博迪投资学第九版课件
兹维博迪-投资学-第九版-中文PPT课件
1-25
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系统性风险的上升
银行资产和负债的到期日和流动性之间并不匹配。
负债是短期的、流动的 资产是长期的、非流动的 需要不断再融资改善资产组合
高杠杆比率使得银行几乎没有保证金来确保其安全。
1-26
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系统性风险的上升
投资者过分依赖结构化产品，如信用违约掉期来实现信 用升级。
信用违约掉期合约通常是场外交易，缺少公开披露，没 有要求保证金。
为什么会低估信用风险?
没有人会预料到房地产市场的价格会一直下跌 跨地区来分散风险的愿望并未实现 代理问题和评级机构 信用违约掉期并未像预计那样降低风险
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信用违约掉期 (CDS)
信用违约掉期实质上是一种针对借款者违约的保险合同。 投资者购买次级贷款使用信用违约掉期来保证其安全性。
投资银行
• 同意买下新发行的股票 和债券
• 在一级市场上向公众销 售新证券
• 投资者在二级市场上买 卖一级市场发行的证券
商业银行
• 吸收存款、发放贷款
1-14
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2008年的金融危机
金融危机的前情:
“大稳健”: 美国经历了一个低利率和经济稳定的时期，只有一 些温和的经济衰退，经济周期似乎已被驯服。
第一章
1
投资环境
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
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实物资产与金融资产
实物资产 取决于该社会经济的生产能力，为经济创 造净利润。 如土地、建筑物、机器以及可用于生产产 品和提供服务的知识。
Chap002 资产类别与金融工具兹维 博迪 《投资学 》第九版课件PPT
2-9
2.2 债券市场
1、中长期国债
① 期限： – 中期国债 – 期限最长是10年 – 长期国债 – 期限从10年到30年不等 ② 面值 – 1000美元； ③ 利息支付期—半年； ④ 行情– 以面值的百分比；1/32
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2-10
2.2 债券市场
2.3 权益证券
• 1、普通股：代表所有权 – 剩余索取权最后 – 有限责任 • 2、优先股： 永续性 – 固定收益； – 求偿权优先于普通股，次于债券； – 税务处理：股利部分免税； • 美国存托凭证ADR：在美国市场上ODIE, KANE, MARCUS
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2-21
标准普尔指数
• 标准普尔500指数：
– 涵盖500家公司的指数
– 市值加权指数
• 投资者可以购买指数投资组合:
– 购买与各种指数相对应的共同基金；
– 购买交易所交易基金 (ETFs)；
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2-8
2.2 债券市场
• 1、中期国债和长期国债 • 2、通胀保值债券 • 3、联邦机构债券 • 4、国际债券 • 5、市政债券 • 6、公司债券 • 7、抵押贷款和抵押担保证券
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第二章
资产类别与金融工具
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McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
博迪投资学第九版ppt
27-11
Table 27.4 The Optimal Risky Portfolio with Constraint on the Active Portfolio (wA ≤1)
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• How accurate is your forecast?
• Regress forecast alphas on actual, realized alphas to adjust alpha for the accuracy of the analysts’ previous forecasts.
• The BL model is a generalization of the TB model that allows you to have views about relative performance that cannot be used in the TB model.
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Table 27.5 The Optimal Risky Portfolio with the Analysts’ New Forecasts
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Adjusting Forecasts for the Precision of Alpha
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27-17
Steps in the Black-Litterman Model
博迪投资学第九版课件Chap008
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8-17
Optimal Risky Portfolio of the Single-Index Model
• Maximize the Sharpe ratio – Expected return, SD, and Sharpe ratio:
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8-12
Table 8.1 Interpretation
• Correlation of HP with the S&P 500 is 0.7238.
• The model explains about 52% of the variation in HP.
• Variance of the equally weighted portfolio of firm-specific components:
1 2 1 2 (eP ) (ei ) (e) n i 1 n
n 2
2
• When n gets large, σ2(ep) becomes negligible and firm specific risk is diversified away.
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Figure 8.2 Excess Returns on HP and S&P 500
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Figure 8.3 Scatter Diagram of HP, the S&P 500, and HP’s Security Characteristic Line (SCL)
博迪投资学第九版课件
p
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Risk Adjusted Performance: Treynor
2) Treynor Measure
(rP rf )
P
rp = Average return on the portfolio
rf = Average risk free rate ßp = Weighted average beta for portfolio
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Introduction
• Two common ways to measure average portfolio return: 1. Time-weighted returns 2. Dollar-weighted returns • Returns must be adjusted for risk.
