金融學(xué)第二版課件Chapter07

1、Chapter 7 Contents7.1 資產(chǎn)價(jià)值和價(jià)格的關(guān)系7.2 價(jià)值最大化和金融決策7.3 一價(jià)定律與套利7.4 套利與金融資產(chǎn)價(jià)格7.5 利率與一價(jià)定律7.6 匯率與三角套利7.7 用參照物估值7.8 估值模型7.9 價(jià)值的會(huì)計(jì)度量7.10 信息如何反映在證券價(jià)格之中？7.11 有效市場(chǎng)假說1Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallIntroductionRecall that the three pillars of finance are貨幣的時(shí)間價(jià)值風(fēng)險(xiǎn)管理資產(chǎn)估值許多金融決策本質(zhì)上是一

2、項(xiàng)資產(chǎn)價(jià)值的決定2Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallIntroduction (Continued)資產(chǎn)估值的關(guān)鍵是將待賦值的資產(chǎn)與具有類似特征和已知價(jià)值的一組資產(chǎn)的比較根據(jù)“一價(jià)定律”（law of one price），所有等同（equivalent）資產(chǎn)的價(jià)格必須相同3Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7.1 Relationship between Assets Value and Its P

3、riceDefinition: 一項(xiàng)資產(chǎn)的“基本價(jià)值”是自由、競(jìng)爭市場(chǎng)上，消息靈通的投資者購買它必須支付的價(jià)格4Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallRelationship between Asset Value and Price對(duì)一項(xiàng)資產(chǎn)來說，可能存在市場(chǎng)價(jià)格與基本價(jià)值之間暫時(shí)的差異證券分析師以發(fā)現(xiàn)這些偏差為生許多消息靈通的職業(yè)人士尋找這些偏差。一個(gè)合理的初始假設(shè)是偏差較小5Copyright 2009 Pearson Education, Inc. Publishing as Prentice

4、 Hall7.2 Value Maximization and Financial Decisions金融決策可以純粹基于價(jià)值最大化理性地做出，不管風(fēng)險(xiǎn)偏好和預(yù)期如何金融資產(chǎn)市場(chǎng)提供了在一些選項(xiàng)之間進(jìn)行選擇所需要的信息6Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7.3 The Law of One Price and ArbitrageLaw of One Price: 在一個(gè)競(jìng)爭性市場(chǎng)，若兩項(xiàng)資產(chǎn)等同，則其價(jià)格傾向于相同7Copyright 2009 Pearson Education, Inc. Pu

5、blishing as Prentice HallThe Law of One Price and Arbitrage“一價(jià)定律”由所謂“套利”過程強(qiáng)制實(shí)施套利是指購買一組資產(chǎn)并立即出售，以從價(jià)差中賺取無風(fēng)險(xiǎn)利潤?！靖_地講，套利指不使用自有資金便可無風(fēng)險(xiǎn)地賺錢?！?Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallThe Law of One Price and Arbitrage套利者從事具有價(jià)差的類似資產(chǎn)的貿(mào)易，該價(jià)差不能由交易和轉(zhuǎn)換成本完全解釋Exle: 一國內(nèi)任意兩地的黃金價(jià)格不應(yīng)當(dāng)相差超過運(yùn)輸該黃金

6、的交易成本【楊百萬在證券市場(chǎng)興起初期在上海、安徽兩地之間進(jìn)行“國庫券”套利】9Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7.4 Arbitrage and the Prices of Financial Assets實(shí)物商品（黃金）套利意味著比金融資產(chǎn)（股票）套利更高的交易成本我們預(yù)期兩個(gè)市場(chǎng)上相同金融品交易的價(jià)格非常接近10Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallArbitrage and the Prices

7、of Financial Assets一價(jià)定律是金融中最基礎(chǔ)的估值原則若兩項(xiàng)非常相似的證券以顯著不同的價(jià)格交易，我們首先懷疑正常市場(chǎng)運(yùn)作受到干涉存在一些未意識(shí)到的二者的差異 11Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallArbitrage and the Prices of Financial Assets沒有兩項(xiàng)（不同一）資產(chǎn)是完全一樣的，并且可能有很多時(shí)候兩項(xiàng)幾乎完全相同的資產(chǎn)以不同價(jià)格交易Dollar bills with certain serial numbers are very valuab

8、le to players of liars pokerNot even a dollar is always worth a dollar!【投幣公交車】12Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7.5 Interest Rates and the Law of One Price若可信度類似的組織發(fā)行條款類似的債券，則其利率也將類似需要小心保證如下方面沒有微妙的差別：債券的稅收等級(jí)抵押品價(jià)值或支持債券的資產(chǎn)價(jià)值13Copyright 2009 Pearson Education, Inc. Pub

9、lishing as Prentice Hall7.6 Exchange Rates and Triangular ArbitrageThe law of one price also applies to foreign exchange markets如果三種貨幣在競(jìng)爭性市場(chǎng)上可自由兌換，則知道任意兩種匯率就足以計(jì)算出第三種匯率14Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallTriangular ArbitrageUSAJapanUK100/$ or $0.01/0.005/ or 200/$2/ or

10、 0.5/$15Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallTriangular Arbitrage每個(gè)國家有自己的表達(dá)匯率的習(xí)慣 英國的交易者將匯率表達(dá)為“外國貨幣/英鎊”美國的交易者將匯率表達(dá)為“美元/每單位外國貨幣”在$/匯率情形中，兩個(gè)國家的交易者使用相同的匯率表達(dá)，即 2 $/ 16Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallTriangular ArbitrageIf we select the form o

11、f the rate correctly, we obtain the relationshipR/ = R/$ * R$/在設(shè)定的條件下【自由兌換、競(jìng)爭性市場(chǎng)】，這個(gè)均衡關(guān)系必須成立(or a risk-free, almost cost-less, arbitrage will immediately reestablish the equilibrium)17Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallTriangular ArbitrageMore generallyRA/C = RA/B * RB

12、/CRA/B = 1/RB/A18Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallTriangular ArbitrageMore specifically, in the exleR/ = R/$ * R$/ = 0.5 * 0.01 = 0.005R/ = 1/R/ = 1/0.005 = 200The other two pair follow the same form19Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall

13、Triangular Arbitrage如果直接匯率與間接匯率相等的關(guān)系明顯不成立，則交易者通過立即沿著圖示貨幣圈順時(shí)針或逆時(shí)針兌換貨幣就可獲得利潤 貨幣交易者可以接近政府利率的利率借入大量資金匯率偏差只存在于轉(zhuǎn)瞬間20Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7.7 Valuation Using ComparablesSome assets are not traded, or are only traded infrequently, but we still need to evaluate th

14、emThe law of one price may be used to evaluate assets, even when arbitrage can not be used to enforce the law21Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallValuation Using ComparablesTwo casesa work of art in an estate that needs to be evaluated for computation of estate taxesa

15、home that needs to be evaluated to ensure the fairness of property taxes22Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallValuation Using Comparables為了估值無交易資產(chǎn)，可以找到某交易資產(chǎn)的可比價(jià)格在一個(gè)“特征-時(shí)間”框架中思考資產(chǎn)價(jià)格是有用的相似資產(chǎn)的價(jià)格傾向于隨時(shí)間一起升降在一特定時(shí)點(diǎn)，資產(chǎn)價(jià)格的差異很大程度上可以其某些特征的差異來解釋23Copyright 2009 Pearson Education, I

16、nc. Publishing as Prentice HallValuation Using ComparablesTo evaluate a work of art, it is necessary to find assets that are “close” in feature-time spaceThe closer the features match, the longer the data collection period may beThe closer to the present time an asset was sold, the more diverse the

17、features may beBoth kinds of “closeness” are needed24Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallPastFeature DifferentialOld sale of this workRecent sale of unrelated workRecent well-matched sale 25Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallValuation Usin

18、g ComparablesIn the above diagram, the black stars indicate usable price exemplars, and the pink stars indicate poor exemplarsThe variable “feature” is a aggregate of many factors, some objective, some subjective26Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallValuation Using Comp

19、arablesExleCollect prices and feature differentials forart by the same artist: 10-years art of the same quality: 5-yearsart from the same school: 5-yearsbroadly similar art: 2-years27Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallValuation Using ComparablesFrom this information yo

20、u candetermine price trends in the general art marketobtain trend-adjusted benchmark pricesgain an understanding of how to adjust the benchmark for feature differences28Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7.8 Valuation Models一個(gè)估值模型是一種數(shù)量方法，用來從其他資產(chǎn)（并非待估值資產(chǎn)的完全等同物）的已知價(jià)格估計(jì)待估

21、值資產(chǎn)的價(jià)值所用估值模型可能依賴于估值的目的traditional shareholder v. take-over specialist29Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallStock Evaluation using P/EsThe price-over-earnings ratios of similar companies are determinedBased on these, an estimate is made of the p/e ratio of the non-priced

22、 firmThe earnings of the firm are multiplied by this p/e ratio to obtain an evaluation30Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallStock Evaluation using P/EsThe accuracy of this method depends on the appropriateness of the exemplar firmsFuture profitability, accounting method

23、s, leverage, technology, and a host of other factors, will affect the exemplars p/e ratios31Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallValuation Model RefinementYou are a security analyst for an asset You have developed a valuation model you believe is superior to valuation mo

24、dels used by other traders 假定高級(jí)模型屬私人專利，it may be difficult to exploit it32Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallValuation Model RefinementWhen a market is driven by a valuation model, using a superior model may lead to inferior trading performance用“高級(jí)”模型創(chuàng)造的套利策略的效果，有時(shí)要差于那些

25、用標(biāo)準(zhǔn)模型創(chuàng)造的策略用高級(jí)私人專利模型，對(duì)什么時(shí)候用你需要很講究33Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallP/E Ratio and Small BusinessesYou already have enough theoretical knowledge to price a small business correctly using NPVTraditionally, small businesses were priced using P/Es (sub-optimal model)This

26、leads to price aberrations from which you can still benefit (use NPV)34Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7.9 Accounting Measures of Value股東權(quán)益不是企業(yè)市值的準(zhǔn)確表示資產(chǎn)和負(fù)債不是以市值計(jì)價(jià)使資產(chǎn)負(fù)債表“盯市”是解決辦法之一無形資產(chǎn)沒有完整記錄在賬本里 企業(yè)是一個(gè)持續(xù)經(jīng)營的過程，而不只是一些實(shí)物資產(chǎn)和負(fù)債35Copyright 2009 Pearson Education, Inc. Publi

27、shing as Prentice Hall7.10 How Information is reflected in Security PricesSometimes a stock price will rise sharply with the release of informationAn important drug has achieved an important step on its road to being marketedPoor trading results are announced, but they are better than those anticipa

28、ted by tradersAn unanticipated positive Fed announcement【美聯(lián)儲(chǔ)聲明】36Copyright 2009 Pearson Education, Inc. Publishing as Prentice HallHow Information is reflected in Security PricesMarket traders form probability distributions of key stock-price determinants (Exle, sales revenue)When these distributions change to assimilate new information, the stock market reacts, and the price changesThis leads to the efficient