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1、ChapterElevenAsset(資產(chǎn))MarketsMainIssueNoArbitrage(套利)ConditionAssetsAnassetisacommoditythatprovidesaflowofservicesovertime.E.g.ahouse,oracomputer.Afinancialassetprovidesaflowofmoneyovertime--asecurity.AssetsTypicallyassetvaluesareuncertain.Incorporatinguncertai
2、ntyisdifficultatthisstagesowewillinsteadstudyassetsassumingthatwecanseethefuturewithperfectcertainty.Arbitrage(套利)Arbitrageistradingforprofitincommoditieswhicharenotusedforconsumption.E.g.buyingandsellingstocks,bonds,orstamps.Nouncertainty?allprofitopportunitie
3、swillbefound.Whatdoesthisimplyforpricesovertime?ArbitrageThepricetodayofanassetisp0.Itspricetomorrowwillbep1.Shoulditbesoldnow?Therate-of-returnfromholdingtheassetis I.e.ArbitrageSelltheassetnowfor$p0,putthemoneyinthebanktoearninterestatraterandtomorrowyouhave
4、ArbitrageWhenisnotsellingbest?When I.e.iftherate-or-returntoholdingtheassettheinterestrate,thenkeeptheasset.Andifthen sosellnowfor$p0.ArbitrageIfallassetmarketsareinequilibriumthenforeveryasset.Hence,foreveryasset,today’spricep0andtomorrow’spricep1satisfyArbi
5、trageI.e.tomorrow’spriceisthefuture-valueof today’sprice.Equivalently,I.e.today’spriceisthepresent-value oftomorrow’sprice.ArbitrageinBondsBonds“payinterest”.Yet,whentheinterestratepaidbybanksrises,themarketpricesofbondsfall.Why?ArbitrageinBondsAbondpaysafixeds
6、treamofpaymentsof$xperyear,nomattertheinterestratepaidbybanks.Ataninitialequilibriumtherate-of-returntoholdingabondmustbeR=r’,theinitialbankinterestrate.Ifthebankinterestraterisestor”>r’thenr”>Randthebondshouldbesold.Salesofbondslowertheirmarketprices.Taxationo
7、fAssetReturnsrbisthebefore-taxrate-of-returnofataxableasset.reistherate-of-returnofataxexemptasset.tisthetaxrate.Theno-arbitrageruleis: (1-t)rb=reI.e.after-taxrates-of-returnareequal.AssetswithConsumptionReturnsTheexampleofhouseA=appreciationT=implicitrentalrat
8、eP=initialinvestmenth=(T+A)/P=totalrateofreturnh=(T+A)/P=rFinancialIntermediariesBanks,brokeragesetc.facilitatetradesbetweenpeoplewithdifferentlevelsofimpatiencepatientpeopl