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Time-Weighted Return
53 50 2 r1 10% 50 54 53 2 r2 5.66% 53
rG = [ (1.1) (1.0566) ]1/2 – 1 = 7.81% The dollar-weighted average is less than the time-weighted average in this example because more money is invested in year two, when the return was lower.
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24-14
M Measure
• Developed by Modigliani and Modigliani • Create an adjusted portfolio (P*)that has the same standard deviation as the market index. • Because the market index and P* have the same standard deviation, their returns are comparable:
Chap009 资本资产定价模型兹维 博迪 《投资学 》第九版课件PPT
9-18
图9.3 证券市场线和一只α值为正的股票
股票的实际期望 收益与正常期望收 益之间的差，称为 股票的阿尔法，。 被低估的股票期 望收益值将高于证 券市场线给出的正 常收益值。
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9-24
9.4 计量经济学与期望收益—贝塔关系
9.3.2 实证检验不支持CAPM
• 实证拒绝了假设：α等于0。 • 统计偏差的引进。 • 米勒和斯科尔斯的论文证明了计量问题可 能会导致拒绝资本资产定价模型，即使该 模型是非常有效的。 • 但也可能是模型本身的问题。
E r r
M f
9-7
• 变换一下，我们可以得到：
ErGE rf GE ErM rf
– 风险溢价取决于两个因素：
• 一是市场组合风险报酬[E(r )－rf]； • 二是资产对市场组合的风险暴露程度β；
M
注意：预测的是收益
9-8
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E (rM ) rf M E ( r ) r M f
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9.1.5 证券市场线★
均衡市场中，所有证券 都必须在证券市场线上。 证券市场线：期望收益 -贝塔关系。斜率为市 场投资组合的风险溢价 ：【E(rM)-rf 】。
• βi为个股对市场组合方差的贡献。
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博迪投资学第九版课件
Security D and Security E
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Two-Security Portfolio: Risk
• Another way to express variance of the portfolio:
2 P wD wDCov(rD , rD ) wE wE Cov(rE , rE ) 2wD wE Cov(rD , rE )
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7-20
Figure 7.6 The Opportunity Set of the Debt and Equity Funds and Two Feasible CALs
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Figure 7.3 Portfolio Expected Return as a Function of Investment Proportions
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Figure 7.4 Portfolio Standard Deviation as a Function of Investment Proportions
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7-5
Figure 7.2 Portfolio Diversification
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Covariance and Correlation
• Portfolio risk depends on the correlation between the returns of the assets in the portfolio
投资学课件—博迪第九版—Ch05 Introduction to Risk, Return, and the Historical Record
1 EAR 1 rf T
1 T
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5-11
Equation 5.8 APR
• APR: annualizing using simple interest
1 EAR APR
T
T
1
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• As the inflation rate increases, investors will demand higher nominal rates of return
• If E(i) denotes current expectations of inflation, then we get the Fisher Equation: Nominal rate = real rate + inflation forecast
5-14
Bills and Inflation, 1926-2009
• Moderate inflation can offset most of the nominal gains on low-risk investments. • A dollar invested in T-bills from1926–2009 grew to $20.52, but with a real value of only $1.69. • Negative correlation between real rate and inflation rate means the nominal rate responds less than 1:1 to changes in expected inflation.
博迪投资学第九版课件
18-8
Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model. • The market value (MV) is the consensus value of all market participants Trading Signal: IV > MV Buy IV < MV Sell or Short Sell IV = MV Hold or Fairly Priced
2013
kg
kg
0.111 0.077
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18-22
Honda Example
18-18
Example 18.4 Growth Opportunities
• Firm reinvests 60% of its earnings in projects with ROE of 10%, capitalization rate is 15%. Expected year-end dividend is $2/share, paid out of earnings of $5/share. • g=ROE x b = 10% x .6 = 6%
$5 PVGO $22.22 $11.11 .15
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18-20
Life Cycles and Multistage Growth Models • Expected dividends for Honda: 2010 $.50 2012 $ .83 2011 $.66 2013 $1.00 • Since the dividend payout ratio is 30% and ROE is 11%, the “steadystate” growth rate is 7.7%.
博迪投资学第九版课件Chap022
Hedgers • seek protection from price movement
– long hedge - protecting against a rise in purchase price – short hedge - protecting against a fall in selling price
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Figure 22.3 Trading without a Clearinghouse; Trading with a Clearinghouse
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Basis and Basis Risk
• Before maturity, FT may differ substantially from the current spot price.
• Basis Risk - variability in the basis means that gains and losses on the contract and the asset may not perfectly offset if liquidated before maturity.
• Convergence of Price - as maturity approaches the spot and futures price converge
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22-13
【2024版】《投资学》博迪第九版课件Chap010
(F could be positive or negative but has expected value of zero) ei = Firm specific events (zero expected value)
• Rests on mean-variance efficiency. The actions of many small investors restore CAPM equilibrium.
• CAPM describes equilibrium for all assets.
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Rate ei = Firm specific events
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10-6
Multifactor SML Models
E ri rf iGDPRPGDP iIR RPIR
i GDP = Factor sensitivity for GDP
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10-5
Multifactor Model Equation
ri E ri iGDPGDP iIRIR ei
ri = Return for security i βGDP = Factor sensitivity for GDP βIR = Factor sensitivity for Interest
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Multifactor APT
• Use of more than a single systematic factor
博迪投资学第九版课件
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1 1 - 11
Active or Passive Management
• Active Management
– An expensive strategy – Suitable only for very large portfolios
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1 1 - 13
Resource Allocation
• I f markets were i n e f f i c i e n t , resources would be s y s t e m a t i c a l l y misallocated.
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1 1 - 10
Types of Stock Analysis
• Fundamental Analysis - using economic and accounting information to predict stock prices
• How do we explain random stock p r i c e changes?
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11-3
E f f i c i e n t Market Hypothesis (EMH)
• EMHsays stock p r i c e s already r e f l e c t a l l available information
博迪投资学第九版课件Chap002
CHAPTER 2Asset Classes and FinancialAsset Classes and FinancialInstrumentsINVESTMENTS|BODIE, KANE, MARCUSAsset Classes•Money market instrumentsp•Capital market instruments–Bonds–Equity SecuritiesEquity Securities–Derivative SecuritiesINVESTMENTS|BODIE, KANE, MARCUSThe Money Market•Subsector of the fixed-income market: Secu t es a e s o t te,qu d,o Securities are short-term, liquid, lowrisk, and often have largedenominations•Money market mutual funds allow individuals to access the money market. individuals to access the money marketINVESTMENTS|BODIE, KANE, MARCUSTable 2.1 Major Components ofthe Money MarketINVESTMENTS|BODIE, KANE, MARCUSMoney Market Securities •Treasury bills: Short-term debt of U.S.ggovernment–Bid and asked price–Bank discount methodBank discount method•Certificates of Deposit: Time deposit with a bankCommercial Paper: Short term, unsecured •Commercial Paper:Short-term unsecured debt of a companyINVESTMENTS|BODIE, KANE, MARCUSMoney Market Securities •Bankers’ Acceptances: An order to a bank B k’A t A d t b k by a bank’s customer to pay a sum of money on a future date•Eurodollars: dollar-denominated time deposits in banks outside the U.S.Repos and Reverses:Short-term loan •Repos and Reverses: Short-term loan backed by government securities.