公开课总结版金融市场 希勒

金融原理 Lecture 1efficient markets有效市场So this merry band of financial theory professors didnt really believe in regulation.所以这批开心的金融理论教授并不真正认同（对市场的）管制They believed markets left unfettered worked best of all.他们认为不受约束的市场是最优的They believed in what they called efficient markets and the idea that asset prices reflect all the available possible information.他们坚信所谓的有效市以及资产价格反映了所有可获得信息So an implication of that is that if you want to find out whether a companys doing well or not you dont have to take the trouble to read all their financial reports just look at their stock price.If you wanted to know whether a countrys doing well or not you dont have to study its entire political system and current events, just look at the general stock market of the country and thatll tell you. They believed that you could make as good returns in the market as a lay person as you could as an expert because all the experts were competing to try and get the best possible price, and so the price itself reflected all their knowledge and wisdom and opinions and so the lay person could take advantage of that by buying stocks. Everybody should be an investor, they felt.So, a critical part of their theory was that the markets were so efficient, driven by people like them who are competing to exploit every advantage and therefore compete away every advantage and by doing that put all the information they have into the prices.The implication of that theory is that theres an extraordinarily clever way of computing the value of most investment assets, and about deciding when a financial decisions a good thing to do or not and that was the heart of what they taught in these business schools, these algorithms for valuing assets and making optimal financial decisions.这个理论意味着存在一种极其巧妙的方法能计算大部分投资资产的价值和判断金融决策在何时更为恰当这就是他们在商学院所教课程的核心包括资产评估算法和最优金融决策算法So as you know Shiller has been very critical of the business efficient markets tradition. He feels that these finance professors left something essential out of the whole story. What they left out was psychology. They left out the idea of fads, and rumors and narratives, which he thinks has as big an effect on prices as the hard information about profits that the business school professors imagined drove profits.你们应该知道的是席勒并不是很认同有效市场这一传统理论。他觉得这些金融学教授在整个体系中忽略了很重要的东西，也就是心理因素。他们忽略了人们的狂热和流言蜚语的作用席勒认为这些因素对价格也有巨大影响，不逊于有关利润的实际信息商学院教授们认为是这些信息驱动了利润。I myself have been quite critical of the financial theory. To me economics was almost a branch of logic and philosophy that happened to tell you something about the world, finance and economic theory on its own terms. I didnt think like Shiller to introduce psychology into economics, I just take it on in its own terms in its own mathematical terms. And what I found was that there are two things missing in the Standard Theory. One is that it implicitly assumes you can buy insurance for everything. Its the assumption thats called complete markets. And secondly it leaves out collateral entirely so youll never see, almost in any single economics textbook the idea of collateral or leverage. And those, I think, the idea that you cant get insurance for everything and that you need collateral you know, you have to be able to convince someone youre going to pay them back if you borrow money and collateral is the most convincing way of persuading him hes going to be paid back, the lender. Those two things were missing from the Standard Theory我本人也不完全认同金融理论对我来说，经济学算是逻辑学和哲学的一个分支，恰好能解释一部分真实世界。就金融和经济理论本身进行研究，我没有像席勒那样把心理学引入经济学，而是仅在经济学本身的范畴内用其本身的数学方法研究。后来我发现正统理论缺失了两样内容：一是假设你可以为任何东西购买保险，这叫做完全市场假设；再者就是完全忽略了抵押品的问题。你在任何一本经济学教科书中都不会读到抵押品或杠杆的概念。上述两者，也就是：你不能为所有的东西购买保险，且需要抵押品（才能借贷），如果你借钱，你得说服别人，让其相信你会还款，而抵押品对于债权人来说是最有说服力的这两者就是正统理论所缺失的Dow Jones道琼斯指数The Dow Jones is an average of thirty stocks and what their value is.