资本资产定价模型与有效市场假说

资产定价,1,风险,回顾：系统性风险与个体风险 资本资产定价模型：系统性风险如何度量及定价？,金融风险管理,2,股票的风险：beta (b),如果所有投资者都持有市场组合，那么此时度量一只股票风险程度的指标就是该股票的beta (b)值. 即每只股票收益率与市场组合收益之间的一种相关程度：,估计 b,Security Returns,Return on market %,Ri = a i + biRm + ei,Estimates of b for Selected Stocks,The Formula for Beta,Clearly, your estimate of beta will depend upon your choice of a proxy for the market portfolio.,Relationship between Risk and Expected Return (CAPM),Expected Return on the Market:,Expected return on an individual security:,Market Risk Premium,This applies to individual securities held within well-diversified portfolios.,Expected Return on an Individual Security,This formula is called the Capital Asset Pricing Model (CAPM),Assume bi = 0, then the expected return is RF. Assume bi = 1, then,Relationship Between Risk & Expected Return,Expected return,b,1.0,Relationship Between Risk & Expected Return,Expected return,b,1.5,资本资产定价模型的应用,金融风险管理,11,风险与收益,风险越高，收益越高；收益高，是因为承担了相应的风险！ 没有人可以获得超额的收益率,金融风险管理,12,案例分析,推荐的股票是否可以获得超额收益率？ “第一夫人”效应,金融风险管理,13,有效市场假说,金融风险管理,14,有效市场理论,有效市场： 市场价格已经完全反映了可获得的所有信息 股价是否可以预测？ 技术分析 随机游走的股价图：,金融风险管理,15,0,+t,-t,Announcement Date,Stock Price,Efficient reaction,Overreaction,Underreaction,Prices around Announcement Date under EMH,理性人的假定,如果有关于未来现金流的信息发生，投资者做出了正确的反应，由此而导致的股价的变动才可以用来反映其价值！ 如果没有关于未来现金流的信息发生，股价也变动了！说明市场很可能是无效率！ 反应不足或者反应过度,有效市场的类别,Weak Form弱式有效 Security prices reflect all information found in past prices and volume. Semi-Strong Form半强有效 Security prices reflect all publicly available information. Strong Form强式有效 Security prices reflect all informationpublic and private.,经典案例,浓缩橘子汁市场的价格 天气预报预测价格？ 价格预测天气？,金融风险管理,19,Example：Detecting Illegal Arms Trade,investor knowledge countries under arms embargo events that suddenly increase or decrease conflict intensity If a weapon-making company is trading illegally, an event that increases the demand for arms may increase stock prices,Estimating the Value of Political Connections,During 1995-1997, the Indonesian financial markets were occasionally hit by rumors about S