CFA Level I 权益知识点汇总

Study Session 13 Market Organization,

Indices and Efficiency R45 Market

Organization and Structure

1 Main Functions of the Financial Market（三大功能具体是指什么）

1.1 Fulfill different entities’ requirements
1.1.1 Savings
1.1.2 Borrowing
1.1.3 Issuing equity
1.1.4 Risk management
1.1.5 Exchanging assets
1.1.6 Utilizing information
1.1.6.1 Information-motivated traders
1.2 Determine interest rates
1.2.1 Interest rates are justified according to the total

supply of savings and the total demand of borrowings

1.3 Allocate capital to its most efficient uses

2 Intermediaries of Financial Market
2.1 Brokers, Dealers and Exchange
2.1.1 Brokers（赚佣金）
2.1.2 Block brokers
2.1.3 Investment banks
2.1.4 Exchanges
2.1.5 Alternative trading systems (ATS) (属于 OTC 市场范畴)
2.1.6 Dealers（赚价差，即Bid-Ask spread）
2.1.7 Broker-dealers(市场交易活跃时是Broker,市场交易不活跃时是 Dealer)
2.2 Securitizers
2.2.1 Mortgages, car loans, credit card receivables, bank

loans, and equipment leases

2.2.2 SPV/SPE
2.3 Depository Institutions
2.4 Insurance Companies (管理风险)
2.4.1 Moral hazard
2.4.2 Adverse selection
 2.4.3 Fraud
2.5 Arbitrageurs
2.5.1 Seek to gain certain return without bearing any risk.
2.6 Clearinghouses and Custodians
2.7 Hedgers
3 Well functioned financial market
3.1 Characteristics of a well functioned financial Market
3.1.1 Complete markets
 3.1.2 Operational efficiency
3.1.3 Informational efficiency
3.1.4 Allocational efficiency
3.2 Problems when there are no regulations
3.2.1 Fraud and theft
3.2.2 Insider trading
3.2.3 Costly information
3.2.4 Defaults
4 Classification of assets
4.1 Financial Assets
4.1.1 Security
4.1.1.1 Fixed income vs. Equity Securities
4.1.1.1.1 Fixed income
4.1.1.1.1.1 Bonds (到期期限大于 10 年)
4.1.1.1.1.2 Notes（到期期限介于 1 到 10 年）
4.1.1.1.1.3 Bills（到期期限小于 1 年）
4.1.1.1.1.4 Commercial paper（由公司发行，到期期限小于

1 到 2 年）

4.1.1.1.1.5 Certificates of deposit（由银行

发行） 4.1.1.1.1.6 Repurchase

agreements

4.1.1.1.1.6.1 Borrower sells a high quality asset

and has both the right and

obligation to repurchase it (at a

higher price) in the future.

4.1.1.1.1.6.2 期限可以短至 1 天
4.1.1.1.1.6.3 Convertible debt（投资者可将债券转换成发
债公司一定数量的普通股）
4.1.1.1.2 Equity

Securities 4.1.1.1.2.1

Common stock

4.1.1.1.2.2

Preferred stock

4.1.1.1.2.3 Warrant（由第三方发行，类似于 Options）

4.1.1.1.3 Pooled

investment vehicles
 4.1.1.1.3.1 Mutual

funds

4.1.1.1.3.1.1 open-end funds

4.1.1.1.3.1.2 closed-end funds
4.1.1.1.3.2 Exchange-traded funds (ETFs) &

exchange-traded notes (ETNs)

4.1.1.1.3.2.1 类似于 closed-end funds

4.1.1.1.3.2.2 用一篮子证券申购和赎回
4.1.1.1.3.3 Asset-backed securities

（mortgages, car loans, or credit card

debt 等）

4.1.1.1.3.4 Hedge funds （ 通 常 采 用 limited

partnerships 的 形 式 （ 投 资 者 是 limited

partners，管理人是 general partner），通常使

用 leverage）

4.1.1.2 Public vs. private

 4.1.1.2.1 Public securities（已上市，流动性强，在交易所交易，监管严）
4.1.1.2.2 Private 未上市，流动性差，不在交易所交易，监管松）
securitie（
s
4.1.2Currency
4.1.3Derivative contracts
4.1.3.1 按合约性质分
4.1.3.1.1 Forwa
rd contract
4.1.3.1.2 Future
s contracts
4.1.3.1.3 Swap
contracts
4.1.3.1.4 Option
contracts
4.1.3.1.5 Insurance contracts
4.1.3.1.6 Credit default swaps
4.1.3.2 按标的资产分
4.1.3.2.1 Financial derivative contracts
4.1.3.2.2 Physical derivative contracts
4.2 Real Assets
4.2.1 Commodity
4.2.1.1 Goods like precious metals, industrial metals,

agricultural products, energy products 等.

