2018版网络课程
1601人加入学习
(25人评价)
Kaplan CFA二级全景高清网络课程
价格 ¥ 1800.00

CFA协会针对inquiry可能做出的判决结果:

1、没有纪律制裁

2、警告信

3、制裁成员

Code of ethics

1、行为举止要道德;

2、诚实是最重要的,客户总是第一位的;

3、使用独立、可靠的依据;

4、鼓励他人符合标准;

5、符合资本市场的规则和法则;

6、专业能力是能胜任的。

专业表现标准:

1、专业

了解法律知识、独立与客观、虚假信息纰漏、处理不当(渎职)

2、诚实(对资本市场)

对非公开信息保密、市场操纵

3、对客户的职责(最核心)

忠诚一致、谨慎、关注,公平交易(对所有客户) ,合适性,业绩展示,保密性

4、对雇主的职责

5、投资分析、建议及行动

6、利益冲突

利益冲突揭示、业务第一、介绍费

7、作为协会成员或者申请者的职责

 

 

[展开全文]

Standard 3: Duties to Client

3A: Loyalty, Prudence and Care (Spend extra time)

-See it as independence, objectivity and loyalty. Know the client's objective, make independent decision, and be loyal to execute the best decision to the client.

-Client first, employer second and yourself last.

-Very high level standard. If you cut corners, do things that are easier/not right, try to earn more money, Standard 3A is violated. 

-If you dk anything, get a consultant or learn.

-Make investment decisions in the context of entire portfolio

-Soft dollars must be for the client's benefit (things you get in return for the money you paid using client's money)

-establish client's investment objectives, and diversify.

3B: Fair Dealing

-Must deal objectively and FAIRLY for ALL CLIENTS

-Fair does not means equal. There can be different level of service.

-Fair opportunity for everyone to act on the same buy/sell opinion

3C: Suitability

-Client's suitability to the investment you make. 

-Suitability in a portfolio context

-IPS (investment policy statement) must be prepared and updated at least annually. 

-Every updated should be done properly.

-If client request unsuitable trade, if it is material to portfolio, discuss if IPS needs update. If client does not want to update IPS, follow firm policy or reconsider adivsory relationship.

-Determine the clients return,risk and constraints (liquidity, expected cashflow, time horizon etc)

 

3D: Performance Presentatioin

-Investment performance information must be fair, accurate and complete.

-Can be brief, but additional info avail on request

-GIPS=Global investment performance presentation standard. A tool to make sure performance presentation is fair, accurate and complate.

- Use only Weighted composite of similar portfolio. Terminated acc must be included of up to 10 YEARS.

3E: Confidentiality

-Only disclose client info when illegal activities is suspected, law requires or when client allows disclosure.

-May provide infor to CFAI under the professional conduct program. does not breach the confidentiality sub-standard by going through the program.

4: Duties to employers (pay extra attention)

-Act for benefit of employers. Do not deprive them of your abilities. 
-Place client interests first. 

4A- Loyalty to employers

- Simple knowledge of client's name is ok

-No prohibition of the knowledge gain during the work for client

-Whistleblowing is to protect client or integrity of capital markets. not for private gains.

4B- Additional Compensation

Do not accept gifts, benefits, compensations that competes with employer. Written consent from ALL parties are required. Verbal is not allowed.

-Provide a report on the benefits given.

4C- Responsibilities of Supervisors

- Supervisors must do everything/reasonable to detect and prevent a violation.

- just passing compliance info for person to read is not proper.

-limitations must be imposed on alleged wrongdoer during investigation

 

[展开全文]

forward. 

cash and carry- long forward

reverse cash and rarry- short forward. 

Vt= difference between pv of FP and spot price. 

equity forward contracts- div

(S0-PVD) (1+r )

St- PVD - FP disouncted to T-t

continuoutly compound euqity forward contracts. 

Libo--> days

So e^ Rfc-div yield * T. 

fixed income forward contracts. 

long- pay fixed, get floating. 

FRA: 2*3. the long agrees to borrow

30 day loan 2 months from now.

pricing of FRA: 

1. deannualize given libor rates. 

2. calcaulte the forward rate

3. annualize your calculated rate. 

4. discount your pmt from maturity. 

discount it back to the valuation date. 

discount it back to today. 

discount 

paid in arrears. 

currency forward contracts-- peiord coumpounding. 

covered int parity. S0. 

 

future contracts- ingnoe mark to marekt. 

for bond buyers. short- delivery CTD

S

[展开全文]

Grinold " Fundamental Law of Active Management"

Focus: how an investor should construct a portfolio given an assumed competitive advantage in predicting returns.

relies on the assumption that financial markets are not perfectly efficient

there are people who can identify misprice securities and how we can construct an optimal portfolio

 

active and benchmark to get an optimum portfolio.

Objective: Beat the benchmark

  • portfolio return > benchmark = +ve value added
passive investing = holding benchmark portfolio.
 
