投资公司英文提案CHT05.pptVIP

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投资公司英文提案CHT05.ppt

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投资公司英文提案CHT05

Chapter 5 History ofInterest Rates andRisk Premiums Factors Influencing Rates Supply Households Demand Businesses Government’s Net Supply and/or Demand Federal Reserve Actions Real vs. Nominal Rates Fisher effect: Approximation nominal rate = real rate + inflation premium R = r + i or r = R - i Example r = 3%, i = 6% R = 9% = 3% + 6% or 3% = 9% - 6% Fisher effect: Exact r = (R - i) / (1 + i) 2.83% = (9%-6%) / (1.06) Empirical Relationship: Inflation and interest rates move closely together Rates of Return: Single Period Rates of Return: Single Period Example Ending Price = 48 Beginning Price = 40 Dividend = 2 HPR = (48 - 40 + 2 )/ (40) = 25% Characteristics of Probability Distributions 1) Mean: most likely value 2) Variance or standard deviation 3) Skewness * If a distribution is approximately normal, the distribution is described by characteristics 1 and 2 Normal Distribution Measuring Mean: Scenario or Subjective Returns Measuring Variance or Dispersion of Returns Subjective or Scenario Annual Holding Period ReturnsFrom Figure 6.1 of Text Geom. Arith. Stan. Series Mean% Mean% Dev.% Lg Stk 10.5 12.5 20.4 Sm Stk 12.6 19.0 40.4 LT Gov 5.0 5.3 8.0 T-Bills 3.7 3.8 3.3 Inflation 3.1 3.2 4.5 Annual Holding Period Risk Premiums and Real Returns Risk Real Series Premiums% Returns% Lg Stk 8.7 9.3 Sm Stk 15.2 15.8 LT Gov 1.5 2.1 T-Bills --- 0.6 Inflation --- --- ? The McGraw-Hill Companies, Inc., 1999 INVESTMENTS Fourth Edition Bodie Kane Marcus 5-* Level of Rates Q0 Q1 r0 r1 Funds Interest Rates Supply Demand HPR = Holding Period Return P0 = Beginning price P1 = Ending price D1 = Dividend during period one Symmetric distribution r s.d. s.d. Subjective returns p(s) = probability of a state r(s) = return if a state occurs 1 to s states E ( r ) = p ( s ) r ( s ) ? s State Prob. of State r in State 1 .1 -.05 2 .2 .