投资学Chapter 2
投资学Chap002
投资学Chap002CHAPTER 2: ASSET CLASSES AND FINANCIALINSTRUMENTSPROBLEM SETS1. Preferred stock is like long-term debt in that it typically promises a fixed paymenteach year. In this way, it is a perpetuity. Preferred stock is also like long-termdebt in that it does not give the holder voting rights in the firm.Preferred stock is like equity in that the firm is under no contractual obligation tomake the preferred stock dividend payments. Failure to make payments does not set off corporate bankruptcy. With respect to the priority of claims to the assets of thefirm in the event of corporate bankruptcy, preferred stock has a higher priority than common equity but a lower priority than bonds.2. Money market securities are called “cash equivalents” because of their greatliquidity. The prices of money market securities are very stable, and they can beconverted to cash (i.e., sold) on very short notice and with very low transactioncosts.3. (a) A repurchase agreement is an agreement whereby the seller of a securityagrees to “repurchase” it from the buyer on an agreed upon date at an agreedupon price. Repos are typically used by securities dealers as a means forobtaining funds to purchase securities.4. The spread will widen. Deterioration of the economy increases credit risk, that is,the likelihood of default. Investors will demand a greater premium on debtsecurities subject to default risk.5.6. Municipal Bond interest is tax-exempt. When facing higher marginal tax rates, ahigh-income investor would be more inclined to pick tax-exempt securities.7. a. You would have to pay the asked price of:86:14 = 86.43750% of par = $864.375b. The coupon rate is 3.5% implying coupon payments of $35.00 annually or,more precisely, $17.50 semiannually.c.Current yield = Annual coupon income/price= $35.00/$864.375 = 0.0405 = 4.05%dividends, the taxable income is: 0.30 ? $4 = $1.20Therefore, taxes are: 0.30 ? $1.20 = $0.36After-tax income is: $4.00 – $0.36 = $3.64Rate of return is: $3.64/$40.00 = 9.10%10. a. You could buy: $5,000/$67.32 = 74.27 sharesb. Your annual dividend income would be: 74.27 ? $1.52 = $112.89c. The price-to-earnings ratio is 11 and the price is $67.32. Therefore:$67.32/Earnings per share = 11 ? Earnings per share = $6.12d. General Dynamics closed today at $67.32, which was $0.47 higher than yesterday’s price. Yesterday’s closing price was: $66.8511. a. At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.333The rate of return is: (83.333/80) - 1 = 4.17%b. In the absence of a split, Stock C would sell for 110, so the value of theindex would be: 250/3 = 83.333After the split, Stock C sells for 55. Therefore, we need to find thedivisor (d) such that: 83.333 = (95 + 45 + 55)/d ? d = 2.340c. The return is zero. The index remains unchanged because the return foreach stock separately equals zero.12. a. Total market value at t = 0 is: ($9,000 + $10,000 + $20,000) = $39,000Total market value at t = 1 is: ($9,500 + $9,000 + $22,000) = $40,500Rate of return = ($40,500/$39,000) – 1 = 3.85%b.The return on each stock is as follows:r A = (95/90) – 1 = 0.0556r B = (45/50) – 1 = –0.10r C = (110/100) – 1 = 0.10The equally-weighted average