财务管理基础ch.ppt

CHAPTER2RiskandRatesofReturn,Stand-aloneriskPortfolioriskRiskColl.=13.4%).p=3.3%islowerthantheweightedaverageofHTandColl.s(16.7%).Portfolioprovidesaveragereturnofcomponentstocks,butlowerthanaveragerisk.Why?Negativecorrelationbetweenstocks.,Returnsdistributionfortwoperfectlynegativelycorrelatedstocks(r=-1.0),-10,15,15,25,25,Returnsdistributionfortwoperfectlypositivelycorrelatedstocks(r=1.0),RiskReductionCombiningstocksthatarenotperfectlycorrelatedwillreducetheportfolioriskbydiversificationTheriskinessofaportfolioisreducedasthenumberofstocksintheportfolioincreasesThesmallerthepositivecorrelation,thelowertherisk,PortfolioRisk,Generalcommentsaboutrisk,Moststocksarepositivelycorrelatedwiththemarket(rk,m0.65).35%foranaveragestock.Combiningstocksinaportfoliogenerallylowersrisk.,Creatingaportfolio:Beginningwithonestockandaddingrandomlyselectedstockstoportfolio,pdecreasesasstocksadded,becausetheywouldnotbeperfectlycorrelatedwiththeexistingportfolio.Eventuallythediversificationbenefitsofaddingmorestocksdissipates(afterabout10stocks),andforlargestockportfolios,ptendstoconvergeto20%.,Illustratingdiversificationeffectsofastockportfolio,Breakingdownsourcesofrisk,Stand-alonerisk=Marketrisk+Firm-specificriskMarketriskportionofasecuritysstand-aloneriskthatcannotbeeliminatedthroughdiversification.Measuredbybeta.Firm-specificriskportionofasecuritysstand-aloneriskthatcanbeeliminatedthroughproperdiversification.,CapitalAssetPricingModel(CAPM),Modelbaseduponconceptthatastocksrequiredrateofreturnisequaltotherisk-freerateofreturnplusariskpremiumthatreflectstheriskinessofthestockafterdiversification.Primaryconclusion:Therelevantriskinessofastockisitscontributiontotheriskinessofawell-diversifiedportfolio.,Beta,Measuresastocksmarketrisk,andshowsastocksvolatilityrelativetothemarket.Indicateshowriskyastockisifthestockisheldinawell-diversifiedportfolio.,TheConceptofBeta,BetaCoefficient,bAmeasureoftheextenttowhichthereturnsonagivenstockmovewiththestockmarketb=0.5:stockisonlyhalfasvolatile,orrisky,astheaveragestockb=1.0:stockisofaverageriskb=2.0:stockistwiceasriskyastheaveragestock,PortfolioBetaCoefficients,Thebetaofanysetofsecuritiesistheweightedaverageoftheindividualsecuritiesbetas,Commentsonbeta,Ifbeta=1.0,thesecurityisjustasriskyastheaveragestock.Ifbeta1.0,thesecurityisriskierthanaverage.Ifbeta1.0,thesecurityislessriskythanaverage.Moststockshavebetasintherangeof0.5to1.5.,Canthebetaofasecuritybenegative?,Yes,ifthecorrelationbetweenStockiandthemarketisnegative(i.e.,ri,m0).Ifthecorrelationisnegative,theregressionlinewouldslopedownward,andthebetawouldbenegative.However,anegativebetaishighlyunlikely.,BetacoefficientsforHT,Coll,andT-Bills,Comparingexpectedreturnandbetacoefficients,SecurityExp.Ret.BetaHT17.4%1.30Market15.01.00USR13.80.89T-Bills8.00.00Coll.1.7-0.87Riskiersecuritieshavehigherreturns,TheRelationshipBetweenRiskandRatesofReturn,MarketRiskPremium,RPMistheadditionalreturnovertherisk-freerateneededtocompensateinvestorsforassuminganaverageamountofriskAssuming:Treasurybondsyield=6%Averagestockrequiredreturn=14%Thenthemarketriskpremiumis8percent:RPM=kM-kRF=14%-6%=8%,RiskPremiumforaStock,RiskPremiumforStockj=RPj=RPMxbj,TheRequiredRateofReturnforaStock,SecurityMarketLine(SML)Thelinethatshowstherelationshipbetweenriskasmeasuredbybetaandtherequiredrateofreturnforindividualsecurities,SecurityMarketLine,RequiredRateofReturn(%),Risk-FreeRate:6%,00.51.01.52.0,Risk,bj,khigh=22kM=kA=14kLOW=10kRF=6,SafeStockRiskPremium:4%,Market(AverageStock)RiskPremium:8%,RelativelyRiskyStocksRiskPremium:16%,TheSecurityMarketLine(SML):Calculatingrequiredratesofreturn,SML:ki=kRF+(kMkRF)iAssumekRF=8%andkM=15%.Themarket(orequity)riskpremiumisRPM=kMkRF=15%8%=7%.,Calculatingrequiredratesofreturn,kHT=8.0%+(15.0%-8.0%)(1.30)=8.0%+(7.0%)(1.30)=8.0%+9.1%=17.10%kM=8.0%+(7.0%)(1.00)=15.00%kUSR=8.0%+(7.0%)(0.89)=14.23%kT-bill=8.0%+(7.0%)(0.00)=8.00%kColl=8.0%+(7.0%)(-0.87)=1.91%,Expectedvs.Requiredreturns,Anexample:Equally-weightedtwo-stockportfolio,Createaportfoliowith50%investedinHTand50%investedinCollections.Thebetaofaportfolioistheweightedaverageofeachofthestocksbetas.P=wHTHT+wCollCollP=0.5(1.30)+0.5(-0.87)P=0.215,Calculatingportfoliorequiredreturns,Therequiredreturnofaportfolioistheweightedaverageofeachofthestocksrequiredreturns.kP=wHTkHT+wCollkCollkP=0.5(17.1%)+0.5(1.9%)kP=9.5%Or,usingtheportfoliosbeta,CAPMcanbeusedtosolveforexpectedreturn.kP=kRF+(kMkRF)PkP=8.0%+(15.0%8.0%)(0.215)kP=9.5%,FactorsthatchangetheSML,Whatifinvestorsraiseinflationexpectationsby3%,whatwouldhappentotheSML?,SML1,ki(%),SML2,00.51.01.5,1815118,DI=3%,Risk,i,FactorsthatchangetheSML,Whatifinvestorsriskaversionincreased,causingthemarketriskpremiumtoincreaseby3%,whatwouldhappentotheSML?,SML1,ki(%),SML2,00.51.01.5,1815118,DRPM=3%,Risk,i,Whatismarketequilibrium?,Inequilibrium,stockpricesarestableandthereisnogeneraltendencyforpeopletobuyversustosell.Inequilibrium,expectedreturnsmustequalrequiredreturns.,Marketequilibrium,Expectedreturnsareobtainedbyestimatingdividendsandexpectedcapitalgains.RequiredreturnsareobtainedbyestimatingriskandapplyingtheCAPM.,Howismarketequilibriumestablished?,IfexpectedreturnexceedsrequiredreturnThecurrentprice(P0)is“toolow”andoffersabargain.Buyorderswillbegreaterthansellorders.P0willbebidupuntilexpectedreturnequalsrequiredreturn,Factorsthataffectstockprice,Requiredreturn(ks)couldchangeChanginginflationcouldcausekRFtochangeMarketriskpremiumorexposuretomarketrisk()couldchangeGrowthrate(g)couldchangeDuetoeconomic(market)conditionsDuetofirmconditions,WhatistheEfficientMarketHypothesis(EMH)?,Securitiesarenormallyinequilibriumandare“fairlypriced.”Investorscannot“beatthemarket”exceptthroughgoodluckorbetterinformation.LevelsofmarketefficiencyWeak-formefficiencySemistrong-formefficiencyStrong-formefficiency,Weak-formefficiency,Cantprofitbylookingatpasttrends.Arecentdeclineisnoreasontothinkstockswillgoup(ordown)inthefuture.,Semistrong-formefficie