股票与投资2教材分析.ppt

Ch2: Financial Instruments Calculations of Index (DJIA) DJIA will adjust ‘ divisor’ when Stock split Pay divd. Over 10% Replaced by another. Index Initial index value = (25 + 100)/2 = 62.5 Ch2: Financial Instruments Time A Time B d=1.2 Ch2: Financial Instruments Case 1 Suppose xyz’s final price increases in price to $110, while ABC falls to $20. Find the percentage change in the price-weighted average of these two stocks. Time A Time B 20 110 Ch2: Financial Instruments Portfolio Initial value = $25 + $100 = $125 Final value = $20 + $ 110 = $130 Percentage change in portfolio value =5/125= 4% Index Initial index value = (25 + 100)/2 = 62.5 Final index value = (20 + 110)/2 = 65 Percentage change in index = 2.5/62.5 =.04 = 4% Ch2: Financial Instruments Case 2 Consider the three stocks in the following table. Pt represents price at time t, and Qt represents shares outstanding at time t. Stock C splits two-for-one in the last period. A. Calculate the rate of return on a price-weighted index of the three stocks for the first period (t = 0 to t = 1). B. What must happen to the divisor for the price-weighted index in year 2? C. Calculate the rate of return of the price-weighted index for the second period (t = 1 to t = 2). Ch2: Financial Instruments At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80 At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.3333. The rate of return is: (83.3333/80) – 1 = 4.167% In the absence of a split, stock C would sell for 110, and the value of the index would be: (95 + 45 + 110)/3 = 83.3333. After the split, stock C sells at 55. Therefore, we need to set the divisor (d) such that: 83.3333 = (95 + 45 + 55)/d…..d = 2.340 The rate of return is zero. The index remains unchanged, as it should, since the return on each stock separately equals zero. Ch2: Financial Instruments Calculations of Index (Market-value weighted) （重點） Standard Poor’s Indexes标准普尔500指数 Index of 500 firms