【文档说明】企业财务知识资料.pptx，共(29)页，248.913 KB，由精品优选上传

转载请保留链接：https://www.ichengzhen.cn/view-270936.html

以下为本文档部分文字说明：

5-1Copyright©2001byHarcourt,Inc.Allrightsreserved.CHAPTER5TheFinancialEnvironment:Markets,Institutions,andInterestR

ates◼Financialmarkets◼Typesoffinancialinstitutions◼Determinantsofinterestrates◼Yieldcurves5-2Copyright©2001byHarcourt,Inc.Allrightsreser

ved.DefineTheseMarkets◼Marketsingeneral◼Physicalassets◼Financialassets◼Moneyvs.Capital◼Primaryvs.Secondary◼Spo

tvs.Future5-3Copyright©2001byHarcourt,Inc.Allrightsreserved.◼Directtransfer◼Investmentbankinghouse◼FinancialintermediaryThreePrimaryWaysCapi

talIsTransferredBetweenSaversandBorrowers5-4Copyright©2001byHarcourt,Inc.Allrightsreserved.BankNameCountr

yTotalassetsDeutscheBankAGGermany$735billionUBSGroupSwitzerland$687billionCitigroupUnitedStates$669billionBankofAmericaUnitedStates$618billio

nBankofTokyoJapan$580billionTheTop5BankingCompaniesintheWorld,19995-5Copyright©2001byHarcourt,Inc.Allrightsreserve

d.PhysicalLocationStockExchangesvs.ElectronicDealer-BasedMarkets◼Auctionmarketvs.Dealermarket(Exchangesvs.OTC)◼NYSEvs.Na

sdaqsystem◼Differencesarenarrowing5-6Copyright©2001byHarcourt,Inc.Allrightsreserved.◼Whatdowecalltheprice,orcost,ofdebtcapital?Theinterestrate◼

Whatdowecalltheprice,orcost,ofequitycapital?RequiredDividendCapitalreturnyieldgain=+5-7Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatfo

urfactorsaffectthecostofmoney?◼Productionopportunities◼Timepreferencesforconsumption◼Risk◼Expectedinflati

on5-8Copyright©2001byHarcourt,Inc.Allrightsreserved.“Real”Versus“Nominal”Ratesk*=Realrisk-freerate.T-bondrateifnoinflation

;1%to4%.=Anynominalrate.=RateonTreasurysecurities.kkRF5-9Copyright©2001byHarcourt,Inc.Allrightsreserved.k=k*+IP+DRP+LP+MRP.Here:k=requir

edrateofreturnonadebtsecurity.k*=realrisk-freerate.IP=inflationpremium.DRP=defaultriskpremium.LP=liquiditypremium.MRP=maturityriskpremium.5-10Copyrig

ht©2001byHarcourt,Inc.Allrightsreserved.PremiumsAddedtok*forDifferentTypesofDebt◼S-TTreasury:onlyIPforS-Tinflation◼L-TTreasury:IPforL-Tinflation

,MRP◼S-Tcorporate:S-TIP,DRP,LP◼L-Tcorporate:IP,DRP,MRP,LP5-11Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatisthe“termstru

ctureofinterestrates”?Whatisa“yieldcurve”?◼Termstructure:therelationshipbetweeninterestrates(oryields)andmaturities.◼Agraphofthet

ermstructureiscalledtheyieldcurve.5-12Copyright©2001byHarcourt,Inc.Allrightsreserved.TreasuryYieldCurve051015102

030YearstoMaturityInterestRate(%)1yr5.2%5yr5.8%10yr5.9%30yr6.0%YieldCurve(August1999)5-13Copyright©2001byHarcourt,Inc.Allrightsreserved.YieldCurveCon

structionStep1:FindtheaverageexpectedinflationrateoverYears1ton:IPn=.=n1ttINFLn5-14Copyright©2001byHarcourt,Inc.Allrightsre

served.Suppose,thatinflationisexpectedtobe5%nextyear,6%thefollowingyear,and8%thereafter.IP1=5%/1.0=5.00%.IP10=[5+6+8(8)]/10=7.

50%.IP20=[5+6+8(18)]/20=7.75%.MustearntheseIPstobreakevenvs.inflation;theseIPswouldpermityoutoearnk*(beforetaxes).5-15Copyr

ight©2001byHarcourt,Inc.Allrightsreserved.Step2:FindMRPBasedonThisEquation:MRPt=0.1%(t–1).MRP1=0.1%x0=0.0%.MRP10=0.1%x9=0.9%.MRP20

=0.1%x19=1.9%.5-16Copyright©2001byHarcourt,Inc.Allrightsreserved.Step3:AddtheIPsandMRPstok*:kRFt=k*+IPt+MRPt.kRF=Quoted

marketinterestrateontreasurysecurities.Assumek*=3%:kRF1=3.0%+5.0%+0.0%=8.0%.kRF10=3.0%+7.5%+0.9%=11.4%.kRF20=3.00%+7.75%+1.90%=

