国际金融seminar 1（课堂PPT）

Seminar1,#1Topic3,YoutakeoutaloanatanAPRof12%withmonthlycompounding.Whatistheeffectiveannualrateonyourloan?,2,Topic3,#1Answer:,Interestratesonloansandsavingaccountsareusuallystatedintheformofanannualpercentagerate(APR),(e.g.,18%peryear)withacertainfrequencyofcompounding(e.g.,monthly).Effectiveannualrate(EFF):compoundingisonlyonceperyear.,3,Topic3,#1Answer:,Thegeneralformulafortheeffectiveannualrateis:wheremthenumberofcompoundingperiodsperyear.Notethatasthefrequencyofcompoundingincreases,sodoestheeffectiveannualrate.,4,Topic3,#2Topic3,Whatisthepresentvalueof$100tobereceivedinfouryearsataninterestrateof6%peryear?,5,Topic3,#2Answer:,6,大连海事大学交通运输管理学院王冰,Topic3,#3Topic3,Supposeyoudeposit$1,000nowandthen$2,000ayearfromnow.Howmuchwillyouhavetwoyearsfromnow,iftheinterestrateis10%peryear?,7,Topic3,#3Answer:,FVoftheinitial$1,000=$1,000*1.12=$1,210FVofthe$2,000=$2,000*1.1=$2,200TotalFV=$3,410,8,Topic3,#4Topic4,SupposetheProtojeanprojectisexpectedtohaveathird-yearcashflowofonly$10,000insteadof$30,000.Ifallothercashflowsarethesameandthediscountrateisstill8%peryear,whatisitsNPV?,9,Topic3,#4Answer:,AprojectsnetpresentvalueistheamountbywhichtheprojectisexpectedtoincreasethewealthofthefirmscurrentshareholdersAsacriterionInvestinproposedprojectswithpositiveNPV,10,Topic3,#4Answer:,11,Topic3,#4Answer:,wherekisthecostofcapital,12,Topic3,#5Topic4,WhatwouldbetheNPVofthePC1000projectifthevariablecostsare$4,000perunitinsteadof$3,750?,13,Topic3,#5Answer:,Depreciationreferstotwoverydifferentbutrelatedconcepts:thedecreaseinvalueofassets,andtheallocationofthecostofassetstoperiodsinwhichtheassetsareused,14,Topic3,#5Answer:,Straight-linedepreciationTheequipmentthatdepreciatesover7years,ispurchasedatacostof$2.8millionandwillhaveasalvagevalueof$0,willdepreciateat$0.4millionperyear:($2.8$0)/7=$0.4millionannualstraight-linedepreciationexpense.,15,Topic3,#5Answer:,16,Topic3,#5Answer:,Itisimportanttorememberthatwhenmakingfinancialdecisionsonlytimedcashflowsareuseddepreciationisanexpense,butisnotacashexpense,andmustbeexcluded,17,Topic3,#5Answer:,CashFlow=RevenueCashExpensesTaxesCF=$20($19.5$0.4)-$0.2=$0.7millionCashFlow=RevenueTotalExpensesTaxes+NoncashExpenses=NetIncome+NoncashExpensesCF=$0.3+$0.4=$0.7million,18,Topic3,#5Answer:,19,Topic3,#6Topic4,Whatwouldbethebreak-evenvolumeforthePC1000projectifthecostofcapitalis25%peryearinsteadof15%peryear?,20,Topic3,#6Answer:,AparticularlyinterestingquestionisatwhatsalesvolumetheNPVoftheprojectwouldbezero.Thisistheprojectsbreak-evenpoint,whichmeansthepointofindifferencebetweenacceptingandrejectingtheproject.,21,Topic3,22,Topic3,#6Answer:,SolveforPMTthatmakesNPV=0,23,Topic3,24,#6Answer:,Topic3,#6Answer:,CashFlow=NetProfit+Depreciation=(1-t)(PVC)QFC)+D=0.6(5,000-3750)Q-3,500,000)+400,000=1,435,757Q=4,181unitsperyear,25,Topic3,#7Topic5,Underwhatcircumstancesmighttwo25-centcoinshavedifferentvalues?,26,Topic3,#7Answer:,Oneofthemmightbeararecointhatisespeciallyvaluabletocollectors.Alternatively,oneofthemmightbeslightlyworn,sothatasodamachinewillrejectit.Toathirstyperson,thenonworncoinismorevaluable.,27,Topic3,#8Topic5,Supposethattheexchangerateis$0.011totheyen.Howcouldyoumakearbitrageprofitswithyour$10,000ifthedollarpriceofgoldis$1,000perounceandtheyenpriceis100,000perounce?,28,Topic3,#8Answer:,LawofOnePrice:Inacompetitivemarket,iftwoassetsareequivalent,theywilltendtohavethesamepriceThelawofonepriceisenforcedbyaprocesscalledarbitrage.Arbitrageisthepurchasingofasetofassets,andimmediatesaleofanothersetofassets,insuchawayastoearnasureprofitfrompricedifferences.,29,Topic3,#8Answer:,Thelawofonepricealsoappliestoforeignexchangemarkets.TriangularArbitrageIfthreecurrenciesarefreelyconvertibleincompetitivemarkets,thenitisenoughknowanytwoexchangeratestocomputethethirdexchangerate.,30,Topic3,#8Answer:,31,Topic3,#8Answer:,Take$10,000,buy10ouncesofgoldfor$1,000perounce;Sell10ouncesofgoldinJapanfor1,000,000yen(100,000perounce);Take1,000,000yenandexchangeitintodollarsworth$11,000.Congratulations,youhavejustmakeanarbitrageprofitof$1,000!,32,Topic3,#9Topic5,Youobservethatthedollarpricesofthepesoandtheshekelare$0.20perpesoand$0.30pershekel.Whatmustbetheexchangeratebetweenpesosandshekels?,33,Topic3,#9Answer:,RA/C=RA/B*RB/CRA/B=1/RB/AThisequilibriumrelationshipmusthold(oranarbitragewillimmediatelyreestablishtheequilibrium)Rp/$=1/R$/p=1/0.2=5Rp/s=Rp/$*R$/s=5*0.3=1.5,34,Topic3,#10Topic5,TheDEFCorporationannouncesthatoverthenextfewyearsitwillspendseveralbilliondollarsondevelopinganewproduct.Thefirmsstockpricefallsdramaticallyaftertheannouncement.Accordingtotheefficientmarketshypothesis,whatisthereasonforthedropinprice?IfyouwerethepresidentofDEFCorporation,whatconclusionswouldyoudrawfromthedeclineinyourfirmsstockprice?,35,Topic3,#10Answer:,Theefficientmarkethypothesisstatesanassetscurrentpricereflectsallpubliclyavailableinformationaboutfutureeconomicfundamentalsaffectingmarketprice股票的价格能充分反映该资产的所有可获得的信息，即信息有效，当信息变动时，股票的价格就一定会随之变动。,36,Topic3,#10Answer:,AccordingtotheEMH,thepricedropreflectsapredominantviewinthemarketplacethatDFCCorporationsproposednewproductisnotworthdeveloping.IfyouwereCEOandbelievedthatthemarketanalystshadasmuchinformationasyoudid,youmightreconsiderthedesirabilityofdevelopingthenewproduct.,37,Topic3,#10Answer:,However,ifyouhadsuperiorinformationaboutthenewproductthatthemarketanalystswerenotawareof,thenyoumightgoaheadwiththeproductdevelopmentdespitemarketopinion.Alternatively,youmightmaketheinformationyouhavepublicinordertogaugethereactionofthemarkettothisnewpieceofinformation.,38,Topic3,#11Topic6,Whatwillthe20-yearpurediscountbondspricebeaftertwoyears,assumingtheyieldstaysat6%peryear?,39,Topic3,#11Answer:,40,大连海事大学交通运输管理学院王冰,Topic3,#12Topic6,Usingthepricesforpurediscountbondsasinthefollowingtable,whatwouldbethepriceandyieldtomaturityonatwo-yearcouponbondwithacouponrateof4%peryear?,41,Topic3,#12Answer:,Therearetwoalternativeproceduresthatwecanusetoarriveatacorrectvalueforthesecurity.Procedure1:multiplyeachofthetwopromisedcashpaymentsbyitscorrespondingperdollarpriceandthenaddsthemup,42,