公司理财05债券和股票的定价资料.ppt

第5章 债券和股票的定价 5.1 债券的定义 5.2 如何对债券定价 5.3 债券的概念 5.4 普通股现值 5.5 股利折现模型中的参数估计 5.6 增长机会 5.7 股利增长模型 5.8 市盈率 5.9 股市行情 5.1 债券的定义和例子Definition and Example of a Bond 债券是在借款人和出借人依法签定的协议。A bond is a legally binding agreement between a borrower and a lender: Specifies the principal amount of the loan. Specifies the size and timing of the cash flows 例如：Consider a U.S. government bond listed as 6 3/8 of December 2009. 面值1000元 The Par Value of the bond is $1,000. 利息半年支付 Coupon payments are made semi-annually (June 30 and December 31 for this particular bond). Since the coupon rate is 6 3/8 the payment is $31.875. On January 1, 2002 the size and timing of cash flows are: 5.2 如何对债券定价How to Value Bonds 确定现金流的大小和时间 Identify the size and timing of cash flows. 贴现率 Discount at the correct discount rate. If you know the price of a bond and the size and timing of cash flows, the yield to maturity（到期收益率） is the discount rate. 5.2.1 纯贴现债券Pure Discount Bonds Information needed for valuing pure discount bonds: Time to maturity (T) = Maturity date - today’s date Face value (F) Discount rate (r) Find the value of a 30-year zero-coupon bond with a $1,000 par value and a YTM of 6%. 5.2.2 平息债券Level-Coupon Bonds Information needed to value level-coupon bonds: Coupon payment dates and time to maturity (T) Coupon payment (C) per period and Face value (F) Discount rate Find the present value (as of January 1, 2002), of a 6-3/8 coupon T-bond with semi-annual payments, and a maturity date of December 2009 if the YTM is 5-percent. On January 1, 2002 the size and timing of cash flows are: 5.3 债券的概念Bond Concepts 1. Bond prices and market interest rates move in opposite directions. 2. When coupon rate = YTM, price = par value(面值). When coupon rate YTM, price par value (premium bond 溢价债券) When coupon rate YTM, price par value (discount bond 折价债券) 3. A bond with longer maturity has higher relative (%) price change than one with shorter maturity when interest rate (YTM) changes