财务管理(英文第十三版) (5).ppt

Chapter5,RiskandReturn,RiskandReturn,DefiningRiskandReturnUsingProbabilityDistributionstoMeasureRiskAttitudesTowardRiskRiskandReturninaPortfolioContextDiversificationTheCapitalAssetPricingModel(CAPM),DefiningReturn,Incomereceivedonaninvestmentplusanychangeinmarketprice,usuallyexpressedasapercentofthebeginningmarketpriceoftheinvestment.,Dt+(Pt-Pt-1),Pt-1,R=,ReturnExample,ThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershare,andshareholdersjustreceiveda$1dividend.Whatreturnwasearnedoverthepastyear?,ReturnExample,ThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershare,andshareholdersjustreceiveda$1dividend.Whatreturnwasearnedoverthepastyear?,$1.00+($9.50-$10.00),$10.00,R=,=5%,DefiningRisk,Whatrateofreturndoyouexpectonyourinvestment(savings)thisyear?Whatratewillyouactