Moneyness: they are close to money which can be transferred into money at little cost
Divisibility and denomination: 最小單位
Reversibility: refers to getting out of investment and back into cash
Cash flow: expected return
Term to maturity: the length of the period until its final payment


Convertibility: converting on asset into another asset
Currency: 貨幣
Liquidity: 流通, 脫手
Return predictability:
Complexity:
Tax Status
100 Basis Point = 1%
Principles of Pricing of financial assets資產定價 (176頁)
P = CF1+……..+ CFn + M
(1+r)^1 (1+r)^n (1+r)^n

r (必要投資報酬率) = RR + IP + DP + MP +LP +EP

P = CF ( PVIF n,%) + M ( PVIFA n, %)
現值 年金現值

P = CF1 + …….. + CFn + M (1+r)^1 (1+r)^n (1+r)^n
求CF
債券 CF =
( I ) = 票面利息 ( 永遠不變)
股票 CF =
D 0 = 今年的股利
資本預算 CF =
每年的現金流量

P = CF1 + …….. + CFn + M (1+r)^1 (1+r)^n (1+r)^n
發行價格 M = $100,000 票面利率 = 3%
每年的票面利息 = $100,000* 3% = $3,000
銀行的利率 r = 4%, n = 10年
P = $3,000 + …….. + $3,000 + $100,000 (1+4%)^1 (1+4%)^10 (1+4%)^10
P = $24,333 + $67,567 = $91,900

P = $3,000 ( PVIFA 4%,10) + $100,000 ( PVIF 4%, 10)
P = $3,000 ( 8.1110 ) + $100,000 ( 0.6757)
P = $91,900
總現值 $ 24,333
$100,000 / 1.48
= $ 67,567
P = CF1 + …….. + CFn + M (1+r)^1 (1+r)^n (1+r)^n
公司帳面金額 M = $100,000 淨賺 = $3,000
發行1000股票 阴 1 股票淨賺= $3 (D0)
銀行的利率 r = 4%,成長 g = 2%, n = ???
n = 999 年
P = $3*(1+2%) + ….+ $3*(1+2%)^999 + $100,000 (1+4%)^1 (1+4%)^999 (1+4%)^999
P = $ 153 + $ 0 = $153
P = D0 *(1+g) = CF 1~999 = $3*(1+2%) =
r - g (1+r) ^ 1~999 4%- 2%
$153



債券, 股價, 房地產

D0 = 每年的房租, g = (每年該地區的成長), r = 必要投資報酬率
P(房地產) = D0 * ( 1 + g)
r – g

如果要求房子的最大價值: D0, g, r
D0 是越大越好, 還是越小越好, g 跟 r 呢?
P(房地產) = D0 * ( 1 + g) r – g
1. 假設: D0 * ( 1 + g) = $3(分母), r-g= 1(分子)
P(房地產) = $3/1 = $3
2. 假設: D0 * ( 1 + g) = $3(分母), r-g= 0.1(分子)
P(房地產) = $3/0.1 = $30
3.假設: D0 * ( 1 + g) = $3(分母), r-g= 0.01(分子)
P(房地產) = $3/0.01 = $300
0 < r - g < 1
r – g ~ 0


P(房地產) = D0 * ( 1 + g) r – g g=3%
r (必要投資報酬率) = Rf(無風險利率) + Risk (風險溢價)
Risk (風險溢價) > g ~ 3.1%
台北的店面月租金 $30萬 阴 年租金$360萬
目前銀行利率 2.5%, r =2.5% + 3.1% = 5.6%
P(房地產) = $360萬 * ( 1+3%)
5.6% - 3%
P(房地產) = 1.42億
P(房地產) = $360萬 * ( 1+3%) 5.6% - 3% r =2.5% + 3.1% = 5.6%
假設: Rf = 1%
r = 3.5% + 3.1% = 6.6%
P(房地產) = $360萬 * ( 1+3%)
6.6% - 3%
P(房地產) = 1.12億
% = 1% = 1.12億 – 1.42億 = 賠 3仟萬
P = CF1 + …….. + CFn + M (1+r)^1 (1+r)^n (1+r)^n
求 CF
債券 CF
( I ) = 票面利息 ( 永遠不變)
股票 CF
D 0 = 今年的股利
房地產 CF
租金
資本預算 CF =
每年的現金流量

P = CF1 + …….. + CFn + M (1+r)^1 (1+r)^n (1+r)^n
求 P
債券 P =
債券的合理價錢
股票 P =
股票的合理價錢
房地產 P =
房地產的合理買賣價錢
資本預算 P =
NPV = 淨現值法
P = CF1 + …….. + CFn + M (1+r)^1 (1+r)^n (1+r)^n
求 r
債券 r
i = 外面銀行利率, YTM = 殖利率
股票 r
CAPM(資本資產定價), E (r) = Rf + (E(m) –Rf) * B
房地產 r
必要的投資報酬率
資本預算 r =
IRR = 內部報酬率

P = CF1 + …….. + CFn + M (1+r)^1 (1+r)^n (1+r)^n
求 M
債券 M
M = 票面價值, C= 債券贖回價格
股票 M
公司的帳面價格( 永續經營) 阴 價值 = 0
房地產 M
房價 或 建造價格.
資本預算 M =
CF0 當初投資金額




Duration (存續期間率) = P_ - P+
y * (2)* Po
P_ = 利率下跌的債券價錢
P+ =利率上漲的債券價錢
P0 = 利率的原始價錢
y = 利率改變%



發行價格 $1000, 票面利息是9%. 銀行利率上升到10%, 債券價格是跌$935, 銀行利率下跌到8%, 債券價格是$1055. 求Duration.

$1055 - $935
2 * $1000* (.01)
Duration = 6%
銀行% 上漲1% 阴 債券要賠 6%

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