is:[0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%13. The after-tax yield on the corporate bonds is: 0.09 ? (1 – 0.30) = 0.0630 = 6.30% Therefore, municipals must offer at least 6.30% yields.14. Equation (2.2) shows that the equivalent taxable yield is: r = r m /(1 – t)a. 4.00%b. 4.44%15. In an equally-weighted index fund, each stock is given equal weight regardless of its market capitalization. Smaller cap stocks will have the same weight as larger cap stocks. The challenges are as follows:Given equal weights placed to smaller cap and larger cap, equal-weighted indices (EWI) will tend to be more volatile than their market-capitalization counterparts;It follows that EWIs are not good reflectors of the broad market whichthey represent; EWIs underplay the economic importance of largercompanies;Turnover rates will tend to be higher, as an EWI must be rebalancedback to its original target. By design, many of the transactions would beamong the smaller, less-liquid stocks.16. a. The higher coupon bond.b. The call with the lower exercise price.c. The put on the lower priced stock.17. a. You bought the contract when the futures price was $3.835 (see Figure2.10). The contract closes at a price of $3.875, which is $0.04 more than theoriginal futures price. The contract multiplier is 5000. Therefore, the gain willbe: $0.04 ? 5000 = $200.00b. Open interest is 177,561 contracts.18. a. Since the stock price exceeds the exercise price, you exercise the call.The payoff on the option will be: $21.75 - $21 = $0.75The cost was originally $0.64, so the profit is: $0.75 - $0.64 = $0.11b. If the call has an exercise price of $22, you would not exercise for any stockprice of $22 or less. The loss on the call would be the initial cost: $0.30c. Since the stock price is less than the exercise price, you will exercise the put.The payoff on the option will be: $22 - $21.75 = $0.25The option originally cost $1.63 so the profit is: $0.25 ? $1.63 = ?$1.3819. There is always a possibility that the option will be in-the-money at some time prior to expiration. Investors will pay something for this possibility of a positive payoff.20.Value of call at expiration Initial Cost Profitc. 0 4 -4d. 5 4 1e. 10 4 6Value of put at expiration Initial Cost Profita. 10 6 4b. 5 6 -1c. 0 6 -6d. 0 6 -6e. 0 6 -621. A put option conveys the right to sell the underlying asset at the exercise price. Ashort position in a futures contract carries an obligation to sell the underlying asset at the futures price.22. A call option conveys the right to buy the underlying asset at the exercise price.A long position in a futures contract carries an obligation to buy the underlyingasset at the futures price.CFA PROBLEMS1.(d)2. The equivalent taxable yield is: 6.75%/(1 - 0.34) = 10.23%3. (a) Writing a call entails unlimited potential losses as the stock price rises.4. a. The taxable bond. With a zero tax bracket, the after-tax yield for thetaxable bond is the same as the before-tax yield (5%), which is greater thanthe yield on the municipal bond.b. The taxable bond. The after-tax yield for the taxable bond is:0.05? (1 – 0.10) = 4.5%c. You are indifferent. The after-tax yield for the taxable bond is:0.05 ? (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipal bond.d. The municipal bond offers the higher after-tax yield for investors in taxbrackets above 20%.5.If the after-tax yields are equal, then: 0.056 = 0.08 × (1 – t)This implies that t = 0.30 =30%.。
