Part Ⅱ 证券投资 估值
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Transcript of Part Ⅱ 证券投资 估值
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PartUnit 4 Unit 5 Unit 6
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1. 116005191 .94380943802. 200914.571.185215.3331.457411.193. 4. 5. 6. 2009169
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12 ST6007111 .794639712. 200810.1720.3830.03840.673. 4. 5. 6. 20095
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2. 21 081260181. 6800682. 1003. 14. 2008.9.2285. 2008.10.10
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221259601. 650650002. 1003. t12.61t22.91t33.21t43.51t53.814. 2007.5.1455. 2008.5.296. 2007.11.142012.5.137. 29.308. 24.33
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Unit 4 1 2k 3 1 2 3
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1. 2. 3. 4. 5. 6.
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Unit 4.1 1.
tptP0r4.1
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Ptr15r10r5r3t41
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2. Pt
pv--- Pt--- k--- n--- 124.2
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k3k5k10k15Pvt42
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3. 14.3A
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24.4
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34.5tAPv0PvPv00rkrkrk
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4. kkk
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4.6 rs rl rg rb rc W1...50.20.350.250.10.1
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412.255.43.832.21.64k 4.9
k3.68k
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Unit 4.2 1. 12344.74.84.94.10PbtPb0rTt
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2. Pbv1
n=(T-t)2
4.114.12
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3
4
4.134.14
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3. 1
24.154.16
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3
44.174.18PbmRyb
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4. 1
24.194.20
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42 200892208126018100189222008102865.18k3.91 Pbm65.18r1Pb0100T8nTt80.17.91360k3.91 14.9
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24.13
4.19
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34.20
4.17NPbvPbvPbm
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41
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6765.1867
65.1810879.7780.626.218.333.91
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5. 1 2
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3 k 4
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Unit 4.3 1. PPne
PPn+e
2.
D--- P--- k--- t---
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1DDMS DDMS4.214.22
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2CAPM 4.24 4.23
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3. 1 2
Ps--- Ee--- ---- 4.25 4.26
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3
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4. 1234
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5. 1 Net Present Value 4.27 NPsvPsvPsm
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2 Internal Rate of ReturnNPsv0PsvPsm Rsirrk 4.28 Rsirr
- NPsv0 NPsvk Rsirr
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43 60000420090.4711.44/2009k3.91BO00.47k3.91Psm11.44 4.24
4.27
NPsv>0 4.28
Rsirr>k
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Unit 4.4 1.
Pz--- C--- L--- Q--- P--- 4.29
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2. 123
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Unit 4.5 1. 1 1 PPFmwPmw 4.30 PPFmwPmw 2
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2 1 2
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2. 1 1 Pcw---Pt---Px--- Pcw=PtPx 4.31 2 Ppw---Px--- Ppw=PxPt 4.32
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2 1 2
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3 1 2 3
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3. 1 1 Pz---P0--- E--- Pz=P0+E 4.33 PsPx Pk=Pz1kn 4.34 Pk--- n--- k---
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2 Pg=rPs 4.35 r=P0Px 4.36 Pg--- Px--- Ps--- r--- 3 Pq=rPsPx 4.37
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3 1
2
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3 4 5
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Unit 4.6 1. 2. 3. 4. 5.
