Lezione 1

Economia del mercato mobiliare

V 1.0 – 8-2-2016
 2

LA SECURITIES INDUSTRY

4 CHI NEGOZIA E PERCHE’:

buy e sell side
4 COSA SI NEGOZIA:
! Strumenti finanziari
4 DOVE E COME SI NEGOZIA
! le condizioni di funzionamento e le forme organizzative (la microstruttura del
mercato)
4 I CRITERI DI SCELTA DEGLI STRUMENTI FINANZIARI
! rischio
! rendimento
4 LE LOGICHE DI PORTAFOGLIO
! Portfolio selection
! CAPM
! Le strategie di gestione
! La valutazione delle performance
 3

CHI SONO GLI ATTORI?

• Traders: coloro che negoziano strumenti finanziari

– per proprio conto (Proprietary traders)
– per conto di altri (Brokers)
• La negoziazione comporta l’assunzione di:
– posizione lunga (long position): acquisto.
– posizione corta (short position): vendita allo scoperto.
• Industria è composta da:
– BUY SIDE: costituito da agenti che acquistano servizi di
negoziazione (liquidità, ad esempio, cioè la possibilità di
negoziare quando si desidera farlo)
– SELL SIDE: costituito da agenti che forniscono servizi di
liquidità (a pagamento) alla domanda (buy side).
 4

THE BUY SIDE

TIPOLOGIA DI ESEMPI PERCHE’ Esempi di
TRADER NEGOZIANO STRUMENTI

INVESTITORI Individui Per trasferire Azioni

Investitori professionali potere d’acquisto Obbligazioni
(Fondi pensione nel tempo (per sé Strumenti mercato
Fondi comuni di inv. o per propri clienti) monetario
Assicurazioni)
PRENDITORI Imprese non finanziarie Per anticipare Obbligazioni
di Fondi Settore pubblico potere d’acquisto Strumenti mercato
monetario

HEDGERS Individui Per ridurre rischi Futures

Imprese non finanziarie finanziari Forwards
Istituzioni finanziarie Swaps
Options
ASSET Imprese non finanziarie Per fare arbitraggio Valute
EXCHANGERS Istituzioni finanziarie Merci
 5

THE SELL SIDE

TIPOLOGIA ESEMPI GENERICI Esempi dalla realtà PERCHE’
DI TRADER NEGOZIANO

DEALERS Market makers Banca Akros Ottenere profitti

Specialists Banca IMI fornendo liquidità
Floor traders …… al mercato
Day traders On-line traders
BROKERS Retail brokers Charles Schawb Commissioni
Discount brokers Fineco (incontro tra
Full-service brokers RobinHood domanda e
offerta)
Block brokers

BROKER- Banche di investimento Goldman Sachs trading profits e

DEALER Merryl Lynch trading
Morgan Stanley commissions
Credit Suisse
 6

FACILITATORI DELLE NEGOZIAZIONI

• Molte istituzioni facilitano gli scambi:

– Borse (trading venues)
– Imprese che forniscono servizi di post-trading
• Liquidazione
• Regolamento
• Gestione accentrata
• Deposito centralizzato
– Clearing houses
– Autorità di regolamentazione/supervisione

6
 7

LA SECURITIES INDUSTRY

4 CHI NEGOZIA E PERCHE’:

buy e sell side
4 COSA SI NEGOZIA:
Strumenti finanziari
4 DOVE E COME SI NEGOZIA
! le condizioni di funzionamento e le forme organizzative (la microstruttura del
mercato)
4 I CRITERI DI SCELTA DEGLI STRUMENTI FINANZIARI
! rischio
! rendimento
4 LE LOGICHE DI PORTAFOGLIO
! Portfolio selection
! CAPM
! Le strategie di gestione
! La valutazione delle performance
 8

Classifying Securities
 9

Money Market Instruments

Money market instruments are short-term debt obligations of
large corporations and governments.
These securities promise to make one future payment.
When they are issued, their lives are less than one year.

• Treasury Bills (BOT) • Repos and

• Certificates of Reverses
Deposit • Federal Funds
• Commercial Paper • LIBOR (London
• Bankers’ Interbank Offer
Acceptances Rate); EURIBOR
• Eurodollars
 10

Classroom test
_________ is not a money market instrument.