道琼斯指数是30支股票市场价格的平均值So these efficient markets guys, they looked at the change in price every month. whether you can predict its going to go up tomorrow on the basis of how it did yesterday, and the answers no. Its very difficult to predict whether the stock market is going up or down. It seems to be random. Well, its random and they used to think it was normally distributed. You never get these gigantic outliers if things are normally distributed.支持“有效市场”说的人士会每月关注价格变化。关于是否能够根据前日的价格来预测明日的涨跌，答案是“不能”。预测股市涨跌很困难，它看起来是随机的，并且他们以前认为价格是正态分布的。如果是正态分布的话就绝不会出现这些巨大的异常值。Theyre just way too unlikely to happen. He said this couldnt possibly be a random walk in the traditional Brownian motion sense of the word because youd But youll see that the theory of collateral and margins does explain these kinds of things.它们发生的可能性太小了。他说，根据传统布朗运动的含义，这不可能是随机游走。你会发现抵押和保证金理论可以解释这些问题。S&P 500 标准普尔500指数Heres the history of the S&P 500. It looks very similar to the Dow, except we have longer history back to 1871, so I just want to point out one more thing in the S&P 500. So this is an average of five-hundred stocks. Four times the same thing has happened. Now this could be just meaningless accidents but it will turn out that the demography of the country the baby boom cycle, we havent had just one baby boom weve had four of them, so this cycle of stock prices which theyre each time a generation long happens to correspond exactly to the rise the different age distribution in the population. So another theory of the stock market which wouldnt have been entertained by these original financial theorists, is that demography has something to do with the stock market not information about profits and returns but the distribution of ages in the population. in finance for economic things, for demography to matter for leverage to matter and not just for expectations about future profits. 婴儿潮和股票波动的周期相吻合，认为金融中可以纳入其他引入，比如人口年龄组成。Shiller Index席勒指数So this is a second way in which Shiller became famous.So hes also famous because he had the idea of collecting housing prices.他也因“收集房价数据”这种理念而出名And nobody thought to gather all this information (records of the price of every sales of every house)together and take the average and write down an index until Shiller did it. So heres the Shiller Index.这就是席勒指数irrational exuberance非理性繁荣mortgage rates看看按揭利率（抵押贷款利率）(This is the interest rate you have to pay if you get a mortgage.)这是你获得抵押贷款所必须支付的利率called leverage杠杆So amazingly the prices go up and down just with whats called the leverage.你会惊奇的发现价格的上升或下降是和杠杆使用同步的。Because the cash you put down payment say ten percent, you can lever it up and own an asset thats worth a hundred even though you put down ten dollars. So youre leveraged 10:1.So anyway, the point is that leverage went way up. The margins kept going down and down and down and just at the peak of the housing cycle, which is the bottom of that curve, thats when collateral started getting tougher and people started asking for more money down again and sure enough the prices turned around.杠杆比率越来越高，保证金的要求却越来越低，在房价周期的最高点，也就是这个曲线的最低点。这就是抵押要求更苛刻，首付要求又开始提高的时候，房价果然掉头下跌。leverage cycle杠杆周期toxic mortgage securitySo to buy a toxic mortgage security investors dont pay购买有毒按揭证券时，投资者不必全付现金（或不良按揭证券，但和银行的不良资产含义不同）So once again, the margins-tougher margins means lower prices and as the margins came down recently the prices have gone up recently.所以再一次，更苛刻的保证金要求意味着更低的价格，随近期保证金的下降价格上涨了sub-prime mortgage index.次级抵押贷款指数the standard no-arbitrage Financial无套利金融理论hedge fundlots对冲基金the mortgage market抵押信贷市场the mathematical logic of the invisible hand argument “看不见的手”中的数理逻辑Thats the most important argument in economics that the free market does good for the economy这是经济学里最重要的观点，认为自由市场促进经济发展。Social Security critically involves the belief that things will go on forever, so theres an infinity in it. Each generation the young are paying for the old. Nobody would do that if they thought they were going to be the last generation paying to the old and when they got old, nobody would help them .So Social Security rests on this world going on forever.