投资学精要 博迪 第八版 课后答案 Chapter2
CHAPTER 02 ASSET CLASSES AND FINANCIAL INSTRUMENTS mon stock is an ownership share in a publicly held corporation. Commonshareholders have voting rights and may receive dividends. Preferred stockrepresents nonvoting shares in a corporation, usually paying a fixed stream ofdividends. While corporate bonds are long-term debt by corporations, typically paying semi-annual coupons and returning the face value of the bond at maturity.2.While the DJIA has 30 large corporations in the index, it does not represent theoverall market nearly as well as the 500 stocks contained in The Wilshire index.The DJIA is simply too small.3.They are short term, very safe, and highly liquid. Also, their unit value almostnever changes.4.Treasury bills, certificates of d eposit, commercial paper, bankers’ acceptances,Eurodollars, repos, reserves, federal funds and brokers’ calls.5.American Depository Receipts, or ADRs, are certificates traded in U.S. marketsthat represent ownership in shares of a foreign company. Investors may alsopurchase shares of foreign companies on foreign exchanges. Lastly, investors may use international mutual funds to own shares indirectly.6.Because they produce coupons that are tax free.7.The fed funds rate is simply the rate of interest on very short-term loans amongfinancial institutions. The London Interbank Offer Rate (LIBOR) is the rate at which large banks in London are willing to lend money among themselves.8.General obligation bonds are backed by the local governments, while revenuebonds have proceeds attached to specific projects. A revenue bond has lessguarantees, therefore, it is riskier and will have a higher yield.9.Corporations may exclude 70% of dividends received from domestic corporationsin the computation of their taxable income.10.Limited liability means that the most shareholders can lose in event of the failureof the corporation is their original investment.11.Money market securities are referred to as “cash equivalents” because of theirgreat liquidity. The prices of money market securities are very stable, and they can be converted to cash (i.e., sold) on very short notice and with very lowtransaction costs.12.Taxable equivalent yield = .0675 / (1-.35) = .103813.a.The taxable bond. With a zero tax bracket, the after-tax yield for thetaxable bond is the same as the before-tax yield (5%), which is greaterthan the yield on the municipal bond.b.The taxable bond. The after-tax yield for the taxable bond is:0.05 x (1 – 0.10) = 4.5%c.You are indifferent. The after-tax yield for the taxable bond is:0.05 x (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipal bond.d.The municipal bond offers the higher after-tax yield for investors in taxbrackets above 20%.14.The after-tax yield on the corporate bonds is: [0.09 x (1 – 0.30)] = 0.0630 =6.30%. Therefore, the municipals must offer at least 6.30% yields.15.The equivalent taxable yield (r) is: r = rm/(1 – t)a. 4.00%b. 4.44%c. 5.00%d. 5.71%16.a.You would have to pay the asked price of:107:27 = 107.8438% of par = $1,074.438b.The coupon rate is 4.875%, implying coupon payments of $48.75 annuallyor, more precisely, $24.375 semiannually.c.Current yield = Annual coupon income/price =4.875/107.8438= 0.0452 = 4.52%17.a.The closing price today is $74.92, which is $1.82 below yesterday’s price.Therefore, yesterday’s closing price was: $74.92 + $1.82 = $76.74b.You could buy: $5,000/$74.92 = 66.74 sharesc.Your annual dividend income would be 1.90 % of $5,000, or $95.d.Earnings per share can be derived from the price-earnings (PE) ratio.Price/Earnings = 13 and Price = $74.92 so that Earnings = $74.92/13 =$5.763118.a.At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.3333The rate of return is: (83.3333/80) – 1 = 4.167%b.In the absence of a split, stock C would sell for 110, and the value of theindex would be: (95 + 45 + 110)/3 = 83.3333After the split, stock C sells at 55. Therefore, we need to set the divisor (d)such that:83.3333 = (95 + 45 + 55)/d…..d = 2.340c.The rate of return is zero. The index remains unchanged, as it should,since the return on each stock separately equals zero.19.a.Total market value at t = 0 is: (9,000 + 10,000 + 20,000) = 39,000Total market value at t = 1 is: (9,500 + 9,000 + 22,000) = 40,500Rate of return = (40,500/39,000) – 1 = 3.85%b.The return on each stock is as follows:R a = (95/90) – 1 = 0.0556R b = (45/50) – 1 = –0.10R c = (110/100) – 1 = 0.10The equally-weighted average is: [0.0556 + (-0.10) + 0.10]/3 =0.0185 = 1.85%20.The fund would require constant readjustment since every change in the price of astock would bring the fund asset allocation out of balance.21.It would increase by 19 points. (60 – 3) / 3 = 1922.Price3.4% x (87/360) = 0.8217% or a $ price of $10,000 x (1-.008217) = $9,917.83Equivalent Yield10,000 / 9,9917.83 = 1.0083 x 365/87 = 4.23%23.a.The higher coupon bondb.The call with the lower exercise pricec.The put on the lower priced stock24.a.The December maturity futures price is $5.116 per bushel. If the contractcloses at $5.25 per bushel in December, your profit / loss on each contract(for delivery of 5,000 bushels of corn) will be: ($5.25 - $5.116) x 5000 =$ 670 gain.b.There are 5114,099 contracts outstanding, representing 570,495,000bushels of corn.25.a.Yes. As long as the stock price at expiration exceeds the exercise price, itmakes sense to exercise the call.Gross profit is: $111 - $ 105 = $6Net profit = $6 – $ 22.40 = $16.40 lossRate of return = -16.40 / 22.40 = - .7321 or 73.21% lossb.Yes, exercise.Gross profit is: $111 - $ 100 = $11Net profit = $11 – $ 22.40 = $11.40 lossRate of return = -11.40 / 22.40 = 0.5089 or 50.89 % lossc. A put with exercise price $105 would expire worthless for any stock priceequal to or greater than $105. An investor in such a put would have a rateof return over the holding period of –100%.26.a.Long callb.Long putc.Short putd.Short call27.There is always a chance that the option will expire in the money. Investors willpay something for this chance of a positive payoff.28.Value of callInitial Cost Profitat expirationa. 