出版社: John Wiley & Sons
副标题: The Improbable Origins of Modern Wall Street
出版年: 2005715
页数: 360
定价: GBP 15.99
装帧: Paperback
ISBN: 9780471731740
内容简介 · · · · · ·
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Capital Ideas traces the origins of modern Wall Street, from the pioneering work of early scholars and the development of new theories in risk, valuation, and investment returns, to the actual implementation of these theories in the real world of investment management. Bernstein brings to life a variety of brilliant academics who have contributed to modern investment th...
在线阅读本书
Capital Ideas traces the origins of modern Wall Street, from the pioneering work of early scholars and the development of new theories in risk, valuation, and investment returns, to the actual implementation of these theories in the real world of investment management. Bernstein brings to life a variety of brilliant academics who have contributed to modern investment theory over the years: Louis Bachelier, Harry Markowitz, William Sharpe, Fischer Black, Myron Scholes, Robert Merton, Franco Modigliani, and Merton Miller. Filled with in–depth insights and timeless advice, Capital Ideas reveals how the unique contributions of these talented individuals profoundly changed the practice of investment management as we know it today.
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Kevin Lee ("Stay Hungry. Stay Foolish.")
Fischer Black & Myron Scholes & Robert Merton , theory of option pricing They found to their surprise that neither risk nor expected return, the two integral elements of CAPM, belonged in the equation after all. Risk and expected return disappeared from the equation because they canceled each other out. Consider two stocks, one much riskier than the other, but each selling for $20 a sh...20181018 19:46
Fischer Black & Myron Scholes & Robert Merton , theory of option pricing
They found to their surprise that neither risk nor expected return, the two integral elements of CAPM, belonged in the equation after all. Risk and expected return disappeared from the equation because they canceled each other out. Consider two stocks, one much riskier than the other, but each selling for $20 a share. To simplify matters, assume that neither pays a dividend. The market believes that the less risky stock will be selling for $32 five years from now, or within a range of, say, $30 to $34, for an average expected return of 10 percent a year. The market believes that the riskier stock will be selling for $40, within a much wider range of $32 to $48, for an average expected return of 15 percent a year.
But the two stocks are selling at the same price of $20 today because investors have taken into consideration the differences in risk, even though the expected future prices of the stocks differ widely. The higher risk cancels out the higher expected return and leads to the same price today for the risky stock as for the less risky stock.
With differences in risk canceling out differences in expected gain for all securities, Black and Scholes concluded that the expected gain on a stock, option, or warrant is irrelevant in calculating what the current price of an option or warrant should be. This insight allowed them to solve the option equation and derive their formula for setting a value on the option. But they arrived at this original derivation by building their structure on the foundations of the Capital Asset Pricing Model.
在研究期权定价的时候，Black和Scholes发现，CAMP公式中的预期回报率和风险互相抵消。
（ Merton）He pointed out that investors will seek out combinations of stocks and options in which the good news will outweigh the bad. If the prices of the stock and the put option are out of line with each other, the stock might rise in price by more than the value of the put falls. The news, in other words, would be net good, with more gained from the rising stock price than lost from the shrinking value of the put. Such strokes of luck are to be taken advantage of.
Modigliani and Miller had emphasized that active capital markets are crowded with investors looking for free lunches. As arbitragers rush to take advantage of such opportunities by buying the stock and selling the put, the stock will become more expensive while the put gets cheaper. The free lunch will disappear, and the symmetry between the two assets will return as they move back into proper alignment.
If the gain on one side of the combination is precisely offset by a loss on the other, the investor will be holding a riskless position that is the equivalent of holding a Treasury bill or some other liquid asset with a certain return known in advance. If the combination of stock and option offered more than this riskfree rate, investors would compete for the opportunity to own it and would bid the opportunity away. If it offered less, investors would shun it and its value would fall to a point where it once again offered the riskless rate of return.
如果组合中一方的收益正好被另一方的损失抵消，这就相当于持有短期国债或其他流动性资产的无风险仓位。如果股票和期权的组合提供的收益高于此无风险收益，投资者就会通过套利将收益等于无风险收益；反之亦然。
Only one small step remained. The optionpricing formula had to calculate the price of the option that would give the stockoption combination that riskfree result. In an efficient market, there is no other price that the option could command.
输入参数一：期权的执行价格
In our unsophisticated fashion, my firm had had the correct intuition. The prevailing rate of interest on riskfree assets like shortterm Treasury bills is an essential input to the optionpricing formula. As we had also recognized, the inputs must include the price of the underlying stock, the price at which the option is selling, and the time remaining until the option expires.
输入参数二：无风险利率（短期国债利率）
输入参数三：目前股票价格
输入参数四：距离期权到期的时间
But there was one more item to be plugged into the formula. No investor will buy or sell an option on a stock without some expectation about what the future action of the stock will be. Will the stock be volatile, like Apple Computer, or sleepy, like Consolidated Edison? In valuing options, volatility matters a lot. The optionholder has a claim on which he can lose relatively little: Thales made only small deposits on the olive presses. But the optionholder can gain a great deal: Thales made a killing when the olive crop turned out to be unexpectedly large. This means that options are more interesting to their owners in cases where something big is likely to happen than when nothing is likely to happen. If conditions promise to be stable, why spend money for an opportunity that will be profitable only when conditions change?
More is involved here than just beta—that is, a stock’s volatility relative to the market as a whole. Expectations about whether the stock is going to move at all dominate expectations about whether the stock is going to move up or move down. To owners of call options, who have the right to buy at a specified price, big downward movements in the stock price do not matter, because the risk of loss is limited to the premium paid; big upward movements are what matter. So long as the other four inputs are the same, an option on Apple is going to be a lot more interesting than an option on Con Ed.
The sellers of options have the opposite requirement. They like stocks that stand still. They simply pocket the premiums they collect on the sale without having to take any further action. They are like a company that sells insurance: they collect the insurance premiums while hoping that nothing will happen to the policyowner—no houses burning down, no premature deaths, no burglaries, no catastrophic illness.
输入参数五：波动率（ 在计算期权的理论价格时,通常采用标的资产的历史波动率:波动率越大,期权的理论价格越高;反之波动率越小,期权的理论价格越低。）
对于期权的卖方来说，波动率越小越有利。就如保险公司一样，收了保费以后最好什么事情也不要发生。
Are the stockholders the true owners of a company? Not really. The creditors—the people who have lent the company money—have the first claim on the company’s assets. The stockholders are entitled only to what is left after the creditors have taken what they are entitled to. The stockholders are the true owners of the company only when they do not owe a single cent to anyone other than themselves.
Although the stockholders do not own the company, they have a call option on its assets. They can exercise that option by paying off the company’s debts. The exercise price of the option is the principal amount borrowed. And its expiration date is the due date on which the debts are payable.
When the company’s debts come due, the stockholders have the right to let their call option on the assets lapse, leaving the bondholders in possession of the company’s assets—or holding the bag, as Wall Street puts it. This is exactly what happens when the owners refuse to pay their debts and let a company go into bankruptcy. Most of the time, the stockholders exercise the option and redeem their debts—until they borrow fresh money and activate a brandnew option.
The price the stockholders pay for the option of walking away from their obligations is reflected in the interest rate on the company’s debts. The cost of that option is determined just like any other. The interest rate will be low when the company’s assets are large relative to its liabilities—if, in technical terms, the option is deep inthemoney. The interest rate will be low when the debts come due sooner rather than later, and if the company’s business is stable and predictable rather than volatile. The interest rate will be high when the company is deeply in debt, when the maturity of the debts is far off, and when its business is exceptionally volatile. American Telephone and Telegraph pays a lower rate of interest on its bonds than Chrysler or Citicorp.