Benchmark qualities:
  1. benchmark is representative of the assets from which the investor (portfolio manager) will select
  2. positions in the benchmark can be replicated at low cost
  3. benchmark weights are verifiable ex-ante and return data timely ex-post
measuring value added:
Expected active return =
Return(portfolio) - Return(benchmark)

risk adjusted active return (alpha) 
= R(port) - beta(port)xreturn(benchmark)
 
beta(port) - Incorporating the managed portfolio's systematic risk relative to the benchmark if different (we will assume the systematic risk of the portfolio is the same as the benchmark in this reading)
 
active return (value added), E(Ra)
= active weight x expected return
 
active weight = weight portfolio - weight benchmark

sum of active weights = zero

positive active returns: generating by overweighting assets with higher returns and underweighting those with lower returns.
if we are overweighting something in % terms, we have to underweight others in equal %

decomposition into asset allocation and stock selection:

overweight or underweight a certain industry

and overweight or underweight stocks (stock selection)

 

active weight x benchmark return

 

 

 

Merer. Net assets transfered from B to A

Acquisition: company A becmes parent, while company B becomes subsidiary

consodlidation: company A and B becomes C

variable interest entity: control is not basd on equity shareholding

Partial vs full goodwill

US GAAP requires full goodwill, but IFRS permits full or partial goodwill method

- partial goodwill: goodwill is purchase price ( of partial interest), minus the % owned times fair value of net identifiable assets.

 

non-controlling (minority interest) is % not owned times fair value of net identifiable assets. ( minority % x fair market value of identifiable net assets.)
 

Full goodwill = total fair value of subsidiary minus FV of net identifiable assets

 

 

if have 100%, fair value is the purchase price.

if less than 100%, take the purchase price over the percentage owned.

 

non-controlling (minority) interest is % not owned times total fair value of the subsidiary

impairments of goodwill:

  • good will is not amotizedl it is tested for impairment annually
  • goodwill is impaired when carrying value of business unit is great than its fair value
  • impairment is reported as line item on income statement
  • goodwill impairments cancnot be reversed.



under acquisition accounting - all goodwill is showing as a separate intangible asset
we need to separate test of impairment.

under equity accounting,, it is hidden in one-line consolidation

 

2. IFRS - one-step process: if recoverable amount of cash generating unit (fair value) , carrying value (net assets + goodwill), recognise difference as impairment.

 

US GAAP - two step:

- if fair value of reporting unit < carrying value, goodwill is impaired.

- amount of impairment is unit's reported goodwill - current fair value of unit's goodwill (recalculated with current asset / liability values) do a new goodwill computation.

 

US GAAP - what is goodwill at the current point in time. compare with the original goodwill and treat as impairment

 

3. If there is impairment left over after eliminating goodwill:

IFRS - if loss is greater than unit goodwill, remainder is allocated proprtionally to (impairment of) other (non-cash) assets of the unit.

hould reduce the value of other non-cash asset (e.g. PP&E and intangibles)

US GAAP - if loss is greater than current fair value of unit goodwill, unit goodwill is reduced to zero; no other allocation of impairment amount.

Under both standards, impairment loss is recognised in the income statement as a separate line item(unusual and infrequent item --> income statement)

 

reported above the tax line, so they are going to report gross any tax impact on the impairment will be included. typically the subjective nature of impairment means they can't be included in tax returns anyway.

net assets plus goodwill - carrying value.

 

need to look at fair market value adjustment made at the date of acquisition.

 

if you believe you got negative goodwill (i.e. Purchase price < FMV net assets)

- IFRS and U.S. GAAP: task as gain to I/S

 

recognition and measurement: identifiable assets and liabilities:

- identifiable assets and liabilties recorded at fair value. when we acquire subsidiary, we take their balane sheet, alot of the item are cost (original purchase price) or cost less depreciation or cost less amortization, but they may not be close to market price. 

fair market value adjustment at the date of acquisition do have to note the knock-on impact it gives to future earnings.

- acquirer must recognise assets and liabiltiies that the acquiree had not recognised (i.e. internally developed intangibles - R&D), brand names) 

US GAAP: the R&D cost must be expensed.

capitalise as we need to include as asset.

or strong brand name ( they couldn't capitalised it, need to expense) but now that we ned to bring the asset into the nbalance sheet. 

[展开全文]

1.held-to maturity

income statement: interest income ( not necessary the same as coupon, unless purchase at par) 

interest income = coupon + amortized discount
or
interest income = coupon - amortized premium

balance sheet: purchase price
initial reported at:
-cost including transaction costs (US GAAP)
- fair value including transaction costs (IFRS)

carried on the balance sheet at amortized cost: purchase price + amortised discount / - amortised premium 

market value is not recognised unless there is impairment (fair value of the asset, decline below the balance sheet carry value and believe that it is permanent, then we will put the impairment as an expenses in income statement

if we sell prior to maturity, it may lead to disallowance to held-to-maturity, tented, any securities left in held to maturities will need to remove and treated as available-for-sale or trading securities.

