第六章 证券价格分析
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第六章 证券价格分析. 东北财经大学金融学院. 第六章 证券价格分析. 第一节 : 债券价格评估与风险管理 第二节 : 股票价格评估. 第一节 债券价格评估与风险管理. 影响债券定价的因素 债券内在价值评估模型(债券估价) 债券收益率分析 债券定价原理 债券投资风险分析 即期利率与远期利率 利率的期限结构 债券投资风险管理策略 思考题. 例:一个债券,现价为 900 元,面值为 1000 元,三年到期,息率为 6% 。得到 如果通过分析,得到 问题:定价如何?如何确定 ?. Promised yield-to-maturity - PowerPoint PPT PresentationTRANSCRIPT
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: :
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90010006%
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Promised yield-to-maturity
(underpriced) (overpriced)
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yield spread
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---- Ct --- ---
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:19843020146.875%1995207.5%
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I=$1000*6.875%=$68.75 2014M=$1000 7.5% 7.5%
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V C , Mn i
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VCttinM
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P17912%20100015%
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:12%20100015% 812.18 811.08
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12----- 0.15/2=0.075,
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n=0.5
n=2
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r
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p18010002515%
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696696200661411.83%2000615141.6i=3% ,
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i=3% n=60.8375V=143.53=IRR=3.92%
- NPV NPV=V-P>0 V-P=0 V-P
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(YTM)(HPR)
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:100,10%,101, :(100x10%)/101 x100%=9.90%
=/x100%
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YTM Yield to Maturity---YTM P0 IRR P0 V
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IRR
=x+X
=
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100251000== P182
=
- 1YTM>, YTM
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iACMP0N
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I call t P callNP185
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HPR)
HPR 100()
p186
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308010008%10508%8%
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()E(HPR) EHPR
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1 M=1000C=80 n=5
P=1000i=8% P=1100i=5.65% P=900 i=10.68%
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2 P190
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3510151051510
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41 : An=5M=1000i=9%P=1082y=7% Bn=5M=1000i=7%P=1000 y=7% y=8% A P= 1039.93 42.07 3.888% B P=960.03 39.97 3.997%P190
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5 Bn=5M=1000i=7% P=1000y=7% 1%y=6% P=1042.1242.12, 4.212% 1%y=8% P=960.03 39.97 , 3.997% _P190
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Convexity
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1 2192 3)(purchasing power risk) 4)liquidity risk5)risk of call 6)default risk 7)
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--8%301150101100
6.64%6.82%
Yield to call
Yield to maturity
Coupon payment
40
40
Number of semiannual periods
20
60
Final payment
1100
1000
price
1150
1150
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1100p185
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123
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(expected yield-to-maturity)(promised yield)
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---- Duration -- AB1010% --A1001000B --6% AB
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DurationMacaulay1938DurationMacaulay
P
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Bond : coupon 80, par value 1000, maturity 3 years, price 950.25, yield to maturity 10%P195
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Duration
DurationDuration P197
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What determines duration?Duration
Zero coupon bond15% coupon YTM=6%3% coupon YTM=15%15% coupon YTM=15%Maturity
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Convexity
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Convexity 15
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Duration
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123
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(spot rate) (forward rate)
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22
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ABA934.58B857.34A
B
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1 PC M PM C
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A934.58B5%946.93 S1=1000/934.58-1=7% S2=8%
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S1=7%S2=8% f12=9.01% 9.01%
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7%8%11
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PV
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N0N
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=7.66%
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()S1=7% S2=8% 11.16641.08*1.08 10%11.1771.07*1.106%11.13421.07*1.06)
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:
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bond management Passive methods(security selection)(market timing) Active methods
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Passive methods :Immunization shield the overall financial status of the institution from exposure to interest rate fluctuations. P220 P221
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2. Active bond management -contingent immunization - - - - - -
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1.2.3.4. 5. 6. 7. 1996100010%519983%
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157%769.401000,710 A8 B8 10000ABA8950B410507
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123
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1 V D r
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2 DGM
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2
gg
g
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2
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3
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PER,price-to-earnings ratioP/EPEEPS(earnings per share)P=PER0*EPSPER0EPSPER0
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Adobe Systems
23.2
Autodesk
20.4
Broderbund
32.8
Computer Associates
18.0
Lotus Development
24.1
Microsoft
27.4
Oracle
37.8
Software Publishing
10.6
System Software
15.7
24.0
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P/E=V/E=1/r239gP/E=V/E=(1+g)/(r-g)
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:210%15% 12.5%
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30.433100%10%50%50%
4Elix 1.15 415% g1=15%; 10%g2=10% 15%
179
3%6(IRR)ExcelIRR696
p251p100p211-213p100-104wzq
p111230