This use of options to value corporate liabilities has come to be known as Contingent Claims Analysis. Merton, who was one of the pioneers in the development of this concept, has commented that the nomenclature “sounds like an insurance adjuster,”26 but it has become the richest vein in the gold mine of options theory.
或有债权分析（Contingent Claims Analysis）
Even before their optionpricing paper saw the light of day, Black and Scholes had shared another exciting experience. With Michael Jensen, they had conducted an important test of the Capital Asset Pricing Model and had discovered that stocks with low betas, or low volatility, tended to earn higher returns than the model predicted, while stocks with high betas did worse than expected. Their results were published in 1972.
Black和Scholes的另一个发现（1972年），低波动股票的收益比高波动股票收益高。
Black–Scholes model
https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
回应 20181018 19:46 
Kevin Lee ("Stay Hungry. Stay Foolish.")
Jack Treynor, Modigliani suggested that Treynor break his paper into two parts. The first part would deal with how investors made their selections within a single time period—a minute, a day, or a year. The second part would explore what happens over several time periods—a sequence of minutes, days, or years. When Treynor set to work, he ran into a problem: The mathematics required for t...20181012 18:46
Jack Treynor,
Modigliani suggested that Treynor break his paper into two parts. The first part would deal with how investors made their selections within a single time period—a minute, a day, or a year. The second part would explore what happens over several time periods—a sequence of minutes, days, or years. When Treynor set to work, he ran into a problem: The mathematics required for the second part was so intricate that, with only a BS degree in math, he had to give up on it. Modigliani was also uneasy about it and advised him that the problem was “basically impossible” to solve.
The math required to expand the analysis of investor responses to risk from one time period to a sequence of periods turned out to be something known as Ito’s lemma. It had been developed by Kiyoshi Ito, a Japanese mathematician, who first described it in 1951 in a publication of the American Mathematical Society.
Robert C. Merton, a mathematician and economist at MIT, would shortly introduce Ito’s lemma into the theory of portfolio management. Merton invoked Ito’s lemma to unlock the secrets that Treynor had been seeking to discover. These are obscure secrets indeed for nonmathematicians.
A lemma is a proposition introduced to prove another proposition. Merton describes Ito’s lemma as providing “the differentiation rule for the generalized stochastic calculus.” In plain English, it provided the key for describing how randomly fluctuating security prices change from one short period to the next short period, or, in Merton’s terminology, in “continuous time.”
Modigliani came up with the title for Treynor’s paper, finally completed in 1961: “Toward a Theory of Market Value of Risky Assets.” Treynor liked the wording, because he regarded his work as an approach “toward a theory” rather than a statement of ultimate truth.
伊藤引理用来解决Modigliani建议Treynor论文的第二部分，即描述随即波动的股价如何在一个短暂时间到下一个短暂时间变化。
This option to hold assets in cash, or, to be more precise, in a liquid asset like Treasury bills that provides a return known with certainty in advance, is critically important. With the choice of a riskfree asset always available to them, investors will buy risky assets only if they can expect a return greater than the riskfree return. Treynor refers to this anticipated spread between risky and riskfree returns as the “risk premium.”
风险溢价
In diversified portfolios, the riskiness of any single asset is submerged by the behavior of the portfolio as a whole. This insight leads Sharpe to the same conclusion that Treynor and Markowitz had reached: The only thing investors should worry about is how much any asset contributes to the risk of the portfolio as a whole.
夏普得出结论：对于分散的投资组合而言，单独某项资产的风险被包含在整个投资组合之中。作为投资者只需要关注投资组合的整体风险。
Sharpe uses the term “systematic risk”20 to define this kind of dominating common relationship risk. In his basic equation he identifies systematic risk with the letter “b,” and until at least 1970 most scholars referred to it that way. Later on, Wall Street began to use the Greek letter “beta,” and beta it has been ever since, even in Sharpe’s writings.
贝塔系统性风险
Sharpe’s ideas shook up orthodox methodologies even more profoundly than that. Sharpe pointed out that the market never explains 100 percent—and often no more than 30 percentof a stock’s performance. A stock reflects the unique characteristics of the company that issues it and the industry to which the company belongs as well as the size of the company, the liquidity of the market in which the stock trades, and whether the stock is owned primarily by institutions or by individuals. Sharpe uses the expression “unsystematic risk” to define that part of an asset’s variability that is independent of what happens in the market
Sharpe insisted that unsystematic risk has little or no impact on the value of a stock.
非系统性风险：夏普认为非系统性风险对于股价影响甚微。
Treynor and Fischer Black later coauthored an ingenious guide for security analysts in this new world of systematic and unsystematic risks: “How to Use Security Analysis to Improve Portfolio Selec tion” appeared in the Journal of Business in January 1973, at a moment when an appreciation of the importance of risk was about to separate the men from the boys among professional investors. Richard Brealey and his colleagues at London Business School also used Sharpe’s ideas to develop innovative techniques for making money out of unsystematic risks.
The primary role of the Capital Asset Pricing Model (CAPM) is to predict expected returns, or to place a valuation on risky assets. The expected returns come in three parts. First, a stock should be expected to earn at least as much as the riskfree rate of interest available on Treasury bills or a governmentguaranteed savings account. Second, as stocks are a risky asset, the market as a whole should actually earn a premium over the riskfree rate. Third, an individual stock’s beta—its volatility relative to the portfolio’s volatility—will then determine how much higher or lower the expected returns of that stock will be relative to what investors expect from the market as a whole.
CAMP
Despite its explanatory power, however, CAPM falls short of reality, because it is exquisitely dependent on its underlying assumptions of a frictionless and competitive market.
But it would be a useless tool for investors in the market Keynes described; in Keynes’s world, everyone is a noise trader. The model would also be misleading in markets where obstacles like high taxes or brokerage fees stand in the way of the trading necessary to compose optimal portfolios, and where some investors have a monopoly on information. Sharpe himself, in his Nobel Prize address, reveals the model’s limitations when investors are either unable or unwilling to sell short—to sell securities they do not own in the hope of purchasing them later at a lower price.
CAMP的缺点是“不现实”，它的限制条件是没有考虑摩擦成本以及完全竞争市场。
So it should come as no surprise that empirical tests of the model have revealed many flaws. Other theorists have attempted to overcome some of those flaws and have improved the usefulness of the model. For example, Merton’s intertemporal model overcomes the problem of a single time period, and multifactor models have introduced driving forces in addition to the market alone. More sophisticated and complex methods have helped to stabilize the beta concept, making its predictions more reliable.
莫顿的跨期模型，以及尤金法玛三因素模型是对CAMP的增强
The most interesting extension of CAPM is a concept known as Arbitrage Pricing Theory, which was developed in 1976 by Stephen Ross, a Harvard Ph.D. who was then a young professor at the University of Pennsylvania and is now Sterling Professor of Finance at Yale. Although some tests of its applicability have been inconclusive, Ross and an associate from UCLA, Richard Roll—a protégé of Eugene Fama at Chicago and a distinguished theorist in his own right—are using it with success to manage several billion dollars of clients’ money.
APT differs from CAPM in important ways. CAPM specifies where asset prices will settle, given investor preferences for trading off risk for expected returns, but it is silent about what produces the returns that investors expect. It also identifies only one factor as the dominant influence on stock returns. APT fills those gaps by providing a method to measure how stock prices will respond to changes in the multitude of economic factors that influence them, such as inflation, interest rate patterns, changing perceptions of risk, and economic growth. Through the use of arbitrage, APT also provides investors with strategies for betting on their forecasts of the factors that shape stock returns. Finally, the construction of APT enables it to avoid the rigid and often unrealistic assumptions required by CAPM.
APT同样也是对CAMP模型的增强
回应 20181012 18:46 
Kevin Lee ("Stay Hungry. Stay Foolish.")
