財務管理基礎(chǔ) 沈洪濤課件04

CHAPTER4

TheFinancialEnvironment:Markets,Institutions,andInterestRatesFinancialmarketsTypesoffinancialinstitutionsDeterminantsofinterestratesYieldcurvesWhatisamarket?Amarketisavenuewheregoodsandservicesareexchanged.Afinancialmarketisaplacewhereindividualsandorganizationswantingtoborrowfundsarebroughttogetherwiththosehavingasurplusoffunds.TypesoffinancialmarketsPhysicalassetsvs.FinancialassetsMoneyvs.CapitalPrimaryvs.SecondarySpotvs.FuturesPublicvs.PrivateHowiscapitaltransferredbetweensaversandborrowers?DirecttransfersInvestmentbankinghouseFinancialintermediariesTypesoffinancialintermediariesCommercialbanksSavingsandloanassociationsMutualsavingsbanksCreditunionsPensionfundsLifeinsurancecompaniesMutualfundsPhysicallocationstockexchangesvs.Electronicdealer-basedmarketsAuctionmarketvs.Dealermarket(Exchangesvs.OTC)NYSEvs.NasdaqDifferencesarenarrowingThecostofmoneyTheprice,orcost,ofdebtcapitalistheinterestrate.Theprice,orcost,ofequitycapitalistherequiredreturn.Therequiredreturninvestorsexpectiscomposedofcompensationintheformofdividendsandcapitalgains.Whatfourfactorsaffectthecostofmoney?ProductionopportunitiesTimepreferencesforconsumptionRiskExpectedinflation“Nominal”vs.“Real”ratesk =representsanynominalratek* =representsthe“real”risk-freerateofinterest.LikeaT-billrate,iftherewasnoinflation.Typicallyrangesfrom1%to4%peryear.kRF =representstherateofinterestonTreasurysecurities.Determinantsofinterestratesk=k*+IP+DRP+LP+MRPk = requiredreturnonadebtsecurityk* = realrisk-freerateofinterestIP = inflationpremiumDRP = defaultriskpremiumLP = liquiditypremiumMRP = maturityriskpremiumPremiumsaddedtok*fordifferenttypesofdebtIPMRPDRPLPS-TTreasuryL-TTreasuryS-TCorporateL-TCorporateYieldcurveandthetermstructureofinterestratesTermstructure–relationshipbetweeninterestrates(oryields)andmaturities.Theyieldcurveisagraphofthetermstructure.ATreasuryyieldcurvefromOctober2002canbeviewedattheright.Constructingtheyieldcurve:InflationStep1–Findtheaverageexpectedinflationrateoveryears1ton:Constructingtheyieldcurve:

InflationSuppose,thatinflationisexpectedtobe5%nextyear,6%thefollowingyear,and8%thereafter. IP1=5%/1=5.00% IP10=[5%+6%+8%(8)]/10=7.50% IP20=[5%+6%+8%(18)]/20=7.75%MustearntheseIPstobreakevenvs.inflation;theseIPswouldpermityoutoearnk*(beforetaxes).Constructingtheyieldcurve:InflationStep2–Findtheappropriatematurityriskpremium(MRP).Forthisexample,thefollowingequationwillbeusedfindasecurity’sappropriatematurityriskpremium.Constructingtheyieldcurve:MaturityRiskUsingthegivenequation: MRP1=0.1%x(1-1)=0.0% MRP10=0.1%x(10-1)=0.9% MRP20=0.1%x(20-1)=1.9%Noticethatsincetheequationislinear,thematurityriskpremiumisincreasinginthetimetomaturity,asitshouldbe.AddtheIPsandMRPstok*tofindtheappropriatenominalratesStep3–Addingthepremiumstok*.kRF,t=k*+IPt+MRPtAssumek*=3%,kRF,1 =3%+5.0%+0.0%=8.0%kRF,10 =3%+7.5%+0.9%=11.4%kRF,20 =3%+7.75%+1.9%=12.65%HypotheticalyieldcurveAnupwardslopingyieldcurve.Upwardslopeduetoanincreaseinexpectedinflationandincreasingmaturityriskpremium.YearstoMaturityRealrisk-freerate05101511020InterestRate(%)MaturityriskpremiumInflationpremiumWhatistherelationshipbetweentheTreasuryyieldcurveandtheyieldcurvesforcorporateissues?CorporateyieldcurvesarehigherthanthatofTreasurysecurities,thoughnotnecessarilyparalleltotheTreasurycurve.ThespreadbetweencorporateandTreasuryyieldcurveswidensasthecorporatebondratingdecreases.IllustratingtherelationshipbetweencorporateandTreasuryyieldcurves051015015101520YearstoMaturityInterestRate(%)5.2%5.9%6.0%TreasuryYieldCurveBB-RatedAAA-RatedPureExpectationsHypothesisThePEHcontendsthattheshapeoftheyieldcurvedependsoninvestor’sexpectationsaboutfutureinterestrates.Ifinterestratesareexpectedtoincrease,L-Trateswillbehigherthan

S-Trates,andvice-versa.Thus,theyieldcurvecanslopeup,down,orevenbow.AssumptionsofthePEHAssumesthatthematurityriskpremiumforTreasurysecuritiesiszero.Long-termratesareanaverageofcurrentandfutureshort-termrates.IfPEHiscorrect,youcanusetheyieldcurveto“backout”expectedfutureinterestrates.Anexample:

ObservedTreasuryratesandthePEH

Maturity

Yield 1year 6.0% 2years 6.2% 3years 6.4% 4years 6.5% 5years 6.5%IfPEHholds,whatdoesthemarketexpectwillbetheinterestrateonone-yearsecurities,oneyearfromnow?Three-yearsecurities,twoyearsfromnow?One-yearforwardrate 6.2% =(6.0%+x%)/2 12.4% =6.0%+x% 6.4% =x%PEHsaysthatone-yearsecuritieswillyield6.4%,oneyearfromnow.Three-yearsecurity,twoyearsfromnow 6.5% =[2(6.2%)+3(x%)/5 32.5% =12.4%+3(x%) 6.7% =x%PEHsaysthatone-yearsecuritieswillyield6.7%,oneyearfromnow.ConclusionsaboutPEHSomewouldarguethattheMRP≠0,andhencethePEHisincorrect.MostevidencesupportsthegeneralviewthatlenderspreferS-Tsecurities,andviewL-Tsecuritiesasriskier.Thus,investorsdemandaMRPtogetthemtoholdL-Tsec