第五章债券和股票的定价

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-0ChapterOutline5.1DefinitionandExampleofaBond5.2HowtoValueBonds5.3BondConcepts5.4ThePresentValueofCommonStocks5.5EstimatesofParametersintheDividend-DiscountModel5.6GrowthOpportunities5.7TheDividendGrowthModelandtheNPVGOModel(Advanced)5.8PriceEarningsRatio5.9StockMarketReporting5.10SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-1ValuationofBondsandStock•FirstPrinciples:–Valueoffinancialsecurities=PVofexpectedfuturecashflows•Tovaluebondsandstocksweneedto:–Estimatefuturecashflows:•Size(howmuch)and•Timing(when)–Discountfuturecashflowsatanappropriaterate:•Therateshouldbeappropriatetotheriskpresentedbythesecurity.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-25.1DefinitionandExampleofaBond•Abondisalegallybindingagreementbetweenaborrowerandalender:–Specifiestheprincipalamountoftheloan.–Specifiesthesizeandtimingofthecashflows:•Indollarterms(fixed-rateborrowing)•Asaformula(adjustable-rateborrowing)McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-35.1DefinitionandExampleofaBond•ConsideraU.S.governmentbondlistedas63/8ofDecember2009.–TheParValueofthebondis$1,000.–Couponpaymentsaremadesemi-annually(June30andDecember31forthisparticularbond).–Sincethecouponrateis63/8thepaymentis$31.875.–OnJanuary1,2002thesizeandtimingofcashflowsare:02/1/1875.31$02/30/6875.31$02/31/12875.31$09/30/6875.031,1$09/31/12McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-45.2HowtoValueBonds•Identifythesizeandtimingofcashflows.•Discountatthecorrectdiscountrate.–Ifyouknowthepriceofabondandthesizeandtimingofcashflows,theyieldtomaturityisthediscountrate.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-5PureDiscountBondsInformationneededforvaluingpurediscountbonds:–Timetomaturity(T)=Maturitydate-today’sdate–Facevalue(F)–Discountrate(r)TrFPV)1(Presentvalueofapurediscountbondattime0:00$10$20$1TF$TMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-6PureDiscountBonds:ExampleFindthevalueofa30-yearzero-couponbondwitha$1,000parvalueandaYTMof6%.11.174$)06.1(000,1$)1(30TrFPV00$10$20$29000,1$3000$10$20$29000,1$30McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-7Level-CouponBondsInformationneededtovaluelevel-couponbonds:–Couponpaymentdatesandtimetomaturity(T)–Couponpayment(C)perperiodandFacevalue(F)–DiscountrateTTrFrrCPV)1()1(11ValueofaLevel-couponbond=PVofcouponpaymentannuity+PVoffacevalue0C$1C$2C$1TFC$$TMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-8Level-CouponBonds:ExampleFindthepresentvalue(asofJanuary1,2002),ofa6-3/8couponT-bondwithsemi-annualpayments,andamaturitydateofDecember2009iftheYTMis5-percent.–OnJanuary1,2002thesizeandtimingofcashflowsare:02/1/1875.31$02/30/6875.31$02/31/12875.31$09/30/6875.031,1$09/31/12McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-9Level-CouponBonds:ExampleFindthepresentvalue(asofJanuary1,2002),ofa6-3/8couponT-bondwithsemi-annualpayments,andamaturitydateofDecember2009iftheYTMis5-percent.•PV=$31.875[1-1/(1.025)16]+$1,000=$1,089.75.05/2(1.025)16McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-105.3BondConcepts1.Bondpricesandmarketinterestratesmoveinoppositedirections.2.Whencouponrate=YTM,price=parvalue.WhencouponrateYTM,priceparvalue(premiumbond)WhencouponrateYTM,priceparvalue(discountbond)3.Abondwithlongermaturityhashigherrelative(%)pricechangethanonewithshortermaturitywheninterestrate(YTM)changes.Allotherfeaturesareidentical.4.AlowercouponbondhasahigherrelativepricechangethanahighercouponbondwhenYTMchanges.Allotherfeaturesareidentical.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-11YTMandBondValue8001000110012001300$140000.010.020.030.040.050.060.070.080.090.1DiscountRateBondValue63/8WhentheYTMcoupon,thebondtradesatapremium.WhentheYTM=coupon,thebondtradesatpar.WhentheYTMcoupon,thebondtradesatadiscount.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-12MaturityandBondPriceVolatilityCConsidertwootherwiseidenticalbonds.Thelong-maturitybondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrateDiscountRateBondValueParShortMaturityBondLongMaturityBondMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-13CouponRateandBondPriceVolatilityConsidertwootherwiseidenticalbonds.Thelow-couponbondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrateDiscountRateBondValueHighCouponBondLowCouponBondMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.5-145.4ThePresentValueofCommonStocks•DividendsversusCapitalGains•ValuationofDifferentTypesofStocks–ZeroGrowth–ConstantGrowth–DifferentialGrowthMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrigh