Download Financial Versus Real Assets

INVESTMENT
高雅琴
[email protected]
2011.2
课程说明
• 课程简介
• 课程目标
课程简介
本课程主要介绍金融市场基本工具、金融市场
理论、金融投资理论的基本概念和基本原理、
基本方法与技术，使学生具有对一般证券的投
资分析能力。
课程目标
– 掌握投资环境的具体内容、投资过程的步骤和证券市场构成；
– 掌握资本资产定价模型的假设条件、套利原理、套利组合的构建
以及套利的价格效应，掌握对APT定价方法的解释；
– 了解有效市场的投资策略、无效市场的投资策略以及技术分析方
法，掌握共同基金投资的特点；
– 掌握债券的定价理论、久期的含义及计算、免疫资产的含义及构
造、免疫资产存在的问题，掌握普通股定价模型；
– 掌握期货合约的内容、期货结算所的各项规定、期货价格与预期
现货价格的关系，期货价格与现货当前价格的关系；
– 掌握期权合约的类型、保证金的要求及计算，掌握期权价格的构
成，期权定价模型；
– 掌握金融工程的策略和互换，了解近期金融工程的创新。
主要参考书
– Zvi Bodie, Alex Kane, Alan J. Marcus, Investments,
6th edition, china machine press
– 博迪等，投资学（机械工业出版社）
课程说明
• 基本要求
– 不无故迟到、早退或者缺课
– 不扰乱课堂秩序
– 按时完成作业
• 评估方法
– 平时成绩(作业和出勤):30%
– 期末闭卷考试：70%
• 联系方式
– Office: A1007
– Phone: 15910878302
– Email: [email protected]/[email protected]
CHAPTER 1
Investments
Background
CONTENT
1.1 Real Assets versus Financial Assets
1.2 Financial Markets and the Economy
1.3 Clients of the Financial System
1.4 The Environment Responds to
Clientele Demands
1.5 Recent Trends
1.1 Real Assets versus
Financial Assets
Financial Versus Real Assets
• Real assets
– Assets used to produce goods and services
• Land, building, knowledge, machine, workers
• Represent material wealth of a society
• Financial Assets
– Claims on real assets
• Stocks and bonds
• Allow for separation of ownership and management of
the firm
• Means for individuals to hold their claims on real
assets
• Facilitate the transfer of funds to enterprises with
attractive investment opportunities
• Indirectly contribute to the productive capacity of the
economy
Financial Versus Real Assets
• Financial Assets-Claims on real assets
– Income generated by real assets is allocated to
investors according to their ownership of the
financial assets.
• Bondholders
• Equityholders
Financial Versus Real Assets
Financial Versus Real Assets
• Essential nature of investment
– Reduced current consumption
– Planned later consumption
– To hold financial assets (invest for the future)
Financial Versus Real Assets
• Differences:
– Real assets produce goods and services
– Financial assets define the allocation of income or wealth
among investors
• Distinguish
– Appearance on Balance Sheet
– Destroy
• Financial assets are created and destroyed in ordinary course of doing
business
• Real assets are destroyed by accident or by wearing out over time
Table 1.1. Balance Sheet – U.S.
Households, 2006
Table 1.2 Domestic Net Worth, 2006
1.2 Financial Markets
and the Economy
Financial Markets
• Consumption Timing
• Allocation of Risk
• Separation of Ownership and Management
Financial Markets
• Consumption Timing
– Shift purchasing power from high-earnings periods
to low-earnings periods
• Store savings in financial assets
• Sell financial assets to provide funds when needed
Financial Markets
• Allocation of Risk
– Investors can self-select into security types with
risk-return characteristics that best suit their
preferences
• Invest in a plant: stock or bond?
– Each security can be sold for the best possible
price
Financial Markets
• Separation of Ownership and Management
– Group of stockholders can’t participate in day-to-day
management
• Elect a board of directors, hire and supervise the
management
– Agency problems
• The potential conflicts of interest that the
managers may be tempted to engage in
activities not in the best interest of the
shareholders.
