金融市场与金融机构基础(第2版)

在过去30年间，金融业发生了翻天覆地的变化，其标志是创新、全球化和放松管制。作者写作本书的目的就是帮助学生了解金融业的巨大变化。和其他教科书相比，本书有其自身的特点：一是取材广泛，从机构到市场、工具，如资产的证券化、抵押市场等等，这些是其他教材没有或不够深入的。二是内容全面、资料新，给学生大量的信息和分析工具，并且详细描绘了一些大型市场与机构的运行、结构和规章制度，使学生能够学会分析金融业的某些全

Partl INTRODUCTION Introduction Financial Intermediaries and Financial Innovation The Role of the Government in Financial Markets Part 11 DEPOSITORY INSTITUTIONS Chdpter 4 Depository Institutions: Activities and Characteristics Chapter 5 Central Banks and the Creation of Money Chapter 6 Monetary Policy Part 111 NON-DEPOSITORY FINANCIAL INTERMEDIARIES Chapter 7 Insurance Companies Chapter 8 Investment Companies Chapter 9 Pension Funds Part IV DETERMINANTS OF ASSET PRICES AND INTEREST RATES Properties and Pricing of Financial Assets The Level and Structure of Interest Rates The Term Structure of Interest Rates Risk/Rcturn and Asset Pricing Models Part V ORGANIZATION AND STRUCTURE OF MARKETS Chapter 14 Primary Markets and the Underwriting of Securities Secondary Markets Part Vl MARKETS FOR GOVERNMENT DEBT Chapter 16 Treasury and Agency Securities Markets Chapter 17 Municipal Securities Markets Part Vll MARKETS FOR CORPORATE SECURITIES Chapter 18 Common Stock Markets in the United States Chapter 19 Stock Markets around the World Chapter 20 Markets for Corporate Senior Instruments: 1 Chapter 21 Corporate Senior Instmments: 11 Chdpter 22 The Markets for Bank Obligations Part Vlll MORTGAGE AND SECURITIZED ASSET MARKETS Chdpter 23 The Mortgage Market Chdpter 24 Mortgage-Backed Securities Market Chdpter 25 Asset-Backed Securities Market Part IX MARKETS FOR DERIVATIVE SECURITIES Chdpter 26 Chdpter 27 Chdpter 28 Chdpter 29 Chdpter 30 Chdpter31 Index Financial Futures Markets Options Markets Pricing of Futures and Options Contracts The Applications of Futures and Options Contracts Interest Rate Swap and Interest Rate Agreement Market The Market for Foreign Exchange Rate Risk Control Instruments Preface xv Acknowledgments xuiii Biographical Sketches xx Part 1 INTRODUCTION Chapter 1 Introduction Financial Assets Debt versus Equity Claims 3 The Price of a Financial Asset and Risk 3 * Financial Assets versus Tangible Assets 4 The Role of Financial Assets 4 Financial Markets Role of Finandal Markets 6 CIassification of Financial Markets 6 Market Participants Globalization of Financial Markets Classification of Global Finandal Markets 9 Motivation for Using Foreign Markets and Euromarkets Derivative Markets Types of Derivative Instruments 11 The Role of Derivative Instruments Summary Chapter 2 Financial Intermediaries and Financial Innovation Financial Institutions Role of Financial Intermediaries Maturity Intermediation 20 Reducing Risk via Diversification 20 * Reducing the Cost ofContracting and Information Processing 21 Providing a Payments Mechanism Overview of Asset/Liability Management for Financial Institutions Nature of Liabilities 23 Liquidity Concerns 24 Regulations and Taxation Financial Innovation Categorizations of Financial Innovation 25 Motivation for Financial Innovation Asset Securitization as a Financial Innovation Benefits to Issuers 28 Benefits to Investors 29 Benefits to Borrowers 29 Implications of Securitization for Financial Markets 29 Social Benefits 30 Summary Chapter 3 The Role of the Govemment in Financial Markets Purposes and Forms of Regulation Justification for Regulation 35 An Introduction to Forms of Regulation 36 Regulation in the United States Regulation in Japan Regulation in Germany Regulation in the United Kingdom Regulatory Refonn Summary Part 11 DEPOSITORY INSTITUTIONS Chapter 4 Depository Institutions: Activities and Characteristics Asset/Liability Problem of Depository Institutions Interest Rate Risk 54 Liquidity Concerns Commercial Banks Bank Services 61 Bank Funding 62 Regulation �avings and Loan Associations Assets 72 Funding 74 Regulation 74 The S&L Crisis Savings Banks Credit Unions Summary Chapter 5 Central Banks and the Creation of Money The Central Bank and Money Creation in the United States The Central Bank of the United States: The