四川大学经济学院金融市场学复习重点

7/7四川大学经济学院金融市场学复习重点Ppt1

Thepropertiesoffinancialassets:

1.Moneyness

2.Divisibilityanddenomination

3.Reversibility

4.Cashflow

5.Termtomaturity

6.Convertibility

7.Currency

8.Liquidity

9.Returnpredictability

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1.Moneyness:

moneyisthefinancialassetswhichareusedasamediumofexchangeorinsettlementoftransactions

Money:currency+allformsofdepositsthatpermitcheckwriting

Nearmoney(otherassets):canbetransformedintomoneyatlittlecost,delay,orrisk:timedeposits,treasurybill

2.DivisibilityandDenomination

Divisibilityistheminimumsizeinwhichafinancialassetscanbeliquidatedandexchangedformoney.Denominationisthedollarvalueoftheamountthateachunitofassetwillpaymaturity.

3.Reversibilityisthecostofinvestinginafinancialassetandthengettingoutofitandbackintocashagain.Consequently,reversibilityisalsoreferredtoasturnaroundcostorround-tripcost.

4.Cashflowisthecashdistributionsthatthefinancialassetwillpayitsowners;thisincludesdividendsonsharesandcouponpaymentsandbondsornoncashpayments.

5.Termtomaturityisthelengthoftheperioduntilthedateatwhichtheinstrumentisscheduledtomakeitsfinalpayments,ortheownerisentitledtodemandliquidation

6.Convertibilitytheassertsareconvertibleintootherassets.

7.Currencymanyfinancialassetsaredenominatedinonecurrency

8.Liquidityishowmuchsellersstandtoloseiftheywishtosellimmediately.Itdepandsonfinancialasset,quantity,thickness

9.Returnpredictabilityisabasicpropertyoffinancialassets,inthatitisamajordeterminantoftheirvalue.

http://./doc/89a270623e1ec5da50e2524de518964bcf84d28d.htmlplexitysomefinancialassetsarecombinationofsimplerassets

11.Taxhttp://./doc/89a270623e1ec5da50e2524de518964bcf84d28d.htmlernmentalregulationsfortaxingtheincomefrometheownershiporsaleoffinancialassetsvarywidely

Principlesofpricingoffinancialassets

RR:therealrateofinterest

IP:inflationpremium

DP:defaultriskpremium

MP:maturitypremium

LP:liquiditypremium

EP:exchange-rateriskpremium

Taxstatus(favorabletaxtreatment):After-taxyield=pretaxyield×(1-Marginaltaxrate)

Basispoint:1basispoint=0.0001,0.01%,

Pricevolatility

Thelongerthematurity,themoresensitive(changeinthediscountrate)

Thesmallerthecouponrate,themoresensitive

Thesmallertheinitialyield,themoresensitive

Duration:theapproximatepercentagechangeinpricefora100basispointchangeininterestratesaroundtheprevailingyield

?y=changeinyield(indecimal)

P0=initialpriceoftheasset

P-=asset’spriceiftheyieldisdecreasedby?y

P+=asset’spriceiftheyieldisincreasedby?y

Bondwiththelongermaturitywillhavegreaterduration

Bondwiththelowercouponratewillhavegreaterduration.

Bondwithlowerinitialyieldwillhavegreaterduration

Anestimateofthepercentagechangeinthepriceofafinancialassetis:Durationx(Dy)x100Ppt2

TheTheoryofInterestRates

1.Fisher’sClassicalApproach

2.LoanableFundsTheory

3.TheLiquidityPreferenceTheoryFisher’sClassicalApproach

DecisionsonSaving:1.Marginalrateoftimepreference2.Income3.Rewardforsaving(interestrate)

DecisionsonBorrowing:1.Gainfrominvestment2.Marginalproductivityofcapital3.Rateofinterest

Conclusion:long-runlevelofinterestrateandtheamountofinvestmentdependon

1.Technologicaldevelopment

2.Propensitytosave

Fisher’slaw:inflation&interestrates)1)(1()1(pri++=+ori=r+p

TheLoanableFundsTheory

Levelofinterestrateisdeterminedby1.Totaldemand:Household,firms,government

2.Totalsupply:Household,firms,government

TheLiquidityPreferenceTheory

Assumption:wealthintwoforms:1.Money2.Bonds

Bs+Ms=Bd+Md/Bs-Bd=Md-Ms

Shiftsintherateofinterest：Demand(levelofincome,levelofprices)

