113分析金融市場(chǎng)與金融機(jī)構(gòu)_第五章-免費(fèi)閱讀
【正文】 :45:5011:45:50March 13, 2023 1意志堅(jiān)強(qiáng)的人能把世界放在手中像泥塊一樣任意揉捏。 2023年 3月 上午 11時(shí) 45分 :45March 13, 2023 1少年十五二十時(shí)，步行奪得胡馬騎。 上午 11時(shí) 45分 50秒 上午 11時(shí) 45分 11:45: 沒有失敗，只有暫時(shí)停止成功！。 11:45:5011:45:5011:453/13/2023 11:45:50 AM 1以我獨(dú)沈久，愧君相見頻。t explain Fact 3 that yield curve usually has upward slope Short rates as likely to fall in future as rise, so average of expected future short rates will not usually be higher than current short rate: therefore, yield curve will not usually slope upward a href= /a a href= /a Slide 539 ? 預(yù)期理論（ Expectation Theory） — 假說條件： – 持有債券和從事債券交易時(shí)沒有稅收和成本的影響 – 沒有違約風(fēng)險(xiǎn)； – 具有完善的貨幣市場(chǎng)，資金的借貸雙方能夠正確合理地預(yù)期短期利率的未來值； – 所有投資者都是利潤最大化的追求者 – 不同期限的債券可以 完全替代 Slide 540 Market Segmentation Theory Key Assumption: Bonds of different maturities are not substitutes at all Implication: Markets are pletely segmented: interest rate at each maturity determined separately Explains Fact 3 that yield curve is usually upward sloping People typically prefer short holding periods and thus have higher demand for shortterm bonds, which have higher prices and lower interest rates than long bonds Does not explain Fact 1 or Fact 2 because assumes long and short rates determined independently a href= /a a href= /a Slide 541 Pure market segmentation Shortterm and long term markets are segmented. Shortterm market . funds . funds ishortterm Quantity of loanable funds Longterm market . funds Sloan funds Quantity of loanable funds ilongterm Slide 542 首先假設(shè)不同類型的投資者具有與投資期限相關(guān)的偏好。 assessments Example: Low Quality, speculative, InvestmentQuality and/or “Junk” High Medium Low Very Low Grade S P’s AAA AA A BBB BB B CCC CC C D Moody’s Aaa Aa A Baa Ba B Caa Ca C C How does ―the ratings game‖ work? Slide 510 Bonds with relatively low risk of default are called investmentgrade securities 投資級(jí)債券 and have a rating of Baa (or BBB) and above. Bonds with ratings below Baa (or BBB) have higher default risk and have been aptly dubbed speculativegrade or junk bonds垃圾債券 . Because these bonds always have higher interest rates than investmentgrade securities, they are also referred to as highyield bonds高收益?zhèn)?. a href= /a a href= /a Slide 511 Slide 512 5, 10, 15, and 20year cumulative default rates (19701995) Slide 513 Liquidity Risk流動(dòng)性 Investors must be concerned with possibility of being unable to quickly convert their securities holdings to cash. Liquidity Premiums Highly liquid assets carry the lowest rates, low liquidity securities typically pay a liquidity premium. Slide 514 Decrease
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