Federal Reserve System 85 Instruments of Monetary Policy: How the Fed Influences the Supply of Money 86 ?Different Kinds of Money 89 Money and Monetary Aggregates 89 The Money Multiplier: The Expansion of the Money Supply 91 The Impact of Interest Rates on the Money Supply 93 The Money Supply Process in an Open Economy 94 The Central Banks of Other Countries Germany 96 Japan 97 United Kingdom Summary Chapter 6 Monetary Policy Monetary Policy in the United States Goals of Monetary Policy 103 Trade-Offs and Conflicts among Polides 108 Goals and Types of Targets 108 Choosing the Operating Target 109 Choosing the Intermediate Target 110 A Review of Recent Federal Reserve Policy Goals and Targets of Monetary Policy in Other Economies Germany l6 Japan 117United Kingdom Summary Part 111 NON-DEPOSITORY FINANCIAL INTERMEDIARIES Chapter 7 Insurance Companies Fundamental Characteristics of the Insurance Industry Insurance Policy and Premiums 123 Surplus and Reserves 124 Determination of Profits 124 Government Guarantees 125 Regulation 125 Life Insurance Companies Liabilities and Liability Risk 127 Types of Policies 127 Investments Property and Casualty Insurance Companies Nature of the Liabilities 131 Investments Financial Trends in the Intemational Insurance Industry Bancassurance 133 Cross-Border Activities 134 Pension Funds and Insurance Companies Summary Chapter 8 Investment Companies Types of Investment Companies Open-End Funds 140 Closed-End Funds 141 Unit Trusts 143 Structure and Expenses of a Fund Types of Funds by Investment Objective Economic Motivation for Funds Regulation of Funds Commercial Banks and Mutual Funds The Concept of a Family of Funds Industry Concentration Mutual Funds in Other Economies United Kingdom 151 �ermany I53 Japan 154 Summary Chapter 9 Pension Funds Introduction to Pension Plans Types of Pension Plans Defined Contribution Plan 161 Defined Benefit Plan 162 Hybrid Pension Plans 162 Investments Regulation Managers of Pension Funds Pension Funds in Other Countries Germany 166United Kingdom 167 Japan 168 Summary Appendix: Endowment Funds Part IV DETERMINANTS OF ASSET PRICES AND INTEREST RATES Chapter 10 Properties and Pricing of Financial Assets Properties of Financial Assets Moneyness 174 Divisibility and Denomination 174 Reversibility 174 Cash Flow 175 Term to Maturity 176 Convertibility 176 Currency 176 Liquidity 177 Return Predictability 177 Complexity 178 Tax Status 179 Principles of Pricing Financial Assets The Appropriate Discount Rate 180 Illustration 180 Price and Asset Properties Price Volatility of Financial Assets The Effect of Maturity 184 The Effect of the Coupon Rate 184 The Effect of the Level of Yields 186 Measuring Price Sensitivity to Interest Rate Changes: Duration Summary Appendix: Review of Present Value Chapter 11 The Level and Structure of Interest Rates The Theory of Interest Rates Fisher's Classical Approach 199 The Loanable Funds Theory 203 The Liquidity Preference Theory 204 Changes in the Money Supply and Interest Rates The Determinants of the Structure of Interest Rates Features of a Bond 208 Yield on a Bond 209 The Base Interest Rate 212 The Risk Premium 212 Summary Chapter 12 The Term Structure of Interest Rates The Yield Curve and the Term Structure Using the Yield Curve to Price a Bond 225 Constructing the Theoretical Spot Rate Curve 226 Using Spot Rates to Value a Bond 229 Forward Rates Other Forward Rates 233 Relationship between Spot Rates and Short-Term Forward Rates 234 Forward Rate as a Hedgeable Rate 235 Determinants of the Shape of the Term Structure The Pure Expectations Theory 236 The Liquidity Theory 239 The Preferred Habitat Theory 240 Market Segmentation Theory 241 Summary Chapter 13 Risk/Return and Asset Pricing Models Portfolio Theory Investment Return 247 Portfolio Risk 249 Diversification 252 The Risk of Individual Securities 254 Estimating Beta 257 The Capital Asset Pricing Model L'nderlying Assumptions 260 Tests of the Capital Asset Pricing Model 261 Multifactor CAPM 263 Arbitrage Pricing Theory Model Empirical Evidence 