博迪投资学第九版课件

23-6
Text Pricing Example
rus = 4% ruk = 5% E0 = $2.00 per pound
T = 1 yr
F0

$2.001.04 1 1.05

$1.981
If the futures price varies from $1.981 per pound, covered interest arbitrage is possible.
A US exporter wants to protect against a decline in profit that would result from depreciation of the pound. The current futures price is $2/£1. Suppose FT = $1.90? •The exporter anticipates a profit loss of $200,000 if the pound declines by $.10 •Short or sell pounds for future delivery to avoid the exposure.
INVESTMENTS | BODIE, KANE, MARCUS
23-15
Creating Synthetic Positions with Futures
• Speculators on broad market moves are major players in the index futures market. – Strategy: Buy and hold T-bills and vary the position in market-index futures contracts. – If bullish, then long futures – If bearish, then short futures

INVESTMENTS | BODIE, KANE, MARCUS
23-16
Index Arbitrage
Exploiting mispricing between underlying stocks and the futures index contract • Futures Price too high - short the future and buy the underlying stocks • Futures price too low - long the future and short sell the underlying stocks
• Available on both domestic and international stocks • Settled in cash • Advantages over direct stock purchase – lower transaction costs – better for timing or allocation strategies – takes less time to acquire the portfolio
INVESTMENTS | BODIE, KANE, MARCUS
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Figure 23.4 Predicted Value of the Portfolio as a Function of the Market Index
INVESTMENTS | BODIE, KANE, MARCUS
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23-4
Figure 23.2 Foreign Exchange Futures
INVESTMENTS | BODIE, KANE, MARCUS

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14-4
U.S. Treasury Bonds
•Note maturity is 1-10 years •Bond maturity is 10-30 years • Bonds and notes may be purchased directly from the Treasury. • Denomination can be as small as $100, but $1,000 is more common. • Bid price of 100:08 means 100 8/32 or $1002.50
• Reinvestment Assumptions • Holding Period Return – Changes in rates affect returns – Reinvestment of coupon payments – Change in price of the bond
INVESTMENTS | BODIE, KANE, MARCUS
C ParValue PB T t (1 r ) t 1 (1 r )
T
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14-15
Yield to Maturity Example
Suppose an 8% coupon, 30 year bond is selling for $1276.76. What is its average rate of return?
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14-6
Preferred Stock
•Equity •Fixed income • Dividends are paid in perpetuity. • Nonpayment of dividends does not mean bankruptcy. • Preferred dividends are paid before common. • No tax break.

9-18
Extensions of the CAPM
• Zero-Beta Model – Helps to explain positive alphas on low beta stocks and negative alphas on high beta stocks
• Consideration of labor income and nontraded assets
Ri iiRMei
• The index model beta coefficient turns out to be the same beta as that of the CAPM expected return-beta relationship
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Figure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-1991
• It is important to consider the econometric technique used for the model estimated
• Statistical bias is easily introduced – Miller and Scholes paper demonstrated how econometric problems could lead one to reject the CAPM even if it were perfectly valid
market rate of return:
L3
Cov(Ci,RM) Var(RM CM)
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portfolio:
E (rGE ) rf C ov (rGE , rM )