社会保障本质上涉及到相信“万物永续”的理念，即“无限”。因此社会保障是以当前世界永远运行下去为前提的Mortgages抵押贷款The Babylonians invented mortgages. What is a mortgage? You lend somebody money. They put up collateral .They dont pay, you take the house or you take the guys life, such as hes a slave or something, but its the same thing. You borrow money and the guy promises you can confiscate something if he doesnt pay.小实验市场的再现But basically with no training no background, no practice, these sixteen undergraduates managed to reproduce they gathered all the information in the whole economy and they discovered who were the eight people who valued the tickets the most and they ended up with all the tickets. For me to do it and sort it out would have taken longer. The market solves a complicated problem and gets information incredibly quickly and puts things into the hands of the people who value it the most. And the marginal buyer thought it was worth about twenty-five or twenty and thats what the price turned out to be.没有培训，没有背景知识，没有过练习，这十六位本科生，成功地再现了市场。他们从整个经济中搜集到全部信息，其中对球票估价最高的八位最终持有球票。如果由我来排序配对，会花费更多时间。市场解决了这个复杂的问题，极其快速地掌握了信息，并把商品分配给对其估价最高的人，边际买家的预期价格为20或25美元上下，（价格提高首先离开市场的买家）实际成交价也正是如此。金融市场期权options.Options 期权Its a contract that has an owner期权是一种合约 the owner of the option contract has rights to find in the contract either to buy or sell some thing- lets say a share of stock-at a specified price and specified date. 其持有人可以在合约规定的某个时刻以某个事先约定的价格买入或卖出某种资产 比如一手股票There are two kinds; theres a put and a call. 期权分为看跌和看涨两种Put optionA put option is the right to sell. 看跌期权赋予其所有者卖出资产的权利Its typically a hundred shares, so well say a hundred shares of a company通常每份期权对应一手股票The option would have-if it was a put option and there was a price, then you would have the right up-let me see, theres the exercise price, also known as the strike, and theres the exercise date. 对于一份看跌期权来说 合约中会规定一个协议价格或者叫执行价格 以及一个行权日 American & European option美式期权和欧式期权There are two kinds of options. There are American, so called, and European, so called.期权有两种不同类型 分别叫做美式期权和欧式期权The American-what this means-an American option means the right to exercise the option on any date until and including the exercise date; with European, its only on exercise date.一份美式期权合约赋予拥有者可在行权日及行权日之前任意时刻执行期权，而欧式期权则只能在行权日执行。the exercise date行权日 the exercise price执行价格 exercise it执行这份期权 you sign the contract from the writers contract, which goes along with the buyers contract.你要签署卖方合约与买方合约相对应If you write a call option, then you-and say its American-then you are signing a contract -lets say its on stock-to deliver one hundred shares to the other guy, the buyer, whenever that guy feels like it. That guy will pay you the contracted price,如果你要卖一份看涨期权美式看涨期权，那么你就要签署一份以股票为标的资产的合约 并承诺在对方认为合适的任意时刻向其出售一手股票出售价格为合约中规定的执行价格Gambling is not investing赌博并不等同于投资an options exchange期权交易所 The problem with a traditional option, is that its a contract between two parties.If you write-if you buy an option, youre at the mercy of this other person.传统期权存在一个问题,即它是一份仅有两方参与的合约,如果你购买了一份期权,最终能否行权还要看对方的脸色So, we created-that was a problem until 1973, when the first options exchange opened. But, this is the first options exchange-Chicago Board Options Exchange- which was a spin off of the Chicago Board of Trade.这个问题直到1973年才伴随着世界上首个期权交易所的建立得以解决。总之，芝加哥期权交易所是第一个期权交易所它从芝加哥交易所分离出来的Now, what they did was they organized a central marketplace for standardized options. Options used to be written for whatever exercise date anybody wanted; there was no standardization. An options exchange is like creating a futures market. when you only had a forward market in the past. They started trading options on U.S. stocks in 1973 .and they require that the writer of a naked call has to put up margin.交易所的意义在于为标准化期权提供集中交易的场所,之前期权合约中的到期日可以是任意的，市场上并没有统一的合约标准.