金融市場與金融機構(gòu)第九章

單擊此處編輯母版標(biāo)題樣式,單擊此處編輯母版文本樣式,第二級,第三級,第四級,第五級,*,*,Part IV Financial Markets,Chapter 9,The Stock Market,1,Why Firms Borrow,To acquire new assets or replace existing assets,These can be financed by,internal,financing (from retained earnings),external,financing (debt or equity issue),Questions,2,Capital Markets,Original maturity is,greater,than one year.,Best known capital market securities:,Stocks and Bonds,Primary issuers of securities:,Federal and Local Governments,Corporations,Largest purchasers of securities:,Households,3,Our goal in this chapter is to get a “big picture” overview of,who owns stocks,how a stock exchange works,and how to read and understand the stock market information reported in the financial press.,Chapter Preview,Goal,4,Chapter Outline,1.,Investing in Stocks,2.,Computing the Price of Common,Stock,3.,Stock Market Indexes,5,Stocks,Represents,ownership,in a firm,Earn a return in two ways,Appreciation/Depreciation the price of the stock rises/falls over time,Cash Flows - dividends are paid to the stockholder periodically,6,Example,7,20010,年,3,月,19,日因?qū)嵤?10,轉(zhuǎn)增,10,股而出現(xiàn)向下的大缺口，但這并不意味著股價的下跌,除權(quán)大缺口,Example,8,宣布日,登記日,除權(quán)除息日,支付日,例:某上市公司3月8日公布上年度分紅方案:在3月8日公司召開的股東大會上,通過了董事會關(guān)于每股普通股分派股息1元的年度分紅方案.所有在3月18日前持有本公司股票的股東如將在3月17日登記都將獲得這一股利.股利將在4月4日發(fā)放.,在本例中,3月8日即是股利的宣布日,登記日就是3月17日,3月18日就是除權(quán)除息日,在這天之后購入股票的投資者就不能獲得股利,如果市場有效,股票價格會在這日下跌,4月4日是股利的支付日,除息和除權(quán),9,除權(quán),:,在年度分紅派息時,如果是送紅股或者是配股,稱為除權(quán),.,大盤顯示,:XRxxx,除息,:,在年度分紅派息時,如果是分現(xiàn)金,稱為除息,.,大盤顯示,:DRxxx,除權(quán)除息,:,在年度分紅派息時,如果是既送紅股或者是配股又分現(xiàn)金,稱為除權(quán)除息,.,大盤顯示,:XDxxx.,除息和除權(quán),10,某股票股權(quán)登記日的收盤價是,24.75,元，每,10,股送,3,股，即每股送紅股數(shù)為,0.3,，則次日除權(quán)報價為：,p,C,=,1+R,s,p,C-1,Example,24.75÷,（,1,0.3,）,=19.04,（元）,11,某股票股權(quán)登記日的收盤價為,18.00,元，,10,股配,3,股，即每股配股數(shù)為,0.3,，配股價為每股,6.00,元，則次日除權(quán)價為：,（,18.00,6.00×0.3,）,÷,（,1,0.3,）,=15.23,（元）,p,C,=,1+R,p,p,C-1,+P,p,*R,p,Example,12,某股票股權(quán)登記日的收盤價為,20.35,元，送,1,股，配,2,股，配股價為,5.50,元,/,股，即每股送,0.1,股，配,0.2,股，則次日除權(quán)價為：,（,20.35,5.50×0.2,）,÷,（,1,0.1,0.2,）,16.5,（元）,p,C,=,1+R,s,+R,p,p,C-1,+P,p,*R,p,Example,13,某股票股權(quán)登記日的收盤價為,20.35,元，每,10,股派發(fā)現(xiàn)金紅利,4.00,元，送,1,股，配,2,股，配股價為,5.50,元,/,股，即每股分紅,0.4,元，送,0.1,股，配,0.2,股，則次日除權(quán)除息價為：,p,C,=,1+R,s,+R,p,p,C-1,+P,p,*R,p,-e,（,20.35,0.4,5.50×0.2,）,÷,（,1,0.1,0.2,）,16.19,（元）,Example,14,Common stock vs. Preferred stock,The fundamental ownership claim in a public corporation,A hybrid security that has characteristics of both bonds and common stock,15,Characteristics of Common Stock,Dividends,Voting Rights,Residual Claim,Limited Liability,16,Characteristics of Preferred Stock,Similar to