•Fed Funds: Very short-term loans between Fed F nds Ver short term loans bet een banksINVESTMENTS|BODIE, KANE, MARCUSYields on Money Market Instruments•Except for Treasury bills, money marketE t f T bill k t securities are not free of default risk•Both the premium on bank CDs and thep gTED spread have often become greater during periods of financial crisisDuring the credit crisis of2008the federal •During the credit crisis of 2008, the federal government offered insurance to money market mutual funds after some funds market mutual funds after some funds experienced lossesINVESTMENTS|BODIE, KANE, MARCUSThe Bond Market•Treasury Notes and Bonds •Inflation-Protected TreasuryBondsg y•Federal Agency Debt •International BondsINVESTMENTS|BODIE, KANE, MARCUSThe Bond Market•Municipal BondsCorporate Bonds•Corporate Bonds•Mortgages and Mortgage-Backed SecuritiesS itiINVESTMENTS|BODIE, KANE, MARCUSTreasury Notes and Bonds•Maturities–Notes –maturities up to 10 years–Bonds –maturities from 10 to 30years•Par Value -$1,000•Interest paid semiannuallyI id i llp g p•Quotes –percentage of parINVESTMENTS|BODIE, KANE, MARCUSThe Bond Market•Inflation-Protected Treasury Bondsp–TIPS: Provide inflation protection •Federal Agency Debt–Debt of mortgage-related agencies such asD bt f t l t d i hFannie Mae and Freddie Mac •International BondsEurobonds and Yankee bonds–Eurobonds and Yankee bondsINVESTMENTS|BODIE, KANE, MARCUSMunicipal BondsIssued by state and local governments •Issued by state and local governments •Interest is exempt from federal incometax and sometimes from state and localtaxINVESTMENTS|BODIE, KANE, MARCUSMunicipal Bonds•TypesGeneral obligation bonds: Backed by taxing–General obligation bonds:Backed by taxingpower of issuer–Revenue bonds: backed by project sRevenue bonds:backed by project’srevenues or by the municipal agencyoperating the project.operating the projectINVESTMENTS|BODIE, KANE, MARCUSFigure 2.4 Tax‐exempt DebtOutstandingINVESTMENTS|BODIE, KANE, MARCUSMunicipal Bond YieldsTo choose between taxable and tax-exempt •To choose between taxable and tax-exempt bonds, compare after-tax returns on each bond.•Let t equal the investor’s marginal taxbracket •Let r equal the before-tax return on the taxable bond and r denote the municipal m pbond rate.•If r (1 -t ) > r then the taxable bond gives ()m g a higher return; otherwise, the municipal bond is preferred.INVESTMENTS |BODIE, KANE, MARCUS22 Tax‐Table 2.2Exempt Yield TableThe equivalent taxable yield is simply the tax-free q y p y, divided by (1-t).rate, rmINVESTMENTS|BODIE, KANE, MARCUSCorporate Bonds•Issued by private firmsIssued by private firmsp y•Semi-annual interest payments•Subject to larger default risk than government securitiest itiOp p•Options in corporate bonds–Callable–ConvertibleINVESTMENTS|BODIE, KANE, MARCUSMortgage‐Backed Securities •Proportional ownership of a mortgagepool or a specified obligation secured bya pool•Produced by securitizing mortgages Produced by securitizing mortgages–Mortgage-backed securities are calledpass-throughs because the cash flowsproduced by homeowners paying off theirmortgages are passed through toinvestors.INVESTMENTS|BODIE, KANE, MARCUSMortgage‐Backed Securities •Most mortgage-backed securities were issued by Fannie Mae and Freddie Mac.i d b F i M d F ddi M•Traditionally, pass-throughs were comprised of conforming mortgages, comprised of conforming mortgageswhich met standards of credit worthiness.INVESTMENTS|BODIE, KANE, MARCUSMortgage‐Backed Securities •Eventually, “Private-label” issuersE t ll “P i t l b l”isecuritized large amounts of subprime mortgages, made to financially weakbo o e sborrowers.•Finally, Fannie and Freddie were allowed and e en enco raged to b s bprimeand even encouraged to buy subprime mortgage pools.•September, 2008: Fannie and Freddie got taken over by the federal government taken over by the federal government.INVESTMENTS|BODIE, KANE, MARCUSFigure 2.6 Mortgage‐backed securitiesoutstandingINVESTMENTS|BODIE, KANE, MARCUSEquity Securities•Common stock: Ownership–Residual claim–Limited liability•Preferred stock: PerpetuityPreferred stock:Perpetuity–Fixed dividends–Priority over common–Tax treatment•American Depository ReceiptsINVESTMENTS|BODIE, KANE, MARCUSStock Market IndexesDow Jones Industrial Average•Dow Jones Industrial Average–Includes 30 large blue-chipcorporationstip–Computed since 1896–Price-weighted averageINVESTMENTS|BODIE, KANE, MARCUSExample 2.2‐Weighted Average22 PricePortfolio: Initial value $25 + $100 = $125Final value$30+$90=$120Final value $30 $ 90 $120Percentage change in portfolio value= 5/125 = -.04 = -4%Index: Initial index value (25+100)/2 = 62.5()Final index value (30 + 90)/2 = 60Percentage change in index -2.5/62.5P t h i i d25/625= -.04 = -4%INVESTMENTS|BODIE, KANE, MARCUSPoor’s Indexes S&P 500Standard & Poor s •S&P 500–Broadly based index of 500firmsBroadly based index of 500 firms –Market-value-weighted index•Investors can base their portfolios i don an index:–Buy an index mutual fundBuy an index mutual fund –Buy exchange traded funds (ETFs)INVESTMENTS |BODIE, KANE, MARCUSOther IndexesU.S. Indexes•NYSE Composite Foreign Indexes •Nikkei (Japan)p•NASDAQ Composite•Wilshire 5000(p )•FTSE (U.K.; pronounced “footsie”)•DAX (Germany),•Hang Seng (Hong Kong)•TSX (Canada)INVESTMENTS |BODIE, KANE, MARCUSDerivatives Markets•Options and futures provide payoffs that pdepend on the values of other assets such as commodity prices, bond and stock prices, or market index values.prices or market index values•A derivative is a security that gets its value from the values of another asset.from the values of another asset.INVESTMENTS|BODIE, KANE, MARCUSOptions•Call: Right to buy underlying asset at thepstrike or exercise price.–Value of calls decrease as strike priceincreases•Put: Right to sell underlying asset at the t ik i istrike or exercise price.–Value of puts increase with strike price •Value of both calls and puts increase with time until expirationtime until expiration.INVESTMENTS|BODIE, KANE, MARCUSFutures Contracts•A futures contract calls for delivery of an(,) asset (or in some cases, its cash value) ata specified delivery or maturity date for anagreed upon price, called the futures price, agreed-upon price called the futures priceto be paid at contract maturity.•Long position: Take delivery at maturity •Short position: Make delivery at maturityINVESTMENTS|BODIE, KANE, MARCUSComparisonOption•Right, but not obligation, Futures Contract •Obliged to make or takeg gto buy or sell; option is exercised only when it is fit blgdelivery. Long position must buy at the futures i h t iti tprofitable •Options must be price, short position must sell at futures price Futures contracts arepurchased•The premium is the price of the option itself •Futures contracts are entered into without costof the option itself.INVESTMENTS|BODIE, KANE, MARCUS。
Chap011 有效市场假说兹维 博迪 《投资学 》第九版PPT课件
11-13
11.2.5 资源配置
• 如果市场是无效的，资源自然会被错误定 价。
– 证券被高估的公司将获得廉价的资本。 – 证券被低估的公司将放弃投资机会，因为发起
的成本太高。 – 有效市场不等于完美预期市场。
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11.3 事件研究
概念检查11-3
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11-12
11.2.4 有效市场和投资组合管理
即便在完全有效的市场中，理性的投资组合管 理非常重要： •1.分散化，构建充分分散的证券投资组合； •2.合适的风险水平； •3.考虑税赋；
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第十一章
有效市场假设
McGraw-Hill/Irwin
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Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
11-2
有效市场假设(EMH)
• 莫里斯·肯德尔(1953) 发现股价不存在任何 可预测范式。
11-7
11.1.1 有效市场假设和竞争
• 信息：华尔街最珍贵的商品。 – 激烈的竞争保证价格反映了信息。 – 投资者期望通过高收益率来弥补信息搜 集成本。
– 研究活动获得的边际收益也许很小，只有拥有 大规模的投资组合的管理者才认为此事值得一 做。
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博迪投资学第九版课件
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9-10
GE Example
• Reward-to-risk ratio for investment in market portfolio:
Market risk premium E (rM ) rf 2 Market variance M
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9-21
Extensions of the CAPM
• Merton’s Multiperiod • Consumption-based Model and hedge CAPM portfolios • Rubinstein, Lucas, • Incorporation of the and Breeden effects of changes in • Investors allocate the real rate of wealth between interest and inflation consumption today and investment for the future
• Information is costless and available to all investors • Investors are rational mean-variance optimizers • There are homogeneous expectations
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E (rM ) rf M E (rM ) rf
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Chap007 最优风险资产组合兹维 博迪 《投资学 》第九版课件PPT
2 p
w1212
w22
2 2
w32
2 3
2w1w21,2 2w1w31,3 2w2w3 2,3
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图7.3 组合期望收益关于投资比例的函数
D+ E=1
