研一下四高高金课件lecture

1、Advanced Financial EconomicsLecture 3by Yinggang ZhouOutlineThe main question of asset pricingOverview of Asset Pricing TheoryPricing safe cash flowsPricing risky cash flowsTwo perspectives of asset pricing3The main question of asset pricingHow are financial assets priced in a uncertain world?A fina

2、ncial asset can be thought of as “bundles” of contingent claim for future cash flowsFuture cash flow could be safe or risky How do we value a (risky) cash flow?Pricing safe cash flow is more fundamental and easier Pricing risky cash flow is more interesting and challengingRisk-neutral valuation make

3、s squeezes out riskPricing safe cash flow: discount bond5Pricing safe cash flow: coupon bond6Pricing a coupon bond using discount bonds7Why is the price of the coupon bond (multi-period asset) equal to the price of the portfolio of discount bonds (more basic assets)?No arbitrage if both bonds are tr

4、aded efficientlyIf the coupon was cheaper than the portfolio of discount bonds, one can profit from selling the discount bonds and buying the coupon bondsIf the coupon was more expensive than the portfolio of discount bonds, one can profit from buying the discount bonds and selling the coupon bondsR

5、emarks8Pricing risky cash flowsPricing risky cash flows with risk premium10Martingale Pricing (risk-neutral valuation) Pricing with contingent claims Two Perspectives: equilibrium versus arbitrageNo arbitrage theories require fewer assumptions and are sometime easier to useFor example, we have used

6、no-arbitrage arguments to price coupon bonds as portfolios of discount bondsBut it raises questions that only equilibrium theories can answerWhere do the prices of the basic assets come from?How do asset prices relate to economic fundamentals?In contrast, equilibrium perspective is sophisticated and

7、 complex with a long tradition in economicsThe equilibrium perspectiveanalyze determinants of supply and demand for the cash flowsMake assumptions that simplify, without undue cost, the supply and demand analysisThe supply of financial assets is assumed to be fixedFinancial markets are viewed as competitiveFocus on the determinan