金融市场与机构 英文版PDF电子书下载

PART ⅠOverview of the Financial Environment 1

Chapter 1 Role of Financial Markets and Institutions 2

Overview of Financial Markets 2

Money versttsCapitalMarkets 3

Primary versus Secondary Markets 3

Organized versus Over-the-Counter Markets 3

Securities Traded in Financial Markets 3

Money Market Securities 3

Capital Market Securities 4

Derivative Securities 5

Valuation of Securities in Financial Markets 6

Market Pricing ofSecurities 6

MarketEfficiency 8

Financial Market Regulation 8

Disclosure 8

Other Regulations 9

Financial Market Globalization 9

Role of the Foreign Exchange Market 9

Foreign Exchange Rates 10

Role of Financial Institutions in Financial Markets 10

Role of Depository Institutions 11

Role ofNondepositoryfinancial Institutions 13

Comparison of Roles among Financial Institutions 18

Overview of Financial Institutions 19

Competition between Financial Institutions 19

Consolidation of Financial Institutions 20

Participation in Financial Markets 24

Global Expansion by Financial Institutions 27

Summary 27

Questions and Applications 28

Chapter 2 Determination of Interest Rates 30

Loanable Funds Theory 30

Household Demand for Loanable Funds 31

Business Demand for Loanable Funds 31

Government Demandfor Loanable Funds 33

Foreign Demand for Loanable Funds 33

Aggregate Demandfor Loanable Funds 34

Supply of Loanable Funds 34

Equilibrium Interest Rate 36

Economic Forces That Affect Interest Rates 37

Impact of Economic Growth on Interest Rates 38

Impact of Inflation on Interest Rates 39

Impact ofthe Money Supply on Interest Rates 41

Impact of the Budget Deficit on Interest Rates 42

Impact of Foreign Flows of Funds on Interest Rates 44

Summary of Forces That Affect Interest Rates 46

Evaluation of Interest Rates over Time 46

Forecasting Interest Rates 47

Summary 49

Questions and Applications 50

Problems 52

Chapter 3 Structure of Interest Rates 53

Characteristics of Debt Securities That Cause Their Yields to Vary 53

Credit (Default) Risk 54

Liquidity 56

Tax Status 56

Term to Maturity 57

Special Provisions 58

Explaining Actual Yield Difierentials 59

Yield Differentials of Money Market Securities 59

Yield Differentials of Capital Market Securities 60

Estimating the Appropriate Yield 61

A Closer Look at the Term Structure 62

Pure Expectations Theory 63

Liquidity Premium Theory 68

Segmented Markets Theory 70

Research on Term Structure Theories 72

Integrating the Theories of the Term Structure 72

Uses of the TemStructure 73

Impact of Debt Management on Term Structure 75

Impact of September 11 on the Term Structure 77

Historical Review of the Term Structure 77

International Structure of Interest Rates 79

Summary 80

Questions and Applications 81

Problems 82

Integ rative Problem:Interest Rate Forecasts and Investment Decisions 83

PART ⅡThe Fed and Monetary Policy 85

Chapter 4 Functions of the Fed 86

Organization of the Fed 86

Federal Reserve District Banks 87

Member Banks 87

Board of Governors 88

Federal Open Market Committee(FOMC) 89

Advisory Committees 90

Integration of Federal Reserve Components 90

Monetary Policy Tools 91

Open Market Operations 91

Adjusting the Discount Rate 95

Adjusting the Reserve Requirement Ratio 96

Comparison of Monetary Policy Tools 98

Impact of Technical Factors on Funds 99

Fed Control of the Money Supply 99

Limitations of Controlling Money Supply 100

Monetary Control Act of 1980 102

Global Monetary Policy 103

A Single Euro Zone Monetary Policy 103

Global Central Bank Coordination 104

Summary 104

Questions and Applications 105

Chapter 5 Monetary Theory and Policy 107

Monetary Theory 107

Pure Keynesian Theory 107

Quantity Theory and the Monetarist Approach 111

Theory of Rational Expectations 112

Which Theory is Correct? 114

Tradeoff Faced by the Fed 114

Impact of Other Forces on the Tradeoff 115

Economic Indicators Monitored by the Fed 119

Indicators of Economic Growth 119

Indicators of Inflation 120

How the Fed Uses Indicators 120

Lags in Monetary Policy 121

Assessing the Impact of Monetary Policy 121

Forecasting Money Supply Movements 122

Forecasting the Impact of Monetary Policy 126

Integrating Monetary and Fiscal Policies 127

History 128

Monetizing the Debt 129