2.held-for-trading (US GAAP)
(fair value through profit or loss - IFRS)
changes in fair value are going to pass through income statement (P/L)

 

acquire for the purpose of selling in the near future.
any interest (debt) and dividend (equities) reported on income statement

debt investment --> interest less amortised premium or plus amortised discount

carried on balance sheet at fair value: unrealised loss/ gain recognised on income statement (changes in fair value recognised here)

recognised at every period

once sold it become realised gain or loss

 

 

3.Available-for-sale: debt and equity securities that are neither held-to maturity nor trading securities.

interest and dividend reported on income statement, same for all tree categories. 

balance sheet reported at fair value,
don't put unrealised gain or losses caused by market value through income statement.
instead unrealised gain or loss reported directly in stockholders' equity.
(within the other comprehensive income)

remove cumulated unrealised gain or loss upon sales

when sold, realised gain/ loss is recognised on income statement.

4.Designated at fair value: option to report financial assets and liabilities that would otherwise be classified as held-to maturity or available-for sale at fair value

unrealised G/L (changes in fair value) are recognised on income statement

dividends and interest on the income statement

question at 28 minute
N = 3 year
PMT (coupon) = 60
i/y = 10%
FV = 1000

COMPUTE PV = $900.5259

interest income: coupon + amortization
Amortization (calculator):
2nd function NPV  (AMR) of year 2
Period 1: 2 ( start from), press down
(to the year) Period 2: 2  (end of),  press down

carrying value (amortised cost) at end of year 2

down arrow again and see PRN (principal) - amortization

down again = interest income

 

 

Under US GAAP: fair value under P/L is the same as trading on the US GAAP

 

under IFRS do not want reclassfy fair value through p&l, below is prohibited to reclassify
-trading securities to available for sale
-trading securites to held-to maturity
IFRS is worried about whether the unrealised gains and losses will show up

i.e. when the market was bullish and i will be making unrealised gains because fair values are going up. We could treat is as a trading security and book those unrealised gains in your income statement.

when the market is bearish, where fair value is falling, we can reclassify and treat as held to maturity or available for sale. so aoid the unrealised losses passing through income statemnet.

held-to maturity to available-for sale are permimtted for both US GAAP and IFRS. any unrealised gain or loss and what will be unrealised gain or loss of course because under held-to-maturity we will report in amortised cost. and if we switch to available-for sale we will be reporting in the baance sheet at fair value.

so the diffference between amortised cost nd fair valu at the date of reclassification notice that gets taken to other comprehensive income.

 

if available-for-sale to held-to-maturity, permitted under IFRS and US GAAP. amortise out of other comprehensive income.

essentially the fair value at the date of reclassification will be treated as a purchase price and the difference between purchase price and par value.
that's going to be amortized over the rest of the security life. 

stop at 48 min
 

 

IFRS9 (new standards - replace old)

applicable from 1/1/2018 - early adoption allowed) 

1. Amortized cost: debt securities only (held-to-maturity)

introduce: 

- business model test : look at how the asset is managed (hold to maturity or active portfolio management)

- cash flow characteristic test (look at cashflow and see if they can be broadly split to principal and interest) - to determine if it is debt or not

Business model: must be to collect contractual cash flows. Not disposing prior to maturity.

accounting treatment same as held-to-maturity: amortise cost in balance sheet,

interest in income statement (interest revenue) - coupon plus amortised discount or coupon minus amortised premium

 

2. fair value through profit or loss

if business is to trade securities (buy and sell securities) then you will tick this value)

fair value in balance sheet, 

income statement: changes unrealised gains and losses 

 

 

3.fair value through other comprehensive income:

 

 

for equity securities, the intial choice pf FVPL/FVOCI is irrevocable

reclassification of debt securities from amorised cost to FVPL (or vice-cersa) is permited only if the business model has changed)

- unrecognised gains/losses on debt securities carried at amortised cost and reclassified as FVPL are recognised in the income statement

- debt securities reclasfieid out of FVPL to amortised cost are transferred at fair value on the transfer date (purchase price), (difference between purchase price and par value going to be amortised at the rest of the securities life) and that fair value will become the carrying amount.
 

 

Investment in associates and Joint ventures: Equity method (significant  influence) [ >20% but <= 50% ownership, includes joint ventures]

one line consolidation for both BS and IS:

balance sheet : reported at cost + %earnings - %dividends

income statement: earnings ( % x Net Income) [all share of earnings]

change in balance sheet investment:

(%share in company x earnings) - (% share in co x dividends)

= (%share in company x (earnings - dividends)

= % share in company x change in retained earnings

 

dividend received reported at cashflow

Evidence of significant influences:

  • representation on board of directors
  • participation in policy making
  • material transactions between the parties
  • interchange of key personnel
  • technological dependency
Influence
  • financing
  • operating
  • amount and timing of dividends

 

Balance sheet: include % x (change in retained earnings) = % x ( earnings - dividends issued)

Equity Income = % x earnings

cashflow = dividends

 

goodwill on equity account, hidden in one line consolidation, don't see as separate intangible asset.