12.65%.5-17Copyright©2001byHarcourt,Inc.Allrightsreserved.HypotheticalTreasuryYieldCurve05101511020YearstoMatur

ityInterestRate(%)1yr8.0%10yr11.4%20yr12.65%Realrisk-freerateInflationpremiumMaturityriskpremium5-18Copyright©2001byHarcourt,Inc.Allrights

reserved.Whatfactorscanexplaintheshapeofthisyieldcurve?◼Thisconstructedyieldcurveisupwardsloping.◼Thisisduetoincreasingexpectedinflationandanincrea

singmaturityriskpremium.5-19Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatkindofrelationshipexistsbetweent

heTreasuryyieldcurveandtheyieldcurvesforcorporateissues?◼CorporateyieldcurvesarehigherthanthatoftheTreasurybond.However,

corporateyieldcurvesarenotneces-sarilyparalleltotheTreasurycurve.◼Thespreadbetweenacorporateyieldcurveand

theTreasurycurvewidensasthecorporatebondratingdecreases.5-20Copyright©2001byHarcourt,Inc.Allrightsreserved.Hypotheti

calTreasuryandCorporateYieldCurves051015015101520YearstomaturityInterestRate(%)5.2%5.9%6.0%TreasuryyieldcurveBB-RatedAAA-Rated5-21Copyrigh

t©2001byHarcourt,Inc.Allrightsreserved.HowdoesthevolumeofcorporatebondissuescomparetothatofTreasurysecurities?Recently,thevo

lumeofinvestmentgradecorporatebondissueshasovertakenTreasuryissues.‘95‘96‘97‘98‘99600450300150GrossU.S.TreasuryIssuance(inblue)Invest

mentGradeCorporateBondIssuance(inred)Billionsofdollars5-22Copyright©2001byHarcourt,Inc.Allrightsreserved.ThePureExpectationsHypothesis(PEH)◼Sh

apeoftheyieldcurvedependsontheinvestors’expectationsaboutfutureinterestrates.◼Ifinterestratesareexpectedtoincrease,L-TrateswillbehigherthanS-Tra

tesandviceversa.Thus,theyieldcurvecanslopeupordown.5-23Copyright©2001byHarcourt,Inc.Allrightsreserved.◼PEHassumesthatMRP=0.◼Lon

g-termratesareanaverageofcurrentandfutureshort-termrates.◼IfPEHiscorrect,youcanusetheyieldcurveto“backout”expe

ctedfutureinterestrates.5-24Copyright©2001byHarcourt,Inc.Allrightsreserved.ObservedTreasuryRatesMaturity1year2years3years4years5yearsYield6.0

%6.2%6.4%6.5%6.5%IfPEHholds,whatdoesthemarketexpectwillbetheinterestrateonone-yearsecurities,oneyearfromno

w?Three-yearsecurities,twoyearsfromnow?5-25Copyright©2001byHarcourt,Inc.Allrightsreserved.01256.0%34x%6.2%PEHtellsus

thatone-yearsecuritieswillyield6.4%,oneyearfromnow(x%).6.2%=12.4%=6.0+x%6.4%=x%.(6.0%+x%)25-26Copyright©2001byHarcourt,Inc.Allrightsreserved.01256

.2%34x%6.5%[2(6.2%)+3(x%)]5PEHtellsusthatthree-yearsecuritieswillyield6.7%,twoyearsfromnow(x%).6.5%=32.5%=12.4%+3(x%)20.1%=3(x%)

6.7%=x%.5-27Copyright©2001byHarcourt,Inc.Allrightsreserved.◼SomearguethatthePEHisn’tcorrect,becausesecuritiesofdiffere

ntmaturitieshavedifferentrisk.◼Generalview(supportedbymostevidence)isthatlenderspreferS-Tsecurities,andviewL-Tsecuritiesasriskier.◼Thu

s,investorsdemandaMRPtogetthemtoholdL-Tsecurities(i.e.,MRP>0).ConclusionsaboutPEH5-28Copyright©2001byHarcourt

,Inc.Allrightsreserved.Whatvarioustypesofrisksarisewheninvestingoverseas?Countryrisk:Arisesfrominvestingord

oingbusinessinaparticularcountry.Itdependsonthecountry’seconomic,political,andsocialenvironment.Exchangeraterisk:Ifinvestme

ntisdenominatedinacurrencyotherthanthedollar,theinvestment’svaluewilldependonwhathappenstoexchangerate.5-29Copyright©20

01byHarcourt,Inc.Allrightsreserved.TwoFactorsLeadtoExchangeRateFluctuations1.Changesinrelativeinflationwillleadtochangesinexchan

gerates.2.Anincreaseincountryriskwillalsocausethatcountry’scurrencytofall.