投资学 5 History of Interest Rates and Risk Premiums教学幻灯片.pptVIP

History of Interest Rates and Risk Premiums;History of interest ;History of interest;History of interest;Types of interest - Simple interest;Types of interest - Simple interest;Types of interest - Simple interest;Types of interest - Simple interest;Types of interest - Simple interest;Types of interest -Compound interest ;Types of interest -Compound interest;Types of interest -Compound interest;Types of interest - Fixed and floating rates ;Types of interest - Composition of interest rates ;Types of interest - Composition of interest rates;Cumulative interest or return ;Other conventions and uses ;Flat Rate Loans and the Rule of 78s ;Market interest rates ;Market interest rates;Market interest rates;Market interest rates;Open market operations in the United States ;Interest rates and credit risk ;Money and inflation ;Factors Influencing Rates;Q0;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 and Risk; ;Ending Price = 48 Beginning Price = 40 Dividend = 2 HPR = (48 - 40 + 2 )/ (40) = 25% ;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.;Symmetric distribution;Subjective returns; State Prob. of State r in State .1 -.05 2 .2 .05 3 .4 .15 4 .2 .25 5 .1 .35;Standard deviation = [variance]1/2; Geom. Arith. Stan. Series Mean% Mean% Dev.% Sm Stk 12.6 18.8 39.7 Lg Stk 11.1 13.1 20.2 LT Gov 5.1 5.4 8.1 T-Bills 3.8 3.8 3.3 Inflation 3.1 3.2 4.5 Riskier assets have provided higher expected returns: The risk of small-company stocks large-company stockslong-te