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ID:48182625
大小:1.76 MB
页数:44页
时间:2020-01-18
《Chap005风险与收益.ppt》由会员上传分享,免费在线阅读,更多相关内容在行业资料-天天文库。
1、CHAPTER5IntroductiontoRisk,Return,andtheHistoricalRecord风险与收益入门及历史回顾5-2InterestRateDeterminants利率水平的决定因素Supply供给Households家庭Demand需求Businesses企业Government’sNetSupplyand/orDemand政府净供给或需求FederalReserveActions美联储行为5-3RealandNominalRatesofInterest真实与名义利率Nominalinterestrate:Growthrateofyou
2、rmoney金钱增长Realinterestrate:Growthrateofyourpurchasingpower购买力增长LetR=nominalrate,r=realrateandI=inflationrate.Then:5-4EquilibriumRealRateofInterest真实利率的均衡如何达成Determinedby:Supply供给Demand需求Governmentactions政府行为Expectedrateofinflation通胀预期5-5Figure5.1DeterminationoftheEquilibriumRealRateof
3、Interest5-6EquilibriumNominalRateofInterest名义利率的均衡如何达成Astheinflationrateincreases,investorswilldemandhighernominalratesofreturn通胀上升时投资者要求更高的名义利率IfE(i)denotescurrentexpectationsofinflation,thenwegettheFisherEquation:费雪方程式Nominalrate=realrate+inflationforecast5-7TaxesandtheRealRateofInt
4、erest税收与真实利率Taxliabilitiesarebasedonnominalincome税赋是基于名义收入的Givenataxrate(t)andnominalinterestrate(R),theRealafter-taxrateis:i是通胀率Theafter-taxrealrateofreturnfallsastheinflationraterises税后真实收益被通胀侵蚀5-8RatesofReturnforDifferentHoldingPeriods比较不同持有期利率ZeroCouponBond,Par=$100,T=maturity,P=p
5、rice,rf(T)=totalriskfreereturn5-9Example5.2AnnualizedRatesofReturn收益的年化率5-10Equation5.7EAREARdefinition:percentageincreaseinfundsinvestedovera1-yearhorizon投资1年所获得的收益5-11Equation5.8APRAPR:annualizingusingsimpleinterest简单年化率5-12Table5.1APRvs.EAR两者相隔不大前者计算简便,后者更为精确5-13Table5.2Statisticsf
6、orT-BillRates,InflationRatesandRealRates,1926-2009短期国库券、通胀以及真实利率的统计数据5-14BillsandInflation,1926-2009通货膨胀与短期国库券Moderateinflationcanoffsetmostofthenominalgainsonlow-riskinvestments.低风险投资的大多数收益都会被通胀抵消AdollarinvestedinT-billsfrom1926–2009grewto$20.52,butwitharealvalueofonly$1.69.投资短期国库券名义
7、收益1:20.52,真实收益只有1:1.69Negativecorrelationbetweenrealrateandinflationratemeansthenominalraterespondslessthan1:1tochangesinexpectedinflation.名义利率在实际上也没有随着预期通胀的上升完全上涨,这说明真实利率被侵蚀的更厉害5-15Figure5.3InterestRatesandInflation,1926-2009利率与通胀5-16RiskandRiskPremiums风险与溢价HPR=HoldingPeriodReturn持有期
8、P0=Be
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