Συστήματα χρηματοοικονομικής μηχανικής & σύγχρονα μοντέλα επενδύσεων

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1 Ινστιτούτο Εκπαίδευσης & Επιμόρφωσης Μελών ΤΕΕ & Attica Bank Εκπαιδευτικό Σεμινάριο 8 9 Ιουνίου 2013, Θεσσαλονίκη Συστήματα χρηματοοικονομικής μηχανικής & σύγχρονα μοντέλα επενδύσεων α Μηχανική χρηματοοικονομικών προϊόντων Δρ. Παναγιώτης Ι. Ξυδώνας

2 Βιβλιογραφία Elton, E., Gruber, M., Brown S., Goetzmann, W., Modern portfolio theory and investment analysis. 7 th edition, John Wiley and Sons, New York. Ξυδώνας, Π., Ψαρράς, Ι., Ζοπουνίδης, Κ., Σύγχρονη θεωρία χαρτοφυλακίου. Εκδόσεις Κλειδάριθμος, Αθήνα. Ξυδώνας, Π., Μαυρωτάς, Γ., Ψαρράς, Ι., Ζοπουνίδης, Κ., Διαχείριση χαρτοφυλακίων με πολλαπλά κριτήρια: Θεωρία και πράξη. Εκδόσεις Κλειδάριθμος, Αθήνα. Xidonas, P., Mavrotas, G., Krintas, T., Psarras, J., Zopounidis, C., Multicriteria portfolio management. Springer, New York.

3 Βιβλιογραφία

4 Η δομή του σεμιναρίου α Μηχανική χρηματοοικονομικών προϊόντων β Βελτιστοποίηση χαρτοφυλακίων γ Υποδείγματα δεικτών δ Επιλογή & διαχείριση χαρτοφυλακίων ε Αγορές κεφαλαίου & ισορροπία στ Πρακτική εξάσκηση

5 α Μηχανική χρηματοοικονομικών προϊόντων α.1 Μετοχές α.2 Ομόλογα α.3 Παράγωγα

6 α.1 Μετοχές

7 Valuation of securities First principle Value of financial securities = PV of expected future cash flows To value bonds and stocks we need to: Estimate future cash flows: Size (how much) and Timing (when) Discount future cash flows at an appropriate rate: The rate should be appropriate to the risk that the security incorporates.

8 Factors affecting stock prices Brigham & Houston FFM 10e

9 The expected return from a stock Expected return: The percentage yield that an investor forecasts from a specific stock over a set period of time. P1 P0 Div1 Expected return r P0 P1 P0 Div1 Expected return P0 P0 Expected return = Capital return + Dividend yield

10 Example If XYZ Company is selling for $100 per share today and is expected to sell for $110 one year from now, what is the expected return if the dividend one year from now is forecasted to be $5.00? Answer P P Div % P r r r 0

11 Dividend growth model The formula for the dividend growth model, where H is the investment horizon: Div Div Div P P... (1r) (1r) (1r) 1 2 H H H r: The minimum rate of return on a common stock that a stockholder considers acceptable.

12 Example with the DGM Current forecasts are for XYZ Company to pay dividends of $3, $3.24, and $3.5 over the next three years, respectively. At the end of three years you anticipate selling your stock at a market price of $ What is the price of the stock given a 12% expected return? P Answer (1 0.12) (1 0.12) (1 0.12) P $

13 Constant growth model If dividends grow at a constant rate g then: Div Div (1g), Div Div (1g), From the previous equation it is derived that: 1 2 Div 0(1g) Div 0(1g) P (1r) (1r) Div 0(1g) P0 rg P 0 Div1 r g

14 Example with the CGM Let s say that Div 0 = $ 1.15, g = 8%, r = 13.4%. Then the (intrinsic) price of the stock should be: P (1 0.08) P $23 0

15 Bonds pricing Example Let s say that k d = 10%, N = 15 yrs, M = $ 1,000, CR = 10%. Then INT = 10% x 1,000 = $ V B $1000 t 15 t

16 Bonds prices Vs interest rates Bond s value Clue: As interest rates increase, the value of a bond decreases. Interest rates

17 Default & bond ratings A default is defined as a credit event. If an issuer defaults, investors receive less than the promised return. Bond ratings are designed to reflect the probability of a bond issue going into default. Investment Grade Junk Bonds Moody s Aaa Aa A Baa Ba B Caa C S & P AAA AA A BBB BB B CCC D

18 Credit default swaps (CDS)

19 Size of OTC and exchange markets Size of Market ($ trillion) OTC Exchange Jun-98 Jun-99 Jun-00 Jun-01 Jun-02 Jun-03 Jun-04 Source: Bank for International Settlements (BIS) Note: Chart shows total principal amounts for OTC market and value of underlying assets for exchange market

20 Example 3 Options Purchasing a contract consisting of 100 Intel October call options with a strike price of $ Net profit ($) x S 100 x = 0 S = Stock price ($)

21 Example 7 Speculators Net profit or loss from two alternative strategies for speculating on Amazon stock price Net profit ($) x S 2000 x = 0 S = Stock price ($) Buy options Buy shares

22 Swaps Example Millions of Dollars LIBOR FLOATING FIXED Net Date Rate Cash Flow Cash Flow Cash Flow Mar.5, % Sept. 5, % Mar.5, % Sept. 5, % Mar.5, % Sept. 5, % Mar.5, %

23 Swaps Example 5.2% Intel 5% Microsoft LIBOR + 0.1% LIBOR

24 Hedge funds Hedge funds are not subject to the same rules as mutual funds and cannot offer their securities publicly. Mutual funds must: Transparent investment policies. Take no short positions. Limit use of leverage. Hedge funds are not subject to these constraints. Hedge funds use complex trading strategies are big users of derivatives for hedging, speculation and arbitrage.

25 Ινστιτούτο Εκπαίδευσης & Επιμόρφωσης Μελών ΤΕΕ & Attica Bank Εκπαιδευτικό Σεμινάριο 8 9 Ιουνίου 2013, Θεσσαλονίκη Συστήματα χρηματοοικονομικής μηχανικής & σύγχρονα μοντέλα επενδύσεων α Μηχανική χρηματοοικονομικών προϊόντων Δρ. Παναγιώτης Ι. Ξυδώνας