課件微觀第十一章

1、Chapter ElevenAsset MarketsStructureWhen to sell an asset?Rate-of-returnArbitrageTaxation of asset returnsApplicationsFinancial intermediariesAssets （資產(chǎn)）An asset is a commodity that provides a flow of services over time.E.g. a house, or a computer.A financial asset （金融資產(chǎn)）provides a flow of money ove

2、r time - a security.AssetsTypically asset values are uncertain. Incorporating uncertainty is difficult at this stage so we will instead study assets assuming that we can see the future with perfect certainty. Selling An AssetQ: When should an asset be sold?When its value is at a maximum?No. Why not?

3、Selling An AssetSuppose the value of an asset changes with time according toSelling An AssetValueYearsSelling An AssetMaximum value occurs whenThat is, when t = 50.Selling An AssetValueYearsMax. valueof $24,000is reachedat year 50.Selling An AssetThe rate-of-return （回報(bào)率）in year t is the e earned by

4、the asset in year t as a fraction of its value in year t.E.g. if an asset valued at $1,000 earns $100 then its rate-of-return is 10%.Selling An AssetQ: Suppose the interest rate is 10%. When should the asset be sold?A: When the rate-of-return to holding the asset falls to 10%.If the rate-of-return i

5、s lower than 10%, then it is better to sell the asset and put the proceeds in the bank to earn a 10% rate-of-return from interest.Selling An AssetThe rate-of-return of the asset at time t isIn our example,soSelling An AssetThe asset should be sold whenThat is, when t = 10.Selling An AssetValueYearsM

6、ax. valueof $24,000is reachedat year 50.slope= 0.1Selling An AssetValueYearsMax. valueof $24,000is reachedat year 50.Sell at 10 yearseven though theassets value isonly $8,000.slope= 0.1Selling An AssetWhat is the payoff at year 50 from selling at year 10 and then investing the $8,000 at 10% per year

7、 for the remaining 40 years?Selling An AssetWhat is the payoff at year 50 from selling at year 10 and then investing the $8,000 at 10% per year for the remaining 40 years?Selling An AssetSo the time at which an asset should besold is determined byRate-of-Return = r, the interest rate.Arbitrage (套利）A

8、rbitrage is trading for profit in commodities which are not used for consumption.E.g. buying and selling stocks, bonds, or stamps.No uncertainty all profit opportunities will be found. What does this imply for prices over time?ArbitrageThe price today of an asset is p0. Its price tomorrow will be p1

9、. Should it be sold now?The rate-of-return from holding the asset isI.e.ArbitrageSell the asset now for $p0, put the money in the bank to earn interest at rate r and tomorrow you haveArbitrageWhen is not selling best? WhenI.e. if the rate-or-return to holding the asset the interest rate, then keep t

10、he asset.And if thenso sell now for $p0.ArbitrageIf all asset markets are in equilibrium then for every asset.Hence, for every asset, todays price p0 and tomorrows price p1 satisfyNo arbitrage condition （無套利條件）ArbitrageI.e. tomorrows price is the future-value oftodays price. Equivalently,I.e. todays

11、 price is the present-valueof tomorrows price.Arbitrage in BondsBonds “pay interest”. Yet, when the interest rate paid by banks rises, the market prices of bonds fall. Why?Arbitrage in BondsA bond pays a fixed stream of payments of $x per year, no matter the interest rate paid by banks.At an initial

12、 equilibrium the rate-of-return to holding a bond must be R = r, the initial bank interest rate.If the bank interest rate rises to r” r then r” R and the bond should be sold.Sales of bonds lower their market prices.Taxation of Asset Returnsrb is the before-tax rate-of-return of a taxable asset.re is

13、 the rate-of-return of a tax exempt asset.t is the tax rate.The no-arbitrage rule is:(1 - t)rb = reI.e. after-tax rates-of-return are equal.Depletable ResourcesHow do prices change over time?Rate of return by keeping oil undergroundNo-arbitrage condition: R=rIf Rr, reduce extraction, price upIf Rr, increase production, price down.Depletable ResourcesWhat determines the price level?Oil demand=D/yearOil supply=SNumber of years left: T=S/DPrice at T: Price of a substitute energy at T: CAt T: Financial Intermediaries （金融中介）Banks, brokerages e