1、 Part IV Financial MarketsChapter 9The Stock Market.Why Firms BorrowTo acquire new assets or replace existing assetsThese can be financed byinternal financing (from retained earnings)external financing (debt or equity issue) Questions.Capital MarketsOriginal maturity is greater than one year.Best kn

2、own capital market securities: Stocks and BondsPrimary issuers of securities:Federal and Local GovernmentsCorporationsLargest purchasers of securities:Households. 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

3、 the stock market information reported in the financial press.Chapter PreviewGoal.Chapter Outline 1. Investing in Stocks 2. Computing the Price of Common Stock 3. Stock Market Indexes.StocksRepresents ownership in a firm Earn a return in two waysAppreciation/Depreciation the price of the stock rises

4、/falls over timeCash Flows - dividends are paid to the stockholder periodically.Example.20010年3月19日因實施10轉增10股而出現向下的大缺口，但這并不意味著股價的下跌除權大缺口Example.宣布日登記日除權除息日支付日例:某上市公司3月8日公布上年度分紅方案:在3月8日公司召開的股東大會上,經過了董事會關于每股普通股分派股息1元的年度分紅方案.一切在3月18日前持有本公司股票的股東如將在3月17日登記都將獲得這一股利.股利將在4月4日發放.在本例中,3月8日即是股利的宣布日登記日就是3月17日3月

5、18日就是除權除息日,在這天之后購入股票的投資者就不能獲得股利,假設市場有效,股票價錢會在這日下跌4月4日是股利的支付日除息和除權. 除權:在年度分紅派息時,假設是送紅股或者是配股,稱為除權.大盤顯示:XRxxx 除息:在年度分紅派息時,假設是分現金,稱為除息.大盤顯示:DRxxx 除權除息:在年度分紅派息時,假設是既送紅股或者是配股又分現金,稱為除權除息.大盤顯示:XDxxx.除息和除權.某股票股權登記日的收盤價是24.75元，每10股送3股，即每股送紅股數為0.3，那么次日除權報價為：pC=1+RspC-1Example24.7510.3=19.04元.某股票股權登記日的收盤價為18.00

6、元，10股配3股，即每股配股數為0.3，配股價為每股6.00元，那么次日除權價為：18.006.000.310.3 =15.23元pC=1+RppC-1+Pp*RpExample. 某股票股權登記日的收盤價為20.35元，送1股，配2股，配股價為5.50元/股，即每股送0.1股，配0.2股，那么次日除權價為：20.355.5016.5元pC=1+Rs+RppC-1+Pp*RpExample.某股票股權登記日的收盤價為20.35元，每10股派發現金紅利4.00元，送1股，配2股，配股價為5.50元/股，即每股分紅0.4元，送0.1股，配0.2股，那么次日除權除息價為：pC=1

7、+Rs+RppC-1+Pp*Rp-e20.350.45.5016.19元Example.Common stock vs. Preferred stockThe fundamental ownership claim in a public corporationA hybrid security that has characteristics of both bonds and common stock.Characteristics of Common StockDividendsVoting RightsResidual ClaimLimited Liability.

8、Characteristics of Preferred StockSimilar to common stock in that it represents an ownership interest but, like bonds, pays a fixed periodic dividendSenior to common stock but junior to bondsGenerally do not have voting rights.Blue chipA stockB stockN stockH stock中國最大的證券買賣所-上海證券買賣所.Primary and Secon

9、dary Markets OverviewPrimary Marketfirm can raise equity capital in its initial public offering (IPO)firm can raise equity capital in a subsequent seasoned equity offering (SEO)Secondary Marketstrading of shares among investors. 發行者證交所證券商投資者承銷商流通市場發行市場初級發行、再發行買賣市場、二級市場證券投資咨詢機構證券評級機構證券結算登記機構會計師事務所資產評

10、價事務所律師事務所自律性組織.Public Issue公募- Sale of bonds or stock to the general public.The dominant private placement lender in this group is the life-insurance category (pension funds and bank trust departments are very active as well).Public Issue vs. Private IssuePrivate Placement私募- The sale of an entire i

11、ssue of unregistered securities (usually bonds) directly to one purchaser or a group of purchasers (usually financial intermediaries).Primary Market.Initial public offerings (IPOs)First-time offering of shares to the publicFirm must provide information to publicRegistration statement to SECProspectu

