Stock Markets

Document Sample
Stock Markets Powered By Docstoc
					Chapter Eight
Stock Markets



      8-1
           Stock Markets Overview


• Stockholders are the legal owners of a
  corporation
  – they have a residual claim to all earnings and assets
    after debt and tax claims are satisfied
  – voting rights (e.g., to elect board of directors)
  – shareholders do not exercise control regularly (they
    elect a board, who chooses a CEO, etc.)


                        8-2
  Market Value of Common Stock
 Outstanding, by Type of Issuer ($Bn)
14000
12000
10000
8000
6000
4000
2000
    0
          1994            1997           2000      2001

 Nonfinancial corp. bus          Financial corp   Rest of world

                           8-3
           Stock Market Securities


• Two types of corporate stock exist
  – Common stock
    • the fundamental ownership claim in a public
      corporation
  – Preferred stock
    • a hybrid security that has characteristics of both
      bonds and common stock


                       8-4
         Calculating Stock Returns

                 Rt = Pt - Pt-1 + Dt
                           Pt-1    Pt-1
Where:
        Rt = Return over period from t-1 to t
        Pt = Stock price at time t
        Pt-1 = Stock price at time t-1
        Dt = Dividends paid over time t - 1 to t
   P1 - Pt-1 = Capital gain over time t - 1 to t

             Rt = $45 - $40 + $4
                      $40     $40
                 = 12.5% + 10.0% = 22.5%
                      8-5
      New Securities Issued ($Bn)

180
160
140
120
100
 80
 60
 40
 20
  0
      1992   1995         1998      2000   2001
              Preferred          Common

                    8-6
     Characteristics of Common Stock

• Dividends
  – payment and size of dividends is determined by the
    board of directors of the issuing firm
• Residual Claim
  – in the event of liquidation, common stockholders have
    the lowest priority in terms of any cash distribution
• Limited Liability
  – common stockholders losses are limited to the amount of
    their original investment in the firm
• Voting Rights

                        8-7
                  Voting Rights

• Voting rights typically accrue to common stockholders,
  but some firms have created dual class firms with
  different voting rights. Usually in these dual class
  issues a controlling stockholder has attempted to raise
  additional equity capital without diluting their own
  control by issuing shares with no or only limited voting
  rights. Investors should be aware that their risk may be
  higher in these situations and takeovers beneficial to
  existing stockholders will be less likely to occur.
  Sometimes the limited voting shares are granted a
  higher dividend priority to offset this risk.
                        8-8
                      Voting Rights
• Cumulative Voting: In this procedure all directors up for election
  are voted on at once. For instance, if there are three positions
  available on the board and four candidates are running, the top three
  vote winners in a single election will be elected to the board. Each
  shareholder is assigned one vote per share times the number of
  directors up for election. The shareholder may then cast all of
  his/her votes for one director or spread them among different
  directors. Under cumulative voting minority stockholders have a
  chance to affect the composition of the board of directors.
• Straight Voting: With straight voting each candidate for the board
  is elected individually. In straight voting a majority shareholder
  can always elect the entire board. Control is often possible with
  less than a 50% majority because less than 40% of possible votes
  are typically cast at corporate meetings. Stockholders can allow
  someone else to vote their shares by signing a proxy statement and
  Internet proxy voting is now beginning to grow.

                              8-9
                 Problem 8-5

• Suppose a firm has 15 million shares of common
  stock outstanding and 6 candidates are up for
  election to 5 seats on the board of directors.
• A. If the firm uses cumulative voting to elect its
  board, what is the minimum number of votes
  needed to ensure election to the board?
• B. If the firm use straight voting to elect its
  board, what is the minimum number of votes
  needed to ensure election to the board?
                     8-10
               Problem 8-5 Answers
• A. With cumulative voting, the total number of votes
  available is 75,000,000 (= 15 million shares outstanding × 5
  directors). If there are six candidates for the five board
  positions, the five candidates with the highest number of
  votes will be elected to the board and the candidate with the
  least total votes will not be elected. In this example, the
  minimum number of votes needed to ensure election is one
  sixth of the 75 million votes available, or 12,500,000 votes. If
  one candidate receives 12,500,000, the remaining votes
  together total 62,500,000. No matter how these votes are
  spread over the remaining 5 director candidates, it is
  mathematically impossible for each of the 5 to receive more
  than 12,500,000. This would require more than 5 ×
  12,500,000 votes, or more than the 62,500,000 votes that
  remain.