common stock in that it represents an ownership interest but, like bonds, pays a fixed periodic dividend,Senior to common stock but junior to bonds,Generally do not have voting rights,17,Blue chip,A stock,B stock,N stock,H stock,中國最大的證券交易所-上海證券交易所,18,Primary and Secondary Markets Overview,Primary Market,firm can raise equity capital in its,initial public offering,(IPO),firm can raise equity capital in a subsequent,seasoned equity offering,(SEO),Secondary Markets,trading of shares among investors,19,發(fā)行者,證交所,證券商,投資者,承銷商,流通市場,發(fā)行市場,（初級發(fā)行、再發(fā)行）,（交易市場、二級市場）,證券投資咨詢機構(gòu),證券評級機構(gòu),證券結(jié)算登記機構(gòu),會計師事務(wù)所,資產(chǎn)評估事務(wù)所,律師事務(wù)所,自律性組織,20,Public Issue,公募,- Sale of bonds or stock to the general public.,The dominant private placement lender in this group is the life-insurance category (pension funds and bank trust departments are very active as well).,Public Issue vs. Private Issue,Private Placement,私募,- The sale of an entire issue of,unregistered,securities (usually bonds) directly to one purchaser or a group of purchasers (usually financial intermediaries).,Primary Market,21,Initial public offerings (IPOs),First-time offering of shares to the public,Firm must provide information to public,Registration statement to SEC,Prospectus,Firm is assisted by an,investment banker,Performance of IPOs,Price generally rises on first day,Longer-term performance of IPOs is poor,Public Issue,http:/,22,Securities are sold to,hundreds, and often,thousands, of investors under a formal contract overseen by federal and state regulatory authorities.,When a company issues securities to the general public, it is usually uses the services of an,investment banker,.,Public Issue,23,A financial institution,that,underwrites,承銷,(purchases at a fixed price on a fixed date) new securities for resale.,Investment Banker,Stocks Stocks,Issuing Investment Investors,Corporation Bank,Funds Funds,firm commitment underwriting,or,best efforts underwriting,代銷,24,If the security issue does not sell well, either because of an adverse turn in the market or because it is overpriced,the underwriter, not the company, takes the loss.,Underwriting,-,firm commitment underwriting,.,Underwriting Syndicate,承銷團,- A temporary combination of investment banking firms formed to sell a new security issue.,25,Best Efforts Offering,- A security offering in which the investment bankers agree to use only their best efforts to sell the issuers securities. The investment bankers,do not commit,to purchase any unsold securities.,26,Secondary Markets,Organized exchanges,Larges U.S. Exchange is the,NYSE,Others include Nikkei, LSE, DAX, etc.,Listing requirements exclude small firms,Must own a seat on exchange in order to trade,Trading resembles an auction,Over-the-counter markets,Best example is NASDAQ,Dealers stand ready to make a market,No trading floor or specific location,Telecommunications network,27,按照組織程度將證券流通市場分為場內(nèi)交易市場和場外交易市場。