1.3 Clients of the financial system
The Clients
• Business Firms – net borrowers
• Households – net savers
• Governments – can be both borrowers and savers
The Clients- The household sector
• How to invest money
Interested in a wide array of assets depending on their
economic situation
– Tax: different tax brackets
– Risk:
• risk tolerance
• hedging demand
• diversification
The Clients- Business Firms
• How to raise money to finance their
investments in real assets
– Borrow from banks or issue bonds
– Issue stocks
• Get the best price
• At the lowest cost
Table 1.4 Balance Sheet of
Nonfinancial U.S. Business
The Clients- Governments
• Raise money to finance their expenditures
by borrowing
– No stock issue
– Treasury bonds/Treasury bills
• special advantage
– Creditworthy
– At lowest rate
• Regulate the financial environment
1.4 The environment responds to
clientele demands
The environment responds to
clientele demands
• When clients demand, the profit-seeking
suppliers provide service with charge, leading to
diversity of financial markets
• Financial Intermediaries
–
–
–
–
Banks
Investment companies
Insurance companies
Credit unions
• Investment Bankers
Financial Intermediaries
• Sell their own liabilities to raise funds that
are used to purchase liabilities of other
corporations
• Banks, investment companies, insurance
companies, credit unions
Financial Intermediaries
• Banks
– What banks do?
• Raise funds (deposit)
• Lend to other borrowers (loan)
– What service banks provide ?
• Convenience and cost saving (problem of
coordination)
– What profit banks get ?
• Interest Spread
Financial Intermediaries
• Assets and liabilities are overwhelmingly
financial
– To channel household savings to business
sector
• Pool small /lend to large
• Diversification
• Expertise
Table 1.3 Balance Sheet of Commercial Banks
Financial Intermediaries
• Investment companies- mutual fund
– What they do?
• Pool money
• Large-scale trading
– What service they provide ?
• As an investment agent, convenience, cost saving,
specialization
– What profit they get ?
• Management fee
Investment banking
• Services to firms
– Advise the issuing firm on prices, market conditions,
appropriate interest rate, etc
– Handle the marketing of the security issue to the
public
– Importance of their reputation
Financial Innovation and Derivatives
• Responses to perceived profit opportunities
created by as-yet unsatisfied demands for
securities with particular risk, return, tax and
timing attributes
• Innovative security design
– Securitization of Mortgages: GNMA pass-through
security
– Derivative securities /Primitive security
Financial Innovation and Derivatives
• Primitive security
– Offer returns based only on the status of the issuer
• Bond: on the solvency of the issuing firm
• Stock: firm’s financial position
• Derivative securities
– yield returns depending on additional factors
pertaining to the prices of other assets
• Stock option: on price of the underlying stock
Responses to taxation and regulation
• Examples:
– Regulation Q—Eurodollar market
– Tax avoidance – Zero-Coupon bond
1.5 The Investment Process
Investment Process
• Saving - insured bank account
• Investing - choose what assets to hold
• An investor’s portfolio
– Collection of investment assets
• Top-down portfolio construction
Two types of decisions to construct portfolio
– Asset allocation
– Security selection
• Security analysis
1.6 Markets and
Market Structure
Markets and Market Structure
• Direct search market
– Sporadic, low-priced, nonstandard goods
– Example, used goods
• Brokered market
–
–
–
–
Offer search service to buyers and sellers
Example, real estate market
Primary market, investment bankers act as brokers
Block transactions, brokers or block houses search
directly for other large traders
Markets and Market Structure
• Dealer markets
– Dealers specialize in various assets, trade assets for
their own accounts
– Profit is bid-ask spread
• Auction market
– All transactors in a good converge at one place to
bid on or offer a good
1.7 RECENT TRENDS
Globalization
• Managing foreign exchange
• Diversification to improve performance
• Instruments and vehicles continue to develop
(WEBs)
• Information and analysis improves
Globalization
• Ways of foreign investment (U.S)
– ADR (American Depository Receipts)
• Represent claims to shares of foreign stocks
–
–
–
–
Purchase foreign securities offered in dollar
Buy mutual funds that invest internationally
Buy derivatives that depend on foreign securities
WEBS (world equity benchmark shares)
• Trade portfolios of foreign stocks in a selected country,
