博迪投资学Chap005章节.pptVIP

CHAPTER 5 Learning About Return and Risk from the Historical Record Figure 5.7 Nominal and Real Equity Returns Around the World, 1900-2000 Figure 5.8 Standard Deviations of Real Equity and Bond Returns Around the World, 1900-2000 Figure 5.9 Probability of Investment Outcomes After 25 Years with A Lognormal Distribution Terminal Value with Continuous Compounding When the continuously compounded rate of return on an asset is normally distributed, the effective rate of return will be lognormally distributed The Terminal Value will then be: Figure 5.10 Annually Compounded, 25-Year HPRs from Bootstrapped History and A Normal Distribution (50,000 Observation) Figure 5.11 Annually Compounded, 25-Year HPRs from Bootstrapped History(50,000 Observation) Figure 5.12 Wealth Indexes of Selected Outcomes of Large Stock Portfolios and the Average T-bill Portfolio Table 5.5 Risk Measures for Non-Normal Distributions 5-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Factors Influencing Rates Supply Households Demand Businesses Government’s Net Supply and/or Demand Federal Reserve Actions Real and Nominal Rates of Interest Nominal interest rate Growth rate of your money Real interest rate Growth rate of your purchasing power If R is the nominal rate and r the real rate and i is the inflation rate: Equilibrium Real Rate of Interest Determined by: Supply Demand Government actions Expected rate of inflation Figure 5.1 Determination of the Equilibrium Real Rate of Interest Equilibrium Nominal Rate of Interest As the inflation rate increases, investors will demand higher nominal rates of return If E(i) denotes current expectations of inflation, then we get the Fisher Equation: Taxes and the Real Rate of Interest Tax liabilities are based on nominal income Given a tax rate (t), nominal interest rate (R), after-tax interest rate is R(1-t) Real after-tax rate is: Comparing Rates of Return for Di