(balance sheet usually reflect at historic cost, hence before acquisition, we need to restate at fair value)

 

PPE recorded in financial statement at original cost less accumulated depreciation

Goodwill is included in the carrying value

goodwill = difference between Fair Value and Book Value

fair value market adjustment:

 fair value less book value

needs to be reflected at date of acquisition.

Purchase price:

- less % net assets (book value)

- less attributable to FMVadjustment:

%PPE x fair value market adjustment

= Goodwill

% ownership x FMV net assets

if we make a fair maket value adjustment at the date of acquisition, it could well have knowk on impacts in future income statements and therefore balance sheet

as we amortize fair market value adjustments here the amortization is due to the depreciation on our fair market value adjustment, it is going to affect the investment and the income that we are showing in our income statement

 

Equity method impairement, we do  test equity account investments to see if they are impaired or not

IFRS: fair value < carrying value  (balance sheet) and non-temporary

U.S. GAAP: Fair value < carrying value (balance sheet) and deemed to be permanent

IDRS need objective evidence:

- loss event (impact cash generating ability)

- impact on future cash flows

- reliable measurement

Asset written down to fair value and impairment loss is recognised in the income statement

no reversal under US GAAP or IFRS

Goodwill not separately tested, it is although included in carrying value.

if associate is not listed company, rely on free cashflow and so on.

fair value is difficult to establish

1:15:00

Intercompany transfers:

- upstream profit on transaction in associate's accounts

- downstream profit on transaction in parent's (investor's) accounts

- investor company can influence amount and timing

- pro-rata share of profit not confirmed through resale or use is eliminated from equity income.

 

fair value option

  • election to treat equity method invvestments at fair value (like a trading security) in the balance sheet
  • U.S. GAAP: all entities
  • IFRS: Venture capital, mutual funds and unit trust (NAV as proxy)
  • irrevocable election
  • unrealised gains and losses in income statement

an analyst issues - equity method

  • is equity method appropriate? influence should dominate bright-line ownership %
  • balance sheet: netting assets against liabilities may obscure liabilities and understate leverage. like enron.
    • when looking at special-purpose vehicles (thinnly capitalised; i.e. assets and liabilities are roughly similar in size, liabilities are silghtly smaller than assets) so if we bring in our share of net asset could be tiny figure even  though asset is potentially huge and so are liabilties. this obscure the liabiltiies while net assets are small. hence understated thea liabilities of enron
  • income statement
    • only share of Net Income shown
    • earnings may not be distributed as dividends - lower earnings quality
      ( affects earnings quality; earnings quality are only high if they are backed by cash; but the share received are dividends so it is going to reduce earning quality as it is not backed by cash.) balance sheet we only see one figure
    • not any asset being netted off against liabilties,
    •  not seeing fair value adjustment separately 
    • not seeing goodwill separately
 
business combinations: acquisition method (contorl)
Balance Sheet
  1. Eliminate investment account (purchase price in group account) of parent and equity (only eliminate pre-acquisition  R/E) accounts of the subsidiary
    and show the asset and liabilities over which we have control, another thing we are going to show is goodwill as well as minority interest.
    as purchase price contains the asset, liabiltiies and goodwill, so it must be eliminated to prevent double counting ( investment account is going to disappear)
    it is only really the equity accounts of the parent company. So we are gonna show the parent company's equity accounts and eliminate the equity accounts of the subsidiary. trying to show the parents and subsidiary combine and only the external equity held by an external shareholder that we want to reflect in the account.


    We eliminate any pre-acquisition retained earnings that does not belong to us. But if you are producing a consolidated balance sheet after the date of acquisition, we will be up to bring in our share if you would say 80% of the subsidiary. bring in 80% of post-acquisition retained earnings ( current retain earnings and subtract retained earnings on date of acquisition.) parent company can bring in its sahare of retianed earning.
     
  2. create minority interest or non-controlling interest (share of equity not owned)
    bring in 100% of assets and liabilties under the acquisition method. this is fine if we own 100% of share capital. but if we own 80%, we are reflecting all the assets and liabiltiies that we control and not necessary of what we own. we are brining in net asset that does not belong to our share holder.  
  3. calculate goodwill, by comparing purchase price less % fair value of net asset.
  4. combine 100% of assets and liabilities of both firms (net of intercompany transactions) 
income statement

5. eliminate subsidiary earnings from the parent (dividends) as we want to show a 100% of its revenues are 100% of the subsidiary's expenses less minority interest. by brining in  dividend, you get double counting problem. so we are eliminating the dividends as we are going to bring in revenues and earnings and revenues expenses from subsidiary on a line-by-line basis. 

