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1、Chapter ElevenAsset Markets资金市场资金市场StructureuWhen to sell an asset?Rate-of-returnuArbitrageuTaxation of asset returnsuDepletable resourcesuFinancial intermediariesAssets（资产）uAn asset is a commodity that provides a flow of services over time.uE.g.a house,or a computer.uA financial asset（金融资产）金融资产）pro
2、vides a flow of money over time-a security.AssetsuTypically asset values are uncertain.Incorporating uncertainty is difficult at this stage so we will instead study assets assuming that we can see the future with perfect certainty.Selling An AssetuQ:When should an asset be sold?uWhen its value is at
3、 a maximum?uNo.Why not?Selling An AssetuSuppose the value of an asset changes with time according toSelling An AssetValueYearsSelling An AssetMaximum value occurs whenThat is,when t=50.Selling An AssetValueYearsMax.valueof$24,000is reachedat year 50.Selling An AssetuThe rate-of-return（回报率）回报率）in yea
4、r t is the income earned by the asset in year t as a fraction of its value in year t.uE.g.if an asset valued at$1,000 earns$100 then its rate-of-return is 10%.Selling An AssetuQ:Suppose the interest rate is 10%.When should the asset be sold?uA:When the rate-of-return to holding the asset falls to 10
5、%.uIf the rate-of-return is lower than 10%,then it is better to sell the asset and put the proceeds in the bank to earn a 10%rate-of-return from interest.Selling An AssetThe rate-of-return of the asset at time t isIn our example,soSelling An AssetThe asset should be sold whenThat is,when t=10.Sellin
6、g An AssetValueYearsMax.valueof$24,000is reachedat year 50.Sell at 10 yearseven though theassets value isonly$8,000.slope=0.1Selling An AssetuWhat is the payoff at year 50 from selling at year 10 and then investing the$8,000 at 10%per year for the remaining 40 years?Selling An AssetSo the time at wh
7、ich an asset should besold is determined byRate-of-Return=r,the interest rate.Arbitrage(套利）uArbitrage is trading for profit in commodities which are not used for consumption.uE.g.buying and selling stocks,bonds,or stamps.uNo uncertainty all profit opportunities will be found.What does this imply for
8、 prices over time?ArbitrageuThe price today of an asset is p0.Its price tomorrow will be p1.Should it be sold now?uThe rate-of-return from holding the asset isI.e.ArbitrageuSell the asset now for$p0,put the money in the bank to earn interest at rate r and tomorrow you haveArbitrageuWhen is not selli
9、ng best?WhenI.e.if the rate-or-return to holding the asset the interest rate,then keep the asset.uAnd if thenso sell now for$p0.ArbitrageuIf all asset markets are in equilibrium then for every asset.uHence,for every asset,todays price p0 and tomorrows price p1 satisfyuNo arbitrage condition（无套利条件）无套
10、利条件）ArbitrageI.e.tomorrows price is the future-value oftodays price.Equivalently,I.e.todays price is the present-valueof tomorrows price.Arbitrage in BondsuBonds“pay interest”.Yet,when the interest rate paid by banks rises,the market prices of bonds fall.Why?Arbitrage in BondsuA bond pays a fixed st
11、ream of payments of$x per year,no matter the interest rate paid by banks.uAt an initial equilibrium the rate-of-return to holding a bond must be R=r,the initial bank interest rate.uIf the bank interest rate rises to r”r then r”R and the bond should be sold.uSales of bonds lower their market prices.T
12、axation of Asset Returnsurb is the before-tax rate-of-return of a taxable asset.ure is the rate-of-return of a tax exempt asset.ut is the tax rate.uThe no-arbitrage rule is:(1-t)rb=reuI.e.after-tax rates-of-return are equal.Depletable ResourcesuHow do prices change over time?uRate of return by keepi
13、ng oil undergrounduNo-arbitrage condition:R=ruIf Rr,reduce extraction,price upuIf Rr,increase production,price down.Depletable ResourcesuWhat determines the price level today?uOil demand=D per yearuOil supply=SuNumber of years left:T=S/DuPrice at T:uPrice of a substitute energy at T:CuAt T:Financial Intermediaries（金融中介）uBanks,brokerages etc.facilitate trades between people with different levels of impatiencepatient people(savers)lend funds to impatient people(borrowers)in exchange for a rate-of-return on the loaned funds.both groups are better off.