《股息贴现模型》PPT课件.ppt

DerivingtheDividendDiscountModelintheIntermediate 金融学 跨期消费模型研究不同时间人们的消费行为 涉及时间因素的的消费和储蓄 即消费者不必将每期的收入用光 他可以选择储蓄 也可以选择贷款 其预算约束线的斜率与利率有关 为 1 R R是利率 然后再此预算约束现的情况下研究消费者偏好 分析的结果一般为 利率提高 人们选择少消费 更倾向于储蓄 利率降低 人们会多消费 倾向于借贷 那它的方程是什么样子的 假设只有两期 C是消费 M是收入 C2 M2 1 R m1 c1 1 2都是角标 weemployedastandardtwo periodmodelwithconsumersmaximizingutilityU C1 C2 Income I inbothperiodsisknown thepriceofaunitofconsumption C inbothperiodsisequaltoone andtheindividualcanborroworlendatthesamerisk freeinterestrate rf Themaximizingagenthastwobudgetconstraintsoverthetwoperiods Inthefirstperiod I1 C1 BwhereBisthedollarvalueofthebondspurchased Inthesecondperiod I2 1 rf B C2 FIGURE1Intertemporalconsumptionmodel Fromthefirstbudgetconstraint B I1 C1andsubstitutingthatintothesecondbudgetconstraint thisgivestheequationforthebudgetconstraintlineasC2 I2 1 rf I1 C1 Theequilibriumconditionisthenstraightforwardtoderiveasfollows Themarginalrateofsubstitution MRS isthetradeoffofcurrentconsumptionforfutureconsumptionthatleavestheindividualindifferent putdifferently theminimumamountnecessarytoreceiveinthefuturetogiveupaunitofconsumptiontoday Aslongasthereturn 1 rf isgreaterthantheMRSofcurrentandfutureconsumption theindividualwillpostponeconsumptionandincreasehisutility Theindividualwillcontinuegivingupcurrentconsumptionpreciselytothepointwherethereturnofthebondisjustsufficienttocompensatehimforwaiting TheimportantaspectistheconceptofdiminishingMRS thatwitheachadditionalunitofpostponedcurrentconsumptiontheindividualrequiresahigherreturn slopeofindifferencecurvegetssteeperasonemovesfromrighttoleft Inafinanceclass thestudenttypicallylearnsthenetpresentvalue NPV criteriaforinvestmentprojectsasevaluatingallprojects rankedfromhighesttolowestrateofreturn ROR againsttheopportunitycostofcapital whichisassumedtobeconstant Todirectlycomparetheintertemporalconsumptionmodeltoconceptsinfinancerequiresconsiderationofastandardconcaveinvestmentopportunitysetthatranksinvestmentprojectsfromrighttoleftbyhighesttolowestratesofreturn Theslopeoftheinvestmentopportunitysetis1plustheRORofaproject Investmentisviewedasforegonecurrentconsumption Assuch thecostofcapitalistheslopeoftheindifferencecurve Thisisshowninfigure2 FIGURE2Investmentopportunityanddecliningrateofreturn Theindividualwillcontinuetoinvestaslongastheproject sRORisgreaterthantheMRS costofcapital inotherwords NPV 0 UtilityismaximizedwhentheRORisjustequaltotheMRS whereNPV 0 Inthismodel profitmaximizationisthesameasutilitymaximization andzeroeconomicprofit NPV 0 iswherethereturnofaprojectisjustequaltothevalueofforegonecurrentconsumption thetwo periodmodelhastwoconstraintsthatarecombinedintoonetorepresentthegraph sbudgetconstraintline Theconstraintforperiod1isI1 C1 P1N whereNisthenumberofsharesofastockandP1isthepriceofashare Thebudgetconstraintforperiod2isI2 d2 P2 N C2 whered2istheper sharedividendandP2isthepriceoftheshareinthesecondperiod Fromthefirstbudgetconstraint sosubstitutingthatintothebudgetconstraintforperiod2givesTheequilibriumisthen Thelattertermis1plustheRORonthestockwhichisequalto1plusthedi