第八章债券价值和风险
第八章 债券价值和风险
CAPM, APT: assuming implicitly that a prior, detailed analysis of each security already had been performed, and that its risk and return features had been assessed pecific analyses of particular security markets: valuation principles, determinants of risk and return, portfolio management strategies
• CAPM, APT: assuming implicitly that a prior, detailed analysis of each security already had been performed,and that its risk and return features had been assessed. • Specific analyses of particular security markets: valuation principles, determinants of risk and return, portfolio management strategies
在有效市场中,是否存在定价过高或者 定价过低的债券?
• 在有效市场中，是否存在定价过高或者 定价过低的债券？
1. Capitalization of Income Method of value Promised yield-to-maturity P=∑ 1+y 如果y>y,则定价过低 underpriced) 如果y<y,则定价过高( overpriced y’的确定依赖于债券的特征以及现时的市场 条件
1. Capitalization of Income Method of Value • Promised yield-to-maturity – 如果 ，则定价过低(underpriced)。 – 如果 ，则定价过高(overpriced)。 – 的确定依赖于债券的特征以及现时的市场 条件。 ( ) = + = n t t t y C P 1 1 * y y * y y * y
例子:一个债券,现价为900元,面值为 1000元,三年到期,息率为6%。得到 y=10.02% 如果通过分析,得到 9.00% 问题:定价如何?如何确定y?
• 例子：一个债券，现价为900元，面值为 1000元，三年到期，息率为6%。得到 • 如果通过分析，得到 • 问题：定价如何？如何确定 ？ y =10.02% y* = 9.00% * y