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Unit 4.6.1 1. 1Pt
24.37
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PT3
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2. 1 1 2 3
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2 1 2 3 4 5
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3 Pm=Pn+Pe+PwPs 4.39
Pm Pn Pe Pw Ps
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4PPabW2W1cW3WP---W--S---PaacBcC---
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3. 1 1 24.40
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2 1 PP2P0P1OBAFDECSWd2Ws1W0Ws2Wd1W
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2
3
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4. 1 35
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2 1
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2
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Unit 4.6.2 1. 1 2 3 Pm=Pn+PePs 4.41
- 2. 1Pm
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3. 1 Pm>P Pm=P Pmyl(n) ym=yl(n) ymk k
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Unit 4.6.3 1. 1 2 3 4 Pm=Pn+Pe+PwPs
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2. 1
2
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3
4
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3. 1NPV NPV=P-Pm 4.42
NPV>0 NPV=0 NPV
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2IRR Pm=D0/k* 4.43 k*=D0/Pm 4.44
k*>k k*
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3 0=1/k 4.45 > 0 < 0 --- 0 ---
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4 1 Pa=PT/CT 4.46 PT--- CT--- Pa---/
- Pav=Ea/k 4.47 Pav--- Ea--- Pa>Pav Pa
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2 PTM2 4.48 PT M2 0.1 0.7
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200620072008
20052006200720080970.150.110.710.260.485.424.7418.935.6811.14
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Unit 4.6.4 1. 12
Pm=Pn 4.49 Pm=Pn+Ps 4.50
- 2. 1 2 33. Pn 1Pm>Pn 2Pm
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4. 1 2 3
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5. 1 2 3 4 5
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Unit 4.6.5 1. 1 PmPcPrPs 4.51 PcPr Ps2 PmPTPs 4.52 PT Ps
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Introduction to Futures and Options Markets3thEition3 FSerT 4.53 F S R T
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4 1 2 3 4
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TP
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2. 1 PmPcwPtvPs 4.54
Pcw Ptv 2 PmPpwPtvPs 4.55
Ppw
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Introduction to Futures and Options Markets3thEition 3Black-Scholes
c T P X Nx--S r 4.564.574.584.59
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4 12
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PxP0+P0P
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PPx0+P0P
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3. 1PsPx Pk=Pz1kn 4.60 Pk--- n--- k--- 2 Ps>Px Pk=Pg+Pq+PtvPs 4.61
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3
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Px100
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41 2112345678910
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2. 212345678
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3120030.21366.31.98%20210810051.5%1088/1096/ k2
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41 2
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3 20070.240018.33.87%5 2007103010061.%103013.85/2007112610.07/ k5
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Unit 5 1 2 3 1 2 3
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1. 2. 3. 4.
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Unit 5.1 1.
1
2
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2.
1 2
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3 1 2 3. 123
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Unit 5.2 1.
1
2
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2. 12 3
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3. 12 3 4
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4. 1 2 3 4
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Unit 5.3 1
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2.
1
2
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3. 1 2
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Unit 5.4 1.
1 2
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3
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4
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2. 12 3 1 2 3
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3. 1 2 3
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4. 1 2 3
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5. 1 2 3
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51 21234567
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Unit 6 1 2 3 1 2 3
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1. 2. 3. 4. 5.
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Unit 6.1 1. 12 1 2 3
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3
1 2 3 4
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2. 1 1 22 1 2 3
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3 1 2 3 44 1 2 35
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3. 1122
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3 1 2 3
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4. 1 1 2 32 1 2
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5. 1 1 22 1 2 3 4 5
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Unit 6.2 1. 1232. 1234
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3. 1 1 2 32 1 2
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3 1 2 34 1 2 3 4
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4. 1234
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5. 1236. 12347.
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8. 12 1 234 1 2567
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Unit 6.3 1. 1232. 123
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3. 1 1 A=L+OE 6.1 A(Assets) B(Liabilities) OE(Owner,s Equity)
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2 a b c
3 a b c
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2 1 2
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3
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3 1 2 3 4 5
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4. =+ 6.2
=++6.3
=++ 6.4
=+ 6.5
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5. 1
1 2 3
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2 1 2 33 1 2 3 4
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6. 1
1 2 3 4
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2 1 2 3 4 5
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3 1 2 3 4 5 6
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4 1 2 3 4 5
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Unit 6.4 1. 1 2 3
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2. 1 1 2 = 6.6 3 2
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2 1 2 = 6.7 3 1
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3 1 2 = 6.8 3
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4 1 2 = 6.9 =360 6.10 3
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3. 1 1 2 = 6.11 3
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2 1 2 = 6.12 3
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3 1 = 7.13 2 = 7.14 3
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4 1 2 = 7.15 3 11.51
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4. 1 1 = 7.16 =360 7.17 3
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2 1 = 7.18 2
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3 1 = 7.19 2
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4 1 =[] 100% 7.20 2
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5. 1 1 =/100% 7.21 = 7.22 2
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2 1 =/100% 7.23 2
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3 1 =100% 7.24 =2 7.25 2
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4 1 =/100% 7.26 2
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6. 1P2012 1 / 100 7.27 2
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3
1 /100 7.28 2
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4 1 /100 7.29 2
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Unit 6.5 1. 1 7.30 7.312 7.323 7.33
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2. 1 7.342Unit 5 7.35
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3 7.364 7.375 /100 7.38 2 7.39
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3. 1 100 7.40 2 100 7.413 7.42
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61123456
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212345678
Introduction to Futures and Options Markets3thEition