國外還有第三市場、第四市場。,交易所,場外交易市場,第三市場,第四,市場,（場內(nèi)交易市場）,Secondary Markets,28,場內(nèi)交易市場是由證券交易所組織的集中交易市場，有固定的交易場所和交易活動時間。證券交易所接受和辦理符合有頭法律法規(guī)的證券上市買賣，投資者則通過證券商在證券交易所進行證券買賣。,場外市場又稱“店頭市場”或“柜臺市場”，主要是指在證券交易所之外形成的證券交易市場。交易對象主要是未上市的證券，由證券商和證券公司以自營的方式進行買賣。,29,第三市場是場外交易市場的一部分，實際上是“已上市證券的場外交易市場”。主要是為適應(yīng)大額投資者的需要發(fā)展起來的，參加者都是投資機構(gòu)，交易量不多，但是每筆成交數(shù)額較大，經(jīng)紀人傭金較低。,第四市場是指投資者和證券資產(chǎn)持有者繞開通常的證券經(jīng)紀人，相互之間利用電子計算機網(wǎng)絡(luò)進行大宗股票交易的場外交易市場。參與者大都是大企業(yè)和公司，它們進行大宗股票買賣，主要是為了不暴露目標(biāo)，故不會對證券的其他市場形成壓力。,30,Work the Web,For up-to-date information on the NYSE, hit:,31,我國的證券交易市場,我國目前的證券交易市場主要由證券交易所市場和場外交易市場組成。,我國的證券交易所市場目前僅有上海、深圳兩大證券交易所。,它們均由中國人民銀行批準(zhǔn)，按國際通行的會員制方式組成，為非盈利性的事業(yè)法人。,按照上市公司的屬性將證券交易所市場分為主板市場和二板市場（高科技板、創(chuàng)業(yè)板）。,32,證券交易的方式和程序,證券交易方式,現(xiàn)貨交易和期貨交易,現(xiàn)款（現(xiàn)券）交易和信用交易,證券交易程序,委托,成交,清算,交割,過戶,33,股票交易順序,開戶,委托,競價成交,交割,過戶,現(xiàn)金帳戶,（券商）,股票帳戶,（證交所）,時間優(yōu)先,價格優(yōu)先,當(dāng)日,隔日,例行日,集合競價,連續(xù)競價,34,an order for the broker and market specialist to transact at,the best price available,when the order reaches the post,an order to transact at a specified price (,the limit price,),Market,order,Limit,order,Two Common Types of Orders,35,以,1,厘錢的價格買到收盤價近,0.70,元的海爾認沽權(quán)證，南京一股民,820,元變,56,萬,一天炒出了,700,倍的收益！南京股民張浩（化名）,2007,年,2,月,28,日以,1,厘錢的價格，買到收盤價近,0.70,元的,82,萬份海爾認沽權(quán)證。轉(zhuǎn)眼之間，,820,元變成了,56,萬元！,張浩告訴記者，他從去年,8,月,1,日出現(xiàn)市價委托規(guī)則后，就留了心，“市價委托就是當(dāng)天必須要成交的，按市價交易，只要有人掛出了按市價委托的賣單，而大家恰恰都不買、沒有什么買單，理論上我就有可能以,1,厘錢的價格買到權(quán)證?！?從那以后，只要有空，張浩每個交易日都會掛出,1,厘錢的買單。昨天，張浩動用了賬戶上,1,萬元錢，掛出了海爾等,10,個認沽權(quán)證品種的買單，“今天只有,10,個認沽權(quán)證有可能掛到,1,厘錢的，我事先都研究過了，今天全掛了?！?Case,36,“說實話我也沒想到今天真的會成交?！睆埡品Q，收盤之后他查了一下自己的賬戶，一下子多出了,50,多萬?！拔蚁胧遣皇歉沐e了？以前也有一次，因為系統(tǒng)出錯，我的賬戶上多出了,100,多萬?！钡沁@次張浩仔細看了盤面之后，確信這次,50,多萬是真的到了自己的賬戶上?！耙驗榻裉斓谋P面上我看到了,1,厘錢的成交價格。我一共買到,82,萬份海爾認沽權(quán)證?！?“這種情況發(fā)生，只有在一種情況下，那就是在,9,：,25,分,9,：,30,之間，首先要有人掛出按市價委托的賣單，賣單先進交易所，同時沒有什么買單。然后張先生掛出了,1,厘錢的買單，買單后進交易所?！?Case,37,Borrow a portion of the funds from broker,Margin is the amount of equity an investor provide,Magnifies returns (both good and bad),Purchasing stock on margin,融資,Borrow stock and sell,Repay stock loan, hopefully at a lower price,Investor able to have potential profit from decline in stock price,Short sales,融券,38,X Corp$70,50%Initial Margin,40%Maintenance Margin,1000Shares Purchased,Initial Position,Stock $70,000 Borrowed $35,000,Equity $35,000,Example,Margin Trading,39,Stock price falls to $60 per share,New Position,Stock $60,000 Borrowed $35,000,Equity 25,000,Margin% = $25,000/$60,000 = 41.67%,Example,Margin Trading,40,Example,Short Sale,Z Corp100 Shares,50%Initial Margin,30%Maintenance Margin,$100Initial Price,Sale Proceeds$10,000,Margin & Equity 5,000,Stock Owed 10,000,41,Stock Price Rises to $110,Sale Proceeds$10,000,Initial Margin 5,000,Stock Owed 11,000,Net Equity 4,000,Margin % (4000/11000) 36%,Example,Short Sale,42,證券公司風(fēng)險控制指標(biāo)管理辦法,對券商提供融資融券服務(wù)的內(nèi)容規(guī)定,第十三條 證券公司為客戶買賣證券提供融資融券服務(wù)的，必須符合以下風(fēng)險控制指標(biāo)標(biāo)準(zhǔn)：,（一）對單個客戶融資業(yè)務(wù)規(guī)模不得超過凈資本的,1%,；,（二）對單個客戶融券業(yè)務(wù)規(guī)模不得超過凈資本的,1%,；,（三）接受單只股票質(zhì)押的市值不得超過凈資本的,30%,；,（四）按對客戶融資業(yè)務(wù)規(guī)模的,10%,計算風(fēng)險準(zhǔn)備；,（五）按對客戶融券業(yè)務(wù)規(guī)模的,10%,計算風(fēng)險準(zhǔn)備。,43,Reading Stock Quotations,Stock prices are quoted online and in newspapers,Quotes report the,Stock price, including yearly high and low,Ticker symbol,Dollar dividend and dividend yield,Price-earnings ratio,Volume,Daily high and low,Closing price,Net change,44,Stock Market Quotation for General Motors Corporation, March 11, 2003,45,股票網(wǎng)站：,全景網(wǎng)絡(luò),新浪股評天地,和訊網(wǎng),華泰證券,巨潮信息深交所,上交所,證券之星股票,/simple/,46,“,委比”是衡量一段時間內(nèi)場內(nèi)買、賣盤強弱的技術(shù)指標(biāo)。它的計算公式為： 委比,=(,委買手數(shù)委賣手數(shù),)/(,委買手數(shù)委賣手數(shù),)×100,委買量與委賣量之差,當(dāng)日總成交手數(shù)與近期平均成交手數(shù)的比值。,成交價是賣出價時成交的手數(shù)總和稱為外盤,成交價是買入價時成交的手數(shù)總和稱為內(nèi)盤,Reading Stock Quotations,47,Chapter Outline,1.,Investing in Stocks,2.,Computing the Price of Common,Stock,3.,Stock Market Indexes,48,Computing the Price of Common Stock,Valuing common stock is, in theory, no different from valuing debt securities:,determine the future cash flows and discount them to the present at an appropriate discount rate.,These methods are grouped into two categories:,dividend discount models,price ratio models,49,(1) Future dividends,(2) Future sale of the common stock shares,What cash flows will a shareholder receive when owning shares of,common stock,?,Dividend Discount Method,50,(1 +,k,e,),1,(1 +,k,e,),2,(1 +,k,e,),¥,V =,+,+ . +,Div,1,Div,¥,Div,2,=,S,¥,t=1,(1 +,k,e,),t,Div,t,Div,t,:Cash Dividend at time t,k,e,: Equity investors required return,Dividend Discount Method,51,The basic,dividend discount model,adjusted for the future stock sale.,(1 +,k,e,),1,(1 +,k,e,),2,(1 +,k,e,),n,V =,+,+ . +,Div,1,Div,n,+,Price,n,Div,2,n,:The year in which the firms shares are expected to be sold.,Price,n,:The expected share price in year,n,.,Dividend Discount Method,52,The,zero growth model,assumes that dividends will grow forever at the rate,g,= 