265 Summary Part V ORGANIZATION AND STRUCTURE OF MARKETS Chapter 14 Primary Markets and the Underwriting of Securities The Traditional Process for Issuing New Securities Investment Bankers Regulation of the Primary Market Variations in the Underwriting Process Bought Deal 277 Auction Process 278 Preemptive Rights Offering 280 Private Placement of Securities Rule 144A 283 Summary Chapter 15 Secondary Markets Function of Secondary Markets Trading Locations Market Structures Perfect Markets Role of Brokers and Dealers in Real Markets Brokers 293 Dealers as Market Makers 293 Market Efficiency Operational Efficiency 295 Pricing Efficiency 296 Summary Part Vl MARKETS FOR GOVERNMENT DEBT Chapter 16 Treasury and Agency Securities Markets Treasury Securities Types of Treasury Securities 301 The Primary Market 302 The Secondary Market 306 Stripped Treasury Securities 311 Coupon Stripping and the Theoretical Value of Treasury Securities 313 Federal Agency Securities Government-Sponsored Enterprise Securities 316 A Look at Non-U.S. Government Bond Markets Summary Chapter 17 Municipal Securities Markets Types and Features of Municipal Securities General Obligation Bonds 326 Revenue Bonds 327 Hybrid and Special Bond Securities 327 Municipal Notes 328 Redemption Features 329 Municipal Bond Ratings Tax Risks Associated with Investing in Municipal Securities The Primary Market The Secondary Market Yields on Municipal Bonds Regulation of the Municipal Securities Market Summary Part Vll MARKETS FOR CORPORATE SECURITIES Chapter 18 Common Stock Markets in the United States Characteristics of Common Stock Trading Locations Stock Exchanges 340 Over-the-Counter Market 341 Independent Electronic Trading Systems 341 Trading Mechanics 342 Short-Selling 344 Margin Transactions 345 Transactions Costs 346 Role of Dealers in Exchanges and OTC Markets 347 The National Market System 348 The SEC's Look into the Future: Market 2000 349 Trading Arrangements for Institutional Investors Block Trades 351 Program Trades 352 Stock Market Indicators Pricing Efficiency of the Stock Market Forms of Efficiency 356 Implications for Investing in Common Stock 357 The Stock Market Crash of 1987 Summary Chapter 19 Stock Markets around the World National Stock Markets Multiple Listings on National Markets 366 Global Diversification: Correlation of World Equity Markets 370 Ownership and Control of National Stock Markets 371 Trading Procedures and Computerization 374 Dealers in Major Markets 375 Stock Market Indexes 376 Euroequity Issues Global Depository Receipts Summary Chapter 20 Markets for Corporate Senior Instruments: 1 Credit Risk and the Role of Rating Companies Commercial Paper Issuers of Commercial Paper 388 Directly Placed versus Dealer-Placed Paper 389 Non-U.S. Commercial Paper Markets 390 Medium-Term Notes Size of Market and Issuers 391 The Primary Market 392 Structured MTNs 394 Euronotes Bank Loans Syndicated Bank Loans 396 Lease Finandng 397 Summary Chapter 21 Corporate Senior Instruments: 11 Corporate Bonds Basic Features of a Corporate Bond Issue 402 Bonds with Special Features 405 Corporate Bond Credit Ratings 407 High-Yield Sector 410 Secondary Market 413 * Eurobond Market 413 Preferred Stock 415 Adjustable-Rate Preferred Stock 416 Auction and Remarketed PTefeTredStock417 Bankruptcy and Creditor Rights Summary Chapter 22 The Markets for Bank Obligations Types of Banks Operating in the United States Large-Denomination Negotiable CDs CD Issuers 425 Yields on CDs 426 Federal Funds Federal Funds Rate 428 Market for Federal Funds Bankers Acceptances Illustration of the Creation of a Bankers Acceptance 430 Accepting Banks 431 Dealers 431 * Credit Risk 432 Summary Part Vlll MORTGAGE AND SECURITIZED ASSET MARKETS Chapter 23 The Mortgage Market What Is a Mortgage? Mortgage Origination The Mortgage Origination Process 437 The Risks Associated with Mortgage Origination Types of Mortgage Design Fixed-Rate, Level-Payment, Fully Amortized Mortgages 441 Adjustable-Rate Mortgages 444 Other Mortgage Designs Investment Risks Credit