股票基金投资比 例增加，组合期 望收益上升。
相关系数DE值的范围 ： + 1.0 > DE > -1.0
如果 = 1.0，资产间完全正相关。 如果 = － 1.0，资产间完全负相关。
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相关系数与组合标准差
①当 ρDE = 1，组合标准差等于两个资产标准差的
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7-4
图7.1 组合风险关于股票数量的函数
组合风险随 着分散化下 降，但是分 散化降低风 险的能力受 到系统性风 险的限制。 市场风险无 法通过分散 化消除。
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图 7.2 组合分散化
Cov(rD,rE) = DEDE
7-6
D,E = 收益率的相关系数
D = 基金D收益率的标准差 E = 基金E收益率的标准差
2 p
D2
2
D
E2E2
2DEDE DE
7-7
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7-12
2、两个资产构成的资产组合: 风险
rD, rE
7-3
博迪投资学第九版课件Chap001
博迪投资学第九版课件Chap001Chapter 1The Investment EnvironmentThe Investment EnvironmentINVESTMENTS|BODIE, KANE, MARCUSReal Assets Versus Financial Assets ?Real AssetsReal Assets–Determine the productive capacity andnet income of the economyt i f th–Examples: Land, buildings, machines,knowledge used to produce goods andservicesFinancial Assets–Claims on real assetsINVESTMENTS|BODIE, KANE, MARCUSFinancial AssetsThree types:1.Fixed income or debt1Fixed income or debt/doc/c30ecec07c1cfad6185fa718.html mon stock or equity 3.Derivative securitiesINVESTMENTS|BODIE, KANE, MARCUSFixed IncomePayments fixed or determined by aP t fi d d t i d bformulaMoney market debt: short term, highly ?Money market debt:short term highly marketable, usually low credit risk Capital market debt: long term bonds, can be safe or riskyINVESTMENTS|BODIE, KANE, MARCUSCommon Stock and Derivatives ?Common Stock is equity or ownershipCommon Stock is equity or ownershipin a corporation.–Payments to stockholders are not fixed,P t t t kh ld t fi dbut depend on the success of the firm ?Derivatives–Value derives from prices of othersecurities, such as stocks and bonds–Used to transfer riskINVESTMENTS|BODIE, KANE, MARCUSFinancial Markets and the Economy ?Information Role: Capital flows tocompanies with best prospectscompanies with best prospectsConsumption Timing: Use securitiesto store wealth and transferto store wealth and transferconsumption to the futureINVESTMENTS|BODIE, KANE, MARCUSFinancial Markets and theEconomy (Ctd.)Allocation of Risk: Investors can select securities consistent with their tastesfor riskfor riskSeparation of Ownership andg y Management: With stability comes agency problemsINVESTMENTS|BODIE, KANE, MARCUSFinancial Markets and theEconomy (Ctd.)Corporate Governance and Corporate Ethicsg–Accounting ScandalsExamples –Enron, Rite Aid, HealthSouth –Auditors –watchdogs of the firms Auditors–watchdogs of the firms–Analyst ScandalsArthur Andersen–Sarbanes-Oxley ActTighten the rules of corporate governanceINVESTMENTS|BODIE, KANE, MARCUSThe Investment ProcessAsset allocationChoice among broad asset classes–Choice among broad asset classes ?Security selection–Choice of which securities to hold withinasset class–Security analysis to value securities anddetermine investment attractivenessdetermine investment attractivenessINVESTMENTS|BODIE, KANE, MARCUSMarkets are CompetitiveRisk-Return Trade-OffEfficient Markets–Active ManagementFinding mispriced securitiesFinding mispriced securitiesTiming the marketINVESTMENTS|BODIE, KANE, MARCUSMarkets are Competitive (Ctd.)(Ctd)–Passive ManagementNo attempt to find undervaluedNo attempt to find undervaluedsecuritiesN tt t t ti th k tNo attempt to time the marketo d g a g y d e s ed po t o o ?Holding a highly diversified portfolioINVESTMENTS|BODIE, KANE, MARCUSThe PlayersBusiness Firms–net borrowers Households –net saversGovernments can be both borrowers ?Governments–can be both borrowersand saversINVESTMENTS|BODIE, KANE, MARCUS(Ctd)The Players (Ctd.)Financial Intermediaries: Pool and invest funds–Investment Companies–Banks–Insurance companies–Credit unionsINVESTMENTS|BODIE, KANE, MARCUSUniversal Bank ActivitiesInvestment Banking Commercial Banking g ?Underwrite new stockand bond issues g ?Take deposits and ?Sell newly issued securities to public in p make loans pthe primary marketInvestors trade previously issued securities amongthemselves in thesecondary markets INVESTMENTS |BODIE, KANE, MARCUSFinancial Crisis of 2008Antecedents of the Crisis:–“The Great