[財務管理] week6 Bond Valuation
資產評價： 資產的價值是在存續期間內，預期現金流量的折現值和
現金流量
時間 0 1 2 3 4 5 6 7 8 9 10
金額 80 80 80 80 80 80 80 80 80 80
1000
Contractual provisions of a bond 契約內容
par value (F)
maturity (T)
coupon payment ( C )
discount rate ( r )
price (B)
何謂債券
A bond has a specific cash flow pattern consisting of a stream of constant interest payments plus the return of par at maturity.
Types of bonds－債券的種類
Government bonds - Treasury, FNMA, GNMA,…
municipal bonds
corporate bonds
mortgage bonds
junks bonds 垃圾債券 高風險高報酬 通常是公司急缺資金面臨破產或是缺臨門一腳等情況下發行
convertible bonds 可轉換債券 指債券持有人有權利把債券換成股票。
公司具高度成長如鴻海，利率可低至零。
callable bonds 可贖回債券 權利在公司手上，公司可買回股票
zero coupon bonds
有三種類型
premium bond 這種coupon payment比較多，因此比較喜歡，價錢較高
at par bond 持平
discount bond 與premium bond相反
Computing Yield-to-maturity
到期報酬率 The rate required in the market on a bond.
The yield to maturity (YTM) is that discount rate which equates the present value of a bond’s cash flows to its price. In other words, it is the promised rate of return on the bond.
當期報酬率－Current yield
The current yield on a bond is the coupon yield expected in the coming year, while a bond’s capital gains yield is the coming year’s return due to price changes: and, since
YTM= Current yield + Capital gains yield,
Capital gains yield = YTM- Current yield
資本利得率：Capital gains yield = (V1-V0)/V0
老師說有同學問他YTM不是一年的，但這裡資本利得率卻是債券的到期可能是4年，他還沒想到。然後我就想了想然後上網查到是當期的價格變動除上前期的價格才是資本利得，
因此(V1-V0)/V0 應是指每一期，下一期就變成(V2-V1)/V1。
Bond Prices: Relationship Between Coupon and Yield
• If YTM = coupon rate, then par value = bond price
• If YTM > coupon rate, then par value > bond price
Why? Selling at a discount, called a discount bond
• If YTM < coupon rate, then par value < bond price
Why? Selling at a premium, called a premium bond
利率風險：因利率上升，使得長期債券面臨還是用同樣低利率，而用比較高利率折現價值下降。
Interest rate risk is the risk that a bond will lose value if interest rates rise. (Note that interest rate risk is also called “Price risk.”)
再投資率風險：因利率下降，使得短期債券面臨再投資時利率低的風險。
The Fisher Effect
• The Fisher Effect defines the relationship between real rates, nominal rates and inflation
• (1 + i) = (1 + r)(1 + f), where
• i = nominal rate
• r = real rate
• f = expected inflation rate
• Approximation • i = r + f
r_i=r_f+f+m+fin+poli+e
r_f risk free rate
f 通膨
m管理風險
fin財務風險
poli政治風險
e不確定風險
Term Structure of Interest Rates
• Term structure is the relationship between time to maturity and yields, all else equal
• It is important to recognize that we pull out the effect of default risk, different coupons, etc.
• Yield curve – graphical representation of the term structure
• Normal – upward-sloping, long-term yields are higher than short-term yields
• Inverted – downward-sloping, long-term yields are lower than short-term yields
通常往上，但是台灣過年的時候可能會往下，因為短期現金需求大。
Factors Affecting Required Return
• Default risk premium – remember bond ratings BBB以上投資等級
• Taxability premium – remember municipal versus taxable
• Liquidity premium – bonds that have more frequent trading will generally have lower required returns • Anything else that affects the risk of the cash flows to the bondholders will affect the required returns
Valuation of Stocks
權利：
1.所有權
2.股利分配權
3.優先認股權
4.剩餘價值
新無產階級專政 報章雜誌指沒有什麼股票但擁有公司的所有權
委託書proxy voting or proxy fight
可以代為行使投票權的委託書
資金成本： 為什麼使用股本比使用債券還貴？
