Zvi Bodie,
Boston University Alex Kane,
University of California Alan J. Marcus,
Boston College
ISBN: 007338237x Copyright year: 2009
What's New
End of chapter problem sets are now separated by level of difficulty: quiz, problems,
and challenge problems.
NEW! Chapter 26 Hedge Funds: Topics include: various hedge fund strategies; market neutral investing and portable alpha; performance evaluation for hedge funds with changing risk exposures; selection bias in hedge fund performance; tail risk in hedge fund portfolios; and hedge fund fees.
Chapter 7 Optimal Risky Portfolios: This chapter contains additional material on the “art” of selecting reasonable parameter values for portfolio construction, and a discussion of what can go wrong when inputs are derived solely from recent historical experience.
Chapter 9 The Capital Asset Pricing Model: We introduce new material generalizing the intuition of the simple CAPM to more sophisticated treatments of risk, for example, consumption risk. We have also updated the material on liquidity and asset pricing throughout the set of chapters dealing with portfolio theory.
Chapter 11 The Efficient Market Hypothesis: We critically evaluate recent suggestions for “fundamental indexing” as a response to market errors in security valuation. We show that these strategies are nothing more than variations on the value-tilted portfolio strategies discussed earlier in the chapter.
Chapter 13 Empirical Evidence on Security Returns: We add considerable new material on the interpretation of risk premiums. For example, we examine new evidence on the relation between the Fama-French risk factors and more fundamental measures of security risk.
Chapter 14 Bond Prices and Yields: The chapter has new material explaining collateralized debt obligations (CDOs) as well as the role of credit rating agencies in the recent credit market crisis.
Chapter 19 Financial Statement Analysis: The chapter has been updated to address current issues in fair value accounting. It also contains additional discussion of the proper interpretation of market-to-book ratios.
Chapter 20 Options Markets: We have added a discussion of options backdating to this chapter.
Chapter 23 Futures and Swaps: New material on credit default swaps to this chapter. We show how these securities are constructed, and how they are used to transfer credit risk.
Chapter 28 Investment Policy and the Framework of the CFA Institute: This chapter has been updated to reflect the CFA Institute’s expanded rubric for constructing a statement of investment policy.
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2009 McGraw-Hill Higher Education