12、sFirm is assisted by an investment bankerPerformance of IPOsPrice generally rises on first dayLonger-term performance of IPOs is poorPublic Issuehoovers.Securities are sold to hundreds, and often thousands, of investors under a formal contract overseen by federal and state regulatory authorities.Whe

13、n a company issues securities to the general public, it is usually uses the services of an investment banker.Public Issue. A financial institution that underwrites 承銷(purchases at a fixed price on a fixed date) new securities for resale.Investment Banker Stocks Stocks Issuing Investment InvestorsCor

14、poration Bank Funds Fundsfirm commitment underwriting orbest efforts underwriting代銷.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.Unde

15、rwriting Syndicate承銷團 - A temporary combination of investment banking firms formed to sell a new security issue.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 pur

16、chase any unsold securities.Secondary MarketsOrganized exchanges Larges U.S. Exchange is the NYSEOthers include Nikkei, LSE, DAX, etc.Listing requirements exclude small firmsMust own a seat on exchange in order to tradeTrading resembles an auctionOver-the-counter marketsBest example is NASDAQDealers

17、 stand ready to make a marketNo trading floor or specific locationTelecommunications network.按照組織程度將證券流通市場分為場內買賣市場和場外買賣市場。國外還有第三市場、第四市場。買賣所場外買賣市場第三市場第四市場場內買賣市場Secondary Markets.場內買賣市場是由證券買賣所組織的集中買賣市場，有固定的買賣場所和買賣活動時間。證券買賣所接受和辦理符合有頭法律法規的證券上市買賣，投資者那么經過證券商在證券買賣所進展證券買賣。場外市場又稱“店頭市場或“柜臺市場，主要是指在證券買賣所之外構成的證券

18、買賣市場。買賣對象主要是未上市的證券，由證券商和證券公司以自營的方式進展買賣。.第三市場是場外買賣市場的一部分，實踐上是“已上市證券的場外買賣市場。主要是為順應大額投資者的需求開展起來的，參與者都是投資機構，買賣量不多，但是每筆成交數額較大，經紀人傭金較低。第四市場是指投資者和證券資產持有者繞開通常的證券經紀人，相互之間利用電子計算機網絡進展大宗股票買賣的場外買賣市場。參與者大都是大企業和公司，它們進展大宗股票買賣，主要是為了不暴露目的，故不會對證券的其他市場構成壓力。.Work the WebFor up-to-date information on the NYSE, hit:nyse.我

19、國的證券買賣市場我國目前的證券買賣市場主要由證券買賣所市場和場外買賣市場組成。我國的證券買賣所市場目前僅有上海、深圳兩大證券買賣所。它們均由中國人民銀行同意，按國際通行的會員制方式組成，為非盈利性的事業法人。按照上市公司的屬性將證券買賣所市場分為主板市場和二板市場高科技板、創業板。.證券買賣的方式和程序證券買賣方式現貨買賣和期貨買賣現款現券買賣和信譽買賣證券買賣程序委托成交清算交割過戶.股票買賣順序開戶委托競價成交交割過戶現金帳戶券商股票帳戶證交所時間優先價錢優先當日隔日例行日集合競價延續競價.an order for the broker and market specialist to t

20、ransact at the best price available when the order reaches the postan order to transact at a specified price (the limit price)Market orderLimit orderTwo Common Types of Orders.以1厘錢的價錢買到收盤價近0.70元的海爾認沽權證，南京一股民820元變56萬 一天炒出了700倍的收益！南京股民張浩化名2007年2月28日以1厘錢的價錢，買到收盤價近0.70元的82萬份海爾認沽權證。轉眼之間，820元變成了56萬元！ 張浩通知

21、記者，他從去年8月1日出現市價委托規那么后，就留了心，“市價委托就是當天必需求成交的，按市價買賣，只需有人掛出了按市價委托的賣單，而大家恰恰都不買、沒有什么買單，實際上我就有能夠以1厘錢的價錢買到權證。 從那以后，只需有空，張浩每個買賣日都會掛出1厘錢的買單。昨天，張浩動用了賬戶上1萬元錢，掛出了海爾等10個認沽權證種類的買單，“今天只需10個認沽權證有能夠掛到1厘錢的，我事先都研討過了，今天全掛了。 Case. “說實話我也沒想到今天真的會成交。張浩稱，收盤之后他查了一下本人的賬戶，一下子多出了50多萬。“我想是不是搞錯了？以前也有一次，由于系統出錯，我的賬戶上多出了100多萬。但是這次張浩