Franco Modigliani & Merton Miller， “The Cost of Capital, Corporation Finance, and the Theory of Investment,” 1957 Modigliani and Miller’s central point is simple. They pick up on Durand’s 1952 paper on Entity Theory and declare that “the market value of any firm is independent of its capital structure.” Whether a corporation borrows a lot or borrows a little, its cost of capital wil...20181009 22:01
Franco Modigliani & Merton Miller， “The Cost of Capital, Corporation Finance, and the Theory of Investment,” 1957
Modigliani and Miller’s central point is simple. They pick up on Durand’s 1952 paper on Entity Theory and declare that “the market value of any firm is independent of its capital structure.” Whether a corporation borrows a lot or borrows a little, its cost of capital will remain the same.
That feature is known as arbitrage, or, among economic theorists, as the Law of One Price. Two assets with identical attributes should sell for the same price, and so should an identical asset trading in two different markets. If the prices of such an asset differ, a profitable opportunity will arise to sell the asset where it is overpriced and to buy it back where it is underpriced. The arbitrager will then lock in a sure profit, otherwise known as a free lunch. The familiar aphorism that “There is no such thing as a free lunch” applies only to perfect markets, imperfect markets provide a playground for the “arbs,” as they are known in Wall Street slang.
MM理论：公司的市场价值与其资本结构无关
套利与一价定律（the Law of One Price）
Under perfect markets, a dairy farmer cannot in general earn more for the milk he produces by skimming some of the butter fat and selling it separately, even though butter fat per unit of weight sells for more than whole milk. The advantage from skimming the milk rather than selling whole milk would be purely illusory; for what would be gained from selling the highpriced butter fat would be lost in selling the lowpriced residue of thinned milk.
在完美市场上，无法将牛奶分离为黄油和低脂奶而获得比牛奶更高的收益。
Criticisms of the theory have not been directed to its internal logic, which, given the assumptions, is impregnable. The most frequent complaint is that MM is not “realistic.”
Their simplifications help clarify how, and if, investors make the flat assertions of the theory operational through arbitrage and homemade leverage in a way that keeps the value of the corporation independent of its capital structure. If it turns out that financing policy in the real world does influence the company’s cost of capital, MM theory at least defines the necessary conditions under which that will happen.
对MM理论的批评主要集中在其不现实性，但MM理论至少定义了必须的条件。
Followed to its ultimate conclusion, the theory leads to what is perhaps its most controversial feature: The value of the corporation will be the same whether the corporation pays a big dividend, a small dividend, or no dividend at all.
最具争议性的推论：公司市场价值和股息无关。
Although the original theory assumed a world without taxes, it still provides valuable insight into the role taxes play in determining the cost of capital and in guiding the responses of the capital markets. Taxation encourages borrowing, because the interest paid on borrowed money is a deductible expense. Less paid in taxes means more on the bottom line—and more for stockholders. With more earning power after taxes, debt finance should raise the value of the corporation. Capital structure does matter.
现实环境中由于税盾的存在，鼓励公司借贷。资本结构确实对公司价值有影响。
Despite Miller’s forceful arguments, certain complications and contradictions persist. Interest payments that are deductible for the borrower become taxable to the lender who receives them. Consequently corporate debt issuance to save taxes is less of a blessing than it appears to be. Taxes also influence dividend policy. Under conditions where the tax rate on dividends is higher than the tax rate on capital gains, the less the company pays out and the more it reinvests—or uses to repurchase outstanding shares—the better off the taxable shareholders should be. Once taxes come into the picture, even borrowing money to repurchase shares can have positive consequences for corporate valuation.
税收同时影响股息政策，在对股息的税率高于资本利得的税率的情况下，公司会倾向少发股息，而是再投资或者回购股票。
https://en.wikipedia.org/wiki/Modigliani%E2%80%93Miller_theorem
回应 20181009 22:01 
Kevin Lee ("Stay Hungry. Stay Foolish.")
Before we throw in the sponge and abandon the field to the Samuelson team, we should recognize that their basic assumption is vulnerable. Stocks will be priced at what they are worth only when a sizable number of investors, with big sums at play, know how to value stocks correctly. If that assumption fails to hold, the market is noise, a game of Snap, a casino. Their failure to do so tells us t...20180927 18:06
Before we throw in the sponge and abandon the field to the Samuelson team, we should recognize that their basic assumption is vulnerable. Stocks will be priced at what they are worth only when a sizable number of investors, with big sums at play, know how to value stocks correctly. If that assumption fails to hold, the market is noise, a game of Snap, a casino.
Their failure to do so tells us that most of the time, stocks are priced close to what they are worth. So somebody, somewhere, is doing something right.
有效市场假说的前提：1. 市场有大量的投资者；2.市场有大量的资金；3.投资者知道如何给股票估值；
在大多数时候，市场是有效的。
John Burr Williams, “The Theory of Investment Value”, 1938
Williams’s solution to the riddle of intrinsic value continues to be applied to almost all valuation problems, not just in the stock market but throughout business and economics. It provides the only formal method for determining what a price/earnings ratio or a dividend yield should be. Comparing that ratio or yield with its actual level gives an indication of whether the asset is cheap or expensive. The wide acceptance of Williams’s model probably explains why Markowitz felt no need to elaborate its role in portfolio selection and took its principles for granted.
Estimating cash flows is only the first step in determining value. Williams’s next step is more complicated.
The process of giving future payments a haircut to allow for uncertainty and the passage of time is known as discounting, and investors call this valuation technique the Dividend Discount Model. The model is applicable to any kind of investment that is designed to produce cash flows to its owner in the future.
DDM（Dividend Discount Model）股息折现模型最大的问题在于，第一、对未来现金流是估计的；第二，折现率也是估计的。所有计算都是建立在对未来的预估之上。
David Durand，“Growth Stocks and the Petersburg Paradox,” 1957
Durand uses this story to generalize about how much investors should pay for growth stocks—stocks whose earnings and dividend streams, like Peter’s liability, are expected to rise continuously into the future. He observes that all future cash flows are uncertain and that fardistant cash flows, even big ones, have little present value. He concludes with some sound advice:
[G]rowth stocks . . . seem to represent the ultimate in difficulty of evaluation. The very fact that the Petersburg Problem has not yielded a unique and generally acceptable solution to more than 200 years of attack by some of the world’s greatest intellects suggests, indeed, that the growthstock problem offers no great hope of a satisfactory solution.
未来现金流是不确定的，而且距离现在越远的现金流，即使金额非常大，但是现值却非常小。
Benjamin Graham， Security Analysis， 1934
The Intelligent Investor， 1949
Graham himself prescribed diligent analysis of balance sheets and income statements. Recognizing that “security analysis does not seek to determine exactly what is the intrinsic value of a given security,” he devised a complex set of rules that would permit him to buy only when stock prices were low beyond a doubt, both absolutely and historically, compared to a company’s earnings, working capital, and stockholders’ equity. He considered impeccable balance sheets essential to survival in the event of another depression—a view that has gone in and out of fashion with the passage of time. Even when all Graham’s criteria were satisfied, he would not buy a stock if interest rates were high enough to make highgrade bonds an attractive alternative.
Graham considered risk a secondary consideration, because it was already encapsulated in the divergences between his careful calculations of true value and market prices. As early as 1919 he had remarked, “If a common stock is a good investment, it is also an attractive speculation.”
格雷厄姆的方法是强调基于已有的财务报表的数据来分析。
回应 20180927 18:06

Kevin Lee ("Stay Hungry. Stay Foolish.")