4.2.1.2 Are traded in spot, forward, and futures markets.

4.2.2 Real Estate (Such as real estate, equipment, and machinery)
5 Classification of markets
5.1 Primary vs. Secondary markets
5.1.1 Primary market（功能：融资）
5.1.1.1 Sold Publicly
5.1.1.1.1 Underwritten Offering (最常见，发行失败的风险由投行承担)
5.1.1.1.2 Best Efforts （发行失败的风险由拟上市公司承担）
5.1.1.1.3 Indications of Interest
5.1.1.1.4 Book building
5.1.1.2 Sold Privately
5.1.1.2.1 Private placement
5.1.1.3 Other transaction methods
5.1.1.3.1 Shelf registration
 5.1.1.3.2 Dividend Reinvestment Plan
5.1.1.3.3 Rights Offering
5.1.1.3.4 Competitive bids
5.1.1.3.5 Negotiated sales
5.1.2 Seasoned offerings (secondary issues)
5.1.2.1 二级市场的功能
5.1.2.1.1 提供流动性（Liquidity）
5.1.2.1.2 Price discovery
5.1.2.2 在二级市场上何时交易
5.1.2.2.1 Call Markets（集合竞价，只能在特定时间成交，成
交价格只有一个）
5.1.2.2.2 Continuous Markets （连续竞价，在交易时段内随时可以成交）
 5.1.2.3 在二级市场上如何交易
5.1.2.3.1 Order-Driven Market （Broker 参与，价格优先、时间优先）
5.1.2.3.2 Quote-Driven Market（Dealer 参与, over-the-counter
market）
5.1.2.3.3 Brokered Markets（Broker 参与，非常独特或缺乏流动性的证券）
5.2 Money vs. Capital markets
5.2.1 Money markets
5.2.1.1 For debt securities with maturities of one year or less.
5.2.2 Capital markets
5.2.2.1 For longer-term debt securities and equity

securities that have no specific maturity date.

5.3 Traditional vs. Alternative markets

5.3.1 Traditional investment markets
5.3.1.1 For debt and equity
5.3.2 Alternative markets
5.3.2.1 For hedge funds, commodities, real estate,

collectibles, gemstones, leases, and equipment.

6 Positions in an asset
6.1 Long Position
6.1.1 Benefit form an increase in the price
6.1.2 The potential gain is unlimited
6.2 Short Position
6.2.1 Benefit from a decrease in the price
6.2.2 The potential loss is unlimited
6.2.3 Payment-in-lieu: the received dividends and

interests must be paid back to the investor who lent

the stock.

6.2.4 short rebate rate

6.2.4.1 The short seller must deposit the proceeds of the short sale as
collateral
6.2.4.2 The broker earns interest on these funds and

may return a portion of this interest to the short

seller at a rate referred to as the short rebate rate.

 6.2.4.3 If the security is difficult to borrow, short rebate

rate may be lower or negative.

6.3 Leveraged Position

6.3.1 The interest rate paid on the margin loan is the call money rate
6.3.2 Initial Margin: a minimum amount of equity at the
time of a new margin purchase

6.3.3 Maintenance Margin: is the investor’s required equity position in

the
 account.
6.3.4 Margin Call: if an investor’s margin account balance

falls below the maintenance margin, the investor will

receive a margin call and will be required to either

liquidate the position or bring the account back to its

maintenance (minimum) margin requirement.

