最新multinational financial management（跨国公司财务）ch15 examining international portfolio investing(共28张ppt课件).pptx

CHAPTER 15Examining International Portfolio Investing 第一页，共二十八页。Why Invest Internationally?What are the advantages of international investment?第二页，共二十八页。THE BENEFITS OF INTERNATIONALEQUITY INVESTINGI. THE BENEFITS OF INTERNATIONALEQUITY INVESTINGA.Advantages1.Offers more opportunities thana purely domestic portfolio2.Attractive investments overseas3.Impact on efficient portfolio with diversification benefits第三页，共二十八页。II. Basic Portfolio TheoryII. Basic Portfolio TheoryA. What is the efficient frontier? It represents the most efficient combinations of all possible risky assets.第四页，共二十八页。The Efficient FrontierE(r)AB第五页，共二十八页。Basic Portfolio TheoryThe broader the diversification, the more stable the returns and the more diffuse the risk.第六页，共二十八页。Basic Portfolio TheoryB.International Diversification1. Risk-return tradeoff:may be greater 第七页，共二十八页。Basic Portfolio TheoryC.Total Risk D.1. A Securitys Returns may be segmented intoSystematic Riskcan not be eliminatedNon-systematic Riskcan be eliminated by diversification第八页，共二十八页。The Benefits of Intl Diversification第九页，共二十八页。INTERNATIONAL DIVERSIFICATION2. International diversification and systematic riska.Diversify across nations withdifferent economic cyclesb.While there is systematic riskwithin a nation, outside the country it may be nonsystematic and diversifiable第十页，共二十八页。INTERNATIONAL PORTFOLIO INVESTMENT3. Recent Historya.National stock markets have widedifferences in returns and risk.b.Emerging markets have higherrisk and return than developed markets.c.Cross-market correlations havebeen relatively low.第十一页，共二十八页。INTERNATIONAL PORTFOLIO INVESTMENT4. Theoretical ConclusionInternational diversification pushes out the efficient frontier.第十二页，共二十八页。The New Efficient FrontierE(r)ABC第十三页，共二十八页。CROSS-MARKET CORRELATIONS5. Cross-market correlationsa. Recent markets seem to be most correlated when volatility is greatestb. Result: Efficient frontier retreats第十四页，共二十八页。The Frontier During Global CrisesE(r)ABC第十五页，共二十八页。Investing in Emerging MarketsD. Investing in Emerging Marketsa.Offers highest risk and returnsb.Low correlations with returnselsewherec.As impediments to capital market mobility fall, correlations are likely to increase in the future.第十六页，共二十八页。Barriers to International DiversificationE. Barriers to International Diversification1.Segmented markets2.Lack of liquidity3.Exchange rate controls4.Underdeveloped capital markets5.Exchange rate risk6.Lack of informationa. not readily accessibleb. data is not comparable第十七页，共二十八页。Other Methods to DiversifyF. Diversify by a 1.Trade in American DepositoryReceipts (ADRs)2.Trade in American shares3.Trade internationally diversifiedmutual funds:a.Global (all types)b.International (no home country securities)c.Single-country第十八页，共二十八页。INTERNATIONAL PORTFOLIO INVESTMENT4.Calculation of Expected Portfolio Return:rp = a rUS + ( 1 - a) rrw where rp = portfolio expected return rUS = expected U.S. market return rrw = expected global return第十九页，共二十八页。Expected Portfolio ReturnSample ProblemWhat is the expected return of a portfolio with 35% invested in Japan returning 10% and 65% in the U.S. returning 5%? rp = a rUS + ( 1 - a) rrw= .65(.05) + .35(.10) =.0325 + .0350=6.75%第二十页，共二十八页。Expected Portfolio ReturnCalculation of Expected Portfolio Risk where =the cross-market correlation US2 =U.S. returns variance r w2 =World returns variance1/22222(1)2 (1)PUSrwUSrwaaaa NoImage第二十一页，共二十八页。Portfolio Risk ExampleWhat is the risk of a portfolio with 35% invested in Japan with a standard deviation of 6% and a standard deviation of 8% in the U.S. and a correlation coefficient of .7? = (.65)2 (.08) 2 + (.35) 2(.06) 2 +2(.65)(.35)(.08)(.06)(.7) 1/2 =6.8%1/22222(1)2 (1)PUSrwUSrwaaaa 第二十二页，共二十八页。INTERNATIONAL PORTFOLIO INVESTMENTIV.MEASURING TOTAL RETURNSFROM FOREIGN PORTFOLIOSA.To compute dollar return of a foreign security: or10$0()()USForeignCurrencyeeRRe01$1()()USForeignCurrencyeeRRe第二十三页，共二十八页。INTERNATIONAL PORTFOLIO INVESTMENTBond (calculating return) formula:whereR$ = dollar return B(1) = foreign currency bond price at time 1 (present)C = coupon income during periodg = currency depreciation or appreciation $(1)(0)11(1)(0)BBCRgB第二十四页，共二十八页。INTERNATIONAL PORTFOLIO INVESTMENTB. (Calculating U.S. $ Return) Stocks Formula:whereR$ = dollar returnP(1)= foreign currency stock price at time 1D= foreign currency annual dividend$(1)(0)11(1)(0)PPDRgP第二十五页，共二十八页。 U.S. $ Stock Returns:Sample ProblemSuppose the beginning stock price if FF50 and the ending price is FF48. Dividend income was FF1. The franc depreciates from FF 20 /$ to FF21.05 /$ during the year against the dollar. What is the stocks US$ return for the year?第二十六页，共二十八页。 U.S. $ Stock Returns:Sample Solution48 50 1.20 .210511150.2105$(1)(0)11(1)(0)PPDRgP.98 .951$6.9%R 第二十七页，共二十八页。内容(nirng)总结CHAPTER 15。c. Cross-market correlations have。a.Global (all types)。= .0325 + .0350。where =the cross-market。dividend第二十八页，共二十八页。