Intermediate Microeconomics · 免费预览
资产市场与套利
资产的收益率等于支付变动除以价格；无套利原则要求所有无风险资产具有相同的收益率；债券的定价等于未来现金流贴现后的现值；永续债券的价值等于票息除以利率。
1. Returns and their adjustments
Returns and their adjustments
2. The no-arbitrage principle
The no-arbitrage principle
3. Pricing bonds and perpetuities
Pricing bonds and perpetuities
4. Adjustments in practice
Adjustments in practice
5. The return calculation
An asset bought at 100 pays a dividend of 4 and sells at year end for 105. What is its return?
6. Why riskless returns equalize
Two riskless one-period bonds quote returns of 6 and 4 percent. What does no-arbitrage predict?
7. The perpetuity price
A perpetuity pays an annual coupon of 5 forever and the riskless rate is 4 percent. What is it worth?
8. The after-tax comparison
Corporate bonds yield 4 percent taxable, municipals 3 percent tax-free. For an investor in the 25 percent bracket, which is better?
9. Price at a lower rate
The perpetuity with coupon 5 when the rate falls to 3 percent, compute its new price, rounded to one decimal, and write the number.
10. After-tax yield
A taxable bond yields 8 percent and the tax rate is 25 percent, compute the after-tax yield in percent, and write the number.
11. A losing position
An asset bought at 100 pays a dividend of 4 and sells at year end for 95. What is the return?
12. Par when rates match coupons
A perpetuity with coupon 5 trades while the riskless rate is 5 percent. What is its price?
13. A rate move reprices everything
The coupon-5 perpetuity sits at 125 when the rate is 4 percent. What happens if the rate rises to 5 percent?
14. How arbitrage executes
Two riskless one-year bonds quote 6 and 4 percent. What does the arbitrageur actually do?
15. A richer coupon
A perpetuity pays an annual coupon of 6 with the riskless rate at 4 percent. Compute its price, and write the number.
16. A bond bought cheap
A bond is bought for 90, pays a coupon of 5, and sells at year end for 100. Compute the return in percent, rounded to one decimal, and write the number.