公司理财讲义（3--巫和懋电子教案.ppt

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1、公司理财讲义（3）--巫和懋ThePresentValueFormulasforBondsPureDiscountBondsLevelCouponBondsConsolsforT-maturitybondswithfacevalueF.Sucharateyisknownastheyieldtomaturity(YTM).Theyieldtomaturityisacomplicatedaverageofdifferentratesofinterest.Itcanbeausefulsummarymeasure.‥‥‥‥‥‥‥‥‥‥(3.1)‥‥(3.2)‥‥‥‥‥‥‥‥‥‥‥‥(3

2、.3)YieldtoMaturityExample1.(continued):wecanconvertbondpricesinto“yieldtomaturity”()hence,yn=yieldofbondswithnperiodsastimetomaturity,alsocalled“spotrates.”Plotynagainsttimetomaturity(n)”yieldcurve”tosummarizeinformationaboutbondprices(diagram1).3.2TheTermStructureofInterestRatesFrombondpri

3、ces,wecancomputeyields,plotthe“yieldcurve”,andcomputetheimpliedforwardrates,.implied“forwardrates”yieldcurveor“spotrates”ForwardRatesisthe“break-even”interestratethatequatesthereturnsonan-periodbondtothatofa(n–1)periodbondrolledoverintoaone-yearbondinyearn.Forexample,,(geometricmean)or,soasa

4、napproximation(arithmeticmean).Similarly,ForecastofFutureInterestCanweuseforwardratesfntoforecastfutureshort-terminterestratesin,alsocalled“shortrates”？Assumethattheinvestmenthorizonisoneyear,andinvestorsareriskneutral.Example2:Considertwoinvestmentalternatives：(A)buy1-yearzero-couponbond(sa

5、fe,norisk).(B)buy2-yearzero-couponbondandsellitattheendof1styear(risky,subjecttopriceriskattheendof1styear.)842?10009261000(A)(B)i2=?PureExpectationHypothesisExpectedreturnof(A)Expectedreturnof(B)Assumethatinvestorsarerisk-neutral.Thesetwoexpectedreturnsshouldbethesame(donotworryaboutdiffere

6、ntrisksinvolvedin(A)and(B))：andweknowSo,henceTheforwardratesaremarketexpectationsoffutureshort-terminterestrates.ThisiscalledthePureExpectationsHypothesis：…….……...…….……..(3.4)LiquidityPreferenceHypothesisAssumeinvestorsareRiskaverse.Stillwithone-yearinvestmenthorizon(preferencefor“liquidity”

7、).Since(B)isriskier,(B)shouldhavehigherexpectedreturntoattractinvestors：.Hence.TheLiquidityPreferenceHypothesis:+riskpremium=f2.Ingeneral,fn-riskpremium=.…………………….……..(3.5)3.3AlternativeInvestmentRulesHowlongdoesittaketheprojectto“payback”itsinitia