22、仔細看了盤面之后，確信這次50多萬是真的到了本人的賬戶上。“由于今天的盤面上我看到了1厘錢的成交價錢。我一共買到82萬份海爾認沽權證。 “這種情況發生，只需在一種情況下，那就是在9：25分9：30之間，首先要有人掛出按市價委托的賣單，賣單先進買賣所，同時沒有什么買單。然后張先生掛出了1厘錢的買單，買單后進買賣所。 Case.Borrow a portion of the funds from brokerMargin is the amount of equity an investor provideMagnifies returns (both good and bad)Purchasin

23、g stock on margin融資Borrow stock and sellRepay stock loan, hopefully at a lower priceInvestor able to have potential profit from decline in stock price Short sales融券.X Corp$7050%Initial Margin40%Maintenance Margin1000Shares PurchasedInitial PositionStock $70,000 Borrowed $35,000 Equity $35,000Example

24、Margin Trading .Stock price falls to $60 per shareNew PositionStock $60,000 Borrowed $35,000 Equity 25,000Margin% = $25,000/$60,000 = 41.67%ExampleMargin Trading .Example Short Sale Z Corp100 Shares50%Initial Margin30%Maintenance Margin$100Initial PriceSale Proceeds$10,000Margin & Equity 5,000Stock

25、Owed 10,000.Stock Price Rises to $110Sale Proceeds$10,000Initial Margin 5,000Stock Owed 11,000Net Equity 4,000Margin % (4000/11000) 36%Example Short Sale .對券商提供融資融券效力的內容規定第十三條 證券公司為客戶買賣證券提供融資融券效力的，必需符合以下風險控制目的規范： 一對單個客戶融資業務規模不得超越凈資本的1%； 二對單個客戶融券業務規模不得超越凈資本的1%； 三接受單只股票質押的市值不得超越凈資本的30%； 四按對客戶融資業務規模的10

26、%計算風險預備； 五按對客戶融券業務規模的10%計算風險預備。.Reading Stock QuotationsStock prices are quoted online and in newspapersQuotes report the Stock price, including yearly high and lowTicker symbolDollar dividend and dividend yieldPrice-earnings ratioVolumeDaily high and lowClosing priceNet change.Stock Market Quotatio

27、n for General Motors Corporation, March 11, 2003.股票網站：全景網絡 /docs/first/important/index.html新浪股評天地 finance.sina/review/index.html和訊網 homeway華泰證券 htsc巨潮信息深交所 cninfo上交所 sse證券之星股票 stockstar.online.sh/simple/.“委比是衡量一段時間內場內買、賣盤強弱的技術目的。它的計算公式為： 委比=(委買手數委賣手數)/(委買手數委賣手數)100 委買量與委賣量之差 當日總成交手數與近期平均成交手數的比值。 成交價

28、是賣出價時成交的手數總和稱為外盤成交價是買入價時成交的手數總和稱為內盤Reading Stock Quotations.Chapter Outline 1. Investing in Stocks 2. Computing the Price of Common Stock 3. Stock Market Indexes.Computing the Price of Common StockValuing common stock is, in theory, no different from valuing debt securities: determine the future cas

29、h flows and discount them to the present at an appropriate discount rate.These methods are grouped into two categories:dividend discount modelsprice ratio models.(1) Future dividends(2) Future sale of the common stock sharesWhat cash flows will a shareholder receive when owning shares of common stoc

30、k?Dividend Discount Method.(1 + ke)1(1 + ke)2(1 + ke)V =+ . +Div1DivDiv2= St=1(1 + ke)tDivtDivt:Cash Dividend at time tke: Equity investors required returnDividend Discount Method.The basic dividend discount model adjusted for the future stock sale.(1 + ke)1(1 + ke)2(1 + ke)nV =+ . +Div1Divn + Price