                           8-11
         Problem 8-5 Answers

• B. With straight voting, the vote on the
  board of directors occurs one director at
  a time. Thus, the number of votes
  eligible for each director is 15,000,000,
  the number of shares outstanding. The
  minimum number of votes needed to
  ensure election is one half 15 million
  votes available, or 7.5 million.

                 8-12
  Characteristics of Preferred Stock
• Similar to common stock in that it represents an
  ownership interest but, like bonds, pays a fixed
  periodic dividend
• Senior to common stock but junior to bonds
• Generally do not have voting rights
• Nonparticipating preferred stock
  – dividend is fixed regardless of any increase or decrease in the
    firm’s value
• Cumulative preferred stock
  – missed dividend payments go into arrears and must be made
    up before common stock dividends can be paid
                          8-13
If the company is liquidated, the priority
            of the payment:
 1. Secured creditors from sales of secured assets.
 2. Trustee’s costs
 3. Wages, subject to limits
 4. Taxes
 5. Unfunded pension liabilities
 6. Unsecured creditors
 7. Preferred stock
 8. Common stock



                      8-14
          Types of Preferred Stock
• Nonparticipating preferred stock (most common):
  The dividend is not affected by the firm’s profitability.
• Participating preferred stock: The preferred
  stockholders may receive a special dividend if corporate
  profits are high enough in a given year.
• Cumulative preferred stock (most common): If one
  or more preferred dividends are missed, no common
  dividends may be paid until the preferred dividends in
  arrears are first paid.
• Non-cumulative preferred stock: Preferred dividend
  payments in arrears do not impair the payment of
  common dividends.

                        8-15
   Primary and Secondary Markets
             Overview

• Primary Market
  – firm can raise equity capital in its initial public
    offering (IPO)
  – firm can raise equity capital in a subsequent
    seasoned equity offering (SEO)
• Secondary Markets
  – trading of shares among investors


                        8-16
Issuance of Stock in the Primary Market

                Stocks                     Stocks
  Issuing                Investment                 In
Corporation                Bank
                Funds                      Funds


Investment bank conducts primary market sale of
using firm commitment underwriting (guarantees
corporation a fixed price for newly issued securiti
best efforts underwriting (no guarantee to issuer a
acts more as a placing or distribution agent)
                                      (continued)
                  8-17
                   Primary Markets
• Sales may be on a fully underwritten basis or may be via best
  efforts.
• With a fully underwritten offering the investment banker buys
  the securities from the issuer at the bid price and resells them to
  the public at the offer price.
• The gross proceeds on a fully underwritten offering are the offer
  price times the number of shares bought. The net proceeds are
  the bid price times the number of shares sold. The
  underwriter’s spread is the difference between the gross and net
  proceeds.
• Investment bankers often form syndicates or coalitions of other
  investment banks to help market an issue. Syndicates help
  spread the risk and increase the sales force available to market
  the issue.
                            8-18
             Primary Markets

• The bank that is the primary negotiator in the
  deal is called the originating house. The
  investment banks’ names are listed in tombstone
  ads, and they are normally arranged according to
  the prestige of the bank and their importance in
  the deal. The originating house will normally be
  the first bank listed and the position on the
  tombstone ad is jealousy guarded. Investment
  bankers have at times withdrawn from deals
  because of where their placement would be on
  the tombstone ad.
                    8-19
• Net proceeds - the guaranteed price at which the
  investment bank purchases the stock from the
  issuer
• Gross proceeds - the price at which the
  investment bank resells the stock to investors
• Underwriters’ spread - the difference between
  the gross proceeds and the net proceeds
• Syndicate - the process of distributing securities
  through a group of investment banks
• Originating house – the lead bank in the
  syndicate negotiates with the issuer on the
  syndicate’s behalf

                     8-20
• Preemptive rights – a right of existing stockholders in
  which new shares must be offered to existing
  shareholders first in such a way that they can maintain
  their proportional ownership in the corporation
• Red herring proxy - a preliminary version of the
  prospectus describing a new security
• Shelf registration – allows firms that plan to offer
  multiple issues of stock over a two-year period to
  submit one registration statement summarizing the
  firm’s financing plans for the period.




                        8-21
               Rights Offering

• In some cases corporations that already have
  publicly traded stock may choose or be required
  to use a rights offering. A rights offering allows
  existing shareholders to purchase a pro-rata
  portion of the new issue at a slightly favorable
  price. This right is termed the preemptive
  right. Essentially, the rights are warrants given
  to existing shareholders which can then be used
  to buy the new issue.