0 4 -4b. 0 4 -4c. 0 4 -4d. 5 4 1e. 10 4 6Value of putInitial Cost Profitat expirationa. 10 6 4b. 5 6 -1c. 0 6 -6d. 0 6 -6e. 0 6 -629.The spread will widen. Deterioration of the economy increases credit risk, that is,the likelihood of default. Investors will demand a greater premium on debtsecurities subject to default risk.30.Eleven stocks have a 52 week high at least 150% above the 52 week low.Individual stocks are much more volatile than a group of stocks.31.The total before-tax income is $4. After the 70% exclusion, taxable income is:0.30 x $4 = $1.20Therefore:Taxes = 0.30 x $1.20 = $0.36After-tax income = $4 – $0.36 = $3.64After-tax rate of return = $3.64 / $40 = 9.10%32.A put option conveys the right to sell the underlying asset at the exercise price. Ashort position in a futures contract carries an obligation to sell the underlyingasset at the futures price.33.A call option conveys the right to buy the underlying asset at the exercise price.A long position in a futures contract carries an obligation to buy the underlyingasset at the futures price.CFA 1Answer: c。
投资学第2章参考答案
第1章参考答案1.实物投资与金融投资的关系：投资具体包括实物投资（real investment）和金融投资（financial investment）两大类。
其中，实物投资是与实际资产相关的，如厂房、机器、土地等生产要素，通过这类投资活动可以获得用于生产或创造的资源，即资本形成；而金融投资则是与种类繁多的金融工具相关，如股票、债券、基金、金融衍生品等，通过在金融市场上交易金融工具获取一定数量的收益。
在过去的经济运行中，大多数投资主要表现为第一种方式，即实物投资；而在现代经济中，大多数投资则是表现为金融投资方式，这种趋势与金融市场深化及金融投资机构发展密切相关。
当然，尽管在经济生活中可以区分这两类投资方式，但是这两种投资方式并非相互排斥而是相互补充的，实物投资可以为金融投资奠定重要的基础，投资主体在高度发达的金融市场上进行金融投资服务又可以大大促进实物投资的发展，这也就是通常所说的虚拟经济与实体经济的良性互动问题。
2.对于投资者来讲，进行金融投资主要出于以下几方面的目的：(1)获得收入。
投资者希望通过投资，在未来获得一系列的收入。
(2)资本保值，即为了保持原始价值而进行的投资。
投资者通过一些保守的投资方式,使资金在未来某一时点在购买力上不遭受损失。
保值是真实购买力的价值被保值，因此名义价值的增长率应该趋于通货膨胀率.(3)资本增值。
投资者通过投资，可以实现资金升值、价值增长的目标。
为实现这一目标，投资的货币价值增长率应该高于通货膨胀率，在扣除了税收和通胀等因素后，真实的收益率应该为正。
(4)获得对相关企业的控制权。
投资者，尤其是具有雄厚资金的投资者往往出于控制相关企业控制权的目的，而持有该企业的金融资产(如股票)。
3.投资决策的流程包括设定投资目标、投资工具分析、制定投资策略、投资实施和监控评价五个部分。
设定投资目标：投资过程的首要步骤，就是投资者的投资目标。
投资者应首先制订投资计划，投资计划中应包含投资者的风险收益的具体目标及限制条件。
《投资学》第2章金融市场与金融工具
《投资学》第2章金融市场与金融工具在当今的经济社会中，金融市场和金融工具扮演着至关重要的角色。
它们不仅是资金融通的重要渠道，也是投资者实现财富增值和风险管理的重要手段。
金融市场，简单来说，就是资金供求双方进行资金交易的场所。
它可以分为不同的类型，比如按照交易期限的长短，可分为货币市场和资本市场。
货币市场主要是进行短期资金融通的市场，交易的金融工具期限通常在一年以内，像国库券、商业票据、银行承兑汇票等。
这些工具具有流动性强、风险低的特点。
而资本市场则是长期资金交易的场所，包括股票市场、债券市场等，交易的金融工具期限较长，如股票、长期债券等，其风险相对较高，但潜在的收益也可能更大。
金融市场还可以按照交易对象的不同，分为现货市场和期货市场。
现货市场中，交易是即时进行的，买卖双方当场成交并交割。
而期货市场则是交易双方在未来某个约定的时间按照约定的价格进行交易，它的主要作用是帮助投资者进行套期保值和价格发现。
再来说说金融工具。
金融工具是在金融市场中可交易的金融资产，它是资金融通的载体。
常见的金融工具包括股票、债券、基金、期货、期权等。
股票，作为一种重要的金融工具，代表着对公司的所有权。
投资者购买股票，就成为了公司的股东，有权分享公司的利润，同时也要承担公司经营风险。
股票的价格会受到公司业绩、宏观经济环境、行业发展等多种因素的影响，具有较高的不确定性和波动性。
债券则是一种债务工具，是发行者向投资者借款的一种凭证。
债券通常有固定的利率和到期日，投资者在到期时可以收回本金和利息。
相比股票，债券的风险较低，但收益也相对较稳定。
基金是一种集合投资工具，它通过汇集众多投资者的资金，由专业的基金经理进行投资管理。
基金的种类繁多，有股票型基金、债券型基金、混合型基金等，可以满足不同投资者的风险偏好和投资目标。
期货和期权则是金融衍生品，它们的价值取决于基础资产的价格变动。
期货合约是双方约定在未来某个特定时间以特定价格买卖一定数量的某种商品或金融资产的标准化合约。
投资学全英文Chapter2 Securities Markets and Transactions
Securities Markets and Transactions
Securities Markets and Transactions
Learning Goals
1. Identify the basic types of securities markets and describe their characteristics.
Copyright ©2014 Pearson Education, Inc. All rights reserved. 2-7
Figure 2.1 Cover of a Preliminary Prospectus for a Stock Issue
Copyright ©2014 Pearson Education, Inc. All rights reserved.