6.3.5 Margin Call Price for a

Long Position 计算 Margin

Call Price：

PL'  P0 1  IM 

 1  MM 
7 Instructions of transaction processes（能识别，会计算成交价格和数量）
7.1 Execution instructions(如何交易)
7.1.1 最常见的执行指令
7.1.1.1 Market orders
7.1.1.2 Limit orders
7.1.1.2.1 Make the market
7.1.1.2.2 Take the market
7.1.1.2.3 Behind the market
7.1.1.2.4 Far from the market
7.1.2 考虑成交量的指令
7.1.2.1 All-or-nothing orders
7.1.3 考虑指令是否可被其他交易者看到的指令
7.1.3.1 Hidden orders
7.1.3.2 Iceberg orders
7.2 Validity instructions: that specify when the order can be filled（何时交易）
7.2.1 Day orders
7.2.2 Good-till-cancelled orders(GTC)
7.2.3 Immediate or cancel orders
7.2.4 Good-on-close orders
7.2.5 Good-on-open orders
7.2.6 Stop orders
7.2.6.1 Stop orders reinforce market momentum.
7.2.6.1.1 Stop-sell order
7.2.6.1.2 Stop-buy order
7.3 Clearing instructions: that specify how to settle the trade（如何结算）
R46 Security Market Indices
1 Definitions about Market Indexes
1.1 Price index
1.2 Return index
2 How an index is constructed
3 Uses of Security-Market Indexes
4 Weighting schemes for stock indexes
4.1 Price-Weighted Index
 4.1.1 特点
4.1.1.1 买相同份额
4.1.1.2 受高价股影响较大
4.1.1.3 拆股要调分母
4.1.2 计算

wi =
Pi
∑n
i=1 Pi

sum of stock prices

price-weighted index=
number of stocks in index adjusted for splits
4.2 Equal-Weighted
Index
4.2.1 特点
4.2.1.1 买相同金
额
4.2.1.2 剔除了高价股的影响
4.2.1.3 受小盘股的影响较大
4.2.2 计算

1
wi =
n

4.2.2.1 Arithmetic mean

4.2.2.2 Geometric mean
4.3 Market Capitalization-Weighted Index
4.3.1 特点
4.3.1.1 以市值为权重
4.3.1.2 克服了小盘股的影响
4.3.1.3 受非流通股的影响
4.3.1.4 受高估市值的影响
4.3.2 计算

wi =
P iQ i
∑n
j=1 PiQi

Current Market Capitalization-Weighted Index=

current total market value of index stocks

 base year index value
base year total market value of index stocks
4.4 A Float-Adjusted Market Capitalization-Weighted Index
4.4.1 特点
4.4.1.1 剔除了非流通股的影响
4.4.1.2 受高估市值影响
4.4.2 计算

wi =
f iP iQ i
∑n j=1 fjPiQi

f = 流通是指占总市值的百分比
4.5 Fundamental weighting
4.5.1 特点
4.5.1.1 剔除了高市值的影响
4.5.1.2 受价值型股票的影响
 4.5.2 计算

wi =
Fi
∑nj=1 Fj

F = a given fundamental size measure of company i.

4.5.3 Features
4.5.3.1 Value-tilted
4.5.3.2 Contrarian-style
5 Rebalancing and Reconstitution
5.1 Rebalancing : Adjusting the weights of securities in a portfolio

to their target weights

5.2 Reconstitution : Periodically adding and deleting securities that make up an

index.
6 Other investment indexes(概念)
6.1 Broad market index
6.2 Multi-market index
6.3 Multi-market index with fundamental weighting
6.4 Sector Index
6.5 Style index
6.6 Commodity indexes
6.7 Real estate indexes
6.8 Hedge Fund Indexes

R47 Market Efficiency

1 What is Efficient Capital Market
1.1 Security prices adjust rapidly to the infusion of new information
1.2 Current security prices fully reflect all available information.
1.3 One method of measuring a market’s efficiency is to

determine the time it takes for trading activity to cause

information to be reflected in security prices

1.4 Market prices should not be affected by the release of

information that is well anticipated.