• A treasury bill
• Commercial paper
• A government bond
• A Certificate of deposit
 11

Classroom test
Money market instruments
– are usually traded in large volumes
– have a low insolvency risk
– have maturity shorter than 1 year
– all previous are correct
 12

Classroom test
An investor in a T-bill earns interest by:

• Converting the T-bill at maturity into a higher-valued

T-note
• Receiving dividend payments every 30 days
• Buying the bill at discount from the face value to be
received at maturity
• Receiving interest payments every 90 days
 13

Fixed income securities

Fixed-income securities are longer-term debt obligations of corporations
and governments.
These securities promise to make fixed payments according to a pre-
set schedule. When they are issued, their lives exceed one year.

Government Issues
• fixed or variable interest rate; ZCB or semiannual coupon
• Variation: Treasury Inflation Protected Securities (TIPS): principal
adjusted for increases in the Consumer Price Index
• Private Issues
• Corporate Bonds
• Investment grade vs. speculative grade
• Asset-Backed Securities
• Backed by pool of Assets (e.g. mortgages, with “pass-through” of
monthly payments
 14

Fixed-Income Securities

• Examples: U.S. Treasury notes, BTP, Bund, corporate

bonds, mortgage-backed bonds.
• Potential gains/losses:
– Fixed coupon payments and final payment at maturity, except
when the borrower defaults
– Possibility of gain (loss) from fall (rise) in interest rates
– Depending on the debt issue, illiquidity can be a problem.

If you cannot sell securities quickly for their current

market value, the market is said to be illiquid.
 16

Biggest market in the world

 17

WORLD GDP AND EQUITY MARKET

 18

Classroom test

Bonds
– are securities that represent a debt of the issuer
to the investor.
– oblige the issuer to pay a specific amount on a
specific date, generally without periodic interest
payments.
– none of the above answers are correct.
– both the first and second answers are correct
 19

Classroom test

When the market value of a bond is above its face

value, that bond is _____________. This occurs
because the coupon rate of the bond is
______________ the market interest rate for bonds
with similar risk
– below par; above.
– above par; above.
– above par; below.
– below par; below.
 20

Classroom test

• (I) Callable bonds normally have a higher return

than similar non-callable bonds. (II) Convertible
bonds are attractive to investors and are sold at
a higher price than similar non-convertible
bonds.
– (I) is false, (II) is true.
– (I) is true, (II) is false.
– both are false.
– both are true
 21

Classroom test

• I) The coupon rate is the interest rate that the

issuer of a bond must pay periodically. (II) The
coupon rate is usually fixed for the entire life of
a bond and does not fluctuate with market
interest rates.
– (I) is true, (II) is false.
– both are true.
– is false, (II) is true.
– both are false.
 22

Classroom test

Which one of the following provides the best

example of securitization?
– Call option
– Preferred stocks
– Mortgage pass-through security
– Convertible bond
 23

Equity Securities
Capital Market-Equity
• Common stock: Represents ownership in a corporation.
A part owner receives a pro rata share of whatever is left
over after all obligations have been met in the event of
a liquidation
• Residual claim
• Limited liability
• Preferred stock:The dividend is usually fixed and must
be paid before any dividends for the common
shareholders. In the event of a liquidation, preferred
shares have a particular face value.

• Fixed dividends: Limited gains, nonvoting

• Priority over common
• Tax treatment: Preferred/common dividends not tax-deductible
to issuing firm
 24

More on Common Stock

• Common stock represents ownership in a corporation.

• If you own 1,000 shares of IBM, for example, then you own
about .00011 percent of IBM (IBM has roughly 900 million
shares outstanding).

• As a part owner, you are entitled to your share of anything

paid out by IBM.