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Broker Markets
• New York Stock Exchange (NYSE)
– – – – – Largest stock exchange—over 2,700 companies Over 350 billion shares of stock traded in 2005 Accounts for 90% of stocks traded on exchanges Specialists make transactions in key stocks Strictest listing policies
2-8
The Investment Banker’s Role
• Underwriting the Issue: purchases the security at agreedon price and bears the risk of reselling it to the public • Underwriting Syndicate: group formed by investment banker to share the financial risk of underwriting • Selling Group: other brokerage firms that help the underwriting syndicate sell issue to the public • Tombstone: public announcement of issue and role of participants in underwriting process • Investment Banker Compensation: typically in the form of a discount on the sale price of the securities
投资学第二章
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债券市场 The Bond Market
• 中期国债和长期国债(Treasury Notes and Bonds)
• 通胀保值债券(Inflation-Protected Treasury Bonds)
• 联邦机构债券(Federal Agency Debt) • 国际债券(International Bonds)
• 短期国库券: 美国政府发行的短期债务(Treasury bills: Short-term debt of U.S. government)。 – 期限在1年以下 – 买方报价与卖方报价(Bid and asked price) – 银行贴现法(Bank discount method)
• 大额存单: 银行定期存单(Certificates of Deposit: Time deposit with a bank): 到期才能提取，可转让，变现能力 强
回购：标的是政府债券，期限从1天到1个月，交易商先卖承诺买回，属证券 抵押借款行为。逆回购则相反，交易商从投资者处先买证券并协定到期售回 投资者，是证券抵押贷款行为。有政府证券抵押，期限短，安全性非常高
• 联邦基金: 银行之间超短期借款(Fed Funds: Very short-term loans between banks)。银行在联储准备金账户的资金叫联邦基金。最初是不满足法定最低 准备金的银行向有盈余的银行借款渠道，现在形成了联邦基金市场，成为大 型银行的筹资工具，是机构间超短借贷市场，个人不能直接参与。特点是期 限极短，流动性高，风险小
• 银行承兑汇票: 银行客户向银行发出在未来某一日期支付一笔款项的指令 (Bankers’ Acceptances: An order to a bank by a bank’s customer to pay a sum of money on a future date)。类似远期支票，银行背书承兑后，银行信 用代表交易者信用，因此非常安全且可在二级市场交易
博迪 投资学第八版 英文笔记CHAPTER2
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Municipal Bonds
• Issued by s t a t e and l o c a l governments • Types • General obligation bonds • Revenue bonds • I n d u s t r i a l revenue bonds • Maturities – range up t o 30 years
60
•
Percentage change in index2--25
Standard &P o o r ’ s Indexes
• Broadly based index of 500 firms • Market-value-weighted index • Index funds • Exchange Traded Funds (ETFs)
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Foreign and International Stock Market Indexes
• Nikkei (Japan) • FTSE ( F i n a n c i a l Times of London) • Dax (Germany) • MSCI (Morgan Stanley Capital
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The Bond Market
• Treasury Notes and Bonds • I n f l a t i o n - Protected Treasury Bonds • Federal Agency Debt • I n t e r n a t i o n a l Bonds • Municipal Bonds • Corporate Bonds • Mortgages and Mortgage-Backed
