博迪投資學(xué)第九版課件

博迪投資學(xué)第九版課件第一頁，共29頁。Theyieldcurveisagraphthatdisplaystherelationshipbetweenyieldandmaturity.Informationonexpectedfutureshorttermratescanbeimpliedfromtheyieldcurve.OverviewofTermStructure第一頁2第二頁，共29頁。Figure15.1TreasuryYieldCurves第二頁3第三頁，共29頁。BondPricingYieldsondifferentmaturitybondsarenotallequal.Weneedtoconsidereachbondcashflowasastand-alonezero-couponbond.Bondstrippingandbondreconstitutionofferopportunitiesforarbitrage.Thevalueofthebondshouldbethesumofthevaluesofitsparts.第三頁4第四頁，共29頁。Table15.1PricesandYieldstoMaturitiesonZero-CouponBonds($1,000FaceValue)第四頁5第五頁，共29頁。Example15.1ValuingCouponBondsValuea3year,10%couponbondusingdiscountratesfromTable15.1:Price=$1082.17andYTM=6.88%6.88%islessthanthe3-yearrateof7%.第五頁6第六頁，共29頁。TwoTypesofYieldCurvesPureYieldCurveThepureyieldcurveusesstrippedorzerocouponTreasuries.Thepureyieldcurvemaydiffersignificantlyfromtheon-the-runyieldcurve.On-the-runYieldCurveTheon-the-runyieldcurveusesrecentlyissuedcouponbondssellingatornearpar.Thefinancialpresstypicallypublisheson-the-runyieldcurves.第六頁7第七頁，共29頁。YieldCurveUnderCertaintySupposeyouwanttoinvestfor2years.Buyandholda2-yearzero-or-Rolloveraseriesof1-yearbondsEquilibriumrequiresthatbothstrategiesprovidethesamereturn.第七頁8第八頁，共29頁。Figure15.2Two2-YearInvestmentPrograms第八頁9第九頁，共29頁。YieldCurveUnderCertaintyBuyandholdvs.rollover:Nextyear’s1-yearrate(r2)isjustenoughtomakerollingoveraseriesof1-yearbondsequaltoinvestinginthe2-yearbond.第九頁10第十頁，共29頁。SpotRatesvs.ShortRatesSpotrate–theratethatprevailstodayforagivenmaturityShortrate–therateforagivenmaturity(e.g.oneyear)atdifferentpointsintime.Aspotrateisthegeometricaverageofitscomponentshortrates.第十頁11第十一頁，共29頁。ShortRatesand

YieldCurveSlopeWhennextyear’sshortrate,r2,isgreaterthanthisyear’sshortrate,r1,theyieldcurveslopesup.Mayindicateratesareexpectedtorise.Whennextyear’sshortrate,r2,islessthanthisyear’sshortrate,r1,theyieldcurveslopesdown.Mayindicateratesareexpectedtofall.第十一頁12第十二頁，共29頁。Figure15.3ShortRatesversusSpotRates第十二頁13第十三頁，共29頁。fn=one-yearforwardrateforperiodnyn=yieldforasecuritywithamaturityofnForwardRatesfromObservedRates第十三頁14第十四頁，共29頁。Example15.4ForwardRatesTheforwardinterestrateisaforecastofafutureshortrate.Ratefor4-yearmaturity=8%,ratefor3-yearmaturity=7%.第十四頁15第十五頁，共29頁。InterestRateUncertaintySupposethattoday’srateis5%andtheexpectedshortrateforthefollowingyearisE(r2)=6%.Thevalueofa2-yearzerois:Thevalueofa1-yearzerois:第十五頁16第十六頁，共29頁。InterestRateUncertaintyTheinvestorwantstoinvestfor1year.Buythe2-yearbondtodayandplantosellitattheendofthefirstyearfor$1000/1.06=$943.40.0r-Buythe1-yearbondtodayandholdtomaturity.第十六頁17第十七頁，共29頁。InterestRateUncertaintyWhatifnextyear’sinterestrateismore(orless)than6%?Theactualreturnonthe2-yearbondisuncertain!第十七頁18第十八頁，共29頁。InterestRateUncertaintyInvestorsrequireariskpremiumtoholdalonger-termbond.Thisliquiditypremiumcompensatesshort-terminvestorsfortheuncertaintyaboutfutureprices.第十八頁19第十九頁，共29頁。ExpectationsLiquidityPreferenceUpwardbiasoverexpectationsTheoriesofTermStructure第十九頁20第二十頁，共29頁。ExpectationsTheoryObservedlong-termrateisafunctionoftoday’sshort-termrateandexpectedfutureshort-termrates.fn=E(rn)andliquiditypremiumsarezero.第二十頁21第二十一頁，共29頁。Long-termbondsaremorerisky;therefore,fngenerallyexceedsE(rn)TheexcessoffnoverE(rn)istheliquiditypremium.Theyieldcurvehasanupwardbiasbuiltintothelong-termratesbecauseoftheliquiditypremium.LiquidityPremiumTheory第二十一頁22第二十二頁，共29頁。Figure15.4YieldCurves第二十二頁23第二十三頁，共29頁。Figure15.4YieldCurves第二十三頁24第二十四頁，共29頁。InterpretingtheTermStructureTheyieldcurvereflectsexpectationsoffutureinterestrates.Theforecastsoffutureratesarecloudedbyotherfactors,suchasliquiditypremiums.Anupwardslopingcurvecouldindicate:RatesareexpectedtoriseAnd/orInvestorsrequirelargeliquiditypremiumstoholdlongtermbonds.第二十四頁25第二十五頁，共29頁。InterpretingtheTermStructureTheyieldcurveisagoodpredictorofthebusinesscycle.Longtermratestendtoriseinanticipationofeconomicexpansion.Invertedyieldcurvemayindicatethatinterestratesareexpectedtofallandsignalarecession.第二十五頁26第二十六頁，共29頁。Figure15.6TermSpread:Yieldson10-yearvs.90-dayTreasurySecuriti