Supply(actionsofcentralbank)

LiquidityEffect：Ifincreasing,causestheinterestratetofall

IncomeEffect：Ifincreasing,causestheinterestratetorise

PriceExpectationsEffect：Ifincreasing,causestheinterestratetorise

FeaturesofaBond：1.Termtomaturity2.Principalvalue/parvalue/maturityvalue3.CouponrateYieldtomaturity：Trial-anderrorprocess试错法

1.Ifthemarketprice=parvalueYieldtomaturity=couponrate

2.Ifthemarketprice>parvalueYieldtomaturity25%

Capitalgain:

Shortterm:Ordinaryincome

Longterm:1.5%iftheindividual’sregularincometaxrate25%

VotingRights

Straightvoting:Thevoteoccursonedirectoratatime

Thenumberofvotesforeachdirectoristhenumberofsharesoutstanding.

Cumulativevoting:

Alldirectorsupforelectionarevotedonatthesametime

1.Numberofvotesassignedtoeachstockholders=numberofshares×numberofdirectorstobeelected

2.Ashareholdermayassignallofhisorhervotestoasinglecandidatefortheboardormayspreadthemovermorethanonecandidate

3.Thecandidateswiththehighestnumberoftotalvotesareelectedtotheboard

2.PreferredStock

Characteristicsofbothabondandacommonstock:seniortocommonstockbutjuniortobondsParticipatingornot

Nonparticipatingpreferredstock:dividendisfixed

Participatingpreferredstock:actualdividendsmaybegreaterthanpromised

Cumulativeornot

Cumulativepreferredstock:anymisseddividendpaymentsgointoarrearsandmustbemadeupbeforeanycommonstockdividendsarepaid

Noncumulativepreferredstock:misseddividendsdonotgointoarrearsandareneverpaidTradingMechanics:????

Marketorder:Ordertobeexecutedatthebestpriceavailableinthemarket

Limitorder:Conditionalorder

Buylimit:designatedpriceorlower

Selllimit:designatedpriceorhigher

Stoporder:Conditionalorder

Buystoporder:designatedpriceorhigher

Sellstoporder:designatedpriceorlower

Shortselling:Saleofasecuritynotownedbytheinvestor

1.borrowsecurity

2.Sell

3.Ifthemarketpricechangeslower,thenbuythesameamounttoreturnthelender

4.obtainthecaptaingain

Margintransaction:buythesecuritybyborrowingthemoney

1.buyingonmargin:atransanctioninwhichaninvestorborrowstobuysharesusingthesharesthemselvesascollateral

Pricingefficiencyofthestockmarket

Formsofefficiency

Weakform:pricereflectspastpriceandtradinghistory

Semistrongform:pricefullyreflectsallpublicinformation

Strongform:pricereflectsallinformation

Implicationsforinvestingincommonmarket

Activestrategies

Passivestrategies

Secondarymarkets

StockExchanges

NewYorkStockExchange(NYSE)

AmericanStockExchange(AMEX)

4%ofNYSEintermsofdailysharevolume

5%ofNYSEintermsofdailydollarvolume

NationalAssociationofSecuritiesDealersAutomatedQuotation(NASDAQ)

StockMarketIndexes

DJIA:DowJonesIndustrialAverage

NYSECompositeIndex

Standard&Poor’s500Index

NASDAQCompositeIndex

PPT6

CreditRisks:

DefaultRisk:Riskthatissuerwilldefaultonitsobligationtothelender

CreditSpreadRisk:1.Spreadwidened2.DowngradeRisk

CommercialPaper:short-termunsecuredpromissorynoteissuedintheopenmarketwhichisalternativetoshorttermbankloans

Issuers:well-known,credit-worthyfirms

Investors:Institutionalinvestors:1.Moneymarketmutualfunds:1/32.otherinvestors:pensionfunds,commercialbanktrustdepartmentsandsoon:2/3

Maturities:1–270daysor30–50days

Use:1.Bridgefinancing2.Rollingovershort-termpaper(Backedbybankcreditlines

)

Limitedsecondarymarketactivity:theholdersoftenholdituntilthematurity

eligiblepaper:theissuemustcarryoneofthetwohighestratingsfromtheleasttwoofthecreditratingcompanies.