1900 Louis Bachelier 'The Theory of Speculation' Past, present, and even discounted future events are reflected in market price, but often show no apparent relation to price changes. . . . [A]rtificial causes also intervene: the Exchange reacts on itself, and the current fluctuation is a function, not only of the previous fluctuations, but also of the current state. The determination of the...20180922 21:42
1900 Louis Bachelier 'The Theory of Speculation'
Past, present, and even discounted future events are reflected in market price, but often show no apparent relation to price changes. . . . [A]rtificial causes also intervene: the Exchange reacts on itself, and the current fluctuation is a function, not only of the previous fluctuations, but also of the current state. The determination of these fluctuations depends on an infinite number of factors; it is, therefore, impossible to aspire to mathematical predictions of it. . . . [T]he dynamics of the Exchange will never be an exact science.
这是一种自我强化的过程（selfreinforcing momentum ）
The key to Bachelier’s insight is his observation, expressed in a notably modern manner, that “contradictory opinions concerning [market] changes diverge so much that at the same instant buyers believe in a price increase and sellers believe in a price decrease.” Convinced that there is no basis for believing that—on the average—either sellers or buyers consistently know any more about the future than the other, he arrived at an astonishing conjecture: “It seems that the market, the aggregate of speculators, at a given instant can believe in neither a market rise nor a market fall, since, for each quoted price, there are as many buyers as sellers.”
Now comes the real punch, in Bachelier’s words and with his own emphasis: “The mathematical expectation of the speculator is zero.” 法预测的
In a disarmingly simple but perceptive statement about the nature of security markets, he sums up his case: The probability of a rise in price at any moment is the same as the probability of a fall in price, because “Clearly the price considered most likely by the market is the true current price: if the market judged otherwise, it would quote not this price, but another price higher or lower.”
This conclusion led Bachelier to another important insight. The size of a market fluctuation tends to grow larger as the time horizon stretches out. In the course of a minute, fluctuations will be small—less than a point in most instances. During a full day’s trading, moves of a full point are not unusual. As the time horizon moves from a day to a week to a month to a year and then to a series of years, the range within which prices swing back and forth will grow ever wider.
Bachelier认为股票的价格是无法预测的，在任何时候，股价上涨和下跌的概率都相等，当市场不再认同原有价格时，价格会发生变化，但没有人知道市场何时会变，朝上面方向变化。
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The Dow Theory, developed by Charles Dow, cofounder of Dow, Jones & Co. in 1882 and the first editor of the company’s flagship publication. The Wall Street Journal, launched in 1889.
Underlying the socalled Dow Theory is the assumption that trends in stock prices, once under way, will tend to persist until the market itself sends out a signal that these trends are about to lose their momentum and go into reverse.
道氏理论的核心假设是趋势。
Dow theorists boast that they can identify the very moment when what appears to be only a slight fluctuation is actually the first sign of the reversal of a major trend. They do not always agree among themselves, however. Disputes often arise over whether a slight fluctuation away from a trend is just a temporary setback—a “correction,” in market patois—or the onset of a new trend. Sometimes the signal appears so late that the main trend has almost exhausted itself, and stock prices are about ready to turn around and start a new trend headed in the other direction.
然而，道氏理论用来判断趋势反转的信号并不时时可靠。
Hamilton repeatedly stressed a central idea of Dow Theory that prices on the New York Stock Exchange are “sufficient in themselves” to reveal everything worth knowing about business conditions. Here Hamilton was anticipating a radical concept that was to appear long after his death. In the 1960s, a group of college professors would develop the Efficient Market Hypothesis, based on the notion that stock prices reflect all available information about individual companies and about the economy as a whole. The Efficient Market Hypothesis, however, also looks back to Bachelier, for it assumes that information is so rapidly reflected in stock prices that no single investor can consistently know more than the market as a whole knows. Hamilton, on the contrary, believed that the market itself revealed what stock prices would do in the future.
William Peter Hamilton反复强调道氏理论中价格已经包含了一切信息，即“股市是经济晴雨表”的概念，这一点与有效市场假说EMH类似。
回应 20180922 21:42 
Kevin Lee ("Stay Hungry. Stay Foolish.")
Harry Markowitz, Modern portfolio theory, 1952 Despite its formidable appearance, the true meaning of Markowitz’s article is also homey. It boils down to nothing more than a formal confirmation of two old rules for investing: Nothing ventured, nothing gained. Don’t put all your eggs in one basket. 1. 风险和收益匹配原则：通常高风险高收益，低风险低收益。 2. 不要把所有鸡蛋放到一个篮子里 。 Will...20180924 13:35
Harry Markowitz, Modern portfolio theory, 1952
Despite its formidable appearance, the true meaning of Markowitz’s article is also homey. It boils down to nothing more than a formal confirmation of two old rules for investing: Nothing ventured, nothing gained. Don’t put all your eggs in one basket.
1. 风险和收益匹配原则：通常高风险高收益，低风险低收益。
2. 不要把所有鸡蛋放到一个篮子里 。
Williams’s model for valuing a security calls for the investor to make a longrun projection of a company’s future dividend payments and then to test that projection against his own confidence in its accuracy. Forecasting future dividends for a public utility, for example, is easier than forecasting dividends for General Motors, and forecasting the longrun outlook for General Motors is easier than forecasting the outlook for a startup company in a highly competitive business. Williams then shows how to combine the longrun projection of dividends with the expected degree of accuracy of that forecast to estimate the intrinsic value of the stock. Williams called his model the Dividend Discount Model.
股息贴现模型(DDM), Markowitz意识到Williams的模型在现实中存在悖论：如果作为理性人，应该投资于通过DDM模型得到最高期望收益的股票。如果Apple的DDM期望收益最高，就不应该购买GE的股票？如果股票的DDM期望收益最高，就不应该购买债券和房地产。而现实中，人们同时持有Apple和GE、或者同时持有股票、债券和房地产的原因只有一个：不要将所有鸡蛋放在一个篮子里。
“If projects were riskless, there would be no problem. . . . Risk means that more things can happen than will happen.” —— Elroy Dimson
Diversification depends more on the way individual assets perform relative to one another than it does on how many assets the investor owns. In Markowitz’s terminology, “It is necessary to avoid investing in securities with high covariances among themselves.”
多元化投资的本质不在于投资品种的数量，而是投资品种之间的协方差。
As a result, the portfolio that conforms to Markowitz’s rule and that he “commends” to the investor is an efficient portfolio. It is a portfolio that offers the highest expected return for any given degree of risk, or that has the lowest degree of risk for any given expected return.
MeanVariance Analysis
Moreover, computers at the time were both slow and expensive. One of Markowitz’s students, William Sharpe, who was to share the Nobel Prize with Markowitz in 1990, reported in 1961 that the best commercially available IBM computer required 33 minutes to solve a 100security problem. The cost of that modest experiment in terms of today’s purchasing power would be over $300. Sharpe subsequently developed a method that greatly simplified the elaborate procedure.
MVA主要的问题在于，其需要输入的两个参数：某资产的期望收益、资产之间的协方差在当时都需要计算机进行大量计算（考虑到当时计算机的计算能力和价格）。其实，更重要的问题是，后来人们发现对MVA中输入参数非常微小的调整会导致计算结果非常大的改变。
Market prices, investor expectations, and the riskiness of assets do not stand still. They are dynamic, not static. Moreover, they constantly interact as new information arrives in the marketplace. The consequence is that the necessary conditions for an accurate calculation of risk may not prevail.
市场价格，投资者预期以及资产的风险显然不是静止的，而是每时每刻动态的。更加重要的是，市场是个互为依赖的系统，数学中c=a+b,只要给定a, b的值就能得到确定的c值，但是在互为反馈的系统中，c值的计算依赖a,b，而同时a,b的值又依赖c值，那么就无法得到一个确定的c值。
回应 20180924 13:35 
Kevin Lee ("Stay Hungry. Stay Foolish.")