31、nDiv2n:The year in which the firms shares are expected to be sold.Pricen:The expected share price in year n. Dividend Discount Method.The zero growth model assumes that dividends will grow forever at the rate g = 0.(1 + ke)1(1 + ke)2(1 + ke)VZG =+ . +D1D=keD1D1:Dividend paid at time 1.ke: Investors

32、required return.D2Zero Growth Model .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 = $3.24VZG = D / ke = $3.24 / .15 = $21.60Zero Growth Model Example.(1

33、+ ke)1(1 + ke)2(1 + ke)V =+ . +D0(1+g)D0(1+g)=(ke - g)D1D1:Dividend paid at time 1.g : The constant growth rate.ke: Investors required return.D0(1+g)2 The Gordon Growth ModelSame as the previous model, but it assumes that dividend grow at a constant rate, g. That is,Div(t+1) = Divt x (1 + g).Constan

34、t Growth Model ExampleStock 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 ) = $3.50VCG = D1 / ( ke - g ) = $3.50 / ( .15 - .08 ) = $50.What is

35、 the price for a stock with an expected dividend and price next year of $0.16 and $60, respectively? Use a 12% discount rateAnswer:Price = Other Example.Potential errors in estimating dividendsPotential errors in estimating growth ratePotential errors in estimating required returnNot all firms pay d

36、ividendsLimitations of the Dividend Discount Model.Computing the Price of Common Stock: Price Ratio ModelsThe 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 = .If the industry PE ratio for a firm is 16, what is th

37、e current stock price for a firm with earnings for $1.13 / share?Answer:Price = 16 x $1.13 = $18.08Example.Apply the mean PE ratio of publicly traded competitorsUse expected earnings rather than historicalEquation:FirmsStock = Expected EPS Mean industry PE ratioPriceComputing the Price of Common Sto

38、ck: The Price Earnings Valuation Method.Reasons for different valuationsDifferent earnings forecastsDifferent PE multipliersDifferent comparison or benchmark firmsLimitations of the PE methodErrors in forecast Based on PE, which some analysts questionComputing the Price of Common Stock: The Price Ea

39、rnings Valuation Method.資產的市場價值能否反映資產的真實價值呢？價值學派本杰明.格雷厄姆、巴菲特為首公司的市場價值不能反映公司的真實價值，企業的真實價值應是企業的內在價值證券分析的主要內容是判別股票的市場價值能否真實地表達了企業內在價值。市場學派20世紀70年代以來流行“有效市場實際，薩繆爾森 (1 965)、法瑪 (1 965)、盧卡斯 (1 978)、格羅斯曼和斯蒂格利茨 (1 980 )等的努力 ,構成并開展了資本市場的有效率市場實際。法瑪 (1 970 ,1 991 )對有效率資本市場實際進展了綜合總結。市場是完全有效的，一切關于股票的公開信息都曾經適當地反映在

40、了它們的價錢中。所以，企業的市場價值是對公司真實價值的最為準確的反映和估計。證券分析的主要內容是研討證券市場。經過研討證券市場價錢走勢，來確定證券投資的風險和收益。自從有效市場實際問世以來，有關有效市場假設的各種檢驗和研討文獻浩如煙海，有效市場實際和價值學派的爭論從未停頓過。但是，價值學派對有效市場實際的最嚴重的打擊是，價值學派的沃倫.巴菲特和彼得.林奇等人年復一年地獲得了超出市場平均程度的投資報答。.巴菲特過去35年的業績.巴菲特過去35年的業績.巴菲特的投資哲學追求簡單，防止復雜投資組合簡單喜歡簡單的公司，不喜歡業務和財務復雜的公司長期持有不碰本人不懂的股票手邊永遠持有現金，并在行情大幅回

41、檔的時候逢低買進.Chapter Outline 1. Investing in Stocks 2. Computing the Price of Common Stock 3. Stock Market Indexes.2021/09/22.Stock indices used to measure general behavior of market 股價指數是運用統計學中的指數方法編制而成的，反映股市總體價錢或某類股價變動和走勢的目的。 Best known index is the DOW Dow Jones Industrial Average (DJIA)the S&P 500the NASDAQ composite.Stock Market Indexes.Work the WebFor more on the Dow, visit :averages.dowjonesLook for “About the Averages.St