Sabit getirili menkul kıymet portföyü yönetiminde süre kavramının önemi ve incelenmesi
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- Tez No: 71795
- Danışmanlar: DOÇ. DR. A. OSMAN GÜRBÜZ
- Tez Türü: Yüksek Lisans
- Konular: Bankacılık, İşletme, Banking, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 1998
- Dil: Türkçe
- Üniversite: Marmara Üniversitesi
- Enstitü: Bankacılık ve Sigortacılık Enstitüsü
- Ana Bilim Dalı: Sermaye Piyasası ve Borsa Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 131
Özet
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Özet (Çeviri)
SUMMARY OF THESIS IN ENGLISH The Bond Markets : It is the fact that the total market value of the bond market in the most countries is substantially larger then the market value of the stock market. The global bond market is large and diverse and represents an important investment opportunity. An understanding of bonds is helpful in an efficient market because all foreign bonds increase the universe of investments available for the creation of a diversified portfolio. In general public bonds are long term, fixed-obligation debt securities packaged in convenient, affordable denominations for sale to individuals and financial institutions. Bond issues are considered fixed income securities because they impose fixed financial obligations on the issuers. Specifically the issuer agrees to. Pay a fixed amount of interest periodically to the holder of record,. Repay a fixed amount of principal at the date of the maturity, The public debt market is typically divided into three segments based on an issuers original maturity : 1- Short term issues with maturities of lyear or less the market for these instruments is commonly known as“The Money Market”. 2- Intermediate term issues with maturities in excess of 1 year bu^fiss^than 10 years these instruments are known as“Notes”. ^jr3- Long term obligations with maturities in excess of 10 years, called“Bonds”. The lives of debt obligations change constantly as the issues progress toward maturity. Thus, issues that have been outstanding in the secondary market for any period of time eventually move from long term to intermediate to short term. This change in maturity over time is important, because a major determinant of the price volatility of bonds is the remaining life (maturity) of the issue. TYPES OF ISSUES : In contrast to common stock, companies can have many different bond issues outstanding at the same time. Bonds can have different types of collateral and be either senior, unsecured or subordinated securities. The type of issue has only a marginal effect on comparative yield because it is basically the credibility of the issuer that determines bond quality. Investors should be aware of the three alternative call features that can affect the life (maturity) of a bond. One extreme is a freely callable provision. The other is a non-callable provision and intermediate between these is a deferred call provision. THE GLOBAL BOND MARKET : The market for fixed income securities is substancially larger than the listed equity exchanges, because corporations tend to issue bonds rather than common stocks.The global bond market includes numerous countries. The four major bond markets have a different make-up in terms of governments, agencies, municipals, corporates and international issues. The world bond market is large and continues to grow rapidly due to government deficits at the need for capital by corporations. It is also very diverse in terms of country alternatives and issuers within countries. THE VALUATION OF BONDS; An understanding of the factors that affect the price changes for bonds has become more important during the past several decades, because the price volatility of bonds has increased substantially. Before 1950, the yields on bonds were fairly low and both yields and prices were stable. In such an environment, bonds were considered a very safe investment and most investors in bonds intended to hold them to maturity. During the last several decades, the level of interest rates have become more volatile because of frequent changes in the rate of inflation and monetary policy. As a result, bond prices and rates of return on bonds have been much more volatile and the rates of return on bond investments have increased. So, bonds are no longer as safe as they once were. The value of bonds can be described in terms of dollar values or the rates of return that they promise under some set of assumptions. There are two models available which summarize this situation. The present value model, which computes a specific value for the bond and the yield model, which computes the promised rate of return based on the bond's current price. There is an inverse relationship between changes in yielmğ£m*\£&*şti^ of bonds. fffC*^Bond price volatility is also measured in terms of percentage changes in bond prices. A bond with high price volatility is one that experiences large percentage price changes for a given change in yields. Bond price volatility is influenced by more than yield behaviour alone. The market price of a bond is a function of four factors : 1-) Its par value 2-) Its coupon 3-) The number of years to its maturity and 4-) The prevailing market interest rate. THE IMPORTANCE OF THE DURATION CONCEPT ; The primary emphasis to the sophisticated bond investor when assessing price volatility, or sensivity is duration. The three factors that determine the value of duration are the maturity of the bond, the market rate of interest and the coupon rate. Duration is positively correlated with maturity but moves in the opposite direction of market rates of interest and coupon rates ; that is, the higher the market rate of interest or the coupon rate, the lower the duration. In general duration is the number of years, on a present value basis, that it takes to recover an initial investment in a bond. More specifically, each year is weighted by the present value of the cash flow as a proportion to the present value of the bond, and is then summed. The higher the duration, the more sensitive the bond price is to a change in interest rates. Duration as one nufflfcer captures the three variables: maturity, coupon rate and market rate of interest-to indicate the price sensivities of bonds with unequal characteristics. Generally, bond duration increases with the increase in number of yejDuration also increases as coupon rates decline to zero, and finally duration declines as market interest rates increase. Zero-coupon bonds are highlighted as the most price sensitive of bonds to a change in market interest rates and comparisons are made between zero coupon bonds and coupon bonds. Duration's primary use is in explaining price volatility, but it also has applications in the insurance industry and other areas of investments where interest rate risk can be reduced by matching duration with predictable cash outflows in a process called immunization. An important concept has to do with the reinvestment of interest at rates other than the coupon rate. The method used to explain the effect on the total return is terminal wealth analysis, which assumes the investment is held to maturity and all proceeds over the life of the bond are reinvested at the reinvestment rate. In general, the longer the maturity the more total annaulized return approaches the reinvestment rate. If the reinvestment rate is significantly different from the coupon rate, the annualized return can differ greatly from the coupon rate. *«2 WW**.. i.'» «5 /ft'. »
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