James Tobin , “Liquidity Preference as Behavior Toward Risk,” 1958 Keynes uses the expression “Liquidity Preference” to describe the idea that investors will not part with their cash unless they perceive the reward for doing so as adequate. Interest, in other words, is not only a reward for saving; it is a reward for taking the risk of owning assets that fluctuate in value and are costly t...20180924 15:49
James Tobin , “Liquidity Preference as Behavior Toward Risk,” 1958
Keynes uses the expression “Liquidity Preference” to describe the idea that investors will not part with their cash unless they perceive the reward for doing so as adequate. Interest, in other words, is not only a reward for saving; it is a reward for taking the risk of owning assets that fluctuate in value and are costly to buy and sell.
Money, the basic liquid asset, cannot fluctuate in price, because it itself defines price. Moreover the cost of using money to pay for things is minimal, most often zero. If other assets shared these unique attributes, stocks and bonds and even real estate could circulate as money. Other assets do not share these attributes, however. Their future prices are uncertain, and buying and selling them is costly. All other things being equal, therefore, people prefer liquidity. Anticipating Markowitz’s ideas, Keynes argued that investors will move from money to assets that are risky and less liquid only if they expect to earn a reward for doing so.
凯恩斯“流动性偏好”——利息不仅仅是储蓄的报酬，也是承担风险的报酬。当其他条件相同时，人们更加偏好流动性好的资产。
Tobin points out that Keynes built two bizarre features into his theory of Liquidity Preference. For one thing, Keynes assumed that investors’ expectations of interest rates in the future are extremely slow to change: “. . . the rate of interest is a highly conventional, rather than a highly psychological phenomenon. . . . Any level of interest which is accepted with sufficient conviction as likely to be durable will be durable. . . . [I]t may fluctuate for decades about a level which is chronically too high for full employment.”
Keynes’s second unrealistic assumption was that each investor would choose between cash and risky assets in an eitheror manner, holding only one asset at a time. Investors who expected interest rates to rise would want to hold all their capital in cash; investors who expected rates to fall would want to hold only bonds—risky because they fluctuate in price. He did not contemplate portfolios that would consist of some combination of the two.
托宾指出凯恩斯有两个错误：一、凯恩斯假定投资者预期利率在未来的变化非常缓慢。（因为凯恩斯活着的时代，利率变化是非常缓慢的。凯恩斯自身的经验局限性）；二，凯恩斯假定投资者只会持有无风险资产和风险资产中的一种。
托宾的贡献就是证明凯恩斯系统在以上两个假设不成立的情况下，凯恩斯系统将如何运作。
The convenient fact that has just been proved is that the proportionate composition of the noncash [i.e., risky] assets is independent of their aggregate share of the investment balance.
This concept has come to be known as the Separation Theorem, because it argues that the Markowitzian process of selecting securities for the most efficient risky portfolio is completely separate from the decision of how to divide up the total portfolio between risky and riskfree assets. Two levels of decisions are required.
The investor’s first and most important decision is how much overall exposure to risk is appropriate—how much to hold in risky securities like stocks and how much to hold in more stable assets like bonds and cash.
Having determined the appropriate exposure to risk, the investor’s next task is to select the securities that will comprise the risky part of the portfolio. This selection will be made from among the whole universe of risky assets that are available for investment.
托宾的分离定理，他认为如果市场存在一个无风险收益资产，那么Markowitz有效集中就存在一个与之相对应的超级有效风险资产组合，该组合对于所有投资者而言都是一样的，投资者风险偏好只决定风险资产和无风险资产之间头寸的分配, 而不是针对每个人的风险偏好而配置不同的风险资产（这也就是本章名字The Interior Decorator Fallacy的由来）。
回应 20180924 15:49 
Kevin Lee ("Stay Hungry. Stay Foolish.")
William Sharpe， “A Simplified Model for Portfolio Analysis.” ，1961 The procedure Sharpe recommends eliminates the tedious chore of calculating the covariances between each pair of securities. The analyst need only calculate the relationship of each of the securities to the dominant factor. If the price of a security is more volatile than the movements of the dominant factor, that security w...20180924 21:43
William Sharpe， “A Simplified Model for Portfolio Analysis.” ，1961
The procedure Sharpe recommends eliminates the tedious chore of calculating the covariances between each pair of securities. The analyst need only calculate the relationship of each of the securities to the dominant factor. If the price of a security is more volatile than the movements of the dominant factor, that security will make the portfolio more variable, and therefore more risky, than it would have been otherwise; if the price of the security is less volatile, it will make the portfolio less risky. In welldiversified portfolios, the simple average of these relationships will then serve as an estimate of the volatility of the portfolio as a whole.
What is the “basic underlying factor” to which Sharpe refers? There is no doubt that individual stocks respond most directly to the stock market as a whole. About onethird of the variability of the average stock is simply a reflection of moves in the “index”—or “the most important single influence.” The rest of its variability is split about evenly between the influence of other stocks to which it has a family resemblance, such as the auto stock group or the public utility group, and the unique characteristics of the stock itself. Even those influences disappear when as few as a dozen individual stocks are combined into a portfolio. Then the power of diversification obliterates the individual attributes of the stocks, and more than 90 percent of the portfolio’s variability is explained by the index.
夏普的简化模型是不计算不同资产之间的协方差，而只是计算每项资产相对于“主导因素”的协方差，以此减少计算量。这样的简化比Markowitz的方法更加接近现实。
The big attraction of the singleindex model was the computing time it saved. Sharpe disclosed in his article that the time needed to solve a 100security example on a stateoftheart mainframe IBM computer was reduced from 33 minutes with the full Markowitz program to 30 seconds with the simplified model.
Moreover the old model used so much of the computer’s memory that it could handle a maximum of 249 securities; the new model could handle up to 2,000. Sharpe pointed out to me that today’s IBM personal computer, equipped with an 80386 chip and mathcoprocessor, would take less than a minute to perform the full Markowitz run that took 33 minutes. The 30second run with Sharpe’s simplified model would take only an instant.
在计算机上，夏普的简化模型计算更快、更节省内存。
Sharpe’s major breakthrough came in 1964, with what is known as the Capital Asset Pricing Model, which the cognoscenti call CAPM, pronounced “CAPEM.” CAPM starts out from the basic idea of the singleindex model that returns are related “only through common relationships with some basic underlying factor.”
The model concludes with the startling but inescapable conclusion that Tobin’s superefficient portfolio is the stock market itself. No other portfolio with equal risk can offer a higher expected return; no other portfolio with equal expected return will be less risky. This controversial view was what had prompted Sharpe’s disturbing interrogation of me at that lunch meeting in New York. If the market itself is the superefficient portfolio, no one can beat it without taking on an unwarranted amount of risk.
资本资产定价模型 CAMP， 如果股市本身就是一个超级有效资产组合，那么就没有人能够在不承受比它更多的风险的情况下击败市场。
回应 20180924 21:43

Kevin Lee ("Stay Hungry. Stay Foolish.")
Fischer Black & Myron Scholes & Robert Merton , theory of option pricing They found to their surprise that neither risk nor expected return, the two integral elements of CAPM, belonged in the equation after all. Risk and expected return disappeared from the equation because they canceled each other out. Consider two stocks, one much riskier than the other, but each selling for $20 a sh...20181018 19:46
Fischer Black & Myron Scholes & Robert Merton , theory of option pricing
They found to their surprise that neither risk nor expected return, the two integral elements of CAPM, belonged in the equation after all. Risk and expected return disappeared from the equation because they canceled each other out. Consider two stocks, one much riskier than the other, but each selling for $20 a share. To simplify matters, assume that neither pays a dividend. The market believes that the less risky stock will be selling for $32 five years from now, or within a range of, say, $30 to $34, for an average expected return of 10 percent a year. The market believes that the riskier stock will be selling for $40, within a much wider range of $32 to $48, for an average expected return of 15 percent a year.