                     8-22
                       Registration
• A public issue of securities has to be approved by the Securities
  Exchange Commission (SEC). Investment banks assist issuers
  with the registration process.
• The SEC requires the issuer to disclose its line of business,
  current and projected financial position, the use of the proceeds,
  major features of the issue and details about management. The
  SEC normally imposes a 20 day waiting period after filing during
  which the SEC can request more information.
• Prospectuses (abbreviated registration statements) circulated
  during this time are called ‘red herrings’ for the red stamp on
  them indicating that the SEC has yet to approve the issue. Once
  the SEC approves the issue the official prospectus is issued and
  securities are offered to the public, usually within a day.
• The purpose of the SEC’s involvement is to ensure that the public
  has enough information to evaluate the riskiness and the
  suitability of the investment for their portfolio.

                            8-23
   Figure 8-4 Getting Shares of Stock to the
               Investing Public
      Registrati             SEC
      on                     Requests                Shares
                 Red         Changes or     Official
Decid Statement                                      Offere
                 Herring     Additional     Prospect d to
 e to Sent to
                 Prospectu   Information    us
issue SEC                                            Public
                 s Sent to                  Issued
                 Prospecti
                 ve Buyers

  Prepare       SEC Evaluation (waiting period)

                1-20 days      Few days – Several months1 day



                        8-24
   Figure 8-5 Getting Shelf Registration to
             the Investing Public
Registrati
on                                                   Shares
                 File                      File      Offered
Statement Decide            Shares
                 Short
Approved to
                 Form       Offered Decide Short     to
by SEC Issue                to             Form      Public
                 Stateme            to
                nt with     Public Issue Stateme
                                           nt with
                SEC                        SEC
               1-2 Days                    1-2 Days


                           0-2 Years


                          8-25
             Secondary Markets:
          Major U.S. Stock Exchanges
• New York Stock Exchange (NYSE)
   – buyers and sellers meet at the trading post to negotiate
   – specialist acts as a dealer (market maker), as necessary
• American Stock Exchange (AMEX)
   – trading system same as NYSE
• National Association of Securities Dealers
  Automated Quotation System (NASDAQ)
   – multiple dealers (market makers) compete for transactions in
     a given stock
   – each dealer/market maker posts a bid and offer price on the
     system’s network
                           8-26
 Circuit Breakers Used by the NYSE

• Circuit breakers require the market to shut
  down for a period of time when prices drop
  by large amounts during any trading day.




                   8-27
           Trading on NYSE and AMEX


            Order              Order             Order
Investor    Shares   Broker    Shares   Comm      Shares   Market
                                        or                 Maker or
            Cash               Cash     Floor       Cash   Other Floor
                                        Broker             Broker




                              8-28
                Problem 8-8

• Suppose you own 50,000 shares of common
  stock in a firm with 2.5 million total shares
  outstanding. The firm announces a plan to
  sell an additional 1 million shares through a
  rights offering. The market value of the stock
  is $35 before the rights offering and the new
  shares are being offered to existing
  shareholders at a $5 discount.


                   8-29
                    Problem 8-8
• A. If you exercise your preemptive rights, how many of
  the new shares can you purchase?
• B. What is the market value of the stock after the rights
  offering?
• C. What is your total investment in the firm after the
  rights offering? How is your investment split between
  original shares and new shares?
• D. If you decide not to exercise your preemptive rights,
  what is your investment in the firm after the rights
  offering? How is this split between old shares and
  rights?

                        8-30
              Problem 8-8 Answers
• You own 50,000 shares of common stock in a firm with 2.5
  million total shares outstanding. The firm announces its plan
  to sell an additional 1 million shares through a rights
  offering. Thus, each shareholder will be sent 0.4 rights for
  each share of stock owned. One right can then be exchanged
  for one share of common stock in the new issue.
• A. Your current ownership interest is 2.0 percent (50,000/2.5
  million) prior to the rights offering and you receive 20,000
  rights (50,000 × 0.4) allowing you to purchase 20,000 of the
  new shares. If you exercise your rights (buying the 20,000
  shares) your ownership interest in the firm after the rights
  offering is still 2 percent ((50,000 + 20,000)/(2.5 million + 1
  million)).


