博迪投资学第八版课件Chap015

Investments,

8th

editionBodie,

Kane

and

MarcusSlides

by

Susan

HineMcGraw-Hill/IrwinCopyright

©

2009

by

The

McGraw-Hill

Companies,

Inc.

All

rightsreserved.CHAPTER

15The

TermStructure

ofInterest

Rates

Information

on

expected

future

short

termrates

can

be

implied

from

the

yield

curve

The

yield

curve

is

a

graph

that

displays

therelationship

between

yield

and

maturity

Three

major

theories

are

proposed

to

explainthe

observed

yield

curve15-2Overview

of

Term

StructureFigure

15.1

Treasury

Yield

Curves15-3BondPricing15-4

Yields

on

different

maturity

bonds

are

not

allequal–

Need

to

consider

each

bond

cash

flow

as

astand-alone

zero-coupon

bond

whenvaluing

coupon

bondsTable

15.1

Yields

and

Prices

toMaturities

on

Zero-Coupon

Bonds($1,000

Face

Value)15-5Yield

Curve

Under

Certainty

An

upward

sloping

yield

curve

is

evidencethat

short-term

rates

are

going

to

be

highernext

year

When

next

year’s

short

rate

is

greater

thanthis

year’s

short

rate,

the

average

of

thetwo

rates

is

higher

than

today’s

rate15-6Figure

15.2

Two

2-Year

InvestmentPrograms15-7Figure

15.3

Short

Rates

versus

SpotRates15-8fn

=

one-year

forward

rate

for

period

nyn

=

yield

for

a

security

with

a

maturity

of

nForward

Rates

from

Observed

Rates15-9Example

15.4

Forward

Rates15-104

yr

=

8.00%

3yr

=7.00%fn

=?(1.08)4

=

(1.07)3

(1+fn)(1.3605)

/

(1.2250)=

(1+fn)fn

=

.1106

or

11.06%Downward

Sloping

Spot

Yield

CurveExample15-11Zero-Coupon

RatesBond

Maturity12%111.75%211.25%310.00%49.25%5Forward

Rates

for

Downward

SlopingY

C

Example15-121yr

Forward

Rates1yr[(1.1175)2

/

1.12]

-

1=0.1150062yrs[(1.1125)3

/

(1.1175)2]

-

1=0.1025673yrs[(1.1)4

/

(1.1125)3]

-

1=0.0633364yrs[(1.0925)5

/

(1.1)4]

-

1=0.063008Interest

Rate

Uncertainty

What

can

we

say

when

future

interest

ratesare

not

known

today

Suppose

that

today’s

rate

is

5%

and

theexpected

short

rate

for

the

following

year

isE(r2)

=

6%

then:

The

rate

of

return

on

the

2-year

bond

is

riskyfor

if

next

year’s

interest

rate

turns

out

toabove

expectations,

the

price

will

lower

andvice

versa15-13Interest

Rate

Uncertainty

Continued15-14

Investors

require

a

risk

premium

to

hold

alonger-term

bond

This

liquidity

premium

compensates

short-term

investors

for

the

uncertainty

about

futurpricesExpectationsLiquidity

Preference–

Upward

bias

over

expectations15-15Theories

of

Term

StructureExpectations

Theory15-16

Observed

long-term

rate

is

a

function

oftoday’s

short-term

rateand

expected

futureshort-term

rates

Long-term

and

short-term

securities

areperfect

substitutes

Forward

rates

that

are

calculated

from

theyield

on

long-term

securities

are

marketconsensus

expected

future

short-term

ratesLong-term

bonds

are

more

risky

Investors

will

demand

a

premium

for

therisk

associated

with

long-termbonds

The

yield

curve

has

an

upward

bias

builtinto

the

long-term

rates

because

of

the

riskpremium

Forward

rates

contain

a

liquidity

premiumand

are

not

equal

to

expected

future

short-term

rates15-17Liquidity

Premium

TheoryFigure

15.4

Yield

Curves15-18Figure

15.4

Yield

Curves(Concluded)15-19Interpreting

the

Term

Structure15-20

If

the

yield

curve

is

to

rise

as

one

moves

tolonger

maturitiesA

longer

maturity

results

in

the

inclusion

oa

new

forward

rate

that

is

higher

than

theaverage

of

the

previously

observed

ratesReason:Higher

expectations

for

forward

rates

orLiquidity

premiumFigure

15.5

Price

Volatility

of

Long-Ter15-21Treasury

BondsFigure

15.6

Term

Spread:

Yields

on

10-Year

Versus

90-Day

Treasury

Securities15-22Forward

Rates

as

Forward

Contracts15-23

In

general,

forward

ra