6. subtract minority share of earnings (share of earnings not owned) earnings that we included in the income statement that didn't belong to our shareholders. 

7. combine revenues and expenses ( only include post-acquisition results) of both firms (net of intercompany transactions)
adding 100% of revenue and 100% of expenses, sum it up to get the group Income statement.

1:30:00

[展开全文]

Corporate Investment categories

  • classification of intercorporate investments is based on degree of influence or control
  • percentage ownership (bright-line criteria) is used only as a guide to degree of control 
    • < 20% ownership - financial assets passive
    • 20 - 50% ownership - investments in associates (affiliates) influence
    • >50% ownership business combinations control (acquity account)
    • shared control by two or more entities = Joint venture
Investments in Financial assets
 
1. held-to-maturity: debt securities where the company has the Intent and Ability to hold to maturity
  • interest income reported on income statement
  • interest income = coupon + amortized discount
  • interest income = coupon - amortized premium
  • Initially reported at:
- US.GAAP: cost including transaction costs are added to security cost.
- IFRS: Fair value including transaction costs (fair value = price sold)
 
broadly saying the same thing.
  • carried on the balance sheet at amortized cost (purchase price that is going to deal with amortization of premium/discount) - when we purchase a bond(balance sheet asset) as we discount it initially, it should increase to par value over time.
  • changes in market value NOT recognised unless impaired (impairment when the fair value of the asset decline below its balance sheet carrying value and believe that it is permanent, have to write it down and expense the impairment through income statement )
  • reclassification or sale prior to maturity may lead to disallowance of held-to-maturity classification. dispose a security --> tainted held-to-maturity. not able to use going forward. mjust be treated as avilable for sale or trading security.
 
Held-for-Trading (US GAAP) fair value through profit or loss (IFRS): debt and equity securities acquired for the purpose of selling in the near future
  • interest and dividend income reported on income statement
  • interest = coupon + amort. discount - amort. premium
  • carried on the balance sheet at fair value
  • unrealised gain/loss recognised on income statement (haven't sell securities) only realised upon actual disposal.
 
 
Available-for-sale securities: debt and equity securities that are neither held-to-matuity nor trading securities
  • interest and dividend income reported on income statement
  • interest = coupon + amort. discount - amort. premium ( the same for all three)
  • carried on the balance sheet at fair value
  • unrealised gains/losses reported directly in shareholder equity [Other Comprehensive Income - items that do not go via income statement (AFT) but stockholder equity]
  • when sold, realised gain/loss is recognised on income statement 
Designated at fair value: management has the option to report financial assets and liabilities that would otherwise be classified as held-to-maturity or available-for-sale at fair value 
  • treated just like tading securities, reported on balance sheet at fair value
  • unrealised G/L are recognised on income statement
  • dividends and interest on the income statement.
[展开全文]
faythlovesugar · 2018-02-04 · 该任务已被删除 0

based on 已工作年限和退休时的最终工资。

PBO(代表应该支付的)比PLAN assets(代表现在的运营情况)高,则产生了负债

站在企业角度做acconting的

PBO在报表上看不出来,感觉是一个spe,

退休后的年金,按退休后存活年数折现,再折现到现在,按还有多久退休折现

pension= 一个月的工资(最终工资) ×工作年限

工作一年后,退休年限减少一年

多出来的就是多工作一年为退休后带来的“增量”折现回来,第一次折现为15年的支付期,第二次折现为折现到现在。

[展开全文]
燕西 · 2018-02-04 · 该任务已被删除 0

regulation types:

(congress)1. Statues: laws made by legislative body

2. Administrative regulations: rules isued by government agencies 

(Securities exchanges)

3. Judicial Law: findings of court

 

Regulators --> Government agencies; independent regulator; outside bodies

independent regulator --> SRO and non-SRO

A self-regulatory organization (SRO) is a non-governmental organization that has the power to create and enforce industry regulations and standards. The priority is to protect investors through the establishment of rules that promote ethics and equality.

national association of realtors

SROs without government recognition are not regulators

conflict of interest between members of SRO and the regulatory role of SRO

Independent SROs more common in common-law countries

 

independent SROs more effective when properly supervised

 

Regulations are needed in the presence of:

- information frictions; when information is not equally available (asymmetry)

- externalities: consumption of public goods (cost is not borne in proportion in consumption)

 

 

Regulatory interdependencies

- regulatory capture theory: regulators end up being influenced by regulated industry / entity

- regulatory competition: regulators in different jurisdictions compete

- regulatory arbitrage: business shop for friendly regimes or find loopholes.