But the two stocks are selling at the same price of $20 today because investors have taken into consideration the differences in risk, even though the expected future prices of the stocks differ widely. The higher risk cancels out the higher expected return and leads to the same price today for the risky stock as for the less risky stock.
With differences in risk canceling out differences in expected gain for all securities, Black and Scholes concluded that the expected gain on a stock, option, or warrant is irrelevant in calculating what the current price of an option or warrant should be. This insight allowed them to solve the option equation and derive their formula for setting a value on the option. But they arrived at this original derivation by building their structure on the foundations of the Capital Asset Pricing Model.
在研究期权定价的时候，Black和Scholes发现，CAMP公式中的预期回报率和风险互相抵消。
（ Merton）He pointed out that investors will seek out combinations of stocks and options in which the good news will outweigh the bad. If the prices of the stock and the put option are out of line with each other, the stock might rise in price by more than the value of the put falls. The news, in other words, would be net good, with more gained from the rising stock price than lost from the shrinking value of the put. Such strokes of luck are to be taken advantage of.
Modigliani and Miller had emphasized that active capital markets are crowded with investors looking for free lunches. As arbitragers rush to take advantage of such opportunities by buying the stock and selling the put, the stock will become more expensive while the put gets cheaper. The free lunch will disappear, and the symmetry between the two assets will return as they move back into proper alignment.
If the gain on one side of the combination is precisely offset by a loss on the other, the investor will be holding a riskless position that is the equivalent of holding a Treasury bill or some other liquid asset with a certain return known in advance. If the combination of stock and option offered more than this riskfree rate, investors would compete for the opportunity to own it and would bid the opportunity away. If it offered less, investors would shun it and its value would fall to a point where it once again offered the riskless rate of return.
如果组合中一方的收益正好被另一方的损失抵消，这就相当于持有短期国债或其他流动性资产的无风险仓位。如果股票和期权的组合提供的收益高于此无风险收益，投资者就会通过套利将收益等于无风险收益；反之亦然。
Only one small step remained. The optionpricing formula had to calculate the price of the option that would give the stockoption combination that riskfree result. In an efficient market, there is no other price that the option could command.
输入参数一：期权的执行价格
In our unsophisticated fashion, my firm had had the correct intuition. The prevailing rate of interest on riskfree assets like shortterm Treasury bills is an essential input to the optionpricing formula. As we had also recognized, the inputs must include the price of the underlying stock, the price at which the option is selling, and the time remaining until the option expires.
输入参数二：无风险利率（短期国债利率）
输入参数三：目前股票价格
输入参数四：距离期权到期的时间
But there was one more item to be plugged into the formula. No investor will buy or sell an option on a stock without some expectation about what the future action of the stock will be. Will the stock be volatile, like Apple Computer, or sleepy, like Consolidated Edison? In valuing options, volatility matters a lot. The optionholder has a claim on which he can lose relatively little: Thales made only small deposits on the olive presses. But the optionholder can gain a great deal: Thales made a killing when the olive crop turned out to be unexpectedly large. This means that options are more interesting to their owners in cases where something big is likely to happen than when nothing is likely to happen. If conditions promise to be stable, why spend money for an opportunity that will be profitable only when conditions change?
More is involved here than just beta—that is, a stock’s volatility relative to the market as a whole. Expectations about whether the stock is going to move at all dominate expectations about whether the stock is going to move up or move down. To owners of call options, who have the right to buy at a specified price, big downward movements in the stock price do not matter, because the risk of loss is limited to the premium paid; big upward movements are what matter. So long as the other four inputs are the same, an option on Apple is going to be a lot more interesting than an option on Con Ed.
The sellers of options have the opposite requirement. They like stocks that stand still. They simply pocket the premiums they collect on the sale without having to take any further action. They are like a company that sells insurance: they collect the insurance premiums while hoping that nothing will happen to the policyowner—no houses burning down, no premature deaths, no burglaries, no catastrophic illness.
输入参数五：波动率（ 在计算期权的理论价格时,通常采用标的资产的历史波动率:波动率越大,期权的理论价格越高;反之波动率越小,期权的理论价格越低。）
对于期权的卖方来说，波动率越小越有利。就如保险公司一样，收了保费以后最好什么事情也不要发生。
Are the stockholders the true owners of a company? Not really. The creditors—the people who have lent the company money—have the first claim on the company’s assets. The stockholders are entitled only to what is left after the creditors have taken what they are entitled to. The stockholders are the true owners of the company only when they do not owe a single cent to anyone other than themselves.
Although the stockholders do not own the company, they have a call option on its assets. They can exercise that option by paying off the company’s debts. The exercise price of the option is the principal amount borrowed. And its expiration date is the due date on which the debts are payable.
When the company’s debts come due, the stockholders have the right to let their call option on the assets lapse, leaving the bondholders in possession of the company’s assets—or holding the bag, as Wall Street puts it. This is exactly what happens when the owners refuse to pay their debts and let a company go into bankruptcy. Most of the time, the stockholders exercise the option and redeem their debts—until they borrow fresh money and activate a brandnew option.
The price the stockholders pay for the option of walking away from their obligations is reflected in the interest rate on the company’s debts. The cost of that option is determined just like any other. The interest rate will be low when the company’s assets are large relative to its liabilities—if, in technical terms, the option is deep inthemoney. The interest rate will be low when the debts come due sooner rather than later, and if the company’s business is stable and predictable rather than volatile. The interest rate will be high when the company is deeply in debt, when the maturity of the debts is far off, and when its business is exceptionally volatile. American Telephone and Telegraph pays a lower rate of interest on its bonds than Chrysler or Citicorp.
This use of options to value corporate liabilities has come to be known as Contingent Claims Analysis. Merton, who was one of the pioneers in the development of this concept, has commented that the nomenclature “sounds like an insurance adjuster,”26 but it has become the richest vein in the gold mine of options theory.
或有债权分析（Contingent Claims Analysis）
Even before their optionpricing paper saw the light of day, Black and Scholes had shared another exciting experience. With Michael Jensen, they had conducted an important test of the Capital Asset Pricing Model and had discovered that stocks with low betas, or low volatility, tended to earn higher returns than the model predicted, while stocks with high betas did worse than expected. Their results were published in 1972.
Black和Scholes的另一个发现（1972年），低波动股票的收益比高波动股票收益高。
Black–Scholes model
https://en.wikipedia.org/wiki/Black%E2%80%93Scholes_model
回应 20181018 19:46 
Kevin Lee ("Stay Hungry. Stay Foolish.")
Jack Treynor, Modigliani suggested that Treynor break his paper into two parts. The first part would deal with how investors made their selections within a single time period—a minute, a day, or a year. The second part would explore what happens over several time periods—a sequence of minutes, days, or years. When Treynor set to work, he ran into a problem: The mathematics required for t...20181012 18:46
Jack Treynor,
Modigliani suggested that Treynor break his paper into two parts. The first part would deal with how investors made their selections within a single time period—a minute, a day, or a year. The second part would explore what happens over several time periods—a sequence of minutes, days, or years. When Treynor set to work, he ran into a problem: The mathematics required for the second part was so intricate that, with only a BS degree in math, he had to give up on it. Modigliani was also uneasy about it and advised him that the problem was “basically impossible” to solve.
The math required to expand the analysis of investor responses to risk from one time period to a sequence of periods turned out to be something known as Ito’s lemma. It had been developed by Kiyoshi Ito, a Japanese mathematician, who first described it in 1951 in a publication of the American Mathematical Society.
Robert C. Merton, a mathematician and economist at MIT, would shortly introduce Ito’s lemma into the theory of portfolio management. Merton invoked Ito’s lemma to unlock the secrets that Treynor had been seeking to discover. These are obscure secrets indeed for nonmathematicians.
