BodieChap005_6rev投资经济学.pptVIP

Chapter 5 History of Interest Rates and Risk Premiums Factors Influencing Rates Supply Households Demand Businesses Government’s Net Supply and/or Demand Federal Reserve Actions Real vs. Nominal Rates Fisher effect: Approximation nominal rate = real rate + inflation premium R = r + i or r = R - i Example r = 3%, i = 6% R = 9% = 3% + 6% or 3% = 9% - 6% Fisher effect: Exact r = (R - i) / (1 + i) 2.83% = (9%-6%) / (1.06) 5.4 RISK AND RISK PREMIUMS HPR 持有期收益率 Rates of Return: Single Period Example Ending Price = 48 Beginning Price = 40 Dividend = 2 5 State Prob. of State r in State 1 .1 -.05 2 .2 .05 3 .4 .15 4 .2 .25 5 .1 .35 Q4. Look at Table 5.1 in the text. Suppose you now revise your expectations regarding the stock market as follows: Use equations 5.1 and 5.2 to compute the mean and standard deviation of the HPR on stocks. E(r) = [0.35 * 44%] + [0.30 * 14%] + [0.35 * (–16%)] = 14% ?2 = [0.35 * (44 – 14)2] +[0 .30 * (14 – 14)2] + [0.35 *(–16 – 14)2] = 630 ? = 25.10(%) We measure the reward as the difference between the expected HPR on the index stock fund and the risk-free rate, that is, the rate you can earn by leaving money in risk-free assets such as T-bills, money market funds, or the bank. We call this difference the risk premium on common stocks. investors are risk averse in the sense that, if the risk premium were zero, people would not be willing to invest any money in stocks. *-16 a. Suppose the real interest rate is 3% per year and the expected inflation rate is 8%. What is the nominal interest rate? b. Suppose the expected inflation rate rises to 10%, but the real rate is unchanged. What happens to the nominal interest rate? r = (R - i) / (1 + i) HPR = Holding Period Return持有期收益率 P0 = Beginning price P1 = Ending price D1 = Dividend during period one HPR = (48 - 40 + 2 )/ (40) = 25% 期望收益 标准差sigma 情景 概率 E(r) = (.1)(-.05) + (.2)(.05)...+ (.1)(.35) E(r) = .15 variance 标准差 Stan