资源描述：
《公司理财BondMarketandAlternativeInvestmentRules(3)资料讲解.ppt》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。
1、公司理财BondMarketandAlternativeInvestmentRules(3)ThePresentValueFormulasforBondsPureDiscountBondsLevelCouponBondsConsolsforT-maturitybondswithfacevalueF.Sucharateyisknownastheyieldtomaturity(YTM).Theyieldtomaturityisacomplicatedaverageofdifferentratesofinter
2、est.Itcanbeausefulsummarymeasure.‥‥‥‥‥‥‥‥‥‥(3.1)‥‥(3.2)‥‥‥‥‥‥‥‥‥‥‥‥(3.3)YieldtoMaturityExample1.(continued):wecanconvertbondpricesinto“yieldtomaturity”()hence,yn=yieldofbondswithnperiodsastimetomaturity,alsocalled“spotrates.”Plotynagainsttimetomaturity(n)
3、”yieldcurve”tosummarizeinformationaboutbondprices(diagram1).3.2TheTermStructureofInterestRatesFrombondprices,wecancomputeyields,plotthe“yieldcurve”,andcomputetheimpliedforwardrates,.implied“forwardrates”yieldcurveor“spotrates”ForwardRatesisthe“break-even
4、”interestratethatequatesthereturnsonan-periodbondtothatofa(n–1)periodbondrolledoverintoaone-yearbondinyearn.Forexample,,(geometricmean)or,soasanapproximation(arithmeticmean).Similarly,ForecastofFutureInterestCanweuseforwardratesfntoforecastfutureshort-ter
5、minterestratesin,alsocalled“shortrates”？Assumethattheinvestmenthorizonisoneyear,andinvestorsareriskneutral.Example2:Considertwoinvestmentalternatives：(A)buy1-yearzero-couponbond(safe,norisk).(B)buy2-yearzero-couponbondandsellitattheendof1styear(risky,subj
6、ecttopriceriskattheendof1styear.)842?10009261000(A)(B)i2=?PureExpectationHypothesisExpectedreturnof(A)Expectedreturnof(B)Assumethatinvestorsarerisk-neutral.Thesetwoexpectedreturnsshouldbethesame(donotworryaboutdifferentrisksinvolvedin(A)and(B))：andweknowS
7、o,henceTheforwardratesaremarketexpectationsoffutureshort-terminterestrates.ThisiscalledthePureExpectationsHypothesis：…….……...…….……..(3.4)LiquidityPreferenceHypothesisAssumeinvestorsareRiskaverse.Stillwithone-yearinvestmenthorizon(preferencefor“liquidity”)
8、.Since(B)isriskier,(B)shouldhavehigherexpectedreturntoattractinvestors：.Hence.TheLiquidityPreferenceHypothesis:+riskpremium=f2.Ingeneral,fn-riskpremium=.…………………….……..(3.5)3.3AlternativeInvestmentRulesHowlongdoesitta