文库最新发布：投资学第2章
作日就是8月16日（星期一）。 递延期限为1个月，
协议期限为3个月。
33
FRA的定价
▪ 利率的预期理论：FRA定价最简单的方法
是把它看作弥补即期市场上不同到期日之
间的 “缺口”的工具。
➢ 回顾：利率期限结构理论包括预期理论、流动
性偏好、市场分割理论
qT
1 rm 1 (e 1)
qT
F0 ( S0 I )e rT S0e( r q )T
注意：债券的贴现率不等于无风险收益率？
24
远期合约的价值
▪ 0时刻：远期合约的价值为零。即交割价格
K=F0 =S0erT
▪ 任意的t时刻，根据定义，远期价格为
▪
Ft =Ster（T－t）
ST－K
▪ 空方的收益为
K－ ST
▪ 注意：任何衍生金融工具都是零和博弈。
6
▪ 定义3.2 ：远期价格（forward price）：任
意时刻t，使远期合约价值为零的价格为远
期价格。
➢ 根据无套利原理，远期合约签订之日，远期合
约价值为零，交割价格＝远期价格。
➢ 随着时间推移，远期理论价格有可能改变，而
金，投资于无风险债券，因此，一年延期的成
本就是放弃的利息收入，当然还有保管费、保
险等费用
➢ 收益：可以开办画展等
▪ 所以，远期价格随着机会成本的增加而上
升，且随着标的资产收益的增加而下降。
16
▪ 回顾：连续复利的概念
若名义利率为r，一年（期）平均付息m次，
则相应的有效利率rm为
r m
r
rm (1 ) 1 lim rm e 1
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市政债券收益率
例子: 假设你的税率是30%, 有两种债券供你选择
- 以发行国以外的货币计价的债券 --- 欧洲债券 - 如: 在英国发行的以美元计价的债券叫做欧洲美元债券。 - 在国外发行以本国货币计价的债券。 - 扬基债券是非美国的发行者在美国发行的以美元计价的债券; - 武士债券是非日本的发行者在日本发行的以日元计价的债券。
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• 2.2 债券市场
• 2.3 权益证券
• 2.4 股票市场指数 • 2.5 衍生工具市场
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INVESTMENTS | BODIE, KANE, MARCUS
资产类别
• 货币市场工具 (现金等价物或现金): 包括短期的、 流动性强的、低风险的债务债券。
• 资本市场工具: 由期限较长的,风险较大的证券组成。
• 这些金融工具提供的收益依赖于其他资产的价 值，如商品价格、债券价格、股票价格或市场 指数的价值。 • 被称为衍生资产(derivative asset), 它们的价值 随其他资产价值的变化而变化。
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INVESTMENTS | BODIE, KANE, MARCUS
期权(option)
• 赋予持有者一种买或卖的权利, 而不是义务, 所以只 有当它有利可图时才被执行。 • 看涨期权(call): 赋予其持有人在到期日或到期日之 前以执行价格购买某种资产的权利。
• 金融时报100指数 (FTSE 100) : 由金融机构FTSE (富时 集团)所编制
- 涵盖在伦敦证券交易所交易的上市而市值最大的100支股票 - 和法国的CAC-40指数, 德国的法兰克福指数并称为欧洲三大股 票指数。
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INVESTMENTS | BODIE, KANE, MARCUS
2.5 衍生工具市场
免税债券收益率图
应税等值收益率就是市政债券收益率 rm 除以 (1-t)。
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INVESTMENTS | BODIE, KANE, MARCUS
problem
1. 假设你的税率是20%, 有两种债券供你选择 1. 收益率为3%的市政债券; 2. 收益率为3.5%的公司债券。 投资者应购买哪种债券？
- 如果市场价格高于执行价格时, 那么你就可以执行权利；反之, 则放弃权利。
- 面值在100,000美元以上的 - 不可以在到期前提取, 但可以流通转让
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INVESTMENTS | BODIE, KANE, MARCUS
货币市场证券
• 商业票据(commercial paper): 非金融公司发行 的短期无担保债务票据。 • 银行承兑汇票(banker’s acceptance): 银行客 户向银行发出在未来某一日期支付一笔款项的 指令。
- 以银行信用为基础的
- 一般在国际贸易中得到广泛的运用
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INVESTMENTS | BODIE, KANE, MARCUS
货币市场证券
• 欧洲美元(Eurodollars): 存在美国以外的银行以美元 计价的存款。
- 数额巨大且期限短于6个月的定期存款 - 更少的限制而有更高的收益
• 回购协议与逆回购(repurchase agreements, RPs): 由政府证券支持的短期借款。
2. 市政债券的收益率为5.6%, 公司债券的收益率为8%, 当投资者 的税率为多少时投资两种债券是无差别的？
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INVESTMENTS | BODIE, KANE, MARCUS
债券市场
• 公司债券: 由私营企业发行直接向公众借款的方 式。
- 每半年支付一次利息 - 违约风险较高