                          8-31
               Problem 8-8 Answers
• B. The market value of the common stock is $35 before the
  rights offering, or the total market value of the firm is $87.5
  million ($35 × 2.5 million), and the 1 million new shares are
  offered to current stockholders at a $5 discount, or for $30 per
  share. The firm receives $30 million. The market value of the
  firm after the rights offering is $117.5 million (the original $87.5
  million plus the $30 million from the new shares), or $33.571 per
  share ($117.5 million ÷ 3.5 million).
• C. Your 50,000 shares are worth $1.75 million ($35 × 50,000)
  before the rights offering, and you can purchase 20,000
  additional shares for $600,000 ($30 × 20,000). Thus, your total
  investment in the firm after the rights offering is $2.35 million, or
  $33.571 per share ($2.35 million ÷ 70,000).


                            8-32
            Problem 8-8 Answers

• D. Your 50,000 shares are worth $1.75 million ($35 ×
  50,000) before the rights offering. Since each right
  allows a stockholder to by a new share for $30 per share
  when the shares are worth $33.571, the value of one
  right should be $3.571. Should you sell your rights
  rather than exercise them, you maintain your original
  50,000 shares of stock. These have a value after the
  rights offering of $1.679 million (50,000 × 33.571).
  You also sell your rights for $0.071 million (20,0000 ×
  $3.57). You have a total of $1.75 million, or have lost
  no wealth.
                       8-33
       Two Common Types of Orders


• Market order
  – an order for the broker and market specialist to
    transact at the best price available when the order
    reaches the post
• Limit order
  – an order to transact at a specified price (the limit
    price)



                       8-34
               Stock Market Indexes

• The Dow Jones Industrial Average (the DJIA)
  – a price-weighted index of the values of 30 large (in terms of
    sales and total assets) corporations
• The NYSE Composite index
  – a value-weighted index of all common stocks listed on NYSE
• the Standard & Poor’s 500 index
  – a value-weighted index of the stocks of 500 of the largest U.S.
    corporations listed on the NYSE and NASDAQ
• The NASDAQ Composite index
  – a value-weighted index of three categories of NASDAQ
    companies: industrials, banks, and insurance companies
                          8-35
  Stock Market Indexes Calculations
• Price Weighting
         – sum prices and divided by a constant to determine average price
         – EXAMPLE: THE DOW JONES INDICES
• Value Weighting (capitalization method)
         – price times number of shares outstanding is summed
         – divide by beginning value of index
         – EXAMPLE:
             » S&P500
             » WILSHIRE 5000
             » RUSSELL 1000
• Equal Weighting
         – multiply the level of the index on the previous day by the
           arithmetic mean of the daily price relatives
         – EXAMPLE:
             » VALUE LINE COMPOSITE
                             8-36
         Dow-Jones Industrial Average
          30

          p
          i 1
                 it   / Adjusted value

Where Pit = price of each stock in the Dow index on day t.
The divisor was set at 30 in 1928, but due to stock splits and stock
  dividends, this value has dropped to 0.14452124 in 2002
• A price-weighted index of 30 blue-chip stocks
• It tracks the broad market for large, NYSE-type stocks
• Large companies with low prices move the index less than small
  companies with high prices
• It has a bias against growth stocks

                            8-37
Dow Jones Industrial Average (DJIA)

• Best-known, oldest, most popular series
• Price-weighted average of thirty large well-
  known industrial stocks, leaders in their
  industry, and listed on NYSE
• Total the current price of the 30 stocks and
  divide by a divisor (adjusted for stock splits and
  changes in the sample)



                     8-38
    The Divisor of the Dow Jones Industrial
               Average (DJIA)
• The divisor was originally 30 but has been reduced over
  the years to a value far less than one. The current value
  of the divisor is about 0.20; the precise value is
  published in the Wall Street Journal and Barron's
• The current divisor values are as follows:
     – DJIA 0.14090166
     – DJTA 0.22477839
     – DJUA 1.5940823

•   http://invest-faq.com/articles/stock-index-djia.html
•   http://www.djindexes.com/jsp/industrialAverages.jsp


                                      8-39
 Example of Change in DJIA Divisor
    When a Sample Stock Splits
                 After Three-for One
  Before Split     Split by Stock A
    Prices              Prices
A      30                 10
B      20                20
C      10                10
       60  = 20
             3            40  = 20
                               X
                       X = 2 (New Divisor)
                 8-40
Demonstration of the Impact of Differently Priced
  Shares on a Price-Weighted Indicator Series

                         PERIOD T+ 1     .




