债券价值分析.doc

文档介绍：债券价值分析
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
第十章
债券价值分析
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
收入资本化法
收入法或收入资本化法,又称现金流贴现法(Discounted Cash Flow Method,简称DCF),包括股息(或利息)贴现法和自由现金流贴现法。
收入资本化法认为任何资产的内在价值(intrinsic value)取决于该资产预期的未来现金流的现值。
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
贴现债券
(贴现债券,又称零息票债券(zero-coupon bond),是一种以低于面值的贴现方式发行,不支付利息,到期按债券面值偿还的债券,其内在价值由以下公式决定:
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
直接债券
又称定息债券,或固定利息债券,按照票面金额计算利息,票面上可附有作为定期支付利息凭证的息票,也可不附息票。投资者不仅可以在债券期满时收回本金(面值),而且还可定期获得固定的利息收入,其内在价值公式如下:
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
统一公债
统一公债是一种没有到期日的特殊的定息债券。统一公债的内在价值的计算公式如下:
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
判断债券价格属于低估还是高估的方法
第一种,比较两类到期收益率的差异。
如果y> k,则该债券的价格被高估;如果y < k,表现为该债券的价格被低估
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
判断债券价格属于低估还是高估的方法
第二种方法,比较债券的内在价值与债券价格的差异。
我们把债券的内在价值(V)与债券价格(P)两者的差额,定义为债券投资者的净现值(NPV)。当净现值大于零时,意味着内在价值大于债券价格,即市场利率低于债券承诺的到期收益率,该债券被低估;反之,当净现值小于零时,该债券被高估。
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
债券属性与价值分析
到期时间
当债券的预期收益率y和债券的到期收益率k上升时,债券的内在价值和市场价格都将下降。当其他条件完全一致时,债券的到期时间越长,债券价格的波动幅度越大。但是当到期时间变化时,债券的边际价格变动率递减。
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen University
Copyright?Zhenlong Zheng 2003, Department of Finance, Xiamen