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Last active September 14, 2021 09:50
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Рынок ценных бумаг

Financial market rates and flows

Study plan:

  1. Picture from van Horne (1978) about financial system
  • what is pictured?
  • what is an arrow?
  1. How we can simplifiy this chart?
  • 4 sectors, can ignore governement
  • put birth of sectors in a perspective
  1. Can we add anything to this chart?
  • governance links
  • claims vs flows
  1. How can one quantify this chart?
  • use "Flow of Funds" statistics
  • compare across geographies
  1. Find something new
  • what is missing from a flow of funds stats

Historic perspective - series of innovations

+++ Dark ages +++

Goods and services <~ Households

+++ Limited libility, birth of corporations +++

Goods and services <~ Business Firms <- Households 

+++ Equity and debt +++

Goods and services <~ Business Firms <- Equity holders (business owners)
                                     <- Debt holders (creditors)
                                     
+++ Finacial intermediaries +++

- Why they emerge? 
- What is their position is stable?

                                  <------------------------------------------- Households
Real markets <~ Business Firms      
                                  <------ Financial Intermediary        <----- Households
                                          - banks (depositary institutions)
                                          - non-banks:
                                            - insurance companies and pension funds
                                            - other non-banks (funds, trust, etc)
                                  
                                  
+++ Securities markets +++

- stocks
- bonds

+++ Anything to add +++

- corporate governance
- household finances
- "net worth"

Useful skill:

  • distiguish between stocks (levels, exposures), flows (transactions) and valuation changes
  • roll-forward: stock t1 = stock t0 + transactions + valuation changes
  • balance sheet, P&L and cashflow - which is stock and which is flow

Statistics:

What is missing from flow of funds?

  • duration, term structure
  • pricing information (interest rates, stock prices)
  • composition by currency
  • market microstructure, company names (sector-level only)
  • any real-time information (this is lagging statistics)
  • credit better reflected than equity
  • off-balance sheet items (eg guarantees, open credit lines)
  • derivatives and complex instruments
  • reasons why flow change, drivers

Not meant to include:

  • not well suited to display monetary transmision mechanisms
  • not real economy transactions (income generation)

Book:

More reading:

Learning objectives:

  • identify counterparties of the largest financial flows/exposures - who owes whom how much
  • distinguish between bank-based and market-based financial system
  • identify and prioritise sources of finance for corporationis in non-financial sector
  • estimate leverage in non-financial and financial sector
  • identify information missing from flow of funds statistics

Uses:

  • financial stability
  • diversity of financial system (many instruments, several sectors)
  • structure of financial system
  • national vs foreign sectors

Excercises:

  1. If you were writing a finance dictionary, what terms and concepts would you include?

  2. Using flow of funds can you demonstrate US is a market-based financial system and EU is bank-based?

  3. Is there any irregularity in flow of funds statistics that you find? Something that is hard to explain or unxpected?

Please put your anwers here:

Рынок ценных бумаг - 11.09.2021 (1 занятие)

Схема финансовой системы (давайте найдем на схеме рынок ценных бумаг):

  • сектора экономики [+]
  • объем требований между секторами (flow of funds) [+]
  • виды требований (долг, капитал) [+]
  • участники рынка [+]
  • их цели и способы принятия решений
    • эмитенты: WACC/стоимость компании
    • инвесторы: risk/return, портфельная теория
  • ситуации конфликта интересов

Базовые инструменты:

  • акции [+]
  • облигации [+]

Стоимость и ценообразование:

  • гипотеза эффективности рынка [+]
  • пузыри и поведение [+]
  • что показывает цена акции
  • что показывает цена облигации

Виды инвесторов:

  • банки (депозитные институты)
  • не-банки
  • страховые компании
  • пенсионные фонды
  • фонды (private equity, хедж-фонды)
  • венчурные фонды

Инфраструктра рынка:

  • биржа
  • депозитарий
  • брокер-дилер

Зачем нужен рынок ценных бумаг:

  • перераспределение капитала [+]
  • ценовая информация [+]
  • контроль риска [ ]
  • разрешение проблемных ситуаций (банкротства) [ ]

Альтернативы:

  • shadow banking
  • альтернативные платежные средства
  • финтех

Стратегия развития рынка ценных бумаг:

Просьба изучить к 25.09.2021:

Дополнительные материалы:

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