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1、BondMarketandAlternativeInvestmentRules3.1ValuationofBonds3.2TheTermStructureofInterestRates3.3AlternativeInvestmentRules(1)ThePaybackPeriodRule(2)TheAverageAccountingReturn(3)TheInternalRateofReturn(4)TheProfitabilityIndex3.4WhyUseNetPresentValue?(RWJCh.5,6)3.1Valua
2、tionofBondsExample1：Supposeweobservethefollowingbondpricesfordefault-freezerocouponbonds(purediscountbond,withfacevalue$1,000)：Howarethebondpricesrelatedwithinterestrates?1yearzero:Price=9262yearzero:Price=8423yearzero:Price=7584yearzero:Price=6831yearbond2yearbond3y
3、earbond4yearbondy1y2y3y4i1i2?i4?i3?(maturitydate)ThePresentValueFormulasforBondsPureDiscountBondsLevelCouponBondsConsolsforT-maturitybondswithfacevalueF.Sucharateyisknownastheyieldtomaturity(YTM).Theyieldtomaturityisacomplicatedaverageofdifferentratesofinterest.Itcan
4、beausefulsummarymeasure.‥‥‥‥‥‥‥‥‥‥(3.1)‥‥(3.2)‥‥‥‥‥‥‥‥‥‥‥‥(3.3)YieldtoMaturityExample1.(continued):wecanconvertbondpricesinto“yieldtomaturity”()hence,yn=yieldofbondswithnperiodsastimetomaturity,alsocalled“spotrates.”Plotynagainsttimetomaturity(n)”yieldcurve”tosummar
5、izeinformationaboutbondprices(diagram1).3.2TheTermStructureofInterestRatesFrombondprices,wecancomputeyields,plotthe“yieldcurve”,andcomputetheimpliedforwardrates,.implied“forwardrates”yieldcurveor“spotrates”ForwardRatesisthe“break-even”interestratethatequatesthereturn
6、sonan-periodbondtothatofa(n–1)periodbondrolledoverintoaone-yearbondinyearn.Forexample,,(geometricmean)or,soasanapproximation(arithmeticmean).Similarly,ForecastofFutureInterestCanweuseforwardratesfntoforecastfutureshort-terminterestratesin,alsocalled“shortrates”？Assum
7、ethattheinvestmenthorizonisoneyear,andinvestorsareriskneutral.Example2:Considertwoinvestmentalternatives：(A)buy1-yearzero-couponbond(safe,norisk).(B)buy2-yearzero-couponbondandsellitattheendof1styear(risky,subjecttopriceriskattheendof1styear.)842?10009261000(A)(B)i2=
8、?PureExpectationHypothesisExpectedreturnof(A)Expectedreturnof(B)Assumethatinvestorsarerisk-neutral.Thesetwoexpectedreturnsshouldbet