tracking the performance of an index for that country
Securitization
• Allow borrowers to enter capital markets
directly, pools of loans are aggregated into
pass-through securities
Figure 1.2 Asset-backed Securities
Outstanding
Financial Engineering
• Use of mathematical models and computer-based
trading technology to synthesize new financial
products
• Repackaging Services of Financial Intermediaries
• Bundling and unbundling of cash flows
• Examples: strips, CMOs, dual purpose funds,
principal/interest splits
Unbundling – Mortgage Security
Computer Networks
• Online trading
• Information made cheaply and widely available
• Direct trading among investors
CHAPTER 2
Financial Market and
Financial Instruments
Financial Market
• Money Market
– Short-term, marketable, liquid, low-risk debt
securities
• Capital Market – longer-term riskier securities
– Bond Market
– Equity Market
– Derivative Market
2.1 MONEY MARKET
Money Market
•
•
•
•
•
Treasury Bills: government issue
Certificates of Deposit (CD): time deposit
Commercial Paper: short-term unsecured
Banker’s Acceptance: order to a bank to pay
Eurodollar: dollar denominated deposits at foreign
banks
• Repos and Reverses: agreement，government
securities, sell and buy back overnight
Money Market
• Federal Funds: funds in the bank’s reserve account,
overnight, federal funds rate
• LIBOR market: London interbank Offered Rate, lend
money among banks
• SHIBOR
T-Bill
• Government borrowing, highly liquid (Easily
converted to cash)
• Buy at discount, sell at face value at maturity
– Bid price
– Asked price
– Bid-ask spread
• Bank-discount method
– Annualized based on a 360-day year
T-Bill
T-Bill 贴现国债
Commercial Paper – 短期融资券
央行票据
报价
回购报价
附息国债
2.2 BOND MARKET
Bond Market
•
•
•
•
•
•
•
Treasury Notes and Bonds
Federal Agency Debt
International Bonds
Inflation-Protected Bonds
Municipal Bonds
Corporate Bonds
Mortgages and Mortgage-Backed Securities
Treasury Notes and Bonds
• Maturities
– Notes – maturities up to 10 years
– Bonds – maturities in excess of 10 years
• Par Value - $1,000
• Coupon payment, semiannual interest payment
• Quotes – percentage of par
Figure 2.4 Treasury Notes
and Bonds
Federal Agency Debt
• The government agencies
– Borrows money by issuing securities
– Lend money to institutions to be lent to individuals
• Major issuers
– Federal Home Loan Bank(联邦住宅贷款银行)
– Federal National Mortgage Association，Fannie Mae
• 联邦国民抵押贷款协会，“房利美” , federally sponsored
– Government National Mortgage Association， Ginnie Mae
• 政府国民抵押贷款协会，“吉利美” , government-owned
– Federal Home Loan Mortgage Corporation，Freddie MAC
• 联邦住宅抵押贷款公司，“房地美”,federally sponsored
Inflation-Protected Bonds
• Bond linked to an index of the cost of living
– Way to hedge inflation risk
• TIPS (treasury inflation-protected securities)
– Principal amount is adjusted in proportion to
increases in the CPI
Municipal Bonds
• Issued by state and local governments
• Interest income is exempt from federal income
taxation/state/local taxation
• Types
– General obligation bonds
– Revenue bonds
• Industrial revenue bonds
• Maturities – range up to 30 years
Figure 2.5 Outstanding
Tax-exempt Debt
Municipal Bond Yields
• Interest income on municipal bonds is not subject to
federal and sometimes state and local tax
• To compare yields on taxable securities a Taxable
Equivalent Yield is constructed
• R(1-T)=Rm
– Example: tax bracket is 30%, would you prefer to earn a 6%
taxable return or a 4% tax-free return? What is the equivalent
taxable yield of the 4% tax-free yield
Corporate Bonds
• Issued by private firms
• Semi-annual interest payments
• Subject to larger default risk than government
securities
• Options in corporate bonds
– Callable
– Convertible
Mortgages and
Mortgage-backed Securities
• Developed in the 1970s to help liquidity of
financial institutions
• Proportional ownership of a pool or a specified
obligation secured by a pool
• Market has experienced very high rates of
growth
Mortgages and
Mortgage-backed Securities
• What is the lenders’ difficulties led by fixed-rate
mortages
– Interest rate risk
• Short-term liabilities, while long-term assets
• Suffer losses when interest rates increased
• Adjustable-rate mortgage
• Mortgage-backed security
– Securitization of mortgage loans
Figure 2.8 Mortgage-Backed
Securities Outstanding
2.3 EQUITY MARKET
Equity Market
• Common Stock
– Represent ownership shares in a corporation
• Vote
• Financial benefit
– Characteristics
• Residual claim: last in line to have claim on the assets and
income of the corporation
• Limited liabilities
Equity Market
• Example:
– if you buy 100 shares of IBM, what are you entitled?
