financialinstruments金融工具-資料下載頁
2025-05-10 13:52本頁面
【正文】 efficient when prices fully reflect all publicly available information strong form efficient when prices fully reflect all information, public or private. 38 Empirical evidence implication Markets are not strong form efficient. With limited exceptions, markets are semistrong form efficient and hence Publicly available information has no predictive power in respect to market prices. Typical investors should not expect to earn abnormal returns trading on publicly available information. It is pointless to time the purchase or sale of the firm’ s securities. 39 Conclusions to Draw Apart from market sentiment , managers can use private information about their own panies in making timing decisions. Pricing decisions in practice are based on Market value Fair value Price discovery thro book building 40 Managing Risk Risk is defined as the variability of returns from the expected values In financial markets volatility results in risk Companies use derivatives to manage risk and incentivize managers. Derivatives include forwards , futures, options So called as their value is derived from that of the underlying assets which could be shares/currency/ modities 41 Forward contracts You can buy in spot market today for immediate delivery – spot contract. You can contract today at a predetermined price for future delivery – forward contract. By locking in a price today, you can avoid price risk An exporter with €1 million receivable in 90 days, can sell € (an importer with a payable can buy €) at a predetermined rate in the forward market Futures contracts are similar to forwards except that they are exchange traded (while forwards are bilateral) 42 Option contracts Forward contracts are obligations to deliver/ accept delivery at a prespecified price. Options are rights, but not obligations to either take delivery or to deliver, at a prespecified (exercise or strike) price. Call options confer the right to buy the underlying shares at the strike price Put options confer the right to sell the underlying shares at the strike price The option buyer pays a premium to the option seller (writer) for this right 43 Option contracts For a call option In the money: When the spot exceeds the strike At the money: When the spot = strike Out of the money: When spot is less than strike For a put option In the money: When the spot is less than strike At the money: When the spot = Strike Out of the money: When the spot exceeds strike 44 Valuing Options In theory, the value of an option depends upon (Black – Scholes model) : The current price of the underlying asset The option’ s time to maturity The option’ s strike price The interest rate The expected volatility on the underlying asset But not the expected future value of the underlying asset 4
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