MT2CS - K=(S/P-1 Two-stage Div Growth model V o =D o(1 g...

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N : #sh, P rice, B : loan, M : (Maint) Margin, HPR : Hold Prd Rtrn, R eturn D eposit, S : Proceed from sale, r : rate of return, K : % Price Increase b : dividend payout ratio Total Dollar Return=SH(S-P) R = (S-P)/S {each year} Arithmetic Avg Rtn =∑R t /N Geometric=∏(1+R t ) (1/N) -1 Var=∑(R t -Ŕ) 2 /N-1 Margin = EQ/Value Position Marg Loan = (N x P)-B Margin Require = B/(NxP) Return w/o Margin = S-P{+Div}/P Return w/ Margin = [(NxS)-(NxP)-B]/B Margin Call = P = [(D+S)/N]/(M+1) Margin Price = P = (B/N)/(1-M) EAR=(1+HPR) m -1 HPR=Sell-Buy/Buy NxP(M+1)=D+S Asset Stock price from Div Yld P 0 =Div/Yld Proceed short |Short loan Stock price P 0 -NT CHGE=P 1 Deposit |Equity EPS = P 0 /PE = NInc/SH outstanding Total Asset NAV = TA-TL/SH DJIA(30) =∑P i,t /D adj,t LOAD = P 1 -P 0 /P 1 Price wt div =d= A+B/2+C/(A+B+C/3) Price wt (Beg + End)/N Value wt [(Beg x sh)+(End x sh)]/N Div Discount Constant g rate Div Disc Constant Perp g (k≠g)V o =D o (1+g) [ 1-(1+g) t ] (g<k)V 0 = D 0 (1+g) = D 1 r-g [ (1+r) t ] r-g r-g (k=g) V 0 =T x D
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Unformatted text preview: K=(S/P)-1 Two-stage Div Growth model V o =D o (1+g) [ 1-(1+g) t ] + [ 1 x D (1+g 1 ) t (1+g 2 ) ] ROE=NI/E r-g [ (1+r) ] [(1+r) t r-g 2 ] G sust =ROE(1-b) b=DivPSh/EarnPSh Probability Returns Historical (Realized) Return Historical Volatility=SD E(R)=∑ R P R (R) R t+1 =DIV t+1 +P t+1 /P t Var(R)= ∑(R t-R(bar)) 2 /(t-1) Var(R)=∑ R P R x(R-E[R]) 2 R annual =(1+R 1 )(1+R 2 )(1+R 3 )[…]-1 Historical Covariance Historical Returns Deviations from the Mean t and j t j t-t(bar) j-j(bar) [t-t(bar)]x[j-j(bar)] AR t(bar) j(bar) COV-----------------------------------------------------------------------= ∑[t-t(bar)]x[j-j(bar)]/(t-1) CORR---------------------------------------------------------------------= COV(R t ,R j )/[SD(R t )SD(R j )] Portfolio Weights (x) Expected R of portfolio x a =SH a x P a /net value E(R p )=x 1 R 1 + x 2 R 2 +x n R n...
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