《股息貼現(xiàn)模型》PPT課件

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1、DerivingtheDividendDiscountModelintheIntermediate金融學(xué)跨期消費(fèi)模型研究不同時(shí)間人們的消費(fèi)行為，涉及時(shí)間因素的的消費(fèi)和儲(chǔ)蓄。即消費(fèi)者不必將每期的收入用光，他可以選擇儲(chǔ)蓄，也可以選擇貸款。其預(yù)算約束線的斜率與利率有關(guān)，為-(1+R)，R是利率，然后再此預(yù)算約束現(xiàn)的情況下研究消費(fèi)者偏好。分析的結(jié)果一般為：利率提高，人們選擇少消費(fèi)，更傾向于儲(chǔ)蓄，利率降低，人們會(huì)多消費(fèi)，傾向于借貸。那它的方程是什么樣子的？假設(shè)只有兩期,C是消費(fèi)，M是收入：C2=M2+(1+R)(m1-c1)1，2都是角標(biāo)。weem

2、ployedastandardtwo-periodmodelwithconsumersmaximizingutilityU(C1,C2).Income(I)inbothperiodsisknown,thepriceofaunitofconsumption(C)inbothperiodsisequaltoone,andtheindividualcanborroworlendatthesamerisk-freeinterestrate(rf).Themaximizingagenthastwobudgetconstraintsoverthetw

3、operiods.Inthefirstperiod,I1=C1+BwhereBisthedollarvalueofthebondspurchased.Inthesecondperiod,I2+(1+rf)B=C2FIGURE1Intertemporalconsumptionmodel.Fromthefirstbudgetconstraint,B=I1?C1andsubstitutingthatintothesecondbudgetconstraint,thisgivestheequationforthebudgetconstraintli

4、neasC2=I2+(1+rf)(I1?C1)Theequilibriumconditionisthenstraightforwardtoderiveasfollows:Themarginalrateofsubstitution(MRS)isthetradeoffofcurrentconsumptionforfutureconsumptionthatleavestheindividualindifferent;putdifferently,theminimumamountnecessarytoreceiveinthefuturetogiv

5、eupaunitofconsumptiontoday.Aslongasthereturn(1+rf)isgreaterthantheMRSofcurrentandfutureconsumption,theindividualwillpostponeconsumptionandincreasehisutility.Theindividualwillcontinuegivingupcurrentconsumptionpreciselytothepointwherethereturnofthebondisjustsufficienttocomp

6、ensatehimforwaiting.TheimportantaspectistheconceptofdiminishingMRS,thatwitheachadditionalunitofpostponedcurrentconsumptiontheindividualrequiresahigherreturn(slopeofindifferencecurvegetssteeperasonemovesfromrighttoleft).Inafinanceclass,thestudenttypicallylearnsthenetpresen

7、tvalue(NPV)criteriaforinvestmentprojectsasevaluatingallprojects,rankedfromhighesttolowestrateofreturn(ROR),againsttheopportunitycostofcapital,whichisassumedtobeconstant.Todirectlycomparetheintertemporalconsumptionmodeltoconceptsinfinancerequiresconsiderationofastandardcon

8、caveinvestmentopportunitysetthatranksinvestmentprojectsfromrighttoleftbyhighesttolowestratesofre