金融市场与金融机构第九章.ppt

1,Part IV Financial Markets,Chapter 9 The Stock Market,2,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,3,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,4,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,5,Chapter Outline,1. Investing in Stocks,2. Computing the Price of Common Stock,3. Stock Market Indexes,6,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,7,Example,8,20010年3月19日因实施10转增10股而出现向下的大缺口，但这并不意味着股价的下跌,除权大缺口,Example,9,宣布日,例:某上市公司3月8日公布上年度分红方案:在3月8日公司召开的股东大会上,通过了董事会关于每股普通股分派股息1元的年度分红方案.所有在3月18日前持有本公司股票的股东如将在3月17日登记都将获得这一股利.股利将在4月4日发放. 在本例中,3月8日即是股利的宣布日 登记日就是3月17日 3月18日就是除权除息日,在这天之后购入股票的投资者就不能获得股利,如果市场有效,股票价格会在这日下跌 4月4日是股利的支付日,除息和除权,10,除权:在年度分红派息时,如果是送红股或者是配股,称为除权.大盘显示:XRxxx 除息:在年度分红派息时,如果是分现金,称为除息.大盘显示:DRxxx 除权除息:在年度分红派息时,如果是既送红股或者是配股又分现金,称为除权除息.大盘显示:XDxxx.,除息和除权,11,某股票股权登记日的收盘价是24.75元，每10股送3股，即每股送红股数为0.3，则次日除权报价为：,Example,24.75（10.3）=19.04（元）,12,某股票股权登记日的收盘价为18.00元，10股配3股，即每股配股数为0.3，配股价为每股6.00元，则次日除权价为：,（18.006.000.3）（10.3） =15.23（元）,Example,13,某股票股权登记日的收盘价为20.35元，送1股，配2股，配股价为5.50元/股，即每股送0.1股，配0.2股，则次日除权价为：,（20.355.500.2）（10.10.2）16.5（元）,Example,14,某股票股权登记日的收盘价为20.35元，每10股派发现金红利4.00元，送1股，配2股，配股价为5.50元/股，即每股分红0.4元，送0.1股，配0.2股，则次日除权除息价为：,（20.350.45.500.2）（10.10.2）16.19（元）,Example,15,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,16,17,Characteristics of Preferred Stock,18,Blue chip,A stock,B stock,N stock,H stock,中国最大的证券交易所-上海证券交易所,19,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,20,发行者,证交所,证券商,投资者,承销商,流通市场,发行市场,（初级发行、再发行）,（交易市场、二级市场）,证券投资咨询机构 证券评级机构 证券结算登记机构 会计师事务所 资产评估事务所 律师事务所 自律性组织,21,The dominant private placement lender in this group is the life-insurance category (pension funds and bank trust departments are very active as well).,Primary Market,22,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,,23,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,24,A financial institution that underwrites 承销(purchases at a fixed price on a fixed date) new securities for resale.,firm commitment underwriting or best efforts underwriting代销,25,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承销团 - A temporary combination of investment banking firms formed to sell a new security issue.,26,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.,27,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,28,按照组织程度将证券流通市场分为场内交易市场和场外交易市场。国外还有第三市场、第四市场。,Secondary Markets,29,场内交易市场是由证券交易所组织的集中交易市场，有固定的交易场所和交易活动时间。证券交易所接受和办理符合有头法律法规的证券上市买卖，投资者则通过证券商在证券交易所进行证券买卖。,场外市场又称“店头市场”或“柜台市场”，主要是指在证券交易所之外形成的证券交易市场。交易对象主要是未上市的证券，由证券商和证券公司以自营的方式进行买卖。,30,第三市场是场外交易市场的一部分，实际上是“已上市证券的场外交易市场”。主要是为适应大额投资者的需要发展起来的，参加者都是投资机构，交易量不多，但是每笔成交数额较大，经纪人佣金较低。 第四市场是指投资者和证券资产持有者绕开通常的证券经纪人，相互之间利用电子计算机网络进行大宗股票交易的场外交易市场。参与者大都是大企业和公司，它们进行大宗股票买卖，主要是为了不暴露目标，故不会对证券的其他市场形成压力。,31,Work the Web,For up-to-date information on the NYSE, hit: ,32,我国的证券交易市场,我国目前的证券交易市场主要由证券交易所市场和场外交易市场组成。 我国的证券交易所市场目前仅有上海、深圳两大证券交易所。 它们均由中国人民银行批准，按国际通行的会员制方式组成，为非盈利性的事业法人。 按照上市公司的属性将证券交易所市场分为主板市场和二板市场（高科技板、创业板）。,33,证券交易的方式和程序,证券交易方式 现货交易和期货交易 现款（现券）交易和信用交易 证券交易程序 委托 成交 清算 交割 过户,34,股票交易顺序,集合竞价 连续竞价,35,Two Common Types of Orders,36,以1厘钱的价格买到收盘价近0.70元的海尔认沽权证，南京一股民820元变56万 一天炒出了700倍的收益！南京股民张浩（化名）2007年2月28日以1厘钱的价格，买到收盘价近0.70元的82万份海尔认沽权证。转眼之间，820元变成了56万元！ 张浩告诉记者，他从去年8月1日出现市价委托规则后，就留了心，“市价委托就是当天必须要成交的，按市价交易，只要有人挂出了按市价委托的卖单，而大家恰恰都不买、没有什么买单，理论上我就有可能以1厘钱的价格买到权证。” 从那以后，只要有空，张浩每个交易日都会挂出1厘钱的买单。昨天，张浩动用了账户上1万元钱，挂出了海尔等10个认沽权证品种的买单，“今天只有10个认沽权证有可能挂到1厘钱的，我事先都研究过了，今天全挂了。”,Case,37,“说实话我也没想到今天真的会成交。”张浩称，收盘之后他查了一下自己的账户，一下子多出了50多万。“我想是不是搞错了？以前也有一次，因为系统出错，我的账户上多出了100多万。”但是这次张浩仔细看了盘面之后，确信这次50多万是真的到了自己的账户上。“因为今天的盘面上我看到了1厘钱的成交价格。我一共买到82万份海尔认沽权证。” “这种情况发生，只有在一种情况下，那就是在9：25分9：30之间，首先要有人挂出按市价委托的卖单，卖单先进交易所，同时没有什么买单。