 

Regulatory Tools

  1. Price mechanisms: tax/susidy
  2. restricting(dangerous materials)/requiring certain activities
  3. provision of public goods or financing private projects
Effectiveness of regulatory tools depends on enforcement abilities of the regulator
 
 
Regulating Commerce
  • company law, bankruptcy law, competition laws, contract law, etc.
  • regulations essential for business decision making (e.g. investnig in R&D when intellectual property protection is not available)
  • regulatory framework may help or hinder commerce

regulating financial markets

  • security markets:
    • disclosure requirements promote investor confidence
    • mitigating agency problem inherent with financial intermediaries acting as agents
    • protection for small investors and hence lax regulatory environment for hedge funds - who only market to qualified individiuals
Financial institutions 
  • Prudential supervision to reduce system-wide risks and to protect investors
  • coherent policy globally to prevent regulatory arbitrage ( go to place with more lax regulatory) and contagion (e.g. lehman brother)
 
Antitrust regulation (promote domestic competition)
  • excessive concentration of market share
  • anticompetitive behaviour (e.g. discriminartory pricing, bundling, exclusive dealing)
  • analysts often evaluate annouced merger based on probable regulator response
 
Benefits/costs of regulation
  • benefits:
    • easy to view but difficult to quantify
  • costs:
    • regulatory burden: direct and indirect cost of regulation
    • net regulatory burden: regulatory burden minus the private benefits of regulation (cost of compliance)
    • costs easier to assess ex-post (after the event)
sunset costs: need to revisit the regulation policy
 
Evaluation of a specific regulation
  • regulation can significantly impact evaluation 
  • taxes shrink an industry while subsidies help it to grow
  • review to include proposed regulations
  • is regulator captive?
  • different types of regulations affect different industries
 
 

 

[展开全文]
faythlovesugar · 2018-01-31 · 该任务已被删除 0

economics in section of growth and incestment decision

 

consitions suitable for growth

  1. savings and investment. highly correlated to growth of a country
  2. financial markets and intermediaries. having a system to facilite capital raising is essential for growth
  3. political stability, rule of law, property rights. helps to raise capital and attract capital
  4. investment in human capital. education, training, getting labour force skilled enough
  5. tax and reguilatory system. lower tax and lower regulatory burden system helps growth
  6. free trade and unrestircted capital flows. as you open up trade barrier, domestic firm become more efficient as they need to compete with foreign, and unrestricted capital flow, domestic firm now have access to foreign capital.
 
P = GDP X (E/GDP)  x (p/e)
 
%Δ Price = Δ GDP + %Δ (Earnigngs/GDP) + % Δ (P/E)
 
in the long run: %Δ ( Earnings / GDP). %Δ(P/E) = 0
 
growth in equity price = GDP growth rate
 
Higher the potential GDP growth rate, higher the real rates (interest and asset returns)
 
Implications for fixed-income investors:
  • when Actual GDP growth > potential GDP growth rate, inflationary pressure is higher (prices start to rise) and more likely tohat monetary/ fiscal policy is restrictive. 
  • higher potential GDP growth rate reduces expected credit risk of all debt issues.
get machine to increase output
 
have capital to invest in the technology or invest in labour, to train them.
 
capital deepening and technological progress
 
cobb-douglas production function 
 
Y = TKaL(1-a)
 
output = technology X capital  X labour
 
a = share of output to capital and share of ouput to labour.
 
T = total factor productivity (technological growth)
 
diminishing marginal productivity of labor and capital, but constant returns to scale.
 
in steady state, marginal product of capital (MPK) = rental price of capital 
a Y/K = r
 
labour = capital per worker
capital deepening (but note diminishing returns)
 
with more tehnology, the slope increases
 
with more capital deepening, a more 
 
 
Growth accounting:
growth rate inpotential GDP = long-term growth rate of labor force + long-term growth rate in labor productivity
 
 
Huma capital: qualitative measure of knowledge and skills
 
Physical capital: ICT ( Infrastructure, computer and telecom) and non-ICT (transportation, machinery etc.)
 
Technological development
(includes investment in physical and human capital
 
Public infrastructure (roads and bridges)
 
 
 
Growth Theories:
1. Classical growth theory
No Permanent improvement in standard of living from new technologies.
 
Technological advances leads to:
 - short term economic growth
- temporary improvement of standard of living
 
Reversing mechniasm is population growth: economic growth leads to population growth. which reverse it.
 
technology / labour
 
 
 
2. Neoclassicaical growth theory: economic growth results for lucky discoveries of new technologies
 
difference with classical theory: economic growth is independent of population growth
 
Technological advances lead to:
- short term economic growth
- permanently higher living standard
 
sustainable growth rate of output per capita = output of technolgy / (1 - labour)
 
sustainable growth rate of output
= technology / (productivity output allocated to labour) + change in technology
 
major tenets:
1. capital deepening occurs affecting output but not the growth rate
2. economy will move towards its steady state equilibrium regardless of initial capital to labor ratio or level of technology.
3. steady statesavings and investment are just sufficient to cover new workers and capital depreciation (capital per worker constant)
4. developing countries (with low capital to labor) would have lower diminishing marginal productivity of capital.
 