期权交易所类似于期货市场的建立.后者的建立前市场上仅有远期合约。交易所于1973年推出美股期权,并要求无担保看涨期权的卖方交纳保证金naked call无担保看涨期权What is a naked call? If you write a call, you are standing ready to sell a hundred shares to the buyer. But youre naked if you dont own the hundred shares. Then you are required to put up margin and the margin is an amount that was enough so that if you fail to deliver, the CBOE could access your margin account and buy the shares on the market to sell to the buyer; and thered be enough money to do that. The margin requirement for the writer makes the contract secure so that there is really no counterparty risk with options purchased on an options exchange.何谓无担保看涨期权呢,当你卖出一份看涨期权时 你就承担了将一手股票卖给期权买方的义务.如果是美式期权 你还要保证买方可随时行权.但是如果你手中没有一手股票,你就需要垫付保证金.这是为了确保当你无法进行期权交割时,交易所可以动用你的保证金账户.从市场上购买相应股票后将其卖给期权买方.以上措施需要足够的资金支持,对期权卖方的保证金要求确保了期权合约的安全.可以说从交易所购买的期权合约实际上不存在对手风险Now, futures exchanges sell options on futures;如今期货交易所还推出了期货期权of an option with a $20 strike price.一份执行价格为20美元的期权的内在价值Now, the option would be typically for 100 shares,通常一份期权对应一手股票If you decided-well never have intrinsic value negative because you wouldnt exercise.我们从不会让内在价值为负,因为那样你不会去行权虚值期权out of the money.平价期权 at the money. 实值期权in the money. all options that are in the money on the exercise date,are exercised and theres no choice.所有到期日的实值期权毫无例外都将被行权you never want to exercise an American call early,so thats why there isnt an important distinction between European and American.你决不会提早对美式期权行权,这就是欧式期权和美式期权,并无重大区别的原因处于套利区间 theyre arbitraged.we cant have the option price selling for less than intrinsic value我们不会以低于期权内在价值的价格售出期权the stock itself is an option to buy the share at a $0 exercise price, so it has to be worse to have a positive exercise price.股票本身便是一种执行价格为0元的期权,因此执行价格为正会比较糟糕the put-call parity relation and this is another arbitrage thing. The put option price-arbitrage-the absence of arbitrage opportunities implies that the put option price minus the call option price equals the present value of the strike price-thats discounting it from this exercise date to the present-plus the present value of any dividends coming between today and the exercise date, minus the price of the stock. This has to hold because if it didnt hold, there would be an arbitrage opportunity.看跌-看涨期权平价关系,这是另一个套利问题.看跌期权的价格,套利机会的存在暗示着看跌期权价格减看涨期权价格等于执行价格的现值。该值是由到期日折现而来,加上截至到期日的红利贴现,并减去股价.这个价格必须保持稳定,否则会出现套利机会put-call parity看跌-看涨期权平价What put-call parity means is that we only need a theory of either call prices or put prices and then the other one falls right out of put-call parity.看跌-看涨期权平价关系表明：买权与卖权的价格知其一便可。另一个可由看跌-看涨期权平价关系等式得出The put price would equal the call price plus the present value of the strike price,plus the present value of dividends,minus the price of the stock; 看跌期权价格就等于看涨期权价格加上执行价格的现值,加上分红的现值,再减去股票价格so the price of the call is going to be worth more than the intrinsic value.所以看涨期权的价格要高于其内在价值Im going to call Cu the value of the call next period if the price is upCu表示如果股价上升看涨期权的内在价值and Cd the value of the call next period if the price is down.Cd表示如果股价下跌看涨期权的内在价值The price of an option should be greater than the intrinsic value everywhere期权价格应始终高于其内在价值S我们已经知道是股票现价S, we already know thats just the stock price.E是执行价格E is the exercise price;T是期权的剩余有效期 T is the time to expiration date;r是无风险利率 r is the riskless interest rate;so I think options have a very real risk management purpose. In a sense, an insurance contract is like a put option. If I buy fire insurance on my house, then its like buying a put option on my house, but its only exercisable if theres a fire. What it says is, if my house burns down, the put option-I can sell whatever remains at a price, which is determined by the insurance contract;期权在风险管理中起着重要的作用,比方说保险合同就是一个卖方期权.如果你购买了一个火灾保险,实际上就是购买了一个住房的看跌期权，不过只能在火灾发生以后才能行使权利.意思是如果我的房子烧毁了,我能按照保险合约的价格,出售我烧剩下的房子。