Moderation”: a time in which theU.S. had a stable economy with low interestrates and a tame business cycle with onlyy y mild recessions–Historic boom in housing marketINVESTMENTS|BODIE, KANE, MARCUSFigure 1.3 The Case‐Shiller Index of U.S.Housing PricesINVESTMENTS|BODIE, KANE, MARCUSChanges in Housing Finance Old Way New Way yLocal thrift institution made mortgage loans to y Securitization: Fannie Mae and Freddie Mac made mortgage loans to homeownersThrift’s major asset:a Mae and Freddie Mac bought mortgage loans and bundled them into Thrift s major asset: a portfolio of long-term mortgage loans large pools ?Mortgage-backed g gThrift’s main liability:depositssecurities are tradable claims against the underlying mortgage pool ?“Originate to hold”underlying mortgage pool“Originate to distribute”INVESTMENTS |BODIE, KANE, MARCUSFigure 1.4 Cash Flows in a MortgagePass‐Through SecurityINVESTMENTS|BODIE, KANE, MARCUSChanges in Housing Finance(Ctd.)At first, Fannie Mae and Freddie MacAt fi t F i M d F ddi M securitized conforming mortgages, which were lower risk and properly documented.?Later, private firms began securitizing ,p g g nonconforming “subprime”loans withg e de au t shigher default risk.–Little due diligencePlaced higher default risk on investors–Placed higher default risk on investors–Greater use of ARMs and “piggyback” loansINVESTMENTS|BODIE, KANE, MARCUS。
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15-12
Short Rates and Yield Curve Slope
• When next year’s short rate, r2 , is greater than this year’s short rate, r1, the yield curve slopes up.
15-2
Overview of Term Structure
• The yield curve is a graph that displays the relationship between yield and maturity.
• Information on expected future short term rates can be implied from the yield curve.
15-10
Yield Curve Under Certainty
• Buy and hold vs. rollover:
(1 y2 )2 (1 r1 )x(1 r2 )
1
1 y2 (1 r1)x(1 r2 ) 2
• Next year’s 1-year rate (r2) is just enough to make rolling over a series of 1-year bonds equal to investing in the 2-year bond.
• Equilibrium requires that both strategies provide the same return.
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15-9
Figure 15.2 Two 2-Year Investment Programs
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ቤተ መጻሕፍቲ ባይዱ 15-6
Example 15.1 Valuing Coupon Bonds
• Value a 3 year, 10% coupon bond using discount rates from Table 15.1:
$100 $100 $1100 Price 1.05 1.062 1.073
CHAPTER 15
The Term Structure of Interest Rates
McGraw-Hill/Irwin
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Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
• The pure yield curve uses stripped or zero coupon Treasuries.
• The pure yield curve may differ significantly from the on-the-run yield curve.
On-the-run Yield Curve
• We need to consider each bond cash flow as a stand-alone zero-coupon bond.
• Bond stripping and bond reconstitution offer opportunities for arbitrage.
• Price = $1082.17 and YTM = 6.88% • 6.88% is less than the 3-year rate of 7%.
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15-7
Two Types of Yield Curves
Pure Yield Curve
• The on-the-run yield curve uses recently issued coupon bonds selling at or near par.
• The financial press typically publishes onthe-run yield curves.
• The value of the bond should be the sum of the values of its parts.
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15-5
Table 15.1 Prices and Yields to Maturities on Zero-Coupon Bonds ($1,000 Face Value)
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15-11
Spot Rates vs. Short Rates
• Spot rate – the rate that prevails today for a given maturity
• Short rate – the rate for a given maturity (e.g. one year) at different points in time.
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15-3
Figure 15.1 Treasury Yield Curves
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15-4
Bond Pricing
• Yields on different maturity bonds are not all equal.
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15-8
Yield Curve Under Certainty
• Suppose you want to invest for 2 years. – Buy and hold a 2-year zero -or– Rollover a series of 1-year bonds