中微课件范里安版 Micro Ch11.ppt

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1、ChapterElevenAsset(资产)MarketsMainIssueNoArbitrage(套利)ConditionAssetsAnassetisacommoditythatprovidesaflowofservicesovertime.E.g.ahouse,oracomputer.Afinancialassetprovidesaflowofmoneyovertime--asecurity.AssetsTypicallyassetvaluesareuncertain.Incorporatinguncertai

2、ntyisdifficultatthisstagesowewillinsteadstudyassetsassumingthatwecanseethefuturewithperfectcertainty.Arbitrage(套利)Arbitrageistradingforprofitincommoditieswhicharenotusedforconsumption.E.g.buyingandsellingstocks,bonds,orstamps.Nouncertaintyallprofitopportunitie

3、swillbefound.Whatdoesthisimplyforpricesovertime?ArbitrageThepricetodayofanassetisp0.Itspricetomorrowwillbep1.Shoulditbesoldnow?Therate-of-returnfromholdingtheassetisI.e.ArbitrageSelltheassetnowfor$p0,putthemoneyinthebanktoearninterestatraterandtomorrowyouhave

4、ArbitrageWhenisnotsellingbest?WhenI.e.iftherate-or-returntoholdingtheassettheinterestrate,thenkeeptheasset.Andifthensosellnowfor$p0.ArbitrageIfallassetmarketsareinequilibriumthenforeveryasset.Hence,foreveryasset,today’spricep0andtomorrow’spricep1satisfyArbi

5、trageI.e.tomorrow’spriceisthefuture-valueoftoday’sprice.Equivalently,I.e.today’spriceisthepresent-valueoftomorrow’sprice.ArbitrageinBondsBonds“payinterest”.Yet,whentheinterestratepaidbybanksrises,themarketpricesofbondsfall.Why?ArbitrageinBondsAbondpaysafixeds

6、treamofpaymentsof$xperyear,nomattertheinterestratepaidbybanks.Ataninitialequilibriumtherate-of-returntoholdingabondmustbeR=r’,theinitialbankinterestrate.Ifthebankinterestraterisestor”>r’thenr”>Randthebondshouldbesold.Salesofbondslowertheirmarketprices.Taxationo

7、fAssetReturnsrbisthebefore-taxrate-of-returnofataxableasset.reistherate-of-returnofataxexemptasset.tisthetaxrate.Theno-arbitrageruleis:(1-t)rb=reI.e.after-taxrates-of-returnareequal.AssetswithConsumptionReturnsTheexampleofhouseA=appreciationT=implicitrentalrat

8、eP=initialinvestmenth=(T+A)/P=totalrateofreturnh=(T+A)/P=rFinancialIntermediariesBanks,brokeragesetc.facilitatetradesbetweenpeoplewithdifferentlevelsofimpatiencepatientpeopl