What is the most money you can make over the next
year? If you pay $50 per share, what is the most
money you could lose over the next year?
Equity Market
• Board of directors
– Elected by the shareholders
– Meet a few times each year
– Select managers who actually run the corporation
• Managers’ authority
• Vote by proxy
• Mechanisms to alleviate agency problems
– Compensation schemes, oversight by outsiders,
threat of proxy contest, threat of takeover
Equity Market
• Preferred Stock
–
–
–
–
–
Fixed amount of income each year
Not convey voting power
Preferred dividend cumulative
Not tax-deductible
Ranks after bonds
2.4 STOCK INDEXES
Stock Indexes
• Representative
• How is it weighted
– Price weighted (DJIA)
– Market value weighted (S&P 500, NASDAQ)
– Equal (Value Line Index)
Stock Indexes
• Price-weighted average index
• Dow Jones Industrial Average (DJIA)
– 30 large, blue-chip, simple average
– measures the return on a portfolio that holds one share of
each stock
• Market-value-weighted index
•
Standard & Poor’s Indexes 500
– measures the return holding a portfolio of all 500 firms in
the index in proportion to their market values
•
•
Offer ways of comparing performance of managers
Base of derivatives
DJIA Price-Weighted Average
•
•
•
Compute the return of the portfolio using price-weighted average
Initial portfolio value =$25 + $100 = $125;
Final value =$30 + $ 90 = $120
Percentage change in portfolio value =-5/125=-0.4%
Compute the return of the index using price-weighted average
Initial index value = (25 + 100)/2 = 62.5;
Final index value = (30 + 90)/2 = 60
Percentage change in index =-2.5/62.5 = -.04 = -4%
If the XYZ split 2 for 1 ? To keep the initial index unchanged, calculate the new
divisor
DJIA Price-Weighted Average
• Suppose XYZ : split two for one
– Initial price: 25, 100/2=50 (50+25)/2=37.5<62.5
• The divisor (d) must be reduced to a value that leaves
the average unaffected
– (50+25)/d=62.5
– d=1.2
– Final price: 30, 90/2=45
– Final index: (30+45)/1.2=62.5
S&P’s Composite 500
Market Value-Weighted Index
• ABC would have five times the weight given to XYZ
Initial value =
$25×20 + $100×1 = $600
Final value
=
$30 ×20+ $ 90×1 = $690
Percentage change in portfolio value =690/600=1.15
Assume: Initial index value = 100
Final index value = 100*1.15=115
Figure 2-10 Comparative Performance of
Several Stock Market Indexes
2.5 DERIVATIVE MARKETS
Derivative Securities
• Derivative Assets or Contingent Claims
– The instruments provide payoffs that depend on
the values of other assets such as commodity
prices, bond and stock prices, or market index
values
Derivative Securities
Futures
• Basic Positions
Options
• Basic Positions
– Long (Buy)
– Short (Sell)
– Call (Buy)
– Put (Sell)
• Terms
– Delivery Date
– Price/quantity
– Assets
• Terms
– Exercise Price/quantity
– Expiration Date
– Assets
•
央行票据
附息国债
企业债
金融债
homework
• 1、请给出我国上海证券交易所综合指数
（沪指）和深圳证券交易所综合指数（深
指）的计算方式，并说明他们是价格加权
平均指数还是价值加权平均指数
• 2 习题