JF读书笔记 – 2018年8月

Unscheduled News and Market Dynamics

In a limit order market, the price information (limit orders) are the only information that market participant can be efficiently used to communicate with others.

Optimal Order Submission

  1. Order Price
  2. Execution Probability
  3. Pick-off Risk

The optimal order submission is a trade-off between these three factors.

2018年8月随笔

趋势下的个股走势自我强化

AAPL突破一万亿美元市值之前,媒体的大肆宣传,客观上刺激了AAPL的买入需求,强化了市场的看涨预期

巴菲特对投资安全边际的重视

拼多多 – Research Memo

根据招股书,拼多多此次计划发行85,600,000份ADS,代表342,400,000份拼多多A类普通股。在IPO后,黄铮持有全部的拼多多B类普通股,拥有对公司事物约89%的投票权,占有绝对控制地位。

腾讯和红杉资本在IPO中被分别授予7,894,737和7,894,735份拼多多ADS。
招股书正文开头的致股东信似乎由中文翻译而成,信里介绍了拼多多的企业价值和愿景。

信条随记

江泽民:一个人的命运啊,当然要靠自我奋斗,但是也要考虑到历史的行程
自己:金融生意的本质在于创造交易机会,或者寻找交易机会
雷洛:人一辈子这么辛苦,为了什么?为了吃饭

Money Supply and Interest Rate

Federal Funds Effective Rate

The weighted average of the negotiated federal fund lending rate among banks.

Federal Funds Target Rate

The target federal funds effective rate set by the Federal Open Market Committee.

GDP平减指数

名义GDP增长量与实质GDP增长量之商

经济运行的逻辑 – 读书笔记

市场研究面临的现实困难

  1. 未来并非过去的重复
  2. 即使未来是过去的重复,准确的预测需要对现实和历史全面和没有重要遗漏的认识和把握

市场研究在操作上的难点

  1. 如何看待逻辑
  2. 如何看待历史

证券研究的要点

形势逻辑和实证精神相结合

  1. 严密,能解释现实现象的逻辑
  2. 基于逻辑作出的预测
  3. 通过对证据系统性的梳理来验证预测

中国与成熟经济体的通胀模型差异

  1. 中国可贸易部门在经济中占比很大;成熟经济体虽然高度开放,但制造业占比很小
  2. 主导中国CPI的食品类价格以及驱动农户通胀预期的生产资料价格不存在明显的价格粘性
  3. 中国生产资料价格变化主要反映企业生产能力的余缺和资本存量的多寡;成熟经济体产品和服务价格变化的背后多反映劳动力市场的松紧和工资增长的快慢

高善文的宏观经济研究思路

  1. 基于中国深度介入国际生产分工的事实,依靠国际收支模型和国外经济数据对中国经济现象进行解读/预测
  2. 对具体的生产资料价格、供给/需求等要素的分析采用排除法,圈定唯一的合理可能因素
  3. 基于经济指标的内涵的相互因果关系,依托经济数据展开分析,支持2中的分析路径

中国与成熟经济体在结构方面的区别

Claim: 成熟经济体虽然高度开放,但制造业占比很小,基本上可以看作封闭经济体来处理, why ?

资本存量

用于商业生产的经济和其他各种生产要素

Auditing and Assurance Services – 读书笔记

Management Assertions

  1. Existence or occurence
    Assets or liabilities exist at a given date, and recorded transactions have occurred during the period
  2. Completeness
    All transactions and accounts that should be presented in the financial statements are so included.
  3. Valuation or allocation
    Assets, liabilities, equity, etc have been included in the financial statements at appropriate amounts.
  4. Rights and obligations
    The public company holds or controls rights to the assets, and liabilities are obligations of the company at a given date.
  5. Presentation and disclosure
    The components of the financial statements are properly classified, described and disclosed.

Persuasiveness of Evidence

  1. Appropriateness
Relevance of Evidence
Reliability of Evidence

(1) Independence of provider
(2) Effectiveness of client's internal control
(3) Auditor's direct knowledge
(4) Qualification of individuals providing the information
(5) Degree of objectivity
(6) Timelineness

  1. Sufficiency
    The quantity of evidence obtained in an audit determines the sufficiency evidence.

Types of Audit Evidence

  1. Confirmation
    Confirmation describes the receipt of a direct written respnose from a third party verifying the accuracy of information that was requested by the auditor.

  2. Inspection
    Inspection is the auditor's examination of the client's documents and records to substantiate the information that is, or should be, included in the financial statements.

  3. Analytical Procedures
    Analytical procedures are defined by auditing standards as evaluations of financial information through analysis of plausible relationships among financial and nonfinancial data.

  4. Inquiry
    Inquiry is the obtaining of written or oral information from the client in response to questions from the auditor.

  5. Recalculation
    Recalculation involves rechecking a sample of calculations made by the client.

  6. Reperformance
    Reperformance is the auditor's independent tests of client accounting procedures or controls that were originally done as part of the entity's accounting and internal control system.

  7. Observation
    Observation consists of looking at a process or procedure being performed by others.

  8. Three Risk Terms in Audit Planning
    1) Client Business Risk
    2) Acceptable Audit Risk
    Audit Risk is the risk taken of giving audit opinion that doesnot reflect the financial position of client based on certain amount of audit evidence.
    Audit risk is only correlated with the sufficiency of audit evidence.
    More audit evidence results in a lower audit risk
    3) The Risk of Material Misstatement

  9. Considerations on Accepting a New Client
    1) The new auditor is required by auditing standards to communicate with the predecessor auditor.

  10. Materiality in Financial Audit
    The magnitude of misstatement that individually, or when aggregated with other misstatements, could reasonably be expected to influence the economic decision made by users of the financial statements.

  11. The need for the allocation of preliminary judgement of materiality
    This is also call the determination of performance materiality.
    Some accounts are likely to be overstated, whereas others are likely to be understated, resulting in a net amount that is likely to be less than the prelimary judgement.

The aim of determine performance materiality is to minimize audit costs without sacrificing audit quality.

  1. The Procedure of Assessment of the Risk of Material Misstatement.

1). Inquiries of Management and Others Within the Entity
2). Analytical Procedures
3). Observation and Inspection
4). Discussion among engagement team members
5). Other Risk Assessment Procedures

  1. Risk of Material Misstatement

1) PDR: Planed detection risk (planned detection probability)
2) AAR: Acceptable audit risk
3) IR: Inherent Risk
4) CR: Control Risk

PDR = AAR/(IR*CR)

马克斯韦伯:经济与社会 – 读书笔记

现代社会的支配类型

  1. 理性规则体系带来的支配与被支配地位
  2. 个人权威导致的支配关系
  3. 对异象或超凡魅力信仰的服从

理性规则 - 现代官僚行政体系的结构

  1. 有明确的官职管辖权限的界定
  2. 有保证官职管辖命令得到履行所需的强制手段
  3. 官职的当选者需要满足相应的资格

家产制官僚

  1. 遴选依赖个人新人,而不是技术资格
  2. 对家产制行政,任何辨认"管辖权"的尝试都是徒劳的,因为官衔的含义可以随意变更
  3. 在官员任命上,统治者的个人酌处权和亲疏好恶具有决定性的作用
  4. 在统治者的整个权利范围内,决策都是临时做出的,因为任何人都没有牢固的个人权利对它进行约束