A lemma is a proposition introduced to prove another proposition. Merton describes Ito’s lemma as providing “the differentiation rule for the generalized stochastic calculus.” In plain English, it provided the key for describing how randomly fluctuating security prices change from one short period to the next short period, or, in Merton’s terminology, in “continuous time.”
Modigliani came up with the title for Treynor’s paper, finally completed in 1961: “Toward a Theory of Market Value of Risky Assets.” Treynor liked the wording, because he regarded his work as an approach “toward a theory” rather than a statement of ultimate truth.
伊藤引理用来解决Modigliani建议Treynor论文的第二部分，即描述随即波动的股价如何在一个短暂时间到下一个短暂时间变化。
This option to hold assets in cash, or, to be more precise, in a liquid asset like Treasury bills that provides a return known with certainty in advance, is critically important. With the choice of a riskfree asset always available to them, investors will buy risky assets only if they can expect a return greater than the riskfree return. Treynor refers to this anticipated spread between risky and riskfree returns as the “risk premium.”
风险溢价
In diversified portfolios, the riskiness of any single asset is submerged by the behavior of the portfolio as a whole. This insight leads Sharpe to the same conclusion that Treynor and Markowitz had reached: The only thing investors should worry about is how much any asset contributes to the risk of the portfolio as a whole.
夏普得出结论：对于分散的投资组合而言，单独某项资产的风险被包含在整个投资组合之中。作为投资者只需要关注投资组合的整体风险。
Sharpe uses the term “systematic risk”20 to define this kind of dominating common relationship risk. In his basic equation he identifies systematic risk with the letter “b,” and until at least 1970 most scholars referred to it that way. Later on, Wall Street began to use the Greek letter “beta,” and beta it has been ever since, even in Sharpe’s writings.
贝塔系统性风险
Sharpe’s ideas shook up orthodox methodologies even more profoundly than that. Sharpe pointed out that the market never explains 100 percent—and often no more than 30 percentof a stock’s performance. A stock reflects the unique characteristics of the company that issues it and the industry to which the company belongs as well as the size of the company, the liquidity of the market in which the stock trades, and whether the stock is owned primarily by institutions or by individuals. Sharpe uses the expression “unsystematic risk” to define that part of an asset’s variability that is independent of what happens in the market
Sharpe insisted that unsystematic risk has little or no impact on the value of a stock.
非系统性风险：夏普认为非系统性风险对于股价影响甚微。
Treynor and Fischer Black later coauthored an ingenious guide for security analysts in this new world of systematic and unsystematic risks: “How to Use Security Analysis to Improve Portfolio Selec tion” appeared in the Journal of Business in January 1973, at a moment when an appreciation of the importance of risk was about to separate the men from the boys among professional investors. Richard Brealey and his colleagues at London Business School also used Sharpe’s ideas to develop innovative techniques for making money out of unsystematic risks.
The primary role of the Capital Asset Pricing Model (CAPM) is to predict expected returns, or to place a valuation on risky assets. The expected returns come in three parts. First, a stock should be expected to earn at least as much as the riskfree rate of interest available on Treasury bills or a governmentguaranteed savings account. Second, as stocks are a risky asset, the market as a whole should actually earn a premium over the riskfree rate. Third, an individual stock’s beta—its volatility relative to the portfolio’s volatility—will then determine how much higher or lower the expected returns of that stock will be relative to what investors expect from the market as a whole.
CAMP
Despite its explanatory power, however, CAPM falls short of reality, because it is exquisitely dependent on its underlying assumptions of a frictionless and competitive market.
But it would be a useless tool for investors in the market Keynes described; in Keynes’s world, everyone is a noise trader. The model would also be misleading in markets where obstacles like high taxes or brokerage fees stand in the way of the trading necessary to compose optimal portfolios, and where some investors have a monopoly on information. Sharpe himself, in his Nobel Prize address, reveals the model’s limitations when investors are either unable or unwilling to sell short—to sell securities they do not own in the hope of purchasing them later at a lower price.
CAMP的缺点是“不现实”，它的限制条件是没有考虑摩擦成本以及完全竞争市场。
So it should come as no surprise that empirical tests of the model have revealed many flaws. Other theorists have attempted to overcome some of those flaws and have improved the usefulness of the model. For example, Merton’s intertemporal model overcomes the problem of a single time period, and multifactor models have introduced driving forces in addition to the market alone. More sophisticated and complex methods have helped to stabilize the beta concept, making its predictions more reliable.
莫顿的跨期模型，以及尤金法玛三因素模型是对CAMP的增强
The most interesting extension of CAPM is a concept known as Arbitrage Pricing Theory, which was developed in 1976 by Stephen Ross, a Harvard Ph.D. who was then a young professor at the University of Pennsylvania and is now Sterling Professor of Finance at Yale. Although some tests of its applicability have been inconclusive, Ross and an associate from UCLA, Richard Roll—a protégé of Eugene Fama at Chicago and a distinguished theorist in his own right—are using it with success to manage several billion dollars of clients’ money.
APT differs from CAPM in important ways. CAPM specifies where asset prices will settle, given investor preferences for trading off risk for expected returns, but it is silent about what produces the returns that investors expect. It also identifies only one factor as the dominant influence on stock returns. APT fills those gaps by providing a method to measure how stock prices will respond to changes in the multitude of economic factors that influence them, such as inflation, interest rate patterns, changing perceptions of risk, and economic growth. Through the use of arbitrage, APT also provides investors with strategies for betting on their forecasts of the factors that shape stock returns. Finally, the construction of APT enables it to avoid the rigid and often unrealistic assumptions required by CAPM.
APT同样也是对CAMP模型的增强
回应 20181012 18:46 
Kevin Lee ("Stay Hungry. Stay Foolish.")
Franco Modigliani & Merton Miller， “The Cost of Capital, Corporation Finance, and the Theory of Investment,” 1957 Modigliani and Miller’s central point is simple. They pick up on Durand’s 1952 paper on Entity Theory and declare that “the market value of any firm is independent of its capital structure.” Whether a corporation borrows a lot or borrows a little, its cost of capital wil...20181009 22:01
Franco Modigliani & Merton Miller， “The Cost of Capital, Corporation Finance, and the Theory of Investment,” 1957
Modigliani and Miller’s central point is simple. They pick up on Durand’s 1952 paper on Entity Theory and declare that “the market value of any firm is independent of its capital structure.” Whether a corporation borrows a lot or borrows a little, its cost of capital will remain the same.
That feature is known as arbitrage, or, among economic theorists, as the Law of One Price. Two assets with identical attributes should sell for the same price, and so should an identical asset trading in two different markets. If the prices of such an asset differ, a profitable opportunity will arise to sell the asset where it is overpriced and to buy it back where it is underpriced. The arbitrager will then lock in a sure profit, otherwise known as a free lunch. The familiar aphorism that “There is no such thing as a free lunch” applies only to perfect markets, imperfect markets provide a playground for the “arbs,” as they are known in Wall Street slang.
MM理论：公司的市场价值与其资本结构无关
套利与一价定律（the Law of One Price）
Under perfect markets, a dairy farmer cannot in general earn more for the milk he produces by skimming some of the butter fat and selling it separately, even though butter fat per unit of weight sells for more than whole milk. The advantage from skimming the milk rather than selling whole milk would be purely illusory; for what would be gained from selling the highpriced butter fat would be lost in selling the lowpriced residue of thinned milk.
在完美市场上，无法将牛奶分离为黄油和低脂奶而获得比牛奶更高的收益。
Criticisms of the theory have not been directed to its internal logic, which, given the assumptions, is impregnable. The most frequent complaint is that MM is not “realistic.”
Their simplifications help clarify how, and if, investors make the flat assertions of the theory operational through arbitrage and homemade leverage in a way that keeps the value of the corporation independent of its capital structure. If it turns out that financing policy in the real world does influence the company’s cost of capital, MM theory at least defines the necessary conditions under which that will happen.