          Period T     Case A  Case B
  A         100         110    100
  B          50          50      50
  C          30          30      33
  Sum      180          190     183
  Divisor      3           3        3
  Average    60           63.3    61
  Percentage Change       5.5%    1.7%
                      8-41
       Criticism of the DJIA
• Limited to 30 non-randomly selected blue-chip
  stocks
• Does not represent a vast majority of stocks
• The divisor needs to be adjusted every time one of
  the companies in the index has a stock split
• Introduces a downward bias by reducing weighting
  of fastest growing companies whose stock splits




                   8-42
        S&P 500 Composite Index

• A market-value weighted index of large stocks,
  comprising about 70% of total market
  capitalization
• Automatically adjusts for stock dividends and
  splits
• It is an index number, with a base of 1941-43 =
  10. Thus, if the index is now 1200, it is 120
  times its base

                    8-43
           Value-Weighted Series

• Derive the initial total market value of all stocks
  used in the series
  Market Value = Number of Shares Outstanding
                  × Current Market Price
• Assign an beginning index value (100) and new
  market values are compared to the base index
• Automatic adjustment for splits
• Weighting depends on market value

                        8-44
       Value-Weighted Series


  Index t   
               PQt   t
                           Beginning Index Value
              P Qb   b

     where:
     Indext = index value on day t
Pt = ending prices for stocks on day t
Qt = number of outstanding shares on day t
Pb = ending price for stocks on base day
Qb = number of outstanding shares on base day
                  8-45
               Other Indexes

• Russell 2000--a measure of small cap stocks
• Dow-Jones Equity Market Index--
  capitalization weighted index of 700 stocks
  covering about 80% of the U. S. equity market
• Dow-Jones World Stock Index, cap-weighted
  comprehensive measure of world-wide stock
  performance--2,200 companies



                    8-46
           Stock Market Participants
      Holders of Corporate Stock (in billions of
dollars)

% of
                                 1994        1997
2001          Total
Household sector              $3,070.9   $5,689.6
$5,832.2        38.4
State and local gov.             10.6        79.0
126.3         0.8
Rest of world                    397.7      919.5
1,692.8       11.2
Depository inst.                180.6       331.4
261.0         1.7
Life ins. co.          8-47
                                246.1        558.6
台灣證券交易所之有價證券集中交易市場
    委託買賣及撮合成交時間
•集中市場交易時間為星期一至星期五,各項交易皆
 限當日有效,委託時間與撮合成交時間彙總如下:

 各項交易名稱       委託時間            撮合成交時間
  普通交易         8:30-13:30     9:00-13:30
普通交易 (全額交割)    9:00-13:30     9:00-13:30
 盤後定價交易       14:00-14:30        14:30
  零股交易        15:00-16:00   次一營業日上午 9:00
              09:30-09:40     09:30-09:40
   鉅額交易       11:30-11:40     11:30-11:40
              13:35-13:50     13:35-13:50
  拍賣及標購       15:00-15:30      15:30以後
              8-48
臺灣證券交易所發行量加權股價指數基期與樣本
   http://www.tse.com.tw/ch/products/indices/tsec/taiex_2.php

1、基期
民國55年平均數為基期,基期指數設定為100。
2、樣本:
納入採樣樣本為所有掛牌交易的普通股,並依下列情
況處理:
(1)新上市公司股票在上市滿一個日曆月的次月第一個
營業日納入樣本,如6月份上市則8月1日列入樣本。但
已上市公司轉型為金融控股公司及上櫃轉上市公司,
則於上市當日即納入採樣。
(2)暫停買賣股票在恢復普通交易滿一個日曆月的次月
第一個營業日納入樣本,但因公司分割辦理減資換發
新股而停止買賣的股票,新股恢復買賣當日即納入樣
本。
(3)全額交割股不納入採樣。
                        8-49
臺灣證券交易所發行量加權股價指數編算
        方法
•無論是發行量加權股價指數、未含金融股發
 行量加權股價指數、未含電子股發行量加權
 股價指數、未含金融電子股發行量加權股價
 指數、各產業分類股價指數,都以樣本中各
 股票的發行股數當作其股價的權數來計算指
 數,其計算公式為:
•發行量加權股價指數 = 當期總發行市值 /
 基值 × 基期指數