Market Assessment of Integrated Policies 131

Global Effects of Monetary Policy 131

Impact of the Dollar 132

Impact of Global Economic Conditions 132

Transmission of Interest Rates 132

Fed Policy during the Asian Crisis 133

Summary 133

Questions and Applications 134

Integrative Problem:Fed Watching 136

PART ⅢDebt Security Markets 139

Chapter 6 Money Markets 140

Money Market Securities 140

Treasury Bills 141

Commercial Paper 144

Negotiable Certificates of Deposit(NCDs) 146

Repurchase Agreements 146

Federal Funds 147

Banker's Acceptances 148

Institutional Use of Money Markets 150

Valuation of Money Market Securities 151

Explaining Money Market Price Movements 152

Indicators of Future Money Market Security Prices 153

Risk of Money Market Securities 153

Measuring Risk 154

Interaction among Money Market Yields 155

Globalization of Money Markets 155

Eurodollar Deposits and Euronotes 156

Euro-Commercial Paper 156

Performance of Foreign Money Market Securities 157

Summary 158

Questions and Applications 159

Problems 160

Chapter 7 Bond Markets 162

Background on Bonds 162

Bond Yields 162

Treasury and Federal Agency Bonds 163

Treasury Bond Auction 163

Trading Treasury Bonds 164

Treasury Bond Quotations 165

Stripped Treasury Bonds 166

Inflation-Indexed Treasury Bonds 166

Brady Bonds 166

Federal Agency Bonds 167

Municipal Bonds 167

Trading and Quotations 168

Corporate Bonds 168

Private Placements of Corporate Bonds 169

Characteristics of Corporate Bonds 169

Trading Corporate Bonds 171

Corporate Bond Quotations 171

Junk Bonds 172

How Corporate Bonds Facilitate Restructuring 175

Institutional Use of Bond Markets 176

Globalization of Bond Markets 177

Eurobond Market 178

Tax Effects 179

Summary 179

Questions and Applications 180

Chapter 8 Bond Valuation and Risk 182

Bond Valuation Process 182

Bond Valuation with a Present Value Table 183

Impact of the Discount Rate on Bond Valuation 184

Impact of the Timing of Payments on Bond Valuation 184

Valuation of Bonds with Semiannual Payments 184

Use of Annuity Tables for Valuation 186

Relationships Between Coupon Rate,Required Return,and Bond Price 186

Implications for Financial Institutions 188

Explaining Bond Price Movements 189

Factors That Affct the Risk-Free Rate 189

Factors That Affectthe Credit(Default) Risk Premium 191

Summary of Factors Affecting Bond Prices 193

Sensitivity of Bond Prices to Interest Rate Movements 194

Bond Price Elasticity 195

Duration 197

Bond Investment Strategies Used by Investors 199

Matching Strategy 199

Laddered Strategy 199

Barbell Strategy 200

Interest Rate Strategy 200

Return and Risk of International Bonds 200

Influence of Foreign Interest Rate Movements 201

Influence of Credit Risk 201

Influence of Exchange Rate Fluctuations 201

Intemational Bond Diversification 202

Summary 203

Questions and Applications 203

Problems 205

APPENDIX 8:Forecasting Bond Prices and Yields 207

Forecasting Bond Portfolio Values 209

Forecasting Bond Portfolio Returns 210

Chapter 9 Mortgage Markets 216

Background on Mortgages 216

Residential Mortgage Characteristics 217

Insured versus Conventional Mortgages 218

Fixed-Rate versus Adjustable-Rate Mortgages 218

Mortgage Maturities 219

Creative Mortgage Financing 221

Graduated-PaymentMortgage(GPM) 222

Growing-Equity Mortgage 222

Second Mortgage 222

Shared-Appreciation Mortgage 222

Activities in the Mortgage Market 223

How the Secondary Market Facilitates Mortgage Activities 223

Unbundling of Mortgage Activities 223

Institutional Use of Mortgage Markets 224

Valuation of Mortgages 226

Factors ThatAffect the Risk-Free Interest Rate 227

Factors That Affect the Risk Premium 228

Summary of Factors Affecting Mortgage Prices 228

Indicators of Changes in Mortgages Prices 229

Risk from Investing in Mortgages 230

Interest Rate Risk 230

Prepayment Risk 231

Credit Risk 231

Measuring Risk 232

Use of Mortgage-Backed Securities 233

Ginnie Mae Mortgage-Backed Securities 234

Fannie Mae Mortgage-Backed Securities 234

Publicly Issued Pass-Through Securities(PIPs) 235

Participation Certificates(PC)s 235

Collateralized Mortgage Obligations(CMOs) 235

Mortgage-Backed Securities for Small Investors 236

Globalization of Mortgage Markets 237