对MM理论的批评主要集中在其不现实性，但MM理论至少定义了必须的条件。
Followed to its ultimate conclusion, the theory leads to what is perhaps its most controversial feature: The value of the corporation will be the same whether the corporation pays a big dividend, a small dividend, or no dividend at all.
最具争议性的推论：公司市场价值和股息无关。
Although the original theory assumed a world without taxes, it still provides valuable insight into the role taxes play in determining the cost of capital and in guiding the responses of the capital markets. Taxation encourages borrowing, because the interest paid on borrowed money is a deductible expense. Less paid in taxes means more on the bottom line—and more for stockholders. With more earning power after taxes, debt finance should raise the value of the corporation. Capital structure does matter.
现实环境中由于税盾的存在，鼓励公司借贷。资本结构确实对公司价值有影响。
Despite Miller’s forceful arguments, certain complications and contradictions persist. Interest payments that are deductible for the borrower become taxable to the lender who receives them. Consequently corporate debt issuance to save taxes is less of a blessing than it appears to be. Taxes also influence dividend policy. Under conditions where the tax rate on dividends is higher than the tax rate on capital gains, the less the company pays out and the more it reinvests—or uses to repurchase outstanding shares—the better off the taxable shareholders should be. Once taxes come into the picture, even borrowing money to repurchase shares can have positive consequences for corporate valuation.
税收同时影响股息政策，在对股息的税率高于资本利得的税率的情况下，公司会倾向少发股息，而是再投资或者回购股票。
https://en.wikipedia.org/wiki/Modigliani%E2%80%93Miller_theorem
回应 20181009 22:01 
Kevin Lee ("Stay Hungry. Stay Foolish.")
Before we throw in the sponge and abandon the field to the Samuelson team, we should recognize that their basic assumption is vulnerable. Stocks will be priced at what they are worth only when a sizable number of investors, with big sums at play, know how to value stocks correctly. If that assumption fails to hold, the market is noise, a game of Snap, a casino. Their failure to do so tells us t...20180927 18:06
Before we throw in the sponge and abandon the field to the Samuelson team, we should recognize that their basic assumption is vulnerable. Stocks will be priced at what they are worth only when a sizable number of investors, with big sums at play, know how to value stocks correctly. If that assumption fails to hold, the market is noise, a game of Snap, a casino.
Their failure to do so tells us that most of the time, stocks are priced close to what they are worth. So somebody, somewhere, is doing something right.
有效市场假说的前提：1. 市场有大量的投资者；2.市场有大量的资金；3.投资者知道如何给股票估值；
在大多数时候，市场是有效的。
John Burr Williams, “The Theory of Investment Value”, 1938
Williams’s solution to the riddle of intrinsic value continues to be applied to almost all valuation problems, not just in the stock market but throughout business and economics. It provides the only formal method for determining what a price/earnings ratio or a dividend yield should be. Comparing that ratio or yield with its actual level gives an indication of whether the asset is cheap or expensive. The wide acceptance of Williams’s model probably explains why Markowitz felt no need to elaborate its role in portfolio selection and took its principles for granted.
Estimating cash flows is only the first step in determining value. Williams’s next step is more complicated.
The process of giving future payments a haircut to allow for uncertainty and the passage of time is known as discounting, and investors call this valuation technique the Dividend Discount Model. The model is applicable to any kind of investment that is designed to produce cash flows to its owner in the future.
DDM（Dividend Discount Model）股息折现模型最大的问题在于，第一、对未来现金流是估计的；第二，折现率也是估计的。所有计算都是建立在对未来的预估之上。
David Durand，“Growth Stocks and the Petersburg Paradox,” 1957
Durand uses this story to generalize about how much investors should pay for growth stocks—stocks whose earnings and dividend streams, like Peter’s liability, are expected to rise continuously into the future. He observes that all future cash flows are uncertain and that fardistant cash flows, even big ones, have little present value. He concludes with some sound advice:
[G]rowth stocks . . . seem to represent the ultimate in difficulty of evaluation. The very fact that the Petersburg Problem has not yielded a unique and generally acceptable solution to more than 200 years of attack by some of the world’s greatest intellects suggests, indeed, that the growthstock problem offers no great hope of a satisfactory solution.
未来现金流是不确定的，而且距离现在越远的现金流，即使金额非常大，但是现值却非常小。
Benjamin Graham， Security Analysis， 1934
The Intelligent Investor， 1949
Graham himself prescribed diligent analysis of balance sheets and income statements. Recognizing that “security analysis does not seek to determine exactly what is the intrinsic value of a given security,” he devised a complex set of rules that would permit him to buy only when stock prices were low beyond a doubt, both absolutely and historically, compared to a company’s earnings, working capital, and stockholders’ equity. He considered impeccable balance sheets essential to survival in the event of another depression—a view that has gone in and out of fashion with the passage of time. Even when all Graham’s criteria were satisfied, he would not buy a stock if interest rates were high enough to make highgrade bonds an attractive alternative.
Graham considered risk a secondary consideration, because it was already encapsulated in the divergences between his careful calculations of true value and market prices. As early as 1919 he had remarked, “If a common stock is a good investment, it is also an attractive speculation.”
格雷厄姆的方法是强调基于已有的财务报表的数据来分析。
回应 20180927 18:06
这本书的其他版本 · · · · · · ( 全部4 )
 上海远东出版社版 20018 / 99人读过
 The Free Press版 19951231 / 3人读过
 Free Press版 19911216 / 1人读过
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0 有用 深海潜行 20111119
很不错的一本书，文字好，内容充实
0 有用 Terry Chen 20130313
这本书曾经是我读过的第一本原版专业相关书籍，可谓是金融理论发展的编年史，金融学的重要理论（MPT、EMH、CAPM、BS等等）都悉数予以介绍，对金融理论有兴趣的可以一读，不过事先警告一下，没有专业背景的读起来可能会比较辛苦，可以尝试一下翻译版。
0 有用 庄常飞 20110123
很不错的金融思想史，Bernstein文笔流畅、深入浅出的特色发挥的淋漓尽致，尤其是和Justin Fox等小辈相比时更显功利，不愧是大师。
0 有用 wildcat 20080901
嗯 很好的金融业回顾
0 有用 シ__水_色_。ゾ 20091106
金融学术历史的细节……
0 有用 coland 20180403
金融理论演进史，对理论发展的脉络有所了解的同时，惊异于以前该领域的发展不足，也看到技术革新给这个领域带来的视角大幅转变，未来的金融交易，背后的交易员真有可能就没几个是人类了。
0 有用 进行式ing 20170805
一些重要金融理论背后的故事...
1 有用 Kevin Lee 20181019
这是一部金融思想史。从1952年哈里马科维茨(的现代投资组合理论（MPT）为开端，1964年夏普的资本资产定价模型（CAPM），1958年MM理论为公司金融开山立派并为金融市场引入“均衡”的概念。1965年尤金法玛提出有效市场假说（EMH），1970年Black Scholes公式为衍生品发展乃至后来的金融工程打下了根基……本书更重要的是作者采访了当时大多数金融学派的开山鼻祖，留下了宝贵的历史资料... 这是一部金融思想史。从1952年哈里马科维茨(的现代投资组合理论（MPT）为开端，1964年夏普的资本资产定价模型（CAPM），1958年MM理论为公司金融开山立派并为金融市场引入“均衡”的概念。1965年尤金法玛提出有效市场假说（EMH），1970年Black Scholes公式为衍生品发展乃至后来的金融工程打下了根基……本书更重要的是作者采访了当时大多数金融学派的开山鼻祖，留下了宝贵的历史资料。 (展开)
0 有用 ChungWan 20160411
八卦金融理论发展史
0 有用 revotrats 20160214
有点啰嗦，但八卦很多。