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1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin第二章资产类别与金融工具Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-2资产类别货币市场工具资本市场工具债务
2、证券权益证券衍生工具Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-3货币市场是固定收益市场的一部分: 这种证券是短期的、流动的、低风险的,通常交易面额很大。货币市场基金使得个人投资者可以购买各种货币市场证券。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile
3、 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-4图2.1 货币市场的主要组成Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-5货币市场证券短期国库券: 美国政府发行的短期债务。买方报价与买方报价银行贴现法大额存单: 银行定期存单商业票据:
4、 公司发行的短期无担保债务票据。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-6货币市场证券银行承兑汇票: 银行客户向银行发出在未来某一日期支付一笔款项的指令。欧洲美元: 在美国以外的银行以美元计价的存款。回购协议与逆回购: 由政府证券支持的短期借款。联邦基金: 银行之间超短期借款。Evaluation only.Created with Asp
5、ose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-7货币市场工具的收益率除了短期国库券,货币市场证券并不是没有违约风险。银行大额存单一直以来持续支付高于短期国库券的风险溢价,且该溢价在经济危机期间更大。在2008年信用危机中, 在一些基金遭遇严重损失后,联邦政府为货币市场基金提供了保险。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client P
6、rofile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-8债券市场中期国债和长期国债通胀保值债券联邦机构债券国际债券Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-9债券市场市政债券公司债券抵押贷款和抵押担保证券Evaluation o
7、nly.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-10中长期国债期限中期国债 期限最长是10年长期国债 期限从10年到30年不等面值 1000美元利息支付期行情 以面值的百分比Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 A
8、spose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-11债券市场通胀保值债券TIPS: 规避通货膨胀风险联邦机构债券抵押贷款机构如房地美、房利美国际债券欧洲债券和扬基债券Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-12市政债券由州和地方政府发行利息收入免征联邦所得税,在发行州也免征州和地方税。Eva
9、luation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-13市政债券种类一般责任债券: 由发行者的征税能力支撑。收入债券: 由该项目获得的收入或运作该项目的特定市政机构担保。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2
10、011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-14图 2.4 免税债务余额Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-15市政债券收益率投资者在应税债券和免税债券之间选择时,需要比较每种债券的税后收益。假设用t表示投资者的边际税率等级。用r表示应税债券的税前收益率, r m 表示市政
11、债券的收益率。如果 r (1 - t ) r m 那么应购买应税债券,反之,应购买市政债券。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-16图 2.2 免税债券收益率图应税等值收益率 就是市政债券收益率 rm 除以 (1-t)。Evaluation only.Created with Aspose.Slides for .NET 3.5 Cli
12、ent Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-17公司债券由私营企业发行 每半年支付一次利息比国债的违约风险更高附有选择权的公司债券可赎回可转换Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-18即代表了对抵押贷款资
13、产池的求偿权,也代表了由该资产池作担保的一项负债。这种求偿权代表了抵押贷款的证券化。抵押贷款的发起者将产生的现金流转交给投资者,因此,抵押担保证券也叫转递证券。抵押担保证券Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-19抵押担保证券大部分抵押担保证券由房地美和房利美发行。大多数转递证券由符合标准的抵押贷款组成,即满足某一信用标准。Evaluat
14、ion only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-20抵押担保证券然而,大量次级抵押贷款证券以私营发行者的名义销售给财力弱的借款人。最终房地美和房利美被允许,事实上是被鼓励购买次级抵押贷款资产池。2008年9月: 房地美和房利美被联邦政府接管。Evaluation only.Created with Aspose.Slides for .NET 3.5 Clien
15、t Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-21图 2.6 抵押担保证券余额Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-22权益证券普通股: 代表所有权剩余所有权有限责任优先股: 永续性固定收益优先于普通服税务处理
16、美国存托凭证Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-23股票市场指数道琼斯工业平均指数包括30家大型绩优公司自1896年被计算出来价格加权平均数Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011
17、Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-24例 2.2 价格加权平均数投资组合: 初始价值 = $25 + $100 = $125 最终价值 = $30 + $ 90 = $120 投资组合价值变化的百分比 = 5/125 = -.04 = -4%指数: 初始指数 = (25+100)/2 = 62.5 最终指数= (30 + 90)/2 = 60 指数变化百分比= -2.5/62.5 = -.04 = -4%Evaluation only.Created with Aspose.Slides for .NET 3.5 Client
18、Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-25标准普尔500指数涵盖500家公司的指数市值加权指数投资者可以购买指数投资组合:购买与各种指数相对应的共同基金购买交易所交易基金 (ETFs)标准普尔指数Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE,
19、KANE, MARCUS2-26其他指数 美国的指数美国的指数纽约证交所综合指数纳斯达克综合指数威尔希尔5000指数国外的指数国外的指数日本日经指数英国富时指数德国综合指数中国香港恒生指数加拿大多伦多股市指数Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-27衍生工具市场期权、期货提供的收益依赖于其他资产的价值,如商品价格、债券价格、股票价格或市场
20、指数的价值。衍生工具的价值随其他资产价值的变化而变化。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-28期权看涨期权: 以执行价格购买某种资产的权利。看涨期权的价格随执行价格的增加而降低。看跌期权: 以执行价格出售某种资产的权利。看跌期权的价格随执行价格的增加而增加。看涨期权和看跌期权的价格都随期限的增长而增加,直至期满。Evaluation o
21、nly.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-29期货合约期货合约是指在规定的交割日或到期日按约定的价格(这种价格叫做期权费)对某一资产(有时是其现金价值)进行交割的合约。多头头寸: 在交割日购买资产。空头头寸: 在交割日出售资产。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile
22、 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.INVESTMENTS | BODIE, KANE, MARCUS2-30比较期权期权期权是买或卖的权利,不是必须行权,只有当它有利可图时才被执行。期权必须购买才能拥有。这种溢价是期权本身的价格。 期货合约期货合约购买或出售资产的的义务。 多头头寸的交易者在未来按约定价格购买资产, 空头头寸的交易者在未来按约定的价格出售资产。期货合约的签订无需任何成本。Evaluation only.Created with Aspose.Slides for .NET 3.5 Client Profile 5.2.0.0.Copyright 2004-2011 Aspose Pty Ltd.