MediumTermNotes(MTN):acorporatedebtinstrument,withtheuniquecharacteristicthatnotesareofferedcontinuouslytoinvestorsbyanagentoftheissuer

Characteristics:1.onacontinuousbasis2.ratedbyratingagencies3.maturitiesrangefrom9monthsto30years4.flexibility5.Sellingbydealers

Typicallyissuedbynon-financialcorporations

TheprimarymarketofMTNs

1.soldinsmallamounts

2.Continuousbasis

Theyieldspread

BankLoans:acorporationcanraisefundsbyborrowingfromabank

Secondarymarketforbankloans

1.Trade

2.Securitized

Syndicatedbankloans

1.Agroupofbanksprovidesfundstotheborrower

2.Collateralized

3.Seniorbankloans:haveaprioritypositionoversubordinatedlender

4.Floatrate,basedonLIBOR(thelondoninterbankofferedrate)

CorporateBonds

Issuers:1.Utilities2.Transportations3.Industrial4.Banksandfinancecompanies

Investors

Institutionalinvestors:lifeinsurancecompanies,pensionfunds(50%),households,foreigninvestors,depositoryinstitutions,non-lifeinsurancecompanies,mutualfunds,securitiesbrokersanddealers

bondindenture:alegalcontractspecifiestherightsandobligationsoftheissuerandthebondholderwhichcontainsanumberofcovenantswhichdescribesrulesandrestrictionsplacedonthebondissuerandbondholder(Restrictionstolimittheabilityofissuertoincreasedividendsorlimitcorporateofficers’salariesthefirmcanpay)

MaturityofBonds

TermBonds:entireissuematuresonasingledate(bullet-maturity,bulletbonds)

SerialBonds:theissuecontainsmanymaturitydates

SecurityforBonds

Pledged1.Mortgagebond:grantsthebondholdersalienagainstthepledgedassets

2.Collateraltrustbonds:securiedbythefinancialinstrumentstheyown

3.Equipmenttrustcertificates:securiedbytheequipment????

Notpledged1.Debentures:notsecuredbyaspecificpledgeofproperty,buthaveaclaimofgeneralcreditorsonallassetsandearningsnotpledgedspecificallytosecureotherdebt

2.Subordinateddebentures:Juniortosecureddebt,debentures,andothergeneralcreditors;Junkbonds

3.Guaranteedbond:anobligationguaranteedbyanotherentity

ProvisionsforPayingOffBonds

Callprovision:allowingtheissueranoptiontobuybackallorpartoftheissuepriortomaturityincb=icb-opcbopcb:Valueoftheissuer’soptiontocallthedebtearly

Callprotection/refundingprotection:deniestheissuertherighttoredeembondsduringthefirstfiveto10yearsfollowingthedateofissueoflower-costdebtobligatesthathaveanequalorsuperiorranktothedebttoberedeemed.

Sinkingfundprovision:requirethattheissuerretireacertainamountofthebondissueearlyoveranumberofyears,especiallyasthebondapproachesmaturity.

ForexampleBondwithmaturityof20years,retire5%eachyearbeginninginthefifthyear;reducecreditrisk

ConvertibleBondsandExchangeableBonds

Conversionprovision:grantsthebondholdertherighttoconvertthebondtoapredeterminednumberofsharesofcommonstockoftheissuer,soInvestorsarewillingtoacceptalowerrateofinterestonconvertiblebonds

exchangeablebondgrantsthebondholdertherighttoexchangethebondsforthecommonstockofafirmotherthantheissuerofthebond.

Conversionvalue=Currentmarketpriceofcommonstockreceivedonconversion×Conversionrate

Issuesofdebtwithwarrants

Attachedwithbonds

Calloption:1.Purchasecommonstockofissuer2.Purchasecommonstockofafirmotherthantheissuer3.Purchaseadebtobligationofissuer

Canbedetachedandsoldseparately

PutableBonds

Aputablebo