Asset(资产)Markets(ppt 15页)

ChapterEleven,Asset(资产)Markets,中国最庞大的数据库下载,MainIssue,NoArbitrage(套利)Condition,Assets,Anassetisacommoditythatprovidesaflowofservicesovertime.E.g.ahouse,oracomputer.Afinancialassetprovidesaflowofmoneyovertime-asecurity.,Assets,Typicallyassetvaluesareuncertain.Incorporatinguncertaintyisdifficultatthisstagesowewillinsteadstudyassetsassumingthatwecanseethefuturewithperfectcertainty.,中国最庞大的数据库下载,Arbitrage(套利),Arbitrageistradingforprofitincommoditieswhicharenotusedforconsumption.E.g.buyingandsellingstocks,bonds,orstamps.Nouncertaintyallprofitopportunitieswillbefound.Whatdoesthisimplyforpricesovertime?,Arbitrage,Thepricetodayofanassetisp0.Itspricetomorrowwillbep1.Shoulditbesoldnow?Therate-of-returnfromholdingtheassetisI.e.,Arbitrage,Selltheassetnowfor$p0,putthemoneyinthebanktoearninterestatraterandtomorrowyouhave,Arbitrage,Whenisnotsellingbest?WhenI.e.iftherate-or-returntoholdingtheassettheinterestrate,thenkeeptheasset.Andifthensosellnowfor$p0.,Arbitrage,Ifallassetmarketsareinequilibriumthenforeveryasset.Hence,foreveryasset,todayspricep0andtomorrowspricep1satisfy,Arbitrage,I.e.tomorrowspriceisthefuture-valueoftodaysprice.Equivalently,I.e.todayspriceisthepresent-valueoftomorrowsprice.,ArbitrageinBonds,Bonds“payinterest”.Yet,whentheinterestratepaidbybanksrises,themarketpricesofbondsfall.Why?,ArbitrageinBonds,Abondpaysafixedstreamofpaymentsof$xperyear,nomattertheinterestratepaidbybanks.Ataninitialequilibriumtherate-of-returntoholdingabondmustbeR=r,theinitialbankinterestrate.Ifthebankinterestraterisestor”rthenr”Randthebondshouldbesold.Salesofbondslowertheirmarketprices.,TaxationofAssetReturns,rbisthebefore-taxrate-of-returnofataxableasset.reistherate-of-returnofataxexemptasset.tisthetaxrate.Theno-arbitrageruleis:(1-t)rb=reI.e.after-taxrates-of-returnareequal.,AssetswithConsumptionReturns,TheexampleofhouseA=appreciationT=implicitrentalrateP=initialinvestmenth=(T+A)/P=totalrateofreturnh=(T+A)/P=r,FinancialIntermediaries,Banks,brokeragesetc.facilitatetradesbetweenpeoplewithdifferentlevelsofimpatiencepatientpeople(savers