然后张先生挂出了1厘钱的买单，买单后进交易所。”,Case,38,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融资,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,39,X Corp $70 50% Initial Margin 40% Maintenance Margin 1000 Shares Purchased Initial Position Stock $70,000 Borrowed $35,000 Equity $35,000,ExampleMargin Trading,40,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%,ExampleMargin Trading,41,Example Short Sale,Z Corp 100 Shares 50% Initial Margin 30% Maintenance Margin $100 Initial Price Sale Proceeds $10,000 Margin & Equity 5,000 Stock Owed 10,000,42,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,43,证券公司风险控制指标管理办法对券商提供融资融券服务的内容规定,第十三条 证券公司为客户买卖证券提供融资融券服务的，必须符合以下风险控制指标标准： （一）对单个客户融资业务规模不得超过净资本的1%； （二）对单个客户融券业务规模不得超过净资本的1%； （三）接受单只股票质押的市值不得超过净资本的30%； （四）按对客户融资业务规模的10%计算风险准备； （五）按对客户融券业务规模的10%计算风险准备。,44,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,45,Stock Market Quotation for General Motors Corporation, March 11, 2003,46,股票网站： 全景网络 /docs/first/important/index.html 新浪股评天地 /review/index.html 和讯网 华泰证券 巨潮信息深交所 上交所 证券之星股票 /simple/,47,Reading Stock Quotations,48,Chapter Outline,1. Investing in Stocks,2. Computing the Price of Common Stock,3. Stock Market Indexes,49,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,50,(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,51,Divt: Cash Dividend at time t ke: Equity investors required return,Dividend Discount Method,52,The basic dividend discount model adjusted for the future stock sale.,n: The year in which the firms shares are expected to be sold. Pricen: The expected share price in year n.,Dividend Discount Method,53,The zero growth model assumes that dividends will grow forever at the rate g = 0.,Zero Growth Model,54,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 VZG = D / ke = $3.24 / .15 = $21.60,Zero Growth Model Example,55,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) = Divt x (1 + g),56,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? D1 = $3.24 ( 1 + .08 ) = $3.50 VCG = D1 / ( ke - g ) = $3.50 / ( .15 - .08 ) = $50,57,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,58,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,59,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 =,60,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,61,Apply the mean PE ratio of publicly traded competitors Use expected earnings rather than historical Equation:,Computing the Price of Common Stock: The Price Earnings Valuation Method,62,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,63,资产的市场价值能否反映资产的真实价值呢？,价值学派 本杰明.格雷厄姆、巴菲特为首 公司的市场价值不能反映公司的真实价值，企业的真实价值应是企业的内在价值 证券分析的主要内容是判断股票的市场价值是否真实地体现了企业内在价值。 市场学派 20世纪70年代以来流行“有效市场理论”，萨缪尔森 (1 965)、法玛 (1 965)、卢卡斯 (1 978)、格罗斯曼和斯蒂格利茨 (1 980 )等的努力 ,形成并发展了资本市场的有效率市场理论。法玛 (1 970 ,1 991 )对有效率资本市场理论进行了综合总结。 市场是完全有效的，所有关于股票的公开信息都已经适当地反映在了它们的价格中。所以，企业的市场价值是对公司真实价值的最为准确的反映和估计。 证券分析的主要内容是研究证券市场。通过研究证券市场价格走势，来确定证券投资的风险和收益。 自从有效市场理论问世以来，有关有效市场假设的各种检验和研究文献浩如烟海，有效市场理论和价值学派的争论从未停止过。但是，价值学派对有效市场理论的最严重的打击是，价值学派的沃伦.巴菲特和彼得.林奇等人年复一年地获得了超出市场平均水平的投资回报。,64,巴菲特过去35年的业绩,65,巴菲特过去35年的业绩,66,巴菲特的投资哲学,追求简单，避免复杂 投资组合简单 喜欢简单的公司，不喜欢业务和财务复杂的公司 长期持有 不碰自己不懂的股票 手边永远持有现金，并在行情大幅回档的时候逢低买进,67,Chapter Outline,1. Investing in Stocks,2. Computing the Price of Common Stock,3. Stock Market Indexes,68,2008/09/22,69,Stock indices used to measure general behavior of market 股价指数是运用统计学中的指数方法编制而成的，反映股市总体价格或某类股价变动和走势的指标。 Best known index is the DOW Dow Jones Industrial Average (DJIA) the S&P 500 the NASDAQ composite.,Stock Market Indexes,70,Work the Web,For more on the Dow, visit : Look for “About the Averages.”,71,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