So, an option is a derivative because the price of the option in the options market depends on the price of something else or another market-the stock market.所以期权是一种衍生金融产品,因为期权市场中期权的价格.取决于其他市场中商品的价格 ,比如股票市场金融市场期货futures.ticker tape 自动收报机New York Stock Exchange 纽交所Information technology has dominated stock prices. No active stock markets before the electronic age. It was really the electronic communications that made it what it is. Deliver 交割The name Futures is a bit misleading because that suggests that its talking about the future rather than today. The futures price is well-defined and standardized. For agricultural futures, any contract for delivery of something has some term(条款). They dont just deliver it instantly and there are times when the so-called spot prices actually further in the future than the futures price. 有时候所谓的现货价格对应的交割时间要晚于期货对应的时间Lots of uncertainties are defined in the standardized contract. The minute-to-minute changes reflect some real change in the market, not any change in whats being delivered. 每分钟的价格变化都有所意指它们反应了一些实情市场变化的实情而不是所载商品的变化Standardization of shares: every share in a given company is exactly identical. You might think theres no need for a futures market because the prices are already standardized in the cash market. (现货市场)Stock futures marketsChicago Mercantile ExchangeThe first Stock index futures was the Standard & Poor Stock Index Futures. The S&P is an index of stock prices produced by Standard & Poors Corporation and they take the prices of stocks and they form a weighted average. Its an arithmetic average where the weights correspond to the amounts outstanding of the various stocks, so its a value-weighted index. It applies to both agricultural futures and financial futures.How the margin account(保证金账户) works?If you want to trade in the futures market, you have to put up margin and theres a margin requirement for each contract. The margin is there to eliminate counterparty risk with other contracts. The way the exchange eliminates it is it takes the other side itself-of every contract who-it stands between you and the counterparty. The exchange protects itself by demanding margin. You have to, up front, put up margin for any futures contract and the margin is settled daily. 如果你想在期货市场上交易，首先你要交存一笔保证金。每个合约都有保证金的要求。保证金在此是用于规避交易对手违约的风险。交易所规避风险的方法是它作为一个第三方的平台存在于你和交易对手中间，用收取保证金的方式保护自己所有的期货合约。你必须预先交存保证金而且保证金每日结算。Margin account runs dry Futures commission merchant Post more margins or close you out Replenish the margin account Daily resettlement Cook the books 做假账Get margin calls 追加保证金的通知The last day of the contract theres a settlement and in agricultural futures, the last day theres delivery if youre still in the contract. If you are a seller on the last day, you must deliver the specified number of barrels or bushels of whatever it is. Or, if you are a buyer, you must take delivery of them. With stock futures its different because nobody expects you to deliver shares of stock. What happens on the last day is theres a final settlement and that is in dollars in this case times the S&P Index on the last day minus the futures price of the preceding day. Expiration of the contract期限You get, in total, over the total interval, between the purchase date and the expiration of the contract, you get the stock index minus the initial futures price you paid times $.Fair value公允价格Fair value is what the futures price should be. The fair value of a futures contract is equal to the stock price plus the stock price times the interest rate, plus the storage cost. The storage cost for stocks is negative because it doesnt cost you anything to store a stock. You dont even have to store certificates anymore; your name will be held electronically. Its negative because you get dividends.AgricultureNormally wheat is being stored, so normally wheat prices are essentially equal to fair value, but stocks are always being stored. It woul