《投资学第5章利率史与风险溢价1studentcudc.pptx》由会员分享，可在线阅读，更多相关《投资学第5章利率史与风险溢价1studentcudc.pptx（61页珍藏版）》请在taowenge.com淘文阁网|工程机械CAD图纸|机械工程制图|CAD装配图下载|SolidWorks_CaTia_CAD_UG_PROE_设计图分享下载上搜索。
1、投资学 第5 章历史数据中的收益与风险IntroductiontoRisk,Return,andtheHistoricalRecord2本章主要内容 利率水平的确定-InterestRateDeterminants 期望收益与波动性ExpectedReturnanditsVariance 风险价值ValueatRisk35.1 利率水平的确定利率水平的决定因素：资金供给(居民)-Households 资金需求(企业)-Businesses 资金供求的外生影响(政府)-GovernmentsNetSupplyand/orDemandFederalReserveActions45.1.1 实际利率
2、(realinterestrate)与名义利率(nominalinterestrate)消费者物价指数(CPI，consumerpriceindex)Nominalinterestrate(R):Growthrateofyourmoney Realinterestrate(r):Growthrateofyourpurchasingpower55.1.2 实际利率均衡-EquilibriumRealRateofInterest四因素：供给、需求、政府行为和通胀率资金均衡资金借出均衡的真实利率利率EE需求供给利率均衡的真实利率利率均衡资金借出均衡的真实利率利率资金均衡资金借出均衡的真实利率利率供给
3、资金均衡资金借出均衡的真实利率利率65.1.3 名义利率均衡-EquilibriumNominalRateofInterest费雪方程(Fisherequation)含义：名义利率应该随预期通胀率的增加而增加 Astheinflationrateincreases,investorswilldemandhighernominalratesofreturn If E(i)denotescurrentexpectationsofinflation,thenwegettheFisherEquation:Nominalrate=realrate+inflationforecast75.1.4 税收与实
4、际利率85.2 持有期收益率ZeroCouponBond,Par=$100,T=maturity,P=price,rf(T)=totalriskfreereturn5-9Example5.2AnnualizedRatesofReturn5-10Equation5.7 实际年利率-EAR Effectiveannualratedefinition:percentageincreaseinfundsinvestedovera1-yearhorizon115.2.1 年百分比利率5-12Equation5.8 年百分比率-APR 5-13Table5.1APRvs.EAR145.2.2 连续复利收益
5、率 当T 趋于无限小时，可得连续复利(continuouscompounding)概念5-15Table5.2StatisticsforT-BillRates,InflationRatesandRealRates,1926-20095-16Figure5.3InterestRatesandInflation,1926-200917Figure5.4NominalandRealWealthIndexesforInvestmentinTreasuryBills,1966-2005185.4 风险和风险溢价riskpremium5.4.1 持有期收益holdingperiodreturn 股票收益包
6、括两部分：红利收益(dividends)与资本利得(capitalgains)持有期收益率(holding-periodreturn)5-19RiskandRiskPremiumsHPR=HoldingPeriodReturnP0=BeginningpriceP1=EndingpriceD1=DividendduringperiodoneRatesofReturn:SinglePeriod5-20EndingPrice=110BeginningPrice=100Dividend=4HPR=(110-100+4)/(100)=14%RatesofReturn:SinglePeriodExample215.4.2 期望收益expectedreturn 与标准差standarddeviation：E-V 方法 WearenotsureabouttheeventualHPR,sowehavetoknowtheProbabilityDistributionofthefutureoutcome.WewillcharacterizePDintermsoftheirexpectedreturnE(r)andtheirstandarddeviation.