范里安微观第11章讲义.ppt

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1、ChapterElevenAssetMarketsStructureWhentosellanasset?Rate-of-returnArbitrageTaxationofassetreturnsApplicationsFinancialintermediariesAssets（资产）Anassetisacommoditythatprovidesaflowofservicesovertime.E.g.ahouse,oracomputer.Afinancialasset（金融资产）providesaflowofmon

2、eyovertime--asecurity.AssetsTypicallyassetvaluesareuncertain.Incorporatinguncertaintyisdifficultatthisstagesowewillinsteadstudyassetsassumingthatwecanseethefuturewithperfectcertainty.SellingAnAssetQ:Whenshouldanassetbesold?Whenitsvalueisatamaximum?No.Whynot?S

3、ellingAnAssetSupposethevalueofanassetchangeswithtimeaccordingtoSellingAnAssetValueYearsSellingAnAssetMaximumvalueoccurswhenThatis,whent=50.SellingAnAssetValueYearsMax.valueof$24,000isreachedatyear50.SellingAnAssetTherate-of-return（回报率）inyeartistheincomeear

4、nedbytheassetinyeartasafractionofitsvalueinyeart.E.g.ifanassetvaluedat$1,000earns$100thenitsrate-of-returnis10%.SellingAnAssetQ:Supposetheinterestrateis10%.Whenshouldtheassetbesold?A:Whentherate-of-returntoholdingtheassetfallsto10%.Iftherate-of-returnislowert

5、han10%,thenitisbettertoselltheassetandputtheproceedsinthebanktoearna10%rate-of-returnfrominterest.SellingAnAssetTherate-of-returnoftheassetattimetisInourexample,soSellingAnAssetTheassetshouldbesoldwhenThatis,whent=10.SellingAnAssetValueYearsMax.valueof$24,00

6、0isreachedatyear50.slope=0.1SellingAnAssetValueYearsMax.valueof$24,000isreachedatyear50.Sellat10yearseventhoughtheasset’svalueisonly$8,000.slope=0.1SellingAnAssetWhatisthepayoffatyear50fromsellingatyear10andtheninvestingthe$8,000at10%peryearfortherema

7、ining40years?SellingAnAssetWhatisthepayoffatyear50fromsellingatyear10andtheninvestingthe$8,000at10%peryearfortheremaining40years?SellingAnAssetSothetimeatwhichanassetshouldbesoldisdeterminedbyRate-of-Return=r,theinterestrate.Arbitrage(套利）Arbitrageistradingfo

8、rprofitincommoditieswhicharenotusedforconsumption.E.g.buyingandsellingstocks,bonds,orstamps.Nouncertaintyallprofitopportunitieswillbefound.Whatdoesthisimplyforpricesovertime?ArbitrageThe