股息贴现模型.ppt

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1、DerivingtheDividendDiscountModelintheIntermediate金融学跨期消费模型研究不同时间人们的消费行为，涉及时间因素的的消费和储蓄。即消费者不必将每期的收入用光，他可以选择储蓄，也可以选择贷款。其预算约束线的斜率与利率有关，为-(1+R)，R是利率，然后再此预算约束现的情况下研究消费者偏好。分析的结果一般为：利率提高，人们选择少消费，更倾向于储蓄，利率降低，人们会多消费，倾向于借贷。那它的方程是什么样子的？假设只有两期,C是消费，M是收入：C2=M2+(1+R)(m1-c1)1，2都是角标。weemployedastandardtwo-pe

2、riodmodelwithconsumersmaximizingutilityU(C1,C2).Income(I)inbothperiodsisknown,thepriceofaunitofconsumption(C)inbothperiodsisequaltoone,andtheindividualcanborroworlendatthesamerisk-freeinterestrate(rf).Themaximizingagenthastwobudgetconstraintsoverthetwoperiods.Inthefirstperiod,I1=C1+BwhereBist

3、hedollarvalueofthebondspurchased.Inthesecondperiod,I2+(1+rf)B=C2FIGURE1Intertemporalconsumptionmodel.Fromthefirstbudgetconstraint,B=I1−C1andsubstitutingthatintothesecondbudgetconstraint,thisgivestheequationforthebudgetconstraintlineasC2=I2+(1+rf)(I1−C1)Theequilibriumconditionisthenstraightfor

4、wardtoderiveasfollows:Themarginalrateofsubstitution(MRS)isthetradeoffofcurrentconsumptionforfutureconsumptionthatleavestheindividualindifferent;putdifferently,theminimumamountnecessarytoreceiveinthefuturetogiveupaunitofconsumptiontoday.Aslongasthereturn(1+rf)isgreaterthantheMRSofcurrentandfut

5、ureconsumption,theindividualwillpostponeconsumptionandincreasehisutility.Theindividualwillcontinuegivingupcurrentconsumptionpreciselytothepointwherethereturnofthebondisjustsufficienttocompensatehimforwaiting.TheimportantaspectistheconceptofdiminishingMRS,thatwitheachadditionalunitofpostponedc

6、urrentconsumptiontheindividualrequiresahigherreturn(slopeofindifferencecurvegetssteeperasonemovesfromrighttoleft).Inafinanceclass,thestudenttypicallylearnsthenetpresentvalue(NPV)criteriaforinvestmentprojectsasevaluatingallprojects,rankedfromhighesttolowestrateofreturn(ROR),againsttheopportuni

7、tycostofcapital,whichisassumedtobeconstant.Todirectlycomparetheintertemporalconsumptionmodeltoconceptsinfinancerequiresconsiderationofastandardconcaveinvestmentopportunitysetthatranksinvestmentprojectsfromrighttoleftbyhighesttolowestratesofre