投资学(第4版)

12345141.1(realassets)(financialassets)()1-11-2()1-21-110585643646061211221200142491BalanceSheetsfortheU.S.Economy,1945-94,BoardofGovernorsoftheFederalReserveSystem,June1995.1-210316311.1451815.89843.4301510.61730.624918.75061.85201.8482616.91054436.9310210.74881.7501017.6288610.125118.810673.76702.318736.63881.41799563.12371383.128539100.028539100.0BalanceSheetsfortheU.S.Economy,1945-94,BoardofGovernorsoftheFederalReserveSystem,June1995.1-31-31996/101255.113.4851.89.1577.76.21384.214.7213.92.3575.76.14477.347.751.70.69387.4100.0NewYorkStockExchangeFactBook,1996.1a.b.c.156d.e.51.21.2.1?1.2.2-1.2.3330501171.31.3.1()-151.3.21-41-481-410402349.7152218.81411.75636.9106613.24575.6523064.68009.981110.02983.7415251.35596.9901.194211.697812.1394548.78097100.08097100.0BalancesheetsfortheU.S.Economy,1945-94,BoardofGovernorsoftheFederalReserveSystem,June1995.1.3.31-5Q1980DepositoryInstitutionsDeregulation19andMonetaryControlActof1980QQ701-510100.022.927.50.650.311.53760.686.8112.525.7436.110.1174.739.9106.42.5437.5100.04330.6100.0FlowofFundsAccountsFlowsandOutstandings,BoardofGovernorsoftheFederalReserveSystem,1997.1.41.4.1()1-61-41-6105283.1346220.1990.615649.16283.64782.8465127.03642.111506.7354820.615899.2192411.2307817.8231113.41597192.68945.2180310.4331019.2247114.31662596.412817.417252100.017252100.01945~1994199564MerrilllynchSalomonBrothersGddman,Sachs101111.4.31970(GNMAGinnieMae)GNMA(pass-throughsecurity)GNMAGNMA11030GNMA(collateralizedmortgageobligation)CMO20100199primitivesecurityderivativesecurities121994P&G1.57PiperJaffray71-1?AlanGreenspan120011310DonaldNicoliasenLeeBerton,“UnderstandingtheComplexWorldofDerivatives,TheWallStreetJournal,June14,1994.231.4.4QQ14Q701.5Lloyd’sAManhattancurbdirectsearchmarketbrokeredmarket10000(blockhouses)115dealermarketsauctionmarket(NYSE)4ABCADR1994ADRADRADR199472ADRADR()Citicorp1994161397ADR25452ADRTheNationalAssociationofSecuritiesDealers7ADRA.MarkA.BachDaveKansasTheWallStreetJournal,January12,1995.1.61)2)3)4)1.6.1(globalization)(1)ADRADR(2)(3)(4)ADRADRADRADRADR1-1(CadburySchweppes)ADR1ADR101-2WaltDisneyECU,1171.6.2(securitization)CAR1-3CAR1-21-1(ADR)1-3Bradybonds5AB1.6.3creditenhancement1-4RockefellerGroupAetnaCasualtyandSurety1.6.4(bundling)1-5TheChubbCorporation181-4119unbundling1-61.4financialengineering61.71)1-51-6202)3)4)5)agencyproblem2DavidGoliath501211.2.3.4.5.6.7.Miller,MertonH.FinancialInnovationTheLastTwentyYearsandtheNext.JournalofFinancialandQuantitativeAnalysis21(December1986),pp.459-71.Miller,MertonH.FinancialInnovationAchievementsandProspects.JournalofAppliedCorporateFinance4(Winter1992).EconomicReportofthePresident1.100a.b.c.d.bc2.LanniProducts3000022Lanni20000a.Lanni500003b.Lanni20000c.LanniMicrosoftLanni1500d.Lanni803.2LanniProductsa.b.Lanni70000c.4.5.2060306.1-7a.b.c.?7.8.a.b.9.810.11.REIT12.1-713.14.191.52.3.4.a.b.c.5.a.b.6.1232(moneymarkets)(capitalmarkets)2252.12-12-119962-1TheWallStreetJournal,October15,1997.2-1(199612)10191.1449.4948.611.6494.3479.1109.6100000100000199610DatafromEconomicReportofthePresident.U.S.GovernmentPrintingOffice19962.1.1(T-bills)26901205210010~2510000010000bankdiscountyield1821000096009600400/=400/9600=0.04174.171.04171(1.0417)2=1.0851effectiveannualrate8.51bankdiscountmethod400360400400(360/182)=791.21100007.912rBD=[(10000P)/10000](360/n)(2-1)PnrBDn2-219971028360/n3603652272-110000PP1000010000100002-21997102819981295.115.10()2-1PP=10000[1rBD(n/360)](2-2)2-2100001998129n=925.10.051010000[10.0510(92/360)]=9869.66712-2bondequivalentyieldrBEY=2-32-3365(366)rBEY=0.05245.24rBDrBD=0.0510rBEY=365×rBD360-(rBD×n)36592100009869.6679869.667365n10000PP2-2TheWallStreetJournal,October29,1997.289869.66792(100009869.667)/9869.667=0.01321.32(1.0132)365/92=1.05345.342.1.2certificateofdepositCD1000001000002.1.3commercialpaper2701210000011970PennCentral8200PennCentral40Moody’sInvestorServicesStandard&Poor’sCorporationFitchInvestorService/DaffandPhelps2.1.4banker’sacceptance6rBEY=365×0.0510360-(0.0510×92)=0.05242.1.5EurodollarsFederalReserveBoard62.1.6repurchaseagreementstermrepo30reserverepo1985[1]2.1.7federalfunds,orfedfunds229[1]StephenA.Lumpkin,RepurchaseandReverseRepurchaseAgreements,inT.CookandT.Rowe,eds.,InstrumentsoftheMoneyMarket(Richmond.Va.:FederalReserveBankofRichmond1986).302.1.82.1.9LondnInterbankOfferedRate,LIBOR22.1.1082002-3ContinentalIllinoisPennSquare19872-332.22312.2.1TreasurynotesTreasurybonds1010~30100019842-4200010534100057.5028.751/3220001099223299.687599243299.751000100099.687599.6875997.50161632()5.84yieldtomaturity2APRAPR2-4()()22.2.22-4TheWallStreetJournal,October29,1997.322-52-5TheWallStreetJournal,October22,1997.(FHLB)(FNMAFannieMae)(GNMAGinnieMae)(THLMCFreddieMac)1)122)123)122332.2.3municipalbonds30208019861988501.519862-6trr(1t)rm2-6FlowofFundsAccounts:FlowsandOutstandings,WashingtonD.C.:BoardofGovernorsoftheFederalReserveSystem,Secondquarter,1997.equivalenttaxableyieldr(1t)=rm(2-4)r=rm(1t)(2-5)1t2-22-2()246810202.55.07.510.012.5302.95.78.611.414.3403.36.710.013.316.7504.08.012.016.020.02-22-52-42-52-4t=1(rm/r)(2