Summary 237

Questions and Applications 238

Integrative Problem:Asset Allocation 239

PART ⅣEquity Markets 241

Chapter 10 Stock Offerings and Investor Monitoring 242

Background on Stock 242

Ownership and Voting Rights 242

Preferred Stock 242

Issuer Participation in Stock Markets 243

Initial Public Ofierings 244

Process of Going Public 244

Underwriter Efforts to Ensure Price Stability 245

Timing of IPOs 247

Initial Returns of IPOs 248

Long-Term Performance Following IPOs 249

Secondary Stock Offerings 250

Shelf-Registration 251

Stock Exchanges 251

Organized Exchanges 251

Over-the-Counter Market 253

Consolidation of Stock Exchanges 254

Late Trading Provided by Exchanges 254

Stock Quotations Provided by Exchanges 255

Stock Index Quotations 257

Investor Participation in the Secondary Market 258

How Investor Decisions Affect the Stock Price 259

Types of Investors 260

Monitoring by Investors 262

Shareholder Activism 262

The Corporate Monitoring Role 263

Stock Repurchases 264

Market for Corporate Control 264

Barriers to Corporate Control 265

Globalization of Stock Markets 266

Foreign Stock Offerings in the United States 266

International Placement Process 267

Global Stock Exchanges 267

Emerging Stock Markets 268

Methods Used to Invest in Foreign Stocks 269

Summary 270

Questions and Applications 270

Chapter 11 Stock Valuation and Risk 272

Stock Valuation Methods 272

Price-Earnings (PE)Method 272

Dividend Discount Model 273

Adjusting the Dividend Discount Model 275

Determining the Required Rate of Return to Value Stocks 277

Capital Asset Pricing Model 277

Arbitrage Pricing Model 279

Factors That Affect Stock Prices 279

Economic Factors 279

Market-Related Factors 281

Firm-Specific Factors 282

Integration of Factors Affecting Stock Prices 283

Role of Analysts in Valuing Stocks 285

Conflicts of Interest 285

Impact of Disclosure Regulations 285

Unbiased Analyst Rating Services 286

Stock Risk 286

Measures ofRisk 287

Applying Value at Risk 290

Methods of Determining the Maximum Expected Loss 290

Deriving the Maximum Dollar Loss 291

Common Adjustments to the Value-at-Risk Applications 292

Forecasting Stock Price Volatility and Beta 293

Methods of Forecasting Stock Price Volatility 293

Forecasting a Stock Portfolio's Volatility 294

Forecasting a Stock Portfolio's Beta 294

Stock Performance Measurement 295

Sharpe Index 295

TreynorIndex 295

Stock Market Efficiency 296

Forms of Efficiency 296

Tests of the Efficient Market Hypothesis 297

Foreign Stock Valuation,Performance,and Efficiency 299

Valuation of Foreign Stocks 299

Measuring Performance from Investing in Foreign Stocks 299

Performance from Global Diversification 300

International Market Efficiency 302

Summary 302

Questions and Applications 303

Problems 304

APPENDIX 11A:Stock Valuation:Lessons from Enron's Demise 306

Chapter 12 Market Microstructure and Strategies 313

Stock Market Transactions 313

Placing an Order 313

Margin Trading 314

Short Selling 316

Investing in Stock Indexes 317

How Trades are Executed 319

Floor Brokers 319

Specialists and Market-Makers 319

Electronic Communication Networks(ECNs) 320

Program Trading 323

Regulation of Stock Trading 324

Circuit Breakers 324

Securities and Exchange Commission (SEC) 324

How Barriers to International Stock Trading Have Decreased 327

Reduction in Transaction Costs 327

Reduction in Information Costs 327

Reduction in Exchange Rate Risk 328

Summary 328

Questions and Applications 328

Problems 330

Integrative Problem:Stock Market Analysis 331

PART ⅤDerivative Security Markets 333

Chapter 13 Financial Futures Markets 334

Background on Financial Futures 334

Steps Involved in Trading Futures 335

Purpose of Trading Financial Futures 336

Interpreting Financial Futures Tables 336

Valuation of Financial Futures 338

Impact of the Opportunity Costs 338

Explaining Price Movements of Bond Futures Contracts 338

Speculating with Interest Rate Futures 340

Impact of Leverage 340

Closing Out the Futures Position 341

Hedging with Interest Rate Futures 342

Using Interest Rate Futures to Create a Short Hedge 343

Using Interest Rate Futures to Create a Long Hedge 345

Hedging Net Exposure 346

Bond Index Futures 346

Stock Index Futures 347