0.,(1 +,k,e,),1,(1 +,k,e,),2,(1 +,k,e,),¥,V,ZG,=,+,+ . +,D,1,D,¥,=,k,e,D,1,D,1,:Dividend paid at time 1.,k,e,: Investors required return.,D,2,Zero Growth Model,53,Stock ZG has an expected,growth rate,of,0%.,Each share of stock just received an annual,$3.24 dividend,per share. The appropriate,discount rate is 15%.,What is the value of the,common stock,?,D,=,$3.24,V,ZG,=,D,/,k,e,=,$3.24,/,.15,=,$21.60,Zero Growth Model Example,54,(1 +,k,e,),1,(1 +,k,e,),2,(1 +,k,e,),¥,V =,+,+ . +,D,0,(1+,g,),D,0,(1+,g,),¥,=,(,k,e,-,g,),D,1,D,1,:Dividend paid at time 1.,g,: The constant growth rate.,k,e,: Investors required return.,D,0,(1+,g,),2,The Gordon Growth Model,Same as the previous model, but it assumes that dividend grow at a constant rate,g,. That is,Div,(t+1),= Div,t,x,(,1 + g,),55,Constant Growth Model Example,Stock CG has an expected,dividend growth rate of 8%,. Each share of stock just received an annual,$3.24 dividend,. The appropriate,discount rate is 15%,. What is the value of the,common stock,?,D,1,=,$3.24,( 1 +,.08,) =,$3.50,V,CG,=,D,1,/ (,k,e,-,g,) =,$3.50,/ (,.15,-,.08,) =,$50,56,What is the price for a stock with an expected dividend and price next year of $0.16 and $60, respectively? Use a 12% discount rate,Answer:,Price =,Other Example,57,Potential errors in estimating dividends,Potential errors in estimating growth rate,Potential errors in estimating required return,Not all firms pay dividends,Limitations of the Dividend Discount Model,58,Computing the Price of Common Stock: Price Ratio Models,The,price earnings ratio (PE),is a widely watched measure of much the market is willing to pay for $1.00 of earnings from the firms.,Price =,59,If the industry PE ratio for a firm is 16, what is the current stock price for a firm with earnings for $1.13 / share?,Answer:,Price = 16 x $1.13 = $18.08,Example,60,Apply the mean PE ratio of publicly traded competitors,Use expected earnings rather than historical,Equation:,Firms,Stock = Expected EPS,Mean industry PE ratio,Price,Computing the Price of Common Stock: The Price Earnings Valuation Method,61,Reasons for different valuations,Different earnings forecasts,Different PE multipliers,Different comparison or benchmark firms,Limitations of the PE method,Errors in forecast,Based on PE, which some analysts question,Computing the Price of Common Stock: The Price Earnings Valuation Method,62,資產(chǎn)的市場價值能否反映資產(chǎn)的真實價值呢？,價值學(xué)派,本杰明,.,格雷厄姆、巴菲特為首,公司的市場價值不能反映公司的真實價值，企業(yè)的真實價值應(yīng)是企業(yè)的內(nèi)在價值,證券分析的主要內(nèi)容是判斷股票的市場價值是否真實地體現(xiàn)了企業(yè)內(nèi)在價值。,市場學(xué)派,20,世紀,70,年代以來流行“有效市場理論”，薩繆爾森,(1 965),、法瑪,(1 965),、盧卡斯,(1 978),、格羅斯曼和斯蒂格利茨,(1 980 ),等的努力,形成并發(fā)展了資本市場的有效率市場理論。