2 Factors affect the degree of market efficiency

3 Three forms of market efficiency
3.1 The weak-form EMH
3.1.1 宜采用主动投资策略（有机会获得超额收益）
3.2 The semi-strong form EMH
3.2.1 宜采用被动投资策略 （无法获得超额收益）
3.3 The strong-form EMH
3.3.1 宜采用被动投资策略（无法获得超额收益）

4 Tests, Implications and Conclusions of EMH

4.1 检验市场是否为弱式有效的方法：技术分析能否获得超额收益
4.2 检验市场是否为半强有效的方法：Event study
4.3 检验市场是否为强有效的方法：内幕交易是否能获得超额收益
4.4 Market Anomalies （不能推翻 EMH）
4.4.1 Calendar anomalies
4.4.2 The overreaction effect
4.4.3 Momentum anomalies
4.4.4 Size effect
4.4.5 Value effect
4.4.6 Closed-end investment funds
5 Behavior Finance（不能推翻 EMH）
5.1 Behavioral finance
5.1.1 Loss aversion
5.1.2 Herding
5.1.3 Overconfidence
5.1.4 Information Cascades
5.2 Rational vs. Irrational
5.2.1 Rational vs. Irrational
5.2.2 Mental accounting
5.2.3 Conservatism
5.2.4 Narrow framing
Study Session 14 Equity Analysis and Valuation
R48 Overview of Equity Securities
1 Classification of Public Equity Securities
1.1 Common Shares
1.1.1 Residual claim on firm assets
1.1.2 Voting rights
1.2 Callable common shares(Advantage to firm)
1.3 Putable common shares(Advantage to shareholder)
1.4 Preference shares
1.4.1 Preference shares
1.4.2 Do not usually have voting rights
1.4.3 Less risk
1.4.4 have priority over common stock in receiving dividends

and in the event of liquidation of the firm.

1.5 Cumulative preference shares

1.5.1 Fixed dividends that are not paid must be made up

before common shareholders.

1.6 Participating preference shares

1.6.1 Can receive extra dividends if firm profits exceed a predetermined
level.
1.7 Convertible preference shares
1.7.1 The preferred dividend is higher than a common dividend（股利高）
1.7.2 Preferred shares have less risk than common shares（风险低）
2 Private Equity Securities
2.1 Three main types of private equity investments

2.2 Characteristics
2.2.1 Less liquidity
2.2.2 Share price is negotiated between the firm and its investors
 2.2.3 Lower reporting costs
2.2.4 Potentially weaker corporate governance
2.2.5 Greater ability to focus on long-term prospects
2.2.6 Potentially greater return for investor
3 Non-domestic Equity Securities
 3.1 Direct investing
3.2 Global registered shares
3.3 Depository receipts
3.3.1 Sponsored DR/ Unsponsored DR
3.3.2 Global depository receipts (GDRs)
3.3.3 American depository receipts (ADRs)
3.4 Basket of listed depository receipts
4 Risk and Return Characteristics of Equity Securities
4.1 Equity return:
两个来源：dividends 和 capital gains or losses
4.2 Equity risk:
Putable stock <Preferred stock <Common stock

<Callable stock Cumulative preferred stock <Non-

cumulative preferred stock

4.3 Return on Equity: ROE=NI/Average BV

4.4 Cost of equity: Minimum rate of return required by investors.

R49 Introduction to Industry and company Analysis

1 Top-down process
1.1 General Economic Influence;
1.2 Industry Influences
1.3 Company analysis
2 General Economic Influence
2.1 Macroeconomic factors
2.2 Technology
2.3 Demographics
2.4 Governments
2.5 Social influence
3 Industry Influences
3.1 Industry Life Cycle（各阶段的特点）
3.1.1 Embryonic stage
3.1.1.1 Slow growth
3.1.1.2 High prices
3.1.1.3 Large investment required
 3.1.1.4 High risk of failure
3.1.2 Growth stage
3.1.2.1 Rapid growth
3.1.2.2 Limited competitive pressures
3.1.2.3 Falling prices
3.1.2.4 Increasing profitability
3.1.3 Shakeout stage
3.1.3.1 Growth has slowed
3.1.3.2 Intense competition
3.1.3.3 Increasing industry overcapacity
3.1.3.4 Declining profitability
3.1.3.5 Increased cost cutting
3.1.3.6 Increased failures
3.1.4 Mature stage
3.1.4.1 Slow growth
3.1.4.2 Consolidation
3.1.4.3 High barriers to entry
3.1.4.4 Stable pricing
3.1.4.5 Superior firms gain market share
3.1.5 Decline stage
3.1.5.1 Negative growth
3.1.5.2 Declining prices
3.1.5.3 Consolidation
3.2 Factors That Affect the Sensitivity of Business Cycle
3.2.1 Cyclical firm
3.2.1.1 High earnings volatility
3.2.1.2 High operating leverage
3.2.2 Non-cyclical firm
3.2.2.1 Demand is relatively stable
3.2.2.2 Defensive industries: Least affected by the stage of the business
cycle.
3.2.2.3 Growth industries: Largely unaffected by the stage of the
business cycle.
3.3 Peer group: a set of similar companies an analyst will use

for valuation comparisons.