• 抵押担保证券: 是抵押贷款的证券化。
- 包括住房贷款, 汽车贷款, 信用卡贷款, 消费贷款, 学生贷款等
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INVESTMENTS | BODIE, KANE, MARCUS
2.3 权益证券
• 普通股(common stock): 代表对公司的所有权份 额。
- 剩余追索权(residual claim): 股东对公司资产和收益的追索权位
- 是许多金融交易的参考利率
• 总结：除了短期国库券, 货币市场证券并不是没 有违约风险。
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INVESTMENTS | BODIE, KANE, MARCUS
2.2 债券市场
• 中长期国债
- 中期国债（Treasury notes) – 期限最长是10年 - 长期国债(Treasury bonds) – 期限从10年到30年不等 - 都是半年支付一次利息,称为息票支付 (coupon payments)
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INVESTMENTS | BODIE, KANE, MARCUS
货币市场证券
• 短期国库券(T-bills): 美国政府发行的短期债务。 - 变现能力最强。 - 风险最低, 一般视为无风险 - 收益免除所有的税 • 大额存单(certificate of deposit, CD): 一种银行定期存单
• 经纪人拆借:个人投资者通过保证金形式向经济 人借款来买卖股票。
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INVESTMENTS | BODIE, KANE, MARCUS
货币市场证券
• 伦敦银行同业拆借利率:(London interbank offered rate, LIBOR): 以美元计价的用于伦 敦大型银行之间互相借款的利率。
ABC
XYZ
初始市值 = 25*20 + 100*1 = 600, 最终市值 = 30*20+ 90*1 = 690 指数: 初始指数 = 100, 最终指数= 100*（ 690／600）= 115
指数变化百分比= -2.5/62.5 = -.04 = -4%
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股票市场指数
• 纳斯达克综合指数 (Nasdaq Composite Index）
- 包含所有本国和外国的上市公司的普通股 - 包括5000多家公司 - 它是市值加权指数
• 上证综合指数(Shanghai (securities) composite index)
以上海证券交易所挂牌上市的全部股票为范围 1991年7月15日起开始实时发布, 基日定为1990年12月19日， 基日指数定为100点。
• 美国存托凭证(American Depository Receipts, ADRs):一 种在美国证券市场上交易的代表对国外公司所 有权份额的凭证。
- 是美国投资者投资国外公司股票最常用的方式
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2.4 股票市场指数
• 是由证券交易所或金融服务机构编制的表明股票 行市变动的一种供参考的指示数字, 是股票市场 绩效衡量的标准。 • 中国的指数 • 美国的指数
- 包括30家大型绩优公司 - 自1896年被计算出来(1928年之前只包含20只成分股)
- 价格加权平均数 (price-weighted index), 高股价被赋予更高权 重
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价格加权平均数
股票名称
ABC XYZ
初始价格
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股票市场指数
• 恒生指数 (Hang Seng Index HSI) : 由香港恒生银行全资 附属的恒生指数服务有限公司编制
- 以33家上市股票为成份股样本
- 该指数于1969年11月24日首次公开发布，基期指数定为100。
INVESTMENTS | BODIE, KANE, MARCUS
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股票市场指数
• 深证成指: 是深圳证券交易所的主要股指
- 具有市场代表性的40家上市公司作为成份股 - 从1995年5月1日起开始计算, 基数为1000点。
• 沪深300指数: 是沪深证券交易所联合发布
- 反映A股市场整体走势的指数 - 覆盖了沪深市场60%左右的市值, 其中沪市有179只, 深市121只 , 于2005年4月8日起开始计算, 基点为1000点。
– 债务证券 – 权益证券 – 衍生工具
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2.1 货币市场 (money market)
• 是固定收益市场的一部分: 这种证券是短 期的、流动的、低风险的，通常交易面 额很大。 • 货币市场基金使得个人投资者可以购买 各种货币市场证券。
• 通胀保值债券(Treasury Inflation-Protected Securities)
- TIPS: 规避通货膨胀风险 - 与消费者价格指数(CPI)挂钩的债券 - 固定息票率和浮动本金额
INVESTMENTS | BODIE, KANE, MARCUS
9 பைடு நூலகம்0
债券市场
• 国际债券: 公司在国外发行的债券。
第二章
资产类别与金融工具
INVESTMENTS | BODIE, KANE, MARCUS
McGraw-Hill/Irwin
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