3. endogenous (originate from within) growth theory: economy is perpetual motion machine
- no stopping mechnaism
 
endogenous start with innocation --> higher profits --> more investment --> social returns and return to innovation
 
neoclassical lacks the social returns return to innovation
 
covergence hypothesis
1. absolute convergence: standard of licing will converge glovbally as productivity differences between developed and developing countries diminish over time.
2. conditional convergence: convergence only for countries with similar saving rates, population growth rates and production functions
3. club convergence: countries belonging to a club will converge. clubs are countries with similar institutional features.
 
Incenvtives to private investing
- social returns: external benefits to the economy of investing in R&D projects
- private benefits may be insufficient to cover the required rate of return on some R&D projects
- when private benefits and social returns together exceed the required rate of return, government subsidies may provide incentives for investment in R&D
 
 
Removal of trade barriers:
- benefits growth via
1. access to foreign savings
2. comparative advantage in production
3. economies of scale
 
Neo classical growth theory focuses on convergence
Endogenous growth theory focuses on social benefits
 
 

 

 
 
 
 
[展开全文]
faythlovesugar · 2018-01-25 · 该任务已被删除 0

Relative PPP: changes in exchange rates will just offset changes in price levels ( i.e. differences in inflation)

 

Ex-ante (expected change in exchange rate is dependent of expected inflation differences, currency with higher inflation should depreciate under PPP:
E(% ΔS) A/B = E (πA) - Expected (πB) 

countries with higher (relative) inflation expect to see their currencies depreciate 

 

International Fisher Relation (IFR)

  • Domestic fisher relation:
    R = r + E(π)
    R = nominal interest rate
    r = real interest rate

    π = inflation 
  • International Fisher Relation
    assume that real rates are constant (real rate parity):
    Ra-Rb = E(πA) - E(πB)
 
relative form PPP + international fisher relation
= uncovered interest rate parity

exchange rate movement explained by exchange rate difference
= Ra - Rb

uncovered means it does not hold by arbitrage or  market forces, it is an hypothesis, an expectation
 
 
covered and uncovered IRP are related
- if Forward rate = expected future spot,
then forward parity holds

 
  • uncovered IRP: Forecast future spot = E(S1) 
    non-traded price
  • Covered IRP: calculate the forward rate
    • all the elements are tradable (S, F, Rprice, Rbase)
    • bound by arbitrage
    • interest rate difference related to forward premium or discount, always holds

1. uncovered interest rate parity holds if forward rate parity holds
2. uncovered interest rate holds if PPP & IFR holds
 
carry trade
  • if uncovered interest rate parity does not work in the short term, one can profit by investing in higher yielding currency
    and borrow in lower yielding currency

     
  • assume that USD interest rate = 3% while GBP interest rate = 2% and USD is expected to depreciate by 0.5%
     
  • Return = interest earned on investment - funding cost - currency depreciation 
    = 3% - 2% - 0.5% = 0.5%
    not an arbitrage transaction, but a leverage trade (naked bet)
Crash risk: due to non-normal distribution of carry trade returns
  • in times of high volatility, the country with the higher interest rate typically sees its currency depreciate by a greater amount than uncovered IRP suggests
  • negative skewness and excess kurtosis of return distribution. resulting in excessive large losses
 
Balance of payments accounts
Current account influences: 
(Deficits eventually cause currency to depreciate)
  1. Flow mechanism:
    • size of initial deficit, if it is already very large, then the mechanism will cause the deficit to depreciate and will not be easily wipe out by depreciation
    • influences of changes in exchange rate on domestic imports and export prices
    • price elasiticty of demand, if it is high, then depreciation of exchange rate cause the demand to increase and lead to balance of current account
  2. portfolio composition mechanism
    how different country with a current account deficit are funding with capital account surplus, e.g. government issuing debt to foreign investor

    when investor portfolio get dominated by country A debt, then no longer become attractive, leading to depreciation. 
     
  3. debt sustainability mechanism

    debt become unsustainable, then investor will question the credit worthiness, and refuse to be funded.

Capital account influence: 

  • determined by relative real rates of return (investment opportunity). Higher real rate countries attract (foreign) capital. flows and hence appreciation of domestic currency.
  • excessive (speculative) capital flows can lead to excessive real appreciation and can be problematic for some emerging market economies ( as they can leave very quickly as well)
mundell-fleming model
short-term framework:
high mobility country. impact of inflation is not considered. 
 
expansionary monetary policy: central bank is lowering interest rate, pushing rate down (assuming inflation is constant)
 
expansionary fiscal policy: government is running deficit, government is issueng debt to fund ddeficit, pushing rate up.
 
restrictive fiscal policy (F): government is either running smaller deficit or surplus, borrowing decrease, leading to smaller rate, lowering rate. 
 
foreign country not attracted by low rate, hence depreciation of currency
 
 
restrictive monetary policy (M): monetary is increasing interest rate.
 
government running deficit, borrowing more money, hence rate go up. leads to appreciation of currency
 
capital mobility is low, mean fund is not easy to come in or out. which leads to impacting trade (concern only about currenct account impact)
 
expansionary M & F policy i, boasting demand in the economy. government increase demand for import, lower export, hence depreciation.
 