3.3.1 注意：Can identify key competitors through firms’ annual reports

3.4 影响 Pricing power 的因素
 3.4.1 Barriers to entry
3.4.2 Industry concentration
3.4.3 Industry capacity
3.4.4 Market share stability
3.5 Competitive Advantage（波特五力模型）
3.5.1 Rivalry among existing competitors
3.5.2 Threat of new entrants
3.5.3 Threat of substitute products
3.5.4 Bargaining power of buyers
 3.5.5 Bargaining power of suppliers
4 Company Analysis
4.1 Three generic competitive strategies
4.1.1 Cost leadership
4.1.2 Differentiation
4.1.3 Focus

R50 Equity Valuation

1 Major categories of equity valuation models
1.1 Discounted cash flow models
1.1.1 Dividend discount models
1.1.1.1 Valuing Common Stock
1.1.1.1.1 Dividend Discount Model

(DDM) 1.1.1.1.1.1 Assumption:

Going concern basis 1.1.1.1.1.2

计算公式:
D D D n
Dt
Vj= 1
+ 2
++ 
=
1+k  1+k 
2
1+k 

t=1 1+k 
t

1.1.1.1.2 Gordon Growth Model (GGM)

是 DDM 的特例1.1.1.1.2.1 Assumption:

1.1.1.1.2.1.1 Dividends grow at a constant rate

1.1.1.1.2.1.2 The constant growth rate will

continue for an infinite period.

1.1.1.1.2.1.3 The required rate of return r is

greater than the infinite growth

rate.

1.1.1.1.2.2 计算公式：

D0 1 gc  D
V0=  1
re -g c re -gc
D0=(1-

RR)×EPS

gc=ROE×RR

re=rf+β（rmkt-

rf） 1.1.1.1.2.3

Limitati
 ons

1.1.1.1.2.3.1 Very sensitive to

estimates of r and g. 1.1.1.1.2.3.2

Difficult with non-dividend

stocks.

1.1.1.1.2.3.3 Difficult with unpredictable

growth patterns (use multi-stage

model).

1.1.1.1.2.4 Important Conclusion

1.1.1.1.2.4.1 The wider is the difference between

r and g, the smaller the value of the

stocks.

1.1.1.1.2.4.2 Small changes in the difference

between r and g will cause large

changes in the stocks’ value.

1.1.1.1.3 一阶段和多阶段的 DDM 计算

1.1.1.2 Valuing Preferred Stock
 Dp Dp
V= + ++ Dp Dp
=
p
1+k  1+k 
p
2
1+k  N
k
p
p p

1.1.2 Free cash flow to equity models

1.1.2.1 计算公式
FCFE


V0 = t

1 re 
t
t1

FCFE0 (1 g)
V0 =
re  g

1.2 Multiplier models

1.2.1 Price multiples based on comparables
1.2.1.1 Price to Earnings (P/E)
1.2.1.2 Price to Sales (P/S)
1.2.1.3 Price to Book Value (P/BV)
1.2.1.4 Price to Cash Flow (P/CF)
1.2.1.5 Enterprise Value to EBITDA (EV/EBITDA)
1.2.2 Price multiples based on fundamentals
1.2.2.1 Earnings Multiplier Model（Earnings Multiplier Model）

D
P= 1
0
k-g

1.2.2.2 Justified P/E

1.2.2.2.1 Leading P/E
P0 D1 E1 1 b
= 
E 1 k-g kg
1.2.2.2.2 Trailing P/E

P0 D0 E0 (1 b)(1  g )
= 1  g  
E0 k-g kg

1.2.3The ratio of enterprise value to fundamentals

EV = market value of common stock + market value of preferred
equity
+ market value of debt– cash and short-term investments
1.3 Asset-based models