《微观经济学》清华大学课件 Ch11 Asset (资产)Markets.pptVIP

Chapter Eleven Asset (资产)Markets Main Issue No Arbitrage(套利) Condition Assets An asset is a commodity that provides a flow of services over time. E.g. a house, or a computer. A financial asset provides a flow of money over time -- a security. Assets Typically 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. Arbitrage (套利) Arbitrage is trading for profit in commodities which are not used for consumption. E.g. buying and selling stocks, bonds, or stamps. No uncertainty ? all profit opportunities will be found. What does this imply for prices over time? Arbitrage The price today of an asset is p0. Its price tomorrow will be p1. Should it be sold now? The rate-of-return from holding the asset isI.e. Arbitrage Sell the asset now for $p0, put the money in the bank to earn interest at rate r and tomorrow you have Arbitrage When is not selling best? WhenI.e. if the rate-or-return to holding the asset the interest rate, then keep the asset. And if thenso sell now for $p0. Arbitrage If all asset markets are in equilibrium then for every asset. Hence, for every asset, today’s price p0 and tomorrow’s price p1 satisfy Arbitrage Arbitrage in Bonds Bonds “pay interest”. Yet, when the interest rate paid by banks rises, the market prices of bonds fall. Why? Arbitrage in Bonds A bond pays a fixed stream of payments of $x per year, no matter the interest rate paid by banks. At an initial equilibrium the rate-of-return to holding a bond must be R = r’, the initial bank interest rate. If the bank interest rate rises to r” r’ then r” R and the bond should be sold. Sales of bonds lower their market prices. Taxation of Asset Returns rb is the before-tax rate-of-return of a taxable asset. re is the rate-of-return of a tax exempt asset. t is the tax rate. The no-arbitrage rule is: (1 - t)rb = re I.e. after-tax