第25章 国际投资 International Investing 25-1
25-1 第25章 国际投资 International Investing
国际投资 International Investing 251国际投资 252世界股票市场 253国际分散化 254汇率风险 255消极与积极的国际投资 256因素模型与国际投资 257世界资本市场的均衡 25-2
25-2 国际投资 International Investing 25.1 国际投资 25.2 世界股票市场 25.3 国际分散化 25.4 汇率风险 25.5 消极与积极的国际投资 25.6 因素模型与国际投资 25.7 世界资本市场的均衡
国际投资背景 Background ■全球市场 Global market 美国市场大约占全部市场的50% Us Market is approx. 50% of all markets 改善了的市场准入体系和技术 Improved access technology 新投资工具 New Instruments ■调査查的重要性 Emphasis for our investigation 风险评估 Risk Assessment 多样化 Diversification 25-3
25-3 国际投资背景 Background 全球市场 Global Market – 美国市场大约占全部市场的50% US Market is approx. 50% of all markets – 改善了的市场准入体系和技术 Improved access & technology – 新投资工具 New Instruments 调查的重要性 Emphasis for our investigation – 风险评估 Risk Assessment – 多样化 Diversification
Issues 什么是投资外国证券的风险? What are the risks involved in investment in foreign securities? ■如何测量国际投资的基准收益? How do you measure benchmark returns on foreign investments? ■对分散投资外国证券有否好处? Are there benefits to diversification in foreign securities?
25-4 问题 Issues 什么是投资外国证券的风险？ What are the risks involved in investment in foreign securities? 如何测量国际投资的基准收益？ How do you measure benchmark returns on foreign investments? 对分散投资外国证券有否好处？ Are there benefits to diversification in foreign securities?
国际投资风险:汇率 Risks in International Investing: Foreign EXchange 汇率风险 Exchange Rate Risk ■本国货币对外币相对价值的变化会涉及投资收益的变动 Variation in return related to changes in the relative value of the domestic and foreign currency ■总的收益=投资收益加上汇率变动的收益 Total Return Investment return plus return on foreign exchange 对国际投资完全套期是不可能的 Not possible to completely hedge a foreign investment 25-5
25-5 国际投资风险：汇率 Risks in International Investing: Foreign Exchange 汇率风险Exchange Rate Risk 本国货币对外币相对价值的变化会涉及投资收益的变动 Variation in return related to changes in the relative value of the domestic and foreign currency 总的收益= 投资收益加上汇率变动的收益 Total Return = Investment return plus return on foreign exchange 对国际投资完全套期是不可能的 Not possible to completely hedge a foreign investment
国际投资收益 Returns with FX ■在美国,投资的收益函数是两因数函数 Return in Us is a function of two factors 1.外国市场的收益 Return in the foreign market 2.汇率收益 Return on the foreign exchange 256
25-6 国际投资收益 Returns with FX 在美国，投资的收益函数是两因数函数 Return in US is a function of two factors 1. 外国市场的收益 Return in the foreign market 2. 汇率收益 Return on the foreign exchange
国际投资收益 Returns with X (1+ rus)=(1+FM(1+ rx) us=国际投资的美元收益 return on the foreign investment in US Dollars FM=外国市场的本币收益 return on the foreign market in local currency rFx=汇率收益 return on the foreign exchange
25-7 国际投资收益 Returns with FX (1 + rUS) = (1 + rFM) (1 + rFX) rUS = 国际投资的美元收益 return on the foreign investment in US Dollars rFM = 外国市场的本币收益 return on the foreign market in local currency rFX = 汇率收益 return on the foreign exchange
收益举例:美元对英磅贬值 Return Example: dollar depreciates relative to the pound 初始投资 Initial Investment:$100,000 初始汇率2美元对1英磅 Initial EXchange: $2.00/ Pound Sterling 最后汇率2。1美元对1英磅 Final Exchange: $2.10/ Pound Sterling 英国证券的收益率:10% Return in British Security: 10% 收益(按美元计) Return in Us dollars (1+us)=(1.10)(1.05)=(1.155) Us=155% 25-8
25-8 收益举例：美元对英磅贬值 Return Example: Dollar Depreciates Relative to the Pound 初始投资Initial Investment : $100,000 初始汇率2美元对1英磅 Initial Exchange: $2.00/ Pound Sterling 最后汇率2。1美元对1英磅 Final Exchange:$2.10/ Pound Sterling 英国证券的收益率：10% Return in British Security: 10% 收益（按美元计） Return in US Dollars (1 + rUS) = (1.10) (1.05) = (1.155) rUS = 15.5%
收益举例:美元对英磅升值 Return EXample: Dollar Appreciates Relative to the Pound 初始投资 Initial Investment:$100,000 初始汇率2美元对1英磅 Initial Exchange: $2/Pound Sterling 最后汇率185美元对1英磅 Final Exchange: $1.85/ Pound Sterling 英国证券的收益率: Return in British Security: 10% 收益(按美元计) Return in Us dollars (1+us)=(1.10)(9250)=(1.0175) US 1.75% 25-9
25-9 收益举例：美元对英磅升值 Return Example: Dollar Appreciates Relative to the Pound 初始投资Initial Investment : $100,000 初始汇率2美元对1英磅 Initial Exchange: $2/ Pound Sterling 最后汇率1。85美元对1英磅 Final Exchange: $1.85/ Pound Sterling 英国证券的收益率： Return in British Security: 10% 收益（按美元计） Return in US Dollars (1 + rUS) = (1.10) (.9250) = (1.0175) rUS = 1.75%
国际投资的其它风险 Other Risks in International Investing 国家原由 Country- Specific 风险类别 Composition 政治Po| litica 金融 Financial 经济 Economic ■综合率 Composite Ratings 25-10
25-10 国际投资的其它风险 Other Risks in International Investing 国家原由Country - Specific 风险类别Composition – 政治Political – 金融Financial – 经济Economic 综合率Composite Ratings