Professional Documents
Culture Documents
Chapter 5
5-2
Supply
- Households
Demand
- Businesses
Governments Net Supply and/or
Demand
- Federal Reserve Actions
McGraw-Hill/Irwin
5-3
McGraw-Hill/Irwin
Funds
Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
5-4
5-5
P
1 P 0 + D1
HPR =
P0
HPR = Holding Period Return
P0 = Beginning price
P1 = Ending price
D1 = Dividend during period one
McGraw-Hill/Irwin
5-6
Rates of Return:
Single Period Example
Ending Price =
48
Beginning Price =
40
Dividend =
McGraw-Hill/Irwin
5-7
(ex-dividend)
78
(77)
McGraw-Hill/Irwin
5-8
1. :
P = Pt-1 - Dt
2.:
P=
(Pt-1+*%+10*%) /
(1+%+%+%)
3.:
P=
(Pt-1+*% +10*% - Dt)
/ (1+%+%+%)
McGraw-Hill/Irwin
5-9
Pt*(1+%+%)+Dt
=
----------------------------------------- - 1
(Pt-1+*%)
Pt =t
Pt-1 =t-1
Dt =t
McGraw-Hill/Irwin
5-10
Hint:10
.
:7473
6020%
1.2(
)5%74
?
?
McGraw-Hill/Irwin
5-11
Answer:
:
=(60+10*0.05-1.2)/(1+20%+5%)
=59.3/1.25=47.44
~47.4
:7%:50.7 ~ 50.5
:7%:44.08 ~ 44.1
McGraw-Hill/Irwin
5-12
:
=(50.5*(1+20%)+1.2)/60-1
= 3%
*
:
:
=(60-1.2)/(1+20%+0%)
=49
: 49*1.07=52.43~52
:(52*(1+0.2)+1.2)/60 1=6%
McGraw-Hill/Irwin
5-13
5-14
Normal Distribution
s.d.
s.d.
mean
Symmetric distribution
McGraw-Hill/Irwin
Measuring Mean:
Scenario or Subjective Returns
5-15
Subjective returns
s
E (r ) = p s r s
1
McGraw-Hill/Irwin
5-16
State
Prob. of State
r in State
1
.1
-.05
2
.2
.05
3
.4
.15
4
.2
.25
5
.1
.35
E(r) = (.1)(-.05) + (.2)(.05)...+ (.1)(.35)
E(r) = .15
McGraw-Hill/Irwin
Measuring Variance or
Dispersion of Returns
5-17
Subjective or Scenario
( ) (
= p s r s E( r )
2
5-18
Geom.
Series
Mean%
Sm Stk 12.6
Lg Stk
11.1
LT Gov
5.1
T-Bills
3.8
Inflation 3.1
McGraw-Hill/Irwin
Arith.
Mean%
18.8
13.1
5.4
3.8
3.2
Stan.
Dev.%
39.7
20.2
8.1
3.3
4.5
5-19
Risk
Series
Premiums%
15.0
9.3
1.6
--
--McGraw-Hill/Irwin
Real
Returns%
15.6
9.9
2.2
0.6
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