[高等教育]證券投資分析pptchapter(編輯修改稿)
2025-02-17 21:13 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 hat affect the supply of loanable funds (through saving) and the demand for loanable funds (borrowing) affect interest rates – The goal is to monitor these factors, and to anticipate changes in interest rates and to be wellpositioned to either benefit from the forecast or at least be protected from adverse changes in rates Determinants of Interest Rates ? Nominal interest rates (i) can be broken down into the following ponents: i = RFR + I + RP where: – RFR = real riskfree rate of interest – I = expected rate of inflation – RP = risk premium ? The key is to anticipate changes in any of these factors Determinants of Interest Rates ? Alternatively, we can break down interest rate factors into two groups of effects: – Effect of economic factors ? real growth rate ? tightness or ease of capital market ? expected inflation ? supply and demand of loanable funds – Impact of bond characteristics ? credit quality ? term to maturity ? indenture provisions ? foreign bond risk (exchange rate risk and country risk) Determinants of Interest Rates Term structure of interest rates – One important source of interest rate variability is the time to maturity – The yield curve shows the relationship between bond yields and time to maturity at a point in time ? Yield curve shapes – Rising curve (mon) when rates are modest – Declining curve when rates are relatively high – Flat curves can happen any time – Humped when high rates are expected to decline – Note: usually relatively flat beyond 15 years Determinants of Interest Rates Term Structure Theories (what explains the changing shape of the yield curve?) ? Expectations hypothesis – The shape of the yield curve depends on expected future interest rates and inflation rates – An upwardsloping curve indicates expectations of higher rates in the future – We can use this hypothesis to pute implied future (forward) interest rates – Yields of different maturities continually adjusting to estimates of future interest rates Determinants of Interest Rates Term Structure Theories ? Liquidity preference hypothesis – Indicates that long term rates have to pay a premium over short term rates because: ? Investors need a premium to pensate for the added price risk associated with longterm bonds ? Borrowers are willing to pay higher rates on longterm debt to avoid refinancing risk – Works well in bination with the expectations hypothesis to explain the normal upward slope of the yield curve Determinants of Interest Rates Term Structure Theories ? Segmented market hypothesis – Asserts that different investors, in particular institutions, have different maturity needs, so have “preferred habitats” along the yield curve – Interest rates in differentiated maturity markets are determined by unique supply and demand factors in those markets Determinants of Interest Rates ? Term Structure and Trading – Knowledge of the term structure can aid in bond market trading strategies ? For example, if the yield curve is sharply downward sloping, rates are likely to fall – lengthen bond maturities to take the most advantage of price appreciation as interest rates fall in the future Determinants
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