法瑪,(1 970 ,1 991 ),對有效率資本市場理論進行了綜合總結(jié)。,市場是完全有效的，所有關(guān)于股票的公開信息都已經(jīng)適當(dāng)?shù)胤从吃诹怂鼈兊膬r格中。所以，企業(yè)的市場價值是對公司真實價值的最為準(zhǔn)確的反映和估計。,證券分析的主要內(nèi)容是研究證券市場。通過研究證券市場價格走勢，來確定證券投資的風(fēng)險和收益。,自從有效市場理論問世以來，有關(guān)有效市場假設(shè)的各種檢驗和研究文獻浩如煙海，有效市場理論和價值學(xué)派的爭論從未停止過。但是，價值學(xué)派對有效市場理論的最嚴重的打擊是，價值學(xué)派的沃倫,.,巴菲特和彼得,.,林奇等人年復(fù)一年地獲得了超出市場平均水平的投資回報。,63,巴菲特過去,35,年的業(yè)績,64,巴菲特過去,35,年的業(yè)績,65,巴菲特的投資哲學(xué),追求簡單，避免復(fù)雜,投資組合簡單,喜歡簡單的公司，不喜歡業(yè)務(wù)和財務(wù)復(fù)雜的公司,長期持有,不碰自己不懂的股票,手邊永遠持有現(xiàn)金，并在行情大幅回檔的時候逢低買進,66,Chapter Outline,1.,Investing in Stocks,2.,Computing the Price of Common,Stock,3.,Stock Market Indexes,67,2008/09/22,68,Stock indices used to measure general behavior of market,股價指數(shù)是運用統(tǒng)計學(xué)中的指數(shù)方法編制而成的，反映股市總體價格或某類股價變動和走勢的指標(biāo)。,Best known index is the DOW,Dow Jones Industrial Average (DJIA),the S&P 500,the NASDAQ composite.,Stock Market Indexes,69,Work the Web,For more on the Dow, visit :,http:/,Look for “About the Averages.”,70,Stock Market Indexes,Indexes can be distinguished in four ways:,the market covered,the types of stocks included,how many stocks are included, and,how the index is calculated,71,1簡單算術(shù)平均法（1）相對法,股價指數(shù)的計算方法,72,股價指數(shù)的計算方法,73,股價指數(shù)的計算方法,74,成份股的選擇：選擇了500個成份股；其中有400個工業(yè)股；20個運輸事業(yè)股；40個公用事業(yè)股；40個金融業(yè)股。,采取隨機抽取的方法。,計算方法：加權(quán)平均法,基期采用,1941-1943,年的平均市價總值,斯坦普爾股價指數(shù),75,成份股的選擇：選擇了33個成份股；其中有金融業(yè)股；公用事業(yè)股；地產(chǎn)股；公商業(yè)股。,計算方法：加權(quán)資本市值法,股價指數(shù)的基期時間是1964年7月31號。,恒生指數(shù),76,例：假設(shè)三個公司發(fā)行的股票，情況如下：,發(fā)行股數(shù) 收市價 資本市值,甲 10，000 3 30，000,乙,20,，,000 5 100,，,000,丙 25，000 4 100，000,總和 230，000,基準(zhǔn)日的資本市值總和為10，000元。,恒生指數(shù) = （230，000 / 10，000） ×100,= 2300點,Example,77,成份股：所有上市股票,基期：1990年12月19日,計算公式：,I = （,當(dāng)日所有股票的市值總和 / 基準(zhǔn)日股票的市值總和 ） × 100,上證綜合指數(shù),78,深交所指數(shù),基期：1991年4月3日,點數(shù)：100點,某日深交所指數(shù) = （當(dāng)日所有股票市值總和 / 基準(zhǔn)日股票市值總和 ）× 100,今日現(xiàn)時指數(shù) = （今日現(xiàn)時總市值 / 上日收市總市值） × 上日收市指數(shù),深圳股市指數(shù),79,THE END!,80,Chapter Summary,Investing in Stocks: we developed an understanding the structure of the various trading systems, including exchanges and OTC markets,Computing the Price of Common Stock: various techniques for valuing dividends and earnings were presented,81,Chapter Summary (cont.),How the Market Sets Security Prices: the basic idea that prices are set by the “highest bidder” was reviewed,Errors in Valuation: difficulties in determining dividends, growth rates, and/or required returns can have a significant impact in the pricing models,82,Chapter Summary (cont.),Stock Market Indexes: a way to track changes in valuation for a broad group of stocks,83,