CCER2003年中级微观讲义(赵耀辉)整理ppt.ppt

Chapter Eleven Asset Markets Structure When to sell an asset? Rate-of-return Arbitrage Taxation of asset returns Applications Financial intermediaries Assets （资产） An asset is a commodity that provides a flow of services over time. E.g. a house, or a computer. A financial asset （金融资产）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. Selling An Asset Q: When should an asset be sold? When its value is at a maximum? No. Why not? Selling An Asset Suppose the value of an asset changes with time according to Selling An Asset Selling An Asset Selling An Asset Selling An Asset The rate-of-return （回报率）in year t is the income earned by the asset in year t as a fraction of its value in year t. E.g. if an asset valued at $1,000 earns $100 then its rate-of-return is 10%. Selling An Asset Q: Suppose the interest rate is 10%. When should the asset be sold? A: When the rate-of-return to holding the asset falls to 10%. If the rate-of-return is lower than 10%, then it is better to sell the asset and put the proceeds in the bank to earn a 10% rate-of-return from interest. Selling An Asset Selling An Asset Selling An Asset Selling An Asset Selling An Asset What is the payoff at year 50 from selling at year 10 and then investing the $8,000 at 10% per year for the remaining 40 years? Selling An Asset What is the payoff at year 50 from selling at year 10 and then investing the $8,000 at 10% per year for the remaining 40 years? Selling An Asset 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-