金融市场与金某地产新.pptx

第三講金融市場發展與金融創新台灣大學財金所黃達業 所長 2005/03/11目 錄 壹、金融市場簡介 貳、現貨市場 參、衍生性市場 肆、金融創新與新金融商品 伍、金融市場的監理 壹、金融市場簡介一、金融市場結構的疑點1. Stocks are not most important source of finance for businesses2. Banks are most important source of external finance 3 Issuing marketable securities not primary funding source for businesses4. Only large, well established firms have access to securities markets 5. Indirect finance (financial intermediation) is far more important than direct finance6. Financial system is among most heavily regulated sectors of economy二、金融市場的分類1.初級與次級市場2.店頭與交易所市場3.現貨市場與衍生性證券市場三、逆選擇與金融市場結構1. Lemons Problem in Securities Markets1.If can’t distinguish between good and bad securities, one only pays their average value.2.Result: Good securities undervalued and firms won’t issue them; bad securities overvalued so too many issued.3.Investors don’t want to buy bad securities, and market don’t function well. 2. Tools to Help Solve Adverse Selection(Lemons) Problem(1). Private production and sale of information Free-rider problem interferes with this solution(2). Government Regulation to Increase Information(3). Financial IntermediationAnalogy to solving lemons problem provided by used car dealersBy making private loans, avoid free-rider problem(4). Collateral and Net Worth 四、道德危險及其解決1.權益市場的道德危險及其解決(1) 主人代理人問題 1.Result of separation of ownership by stockholders (principals) from control by managers (agents) 2.Managers act in own rather than stockholders’ interest(2) 解決之道 1.Monitoring: production of information 2.Government regulation to increase information 3.Financial intermediation 4.Debt contracts2.債權市場的道德危險及其解決(1)借款人想要承擔更多風險(2)解決之道 1.Net Worth 2.Monitoring and Enforcement of Restrictive Covenants 3. Banks have special advantages in monitoring 貳、現貨市場一、股票市場簡介1. 股市與系統風險2.資本財定價模型(CAPM)3.套利定價理論(APT)4.債券市場的發展5.證交稅與股市漲跌幅個案研討 1.股市與系統風險(1) 資產風險 = 系統性風險 + 非系統性風險(2) 良好分散的投資組合風險僅決定於 組合內資產的系統性風險Capital-Asset-Pricing Model 1. Risk Premium = Re – Rf = ?[Rem – Rf]2. ??? implies