Topic3,#12Answer:,Procedure2:getthesameresultbydiscountingeachyearspromisedcashpaymentattheyieldcorrespondingtothatmaturity.,43,Topic3,#13Topic6,Supposeyoubuya30-yearpurediscountbondwithafacevalueof$1,000andayieldof6%peryear.Adaylatermarketinterestratesriseto7%andsodoestheyieldonyourbond.Whatistheproportionalchangeinthepriceofyourbond?,44,Topic3,#13Answer:,45,大连海事大学交通运输管理学院王冰,Topic3,#13Answer:,46,大连海事大学交通运输管理学院王冰,Topic3,#13Answer:,%Changeinprice=-24.55%Changeininterestrates=16.67%Theratioofthesepercentagechangesgivesusanelasticity,whichmeasuresthesensitivityofthebondpricetoachangeintheyieldtomaturity.,47,Topic3,#14Topic6,SupposeyoupurchaseaTreasurybillthatmaturesinthreemonths.Thebillisapurediscountinstrumentpayingitsfacevalueof$100,000atmaturity.Ifthebillispricedtoyield1%overthethreemonths,oranAPRof4%withquarterlycompounding,whatisitscurrentsellingprice?Convertthebillsyieldintoaneffectiveannualrate.,48,Topic3,#14Answer:,Discountingthefacevaluebythe1%rateofreturnwearriveatthesellingpriceof100,000/(1+1%)=990,09.901Theeffectiveannualrateis:,49,Topic3,#15Topic6,Assumeafifty-yearzero-couponbondwith$1,000facevalueispricedtoyield10%.Iftheyieldweretoinstantlydropto5%whatwouldbethenewpriceforthebond?Howdoesthechangeinyieldcomparerelativelytothechangeintheprice?,50,Topic3,#15Answer:,Thebondspriceatthe10and5percentyieldsare:,51,Topic3,#15Answer:,Soa50percentdropinthebondsyieldproducesovera1,000percent(factorof10times)increaseintheprice.Asyoucanseeverylong-termzero-couponbondpricesareverysensitivetochangesinyields.,52,Topic3,#16Topic6,Whatisthecurrentyieldonafive-year5%couponbondpricedtoyield7%?Assumeannualcompounding.Facevalueis$100.,53,Topic3,#16Answer:,Thecurrentyieldistheannualcoupondividedbythebondsprice.Firstweneedtocomputetheprice.AtaYTMof7%thepriceofthebond,per$100offacevalue,is:Sothecurrentyieldis:5/91.8=5.46%,54,Topic3,#17Topic6,Supposeyouwanttoknowthepriceofa10-year7%couponTreasurybondthatpaysinterestannually.Youhavebeentoldthattheyieldtomaturityis8%.Whatistheprice(facevalueis$100)?Whatisthepriceifcouponsarepaidsemiannually,andtheyieldtomaturityis8%peryear?Nowyouhavebeentoldthattheyieldtomaturityis7%peryear.Whatistheprice?Couldyouhaveguessedtheanswerwithoutcalculatingit?,55,Topic3,#17Answer:,Thepriceis:Withsemiannualcouponsthepriceis:,56,Topic3,#17Answer:,BondPricingPrinciple#1:(ParBonds)Ifabondspriceequalsitsfacevalue,thenitsyield-to-maturity=currentyield=couponrate.Price=100.Whenthecouponrateandyieldtomaturityarethesame,thebondsellsatparvalue(i.e.thepriceequalsthefacevalueofthebond).,57,Topic3,#18Topic7,TheRustyClipperFishingCorporationisexpectedtopayacashdividendof$5persharethisyear.Youestimatethatthemarketcapitalizationrateforthisstockshouldbe10%peryear.Ifitscurrentpriceis$25pershare,whatcanyouinferaboutitsexpectedgrowthrateofdividends?,58,Topic3,#18Answer:,g=10%-5/25=0.1Thecapitalgainsyieldisequaltothedividendgrowthrate,thatis,thestockpriceisexpectedtogrowatthesamerateasdividends.Anegative10%growthrateinfersthatthestockpricemustfallata10%rate.,59,