股票买卖方式是最大的不同在NYSE.ppt

CHAPTER4TheFinancialEnvironment:Markets,Institutions,andInterestRates,FinancialmarketsTypesoffinancialinstitutionsDeterminantsofinterestratesYieldcurves,Whatisamarket?,Amarketisavenuewheregoodsandservicesareexchanged.Afinancialmarketisaplacewhereindividualsandorganizationswantingtoborrowfundsarebroughttogetherwiththosehavingasurplusoffunds.,Typesoffinancialmarkets,Physicalassetsvs.FinancialassetsMoneyvs.Capitalshorttermdebtvs.non-shortPrimaryvs.SecondarySpotvs.FuturesPublicvs.Private,Howiscapitaltransferredbetweensaversandborrowers?,DirecttransfersInvestmentbankinghouseMerrillLynchFinancialintermediariesBankormutualfund,Typesoffinancialintermediaries,CommercialbanksSavingsandloanassociationsMutualsavingsbanksCreditunionsPensionfundsLifeinsurancecompaniesMutualfunds,Physicallocationstockexchangesvs.Electronicdealer-basedmarkets,Auctionmarketvs.Dealermarket(Exchangesvs.OTC)NYSEvs.NasdaqDifferencesarenarrowing股票買賣方式是最大的不同。在NYSE，經紀人在場內走動叫喊來尋找最佳買賣主，而在Nasdaq則買賣在電話或電腦上交談。,Physicallocationstockexchangesvs.Electronicdealer-basedmarkets,在NYSE，經人依客戶所開條件在場內公開尋找買賣主，本身不左右價格，買賣方實在是直接交易。在Nasdaq，買賣方跟交易員打交道，交易員隨意開價，買賣方無從得知其成本。,Thecostofmoney,Theprice,orcost,ofdebtcapitalistheinterestrate.Theprice,orcost,ofequitycapitalistherequiredreturn.Therequiredreturninvestorsexpectiscomposedofcompensationintheformofdividendsandcapitalgains.,Whatfourfactorsaffectthecostofmoney?(seep133Chinese),ProductionopportunitiesTimepreferencesforconsumptionRiskExpectedinflation,利率水準“Nominal”vs.“Real”rates,k=representsanynominalratek*=representsthe“real”risk-freerateofinterest.LikeaT-billrate,iftherewasnoinflation.Typicallyrangesfrom1%to4%peryear.kRF=representstherateofinterestonTreasurysecurities.(=k*+IP),Determinantsofinterestrates,k=k*+IP+DRP+LP+MRPk=requiredreturnonadebtsecurityk*=realrisk-freerateofinterestIP=inflationpremiumDRP=defaultriskpremiumLP=liquiditypremiumMRP=maturityriskpremium,Premiumsaddedtok*fordifferenttypesofdebt,AboutMRP,Interestraterisk(利率風險)指因市場利率上升，使債券價格下跌，持有人因而發生資本損失的風險。通常債券到期期間愈長，對利率變動的敏感性愈高Reinvestmentraterisk(再投資風險)當市場利率下降，投資人將債券到期的利息與本金再投資出去，所得到的報酬會因而減少的風險。通常債券到期期間愈短，投資人所須承受的再投資率風險愈高。,Termstructureofinterestrates,Itdescribestherelationshipbetweenlong-andshort-termrates.Tocorporate,theymustdecidewhethertoborrowbyissuinglong-orshort-termdebt.Toinvestors,theymustdecidewhethertobuylong-orshort-termdebt.,Yieldcurveandthetermstructureofinterestrates,Termstructurerelationshipbetweeninterestrates(oryields)andmaturities.Theyieldcurveisagraphofthetermstructure.ATreasuryyieldcurvefromOctober2002canbeviewedattheright.,Hypotheticalyieldcurve,Anupwardslopingyieldcurve.Upwardslopeduetoanincreaseinexpectedinflationandincreasingmaturityriskpremium.,Termstructureofinterestrates,WhatistherelationshipbetweentheTreasuryyieldcurveandtheyieldcurvesforcorporateissues?,CorporateyieldcurvesarehigherthanthatofTreasurysecurities,thoughnotnecessarilyparalleltotheTreasurycurve.ThespreadbetweencorporateandTreasuryyieldcurveswidensasthecorporatebondratingdecreases.,Termstructureofinterestrates,Historically,inmostyearslong-termhavebeenaboveshort-termrates.Upwardsloping”normal”yieldcurveDownwardsloping”inverted”or“abnormal”curve“humped”interestrateonmediumtermmaturitiesarehigherthatratesonbothshort-andlong-term.,Whatdeterminestheshapeoftheyieldcurve,Maturityriskpremium,expectedinflation,defaultrisk,andliquidityaffectthemarketinterestratesHowever,expectedinflationhasanespeciallyimportanteffectontheyieldcurvesshape,Whatdeterminestheshapeoftheyieldcurve,ConsiderU.S.Treasurysecurities,theyieldonaTreasurybondcanbeexpressedasItisreasonabletoassumetherealrisk-freerateisconstantHowever,inflationratewillvarysignificantlyovertime,Whatdeterminestheshapeoftheyieldcurve,IllustratingtherelationshipbetweencorporateandTreasuryyieldcurves,0,5,10,15,0,1,5,10,15,20,YearstoMaturity,InterestRate(%),5.2%,5.9%,6.0%,TreasuryYieldCurve,UsingtheYieldcurvetoestimatefutureinterestrates,Fromabove,weknowthattheyieldcurvedependsonExpectationsaboutfutureinflationTherelativeriskinessofsecuritieswithdifferentmaturitiesHere,weusePureExpectationstheorytotalkaboutthetermstructureoftheinterestrate.,PureExpectationsHypothesis,ThePEHcontendsthattheshapeoftheyieldcurvedependsoninvestorsexpectationsaboutfutureinterestrates.Ifinterestratesareexpectedtoincrease,L-TrateswillbehigherthanS-Trates,andvice-versa.Thus,theyieldcurvecanslopeup,down,orevenbow.,AssumptionsofthePEH,AssumesthatthematurityriskpremiumforTreasurysecuritiesiszero.Long-termratesareanaverageofcurrentandfutureshort-termrates.IfPEHiscorrect,youcanusetheyieldcurveto“backout”expectedfutureinterestrates.,Anexample:ObservedTreasuryratesandthePEH,MaturityYield1year6.0%2years6.2%3years6.4%4years6.5%5years6.5%IfPEHholds,whatdoesthemarketexpectwillbetheinterestrateonone-yearsecurities,oneyearfromnow?Three-yearsecurities,twoyearsfromnow?,One-yearforwardrate,6.2%=(6.0%+x%)/212.4%=6.0%+x%6.4%=x%PEHsaysthatone-yearsecuritieswillyield6.4%,oneyearfromnow.,Three-yearsecurity,twoyearsfromnow,6.5%=2(6.2%)+3(x%)/532.5%=12.4%+3(x%)6.7%=x%PEHsaysthatthree-yearsecuritieswillyield6.7%,twoyearfromnow.,Otherfactorsthatinfluenceinterestratelevels,FederalreservepolicyFederalbudgetsurplusordeficitLevelofbusinessactivityInternationalfactors,Risksassociatedwithinvestingoverseas,ExchangerateriskIfaninvestmentisdenominatedinacurrencyotherthanU.S.dolla