the Global Investment Industry 582 Inuestors 582 Investment Managers 584 Brokers 585 Consultants and Advisers 585 Custodians 587 Global Investment Philosophies 587 The Passive Approach 587 The Active Approach 589 Balanced or Specialized 590 Industry or Country Approach 591 TopDown or Bottom-Up 597 Style Management 592 Currency 593 Quantitative or Subjective 594 The Investment Policy Statement 595 Capital Market Expectations 600 Defining Asset Classes 603 L o n g - T m Capital Market Expectations: Historical Returns 603 Long-Term Capital Market Expectations: Forward-Looking Returns Short-Term Capital Marand Expectations 608 605 Global Asset Allocation: From Strategic to Tactical 610 Strategic Asset Allocation 610 Tactical Asset Allocation 614 Global Asset Allocation: Structuring and Quantifying the Process 615 Research and Market Analysis 61 7 Asset Allocation Optimization 6 19 Pmtfalio Construction 620 Perfomance and Risk Control 620 Summary 624 Problems 625 Bibliography 627 Glossary 629 Index 643

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