Risk 450 Liquidity Risk 450 Price Risk 450 Prepayments and Cash Flow Uncertainty 450 Summary Chapter 24 Mortgage-Backed Securities Market Development of the Secondary Mortgage Market Foundations of the Mortgage Market 455 Securitization of Mortgages Mortgage Pass-Through Securities Cash Flow Characteristics 457 Issuers of Mortgage Pass-Through Securities 457 Government National Mortgage Association 459 Federal Home Loan Mortgage Corporation 459 FederarNational Mortgage Association 460 Nonagency Pass-Through Securities 460 Prepayment Risks Associated with Pass-Through Securities 463 Prepayment Conventions 465 Average Life 471 Collateralized Mortgage Obligations Sequential-Pay CMOs 473 Accrual Bonds 478 Planned Amortization Class Tranches 479 Stripped Mortgage-Backed Securities Yields on Mortgage-Backed Securities Summary Chapter 25 Asset-Backed Securities Market Asset-Backed Securities Issuance Cash Flow of Asset-Backed Securities Automobile-Loan-Backed Securities 493 Credit Card Receivable Asset-Backed Securities 493 Home Equity Loan-Backed Securities 494 Manufactured- Housing-Backed Securities 495 Credit Risk Summary Part IX MARKETS FOR DERIVATIVE SECURITIES Chapter 26 Financial Futures Markets Futures Contracts Liquidating a Position 501 The Role of the Clearinghouse 502 Margin Requirements 502 Leveraging Aspects of Futures 504 Market Structure 505 Daily Price Limits 506 Futures versus Forward Contracts The Role of Futures in Financial Markets U.S. Financial Futures Markets Stock Index Futures Markets 509 Interest Rate Futures Markets 510 The GAO Study on Financial Derivatives Financial Futures Markets in Other Countries Japanese Stock Index Futures 516 Japanese Interest Rate Futures 516 Forward Rate Agreements Summary Chapter 27 Options Markets Options Contracts Differences between Options and Futures Contracts Risk and Retum Characteristics of Options Buying Call Options 527 Writing (Selling) Call Options 530 * Buying Put Options 531 Writing (Selling) Put Options 534 Considering the Time Value of Money 534 Economic Role of the Option Markets U.S. Options Markets Stock Options 537 Stock Index Options 539 * Interest Rate Options 542 Exotic Options Options Markets Outside the United States Futures Options Mechanics of Trading Futures Options 544 Reasons for Popularity of Futures Options 546 Summary Chapter 28 Pricing of Futures and Options Contracts Pricing of Futures Contracts 551 Theoretical Futures Price Based on Arbitrage Model 553 Price Convergence at the Delivery Date 556 A Closer Look at the Theoretical Futures Price 556 Pricing of Options Basic Components of the Option Price 559 Put-Call Parity Relationship 560 Factors That Influence the Option Price 562 * Option Pridrtg Models 563 Deriving the Binomial Option Pridng Model 564 * Fixed-Income Option Pricing Models 568 Summary Chapter 29 The Applications of Futures and Options Contracts Applications of Futures Contracts Stock Index Futures 575 *Interest Rate Futures 578 Applications of Options Contracts Stock Options and Stock Index Options 580 * Interest Rate Options 581 Summary Appendix: General Principles of Hedging with Futures Chapter 30 Interest Rate Swap and Interest Rate Agreement Market Interest Rate Swaps Risk/Return Characteristics of a Swap 591 * Interpreting a Swap Position 592 * Applications 595 Reasons for the Development of the Interest Rate Swap Market 600 Role of the Intermediary 603 Market Quotes 604 Primary Determinants of Swap Spreads 605 Secondary Market for Swaps 606 Beyond the Plain Vanilla Swap 607 Interest RateEquity Swaps 608 Interest Rate Agreements Risk/Return Characteristics 610 * Applications 612 Summary Chapter 31 The Market for Foreign Exchange Rate Risk Control Instruments Foreign Exchange Rates Exchange Rate Quotation Conventions 618 Foreign Exchange Risk 620 Spot Market Cross Rates 622 Dealers 622 The European Currency Unit 623 Instruments for Hedging Foreign Exchange Risk Currency Forward Contracts 624 Currency Future Contracts 630 Currency Option Contracts 630 Currency Swaps 631 Summary Index