债券与股票定价;投资评价方法预案.pptVIP

债券与股票定价 永续年金 永续增长年金 年金 年仅计算提示 递延年金（例4-22） 先付年金（例4-23） 不定期年金（例4-24） 两笔年金现值相等（例4-25） 增长年金 债券定价 纯贴现债券（pure discount bond） 现金流量特征：只有某一确定日期的一笔支付 已知终值求现值 平息债券 现金流量特征：每期等额支付+某一确定日期支付 年金现值+（已知终值）现值 金边债券 现金流量特征：永不停止的每期等额支付 永续年金 债券相关概念及信息 利率和债券价格 平价销售 溢价销售 折价销售 到期收益率 债券市场行情 图5-2、5-3（P90） YTM and Bond Value Bond Concepts Bond prices and market interest rates move in opposite directions. When coupon rate = YTM, price = par value When coupon rate YTM, price par value (premium bond) When coupon rate YTM, price par value (discount bond) Interest Rate Risk Price Risk Change in price due to changes in interest rates Long-term bonds have more price risk than short-term bonds Low coupon rate bonds have more price risk than high coupon rate bonds. Reinvestment Rate Risk Uncertainty concerning rates at which cash flows can be reinvested Short-term bonds have more reinvestment rate risk than long-term bonds. High coupon rate bonds have more reinvestment rate risk than low coupon rate bonds. Maturity and Bond Price Volatility Coupon Rates and Bond Prices YTM with Annual Coupons Consider a bond with a 10% annual coupon rate, 15 years to maturity, and a par value of $1,000. The current price is $928.09. Will the yield be more or less than 10%? N = 15; PV = -928.09; FV = 1,000; PMT = 100 CPT I/Y = 11% YTM with Semiannual Coupons Suppose a bond with a 10% coupon rate and semiannual coupons has a face value of $1,000, 20 years to maturity, and is selling for $1,197.93. Is the YTM more or less than 10%? What is the semi-annual coupon payment? How many periods are there? N = 40; PV = -1,197.93; PMT = 50; FV = 1,000; CPT I/Y = 4% (Is this the YTM?) YTM = 4%*2 = 8% 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) 股票定价 股利和资本利得（P91） 以下两种计算公式结果相等吗？ 不同增长类型股票的定价 零增长率的股票=永续年金 固定增长 变动增长 股利折现模型中的参数 g的估计 g=留存收益比率×留存收益的回报率 =留存收益比率×ROE 【例5-6】 R的估计 R与g 如果R=g ?