         8-50
臺灣證券交易所發行量加權股價指數編算
        方法
• 在基期時,基值原為基期的總發行市值(如:發行量加權股
  價指數基值為55年的各股平均市價乘以各股在55年底的發行
  量)。爾後若有樣本異動或現金增資除權等情況發生時,則
  基值隨之調整,以維持指數的連續性。總發行市值為樣本中
  各股股價與其發行股數之乘積的總和。茲舉例說明編算發行
  量加權股價指數的方法:
  假設發行量加權股價指數和股價平均數皆以甲、乙、丙、丁
  四種股票為採樣股票。基期時股價分別為20、30、40、50元
  ,發行股數為5、2、6、2千萬股,則基期之市值總和為
  (20×5)+(30×2)+(40×6)+(50×2)=500千萬元,基期時之發行量
  加權股價指數為
• 500 / 500 ×100 = 100
• 若在某年底,四種股票的發行股數未變股價分別為40、50、
  50、100元,則該年底的發行量加權股價指數為
• [(40×5) + (50×2) + (50×6) + (100×2)] / 500 ×100 = 160

                      8-51
臺灣證券交易所發行量加權股價指數調整
        基值
• 當採樣股票異動或增資除權時,當期總發行市值或各
  股股價總和都會變動,因而會影響到股價指數和股價
  平均數。為了避免這種非經由市場交易的因素,對股
  價指數或股價平均數造成影響,以致發生斷層現象,
  因此必須調整基值,以維持指數的連續。
  (一)發行量加權股價指數的調整時機:
  1、新增或剔除採樣股票時。
  2、現金增資認購普通股的除權交易日。
  3、員工紅利轉增資除權交易日。
  4、特別股無償配發普通股除權交易日。
  5、上市公司持有未辦理減資註銷庫藏股除權交易日
  。
  6、公司依法註銷股份辦理減資公告後之除權交易日
  或次月第一個營業日,並以較先者為準。
          8-52
臺灣證券交易所發行量加權股價指數調整
        基值
7、收到現金增資募集失敗之通知後,次月第一個
營業日將發行股數復原。
8、公司合併後增資股或新股權利證書上市日。
9、轉換公司債轉換的債券換股權證換發為普通股的
上市日。
10、上市公司發行之轉換公司債直接換發為普通股
或附認股權有價證券認購而發行之普通股,俟其除
權交易日或其辦理資本額變更登記公告後次月第一
個營業日。
11、股東放棄認購而採公開承銷之現金增資股票或
股款繳納憑證上市日。
12、海外存託憑證而發行的新股上市日。
13、轉換特別股轉換為普通股的上市日。
14、其他非市場交易而影響總發行市值的因素。
        8-53
臺灣證券交易所發行量加權股價指數調整
        基值
調整公式為:
• 新基值 = 舊基值 × 異動後總發行市值 / 異動前總發
  行市值
• 茲舉例說明調整基值的方法:
  續上例,假定甲、乙、丙、丁四種股票在異動前的
  股價分別為40、50、50、100元,發行量分別為5、2
  、6、2千萬股,其股價平均數為60,發行量加權股
  價指數為160。現將丁股票從樣本中剔除,並加入股
  價70元,發行股數4千萬股的戊股票。
  採樣股票異動前市值總和為800千萬元,異動後市值
  總和為
• (40×5)+(50×2)+(50×6)+(70×4)=880千萬元

              8-54
臺灣證券交易所發行量加權股價指數調整
        基值
• 發行量加權股價指數的舊基值為500千萬元,其異動
  後的新基值為
• 500 × 880 / 800 = 550千萬元
• 根據新基值和異動後市值總和所計算出的指數會與
  根據舊基值和異動前市值總和所計算出的指數相同
  ,均為160,亦即
  880 / 550 × 100 = 160
  若異動後甲、乙、丙、戊四種股票經交易後產生的
  新價格為42、51、52、69元,則該日發行量加權股
  價指數為[(42×5)+(51×2)+(52×6)+(69×4)] / 550 × 100
  = 163.64