• As an owner, you also have the right to vote on important

matters regarding IBM.
– Your .00011 percent share doesn’t carry much weight.
– One vote per share, except....
 25

Classroom test

• A share represents the share of ownership in

the company and gives ordinary
shareholders the right to
– receive dividends
– vote
– receive interest payments
– only the first and second answers are correct
 26

Classroom test

• (I) An ordinary share represents a share of

ownership in the issuing company. (II) A
preferred stock looks more like a bond than an
ordinary share. Choose an alternative:
– is true, (II) is false.
– both are false.
– is false, (II) is true.
– both are true.
 27

Classroom test

• Preferred stock is like long-term debt that

– The preferred dividend is a tax-deducible expense
for the firm
– In the event of bankruptcy preferred stock has equal
status with debt
– It promises to pay to its holder a fixed stream of
income each year
– It gives the holder voting power regarding the firm’s
management
 28

Classroom test

Which of the following is not a characteristic of

common stock ownership?
– Limited life of the security
– Unlimited liability
– Voting rights
– Residual claimant
 29

Other instruments

• Mutual funds and ETF

• Covered warrants
• Certificates
• Derivatives
 30

Derivatives

Derivative Asset/Contingent Claim

– Security with payoff that depends on the price of
other securities
• Listed Call Option
– Right to buy an asset at a specified price on or
before a specified expiration date
• Listed Put Option
– Right to sell an asset at a specified exercise price
on or before a specified expiration date
 31

Derivatives

• Futures Contracts
– Purchaser (long) buys specified quantity at
contract expiration for set price
– Contract seller (short) delivers underlying
commodity at contract expiration for agreed-
upon price
– Futures: Future commitment to buy/sell at preset
price
– Options: Holder has future right to buy/sell
 32

Classroom test

A ______ gives its holder the right to buy an

asset for a specified exercise price on or
before a specified expiration date
– Futures contract
– Put option
– Interest rate swap
– Call option
 33

Classroom test

What are business firms most likely to use

derivative securities for?
– Hedging
– Speculating
– Market making
– Doing calculus problems
 34

Classroom test
An individual who goes short in a future position
_________

– Commits to purchasing the underlying commodity at

contract maturity
– Commits to delivering the underlying commodity at
contract maturity
– Has the right to deliver the underlying commodity at
maturity
– Has the right to purchase the underlying commodity
at maturity
 35

The Stock Market

“One of the funny things about the stock market is that

every time one man buys, another sells, and both think
they are astute.”
–William Feather

“If you don’t know who you are, the stock market is an
expensive place to find out.”

Adam Smith (pseud. for George J. W. Goodman)

 36

How Firms Issue Securities

Primary vs. Secondary Market Security Sales
• Primary
• New issue created/sold
• Key factor: Issuer receives proceeds from sale
• Public offerings: Registered with Regulatory Authority
(SEC, CONSOB..); sale made to investing public
• Private offerings: Not registered; sold only to limited
number of investors with restrictions on resale
• Secondary
• Existing owner sells to another party
• Issuing firm doesn’t receive proceeds, is not directly
involved
MERCATI PRIMARI E SECONDARI

Primary Market Liquidity

Issuing of new securities
Depth Secondary market
Breadth Exchange of “old”
securities between
investors
(surplus units)

Portfolios of
Investors
(surplus units)
Market index
 39

Stock and Bond Market Indexes

• Uses
– Track average returns
– Compare performance of managers
– Base of derivatives
• Factors in constructing/using index
– Representative?
– Broad/narrow?
– How is it constructed?
 40

Stock and Bond Market Indexes

• Construction of Indexes
– How are stocks weighted?
• Price weighted (DJIA)
• Market value weighted (S&P 500, NASDAQ)
• Equally weighted (Value Line Index)
– How much money do you put in each stock in the
index?
 41

Stock and Bond Market Indexes

Constructing Market Indexes
– Weighting schemes
• Price-weighted average: Computed by adding
prices of stocks and dividing by “divisor”
• Market value-weighted index: Return equals
weighted average of returns of each
component security, with weights proportional
to outstanding market value
• Equally weighted index: Computed from simple
average of returns
 42

Classroom test

The Standard & Poor’s 5000 is _______

weighted index
– A price-
– A share-
– An equality
– A value-
 43

Classroom test

The German stock market is measured by

which market index?
– Dow Jones 30
– DAX
– Nikkei
– FTSE
 44

Fine lezione 1

Q&A ….