Valuing Stock Index Futures Contracts 348

Speculating with Stock Index Futures 349

Hedging with Stock Index Futures 349

Dynamic Asset Allocation with Stock Index Futures 351

Prices of Stock Index Futures versus Stocks 352

Arbitrage with Stock Index Futures 352

Circuit Breakers on Stock Index Futures 353

Risk of Trading Futures Contracts 354

Market Risk 354

Basis Risk 354

Liquidity Risk 355

Credit Risk 355

Prepayment Risk 355

Operational Risk 355

Regulation in the Futures Markets 356

Institutional Use of Futures Markets 356

Globalization of Futures Markets 357

Non-U.S.Participation in U.S.Futures Contracts 357

Foreign Stock Index Futures 357

Currency Futures Contracts 358

Summary 359

Questions and Applications 359

Problems 361

Chapter 14 Options Markets 362

Background on Options 362

Markets Used to Trde Options 363

How Option TradesAre Executed 364

Types of Orders 365

Stock Option Quotations 365

Speculating with Stock Options 366

Speculating with Call Options 366

Speculating with Put Options 368

Determinants of Stock Option Premiums 370

Determinants of Call Option Premiums 370

Determinants of Put Option Premiums 371

Explaining Change In Option Premiums 373

Indicators Monitored by Participants in the Options Market 374

Hedging with Stock Options 375

Hedging with Call Options 375

Hedging with Put Options 375

Using Options to Measure a Stock's Risk 377

Stock Index Options 377

Hedging with Stock Index Options 378

Dynamic Asset Allocation with Stock Index Options 378

Using Index Options to Measure the Market's Risk 379

Options on Futures Contracts 381

Speculating with Options on Futures 381

Hedging with Options on Futures 384

Hedging with Options on Interest Rate Futures 384

Hedging with Options on Stock Index Futures 386

Institutional Use of Options Markets 387

Globalization of Options Markets 388

Currency Options Contracts 388

Summary 389

Questions and Applications 389

Problems 391

APPENDIX 14:Option Valuation 393

Chapter 15 Interest Rate Derivative Markets 401

Background 401

Participation by Financial Institutions 403

Types of Interest Rate Swaps 404

Plain Vanilla Swaps 405

Forward Swaps 405

Callable Swaps 407

Putable Swaps 408

Extendable Swaps 408

Zero-Coupon-for-Floating Swaps 409

Rate-Capped Swaps 409

Equity Swaps 410

Other Types of Swaps 411

Risk of Interest Rate Swaps 412

Basis Risk 412

Credit Risk 413

Sovereign Risk 413

Pricing Interest Rate Swaps 414

Prevailing Market Interest Rates 414

Availability of Counterparties 414

Credit and Sovereign Risk 414

Factors Affecting the Performance of Interest Rate Swaps 414

Indicators Monitored by Participants in the Swap Market 415

Interest Rate Caps,Floors,and Collars 416

Interest Rate Caps 416

Interest Rate Floors 417

Interest Rate Collars 417

Globalization of Swap Markets 419

Currency Swaps 420

Risk of Currency Swaps 422

Summary 422

Questions and Applications 422

Problems 423

Chapter 16 Foreign Exchange Derivative Markets 425

Background on Foreign Exchange Markets 425

Institutional Use of Foreign Exchange Markets 426

Exchange Rate Quotations 427

Types of Exchange Rate Systems 427

Factors Affecting Exchange Rates 430

Differential Inflation Rates 431

Diffrential Interest Rates 431

Central Bank Intervention 432

Indirect Intervention 433

Foreign Exchange Contracts 434

Movements in Exchange Rates 434

Forecasting Exchange Rates 434

Technical Forecasting 435

Fundamental Forecasting 436

Market-Based Forecasting 437

Mixed Forecasting 437

Forecasting Exchange Rate Volatility 438

Speculation in Foreign Exchange Markets 440

Foreign Exchange Derivatives 440

Forward Contracts 441

Currency Futures Contracts 442

Currency Swaps 442

Currency Options Contracts 442

Use of Foreign Exchange Derivatives for Speculating 444

International Arbitrage 446

Locational Arbitrage 446

Covered Interest Arbitrage 447

Explaining Price Movements of Foreign Exchange Derivatives 449

Indicators of Foreign Exchange Derivative Prices 449

Summary 450

Questions and Applications 451

Problems 452

APPENDIX 16A:Impact of the Asian Crisis on Foreign Exchange Markets and Other Financial Markets 453

APPENDIX 16B:Currency Option Pricing 463

Integrative Problem:Choosing among Derivative Securities 467