restrictive M & F, government is trying to curtail demand, hence lead to appreciation

 

Pure monetary approach: PPP holds at any point in time. when there is expansionary monetary policies lead to higher inflation and depreciation of curreny. increase money supply by 5%, depreciate money by 5%

 
 
dornbusch overshooting model (looks at stickiness): prices may not reflect policy changes in sync. This leads to overreaction to policy changes. expansionary monetary policies lead to higher inflation (occur with a lag) and excessive depreciation of currency.
 
retailer do not increase their price accordingly.
 
portfolio balance Apprach - only looks at
long-term implications of fiscal policy. in the long term, governments may dins it increasingly difficult to fund sustained deficits, leading to depreciation of the currency.
mundell-fleming model,looks at short-term implication of fiscal policy.
 
when will central bank intervene? (usually emerging market)
  • to ensure that the domestic does not sustain excessive depreciation
  • pursuit of independent monetary policies. central bank that is afraid that inflation is too high, then apply restrictive monetary policy --> increase in rate, when rate go up, increase in foreign investor cashflow,  it it defeats the monetary policy. but by removing the foreign capital in the economy, they are able to pursuit their objective
  • reduce excessive inflow of speculative capital
 
Effectiveness of central bank intervention:
  • depend on the size of the reserves that central bank have, for developed market it is very difficult. for emerging market, depend on the reserves they have. is easier as emerging market foreign exchange market are relatively small in size.
 
warning size of forex crisis. 
  • terms of trade deterioriating
  • dramtic decline in official foreign exchange reserves. 
  • currency value can be rising above its historical mean
  • inflation dramtically increases
  • liberalized capital market (flow of capital is free, flow speed is fast) come and leave quickly
  • money supply relative to bank reserves, excessive speculation
  • banking crisis (can be coincident
 
 
 
 
 
[展开全文]
faythlovesugar · 2018-01-23 · 该任务已被删除 0

Covered interest rate parity

spot x {[ 1+r price currency(n/360)]
/ [ 1 + r base currency (n/360) ]}

#1 calculate actual value versus quoted rate. If quoted rate overvalue, then sell the overvalue currency ( lock in the quoted rate)

#2 borrow overprice (base) currency in spot (don't use your own money)

#3 invest in base currency for n days

#4 close up 

spot: 0.7901 CAD/ CHF
quoted rate: 0.81 CAD/ CHF

0.7901 x {[1+ 6.25% (90/360)] 
/ [1 + 5.5% (90/360)] = 0.7916


1. sell CHF (overpriced) forward

2. borrow equivalent (CAD) canadian dollar at canadian interest rate to buy CHF at spot.

3. invest/ lend CHF for n days

4. n days later, use loan proceed from CHF to deliver against the forward contract 

5. proceeds from forward contract to repay the loan



 

 

[展开全文]
faythlovesugar · 2018-01-21 · 该任务已被删除 0

goodwill=我购买的价格-净资产的市场价值

goodwill在assets里,minority interest在equity里,partial变full 同减同增,保持两边平衡

carrying value= net assets + goodwill,

 goodwill inpariment不可以reverse,因为unlisted company的估值很主观,fair value是根据估值来定的,

cash generating unit= fair value

或有负债:诉讼引起

contingent consideration:或有对价,即 对赌协议

indemnification asset

并购后负债和权益的变化都放在哪里:换股、现金

one line consolidation

收购法就是将母子公司100%数据相加

权益法就是按比例提取子公司,在加到母公司

研发也可以做成spe, 规避研发失败的风险。

因为spe 有限合伙是出资购买资产,出资人大部分不是sponsoring company, 因此不能并表。如不是有限合伙,因为spe本身就是基本纯债务,能容纳的equity很少,所以sponsoring company即使出资也占比很小。

 

[展开全文]
燕西 · 2018-01-24 · 该任务已被删除 0

one line consolidation

购买价格是账面净资产和账面价值与市场价值之差以及商誉得出。

其实就是市场价值的40%加上商誉。

 carrying value即book value,账面价值。
subsidary的dividend在earning导入母公司时计算过一次了,所以要减去,不然重复计算。

inoome from sub就是dividend

为什么收入和成本没有相应收购比例,仅去掉了devident和earning的25%,相当于全部收购,仅在结果处扣除earning,如果不扣除则earning还是全部合并后的earning,直接在结果处扣除minority interests也达到了效果。另外扣除divident, 在earning里重复计算了。

[展开全文]
燕西 · 2017-12-09 · 该任务已被删除 0

held for trading

held for maturity

neither nor --------- available for sale

either or --------- designated at fair value

 

[展开全文]
李晓平 · 2017-10-01 · 该任务已被删除 0

授课教师

财金通
CFA\FRM\CFP持证人

课程特色

视频(92)
下载资料(8)

学员动态