                   8-55
            台灣加權股價指數沿革
     寶來投信 http://sitc.polaris.com.tw/IndexFund/tindex.html
•平常大家所說的「台灣加權股價指數」,就是「臺灣
 證券交易所發行量加權股價指數」的通稱 (以下簡稱
 「台灣加權股價指數」)。台灣證券交易所集中交易
 市場是從民國五十一年二月九日開始,在此之前為店
 頭交易模式。原先店頭交易的證券均被視為公開發行
 ,一律開始在證交所上市。
•初期只有16家股票上市公司,到51年底,上市公司為
 18家。對於指數的編制方式,臺灣證券交易所(以下
 簡稱「證交所」)先採用算數平均方式編制「股票平
 均數」。到了民國五十三年證交所改編股票指數,將
 十餘種股票納入採樣計算基準。民國六十年證交所進
 一步編制「臺灣證券交易所發行量加權股價指」,以
 民國五十五年的平均價作為基準,設為100點,並且
 回溯自民國五十六年開始編制本指數。
                        8-56
    台灣加權股價指數沿革
  寶來投信   http://sitc.polaris.com.tw/IndexFund/tindex.html


•因此,對台灣股市而言,自民國五十六
 年起的台灣加權股價指數是有連貫性的
 。在民國五十六年底,上市公司有40家
 ,上市公司總市值為新台幣92.2億,當
 年的總成交金額新台幣54億元。到了民
 國92年底,上市公司增加到669家,上市
 公司總市值為新台幣12.86兆,當年度總
 成交金額高達新台幣20.3兆元。

                8-57
           歷年來股票市場概況表
      寶來投信     http://sitc.polaris.com.tw/IndexFund/tindex.html

年  上市家
            股數       總面額            市值          成交金額               指數
 度   數

51   18    2.69億     54.9億         68.4億          4.46億

56    40   5.94億     55.3億         92.2億         54.29億           100.33
60    45   13.5億     85.2億          208億          235億            135.13
70   107   128億      1283億         2013億         2092億            551.03
80   221    616億     6167億         3.18兆          9.68兆           4600.27
90   584   4064億       4兆          10.2兆         18.35兆           5551.24
92   669   4705億      4.7兆        12.86兆
                                    5890.69      20.33兆
                      資料來源:臺灣證券交易所 寶來投信
                                       整理
                      8-58
台灣加權股價指數走勢圖
寶來投信   http://sitc.polaris.com.tw/IndexFund/tindex.html




資料來源:彭博資訊 民國56年至93年4月
              8-59
           兩大指數比較
    寶來投信   http://sitc.polaris.com.tw/IndexFund/tindex.html

• 以93年5月12日為例,台灣證券交易所掛牌交易的上
  市股票有668檔,扣除全額交割股、新上市掛牌未滿
  一個日曆月以及暫停買賣股票後,台灣加權股價指
  數包含19種產業的645檔上市公司普通股,所有上市
  流通股數為34.5億股,總市值達新台幣128.9兆。另
  外投資人也常使用「櫃檯買賣中心加權股價指數」
  來了解店頭市場的狀況,茲就國內常用的這兩項指
  數比較如(表二)。如同表二的資料所顯示,台灣加
  權股價指數的涵蓋範圍更廣,囊括645家上市公司;
  而且市值為「櫃檯買賣中心加權股價指數」的9.6倍
  ;指數歷史資料可以追溯的年期更久,是目前使用
  最多,同時也是最能代表台灣經濟狀況的指數。


                  8-60
 項目    台灣加權股價指數    櫃檯買賣中心加權股價指數
指數基期      55年           84年
 市值      12.89兆          1.34兆
 本益比      21.50          26.95
 股利率      1.81            1.07
 產業類       19             11
公司家數      645             422
主要產業    電子 (52.28%)  電子 (66.72%)
        金融 (19.24%)  證券 (8.31%)
        塑膠 (9.40%)   營建 (3.36%)
        鋼鐵 (3.21%)   金融 (2.70%)
        運輸 (2.57%)   電機 (1.47%)
        其它 (13.3%)   其它 (17.44%)
             資料來源:彭博資訊 截止日期:93.05.12
               8-61
       指數編制說明
   寶來投信   http://sitc.polaris.com.tw/IndexFund/tindex.html

• 在國際金融市場中,有三種主要的股價指
  數編制方法:
 – 第一種是「價格加權法」,發行公司的股價
   愈高,占指數的權重就愈高,採用的指數有
   :道瓊工業指數、日經225指數。
 – 第二種為「價值加權法」,發行公司的市值
   愈高,占指數的權重就愈高,代表指數有美
   國的S&P 500指數與台灣加權股價指數。
 – 第三種為「均等加權法」,如同投資人拿相
   等的金額,購買每檔股票,代表指數有:英
   國金融時報指數。
                 8-62
         指數編制說明
    寶來投信   http://sitc.polaris.com.tw/IndexFund/tindex.html

• 證交所編製台灣加權股價指數之公式,採
  用「柏謝加權算式」(Passche Formula),
  與美國S&P 500的公式相同。採樣樣本為
  所有掛牌交易中的普通股,計算公式為:
  指數 = 當期總發行市值 ÷ 基值 × 100
• 當期總發行市值為各採樣股票價格乘以發行股
  數所得市值之總和。但新上市公司股票納入指
  數計算,得以當時上市股數為準。如果成分股
  進行除權、新股權利證書上市、可轉換特別股
  轉換為普通股…等,基值就會進行調整,以維
  持加權指數之連續性。
                  8-63
       台灣加權股價指數特性
     寶來投信   http://sitc.polaris.com.tw/IndexFund/tindex.html

• 代表台灣總體經濟趨勢:台灣加權股價指數包括645
  家台灣最具代表性的上市公司,台灣整體經濟的榮
  景都可以在這645家公司的盈餘上表現出來。投資人
  要分享台灣經濟成長的結果,最直接有效、也是最
  簡單的方式就是投資台灣加權股價指數。
• 降低非系統風險、資產配置最佳化:現代投資組合
  理論(Modern Portfolio Theory)強調透過投資在多檔
  相關係數小於1的股票時,不僅可以降低非系統風險
  、同時也能提高整體報酬。台灣加權股價指數涵蓋
  19種產業、645家公司,投資在台灣加權股價指數,
  等於投資在一個非系統風險非常低的最佳化投資組
  合。
                   8-64
Other Issues Pertaining to Stock Markets

• Does the stock market forecast the economy?
  – Some evidence suggests that the stock market forecasts the
    economy but evidence is not reliable
• Market efficiency
  – the speed with which financial security prices adjust to
    unexpected news pertaining to interest rates or a stock-
    specific characteristics, etc.
  – Forms of market efficiency
     • Weak Form Market Efficiency
     • Semistrong Form Market Efficiency
     • Strong Form Market Efficiency

                           8-65
               Market Efficiency
•   In an efficient market, one cannot consistently use
    information to predict price changes in order to earn a
    return greater than commensurate with the risk level
    of the investment. In other words you cannot use
    information to consistently earn more than you should
    for the risk level you are taking.
•   To complicate this simple concept we define three
    types of information: historical, all publicly available
    information, and inside information.
•   Events often cause stock prices to diverge from their
    fair present value as news ‘randomly arrives’.


                        8-66
                  Market Efficiency
• If one can use historical news, or historical price and volume
  information to consistently predict future stock price changes
  then the markets are not weak form efficient.
• If one can use any publicly available information, including
  forecasts based on publicly available information, to consistently
  predict future stock price changes then the markets are not semi-
  strong form efficient.
• If one can use any information, including ‘inside’ information to
  consistently predict future stock price changes then the markets
  are not strong form efficient.
• The stock markets appear to exhibit weak form efficiency and
  with some glaring exceptions, appear to be semi-strong efficient
  as well. The markets are not strong form efficient.



                           8-67
           Stock Market Regulation

• Stock markets and participants are subject to
  regulations imposed by the Securities and Exchange
  Commission (SEC)
• Main emphasis of SEC regulation is on full and fair
  disclosure of information on securities
• Securities Act of 1933/Securities Exchange Act of 1934
• Delegates certain regulatory responsibilities to the
  markets for the day-to-day surveillance of activity
• Recently imposed regulations on financial markets
  intended to reduce excessive price fluctuations
                      8-68
  International Aspects of Stock Markets

• European markets becoming an increasing force
  with introduction of a common currency, the
  Euro
• International stock markets allow investors to
  diversify by holding stocks issued by
  corporations in foreign countries
• Increased risk due to less complete information
  about foreign stocks, foreign exchange risk, and
  political risk
                    8-69
 American Depository Receipt (ADR)

• An ADR is a certificate that represents
  ownership of a foreign stock. An ADR is
  typically created by a U.S. bank who buys stock
  in foreign corporations in their domestic
  currencies and places them in its vault. The bank
  then issues dollar ADRs backed by the shares of
  stock. These ADRs are then traded in the U.S.
  on and off the organized exchanges. The major
  attraction to U.S. investors is that ADRs are
  claims to foreign companies that trade on
  domestic (U.S.) exchanges and in dollars.
                    8-70

				
DOCUMENT INFO
Shared By:
Categories:
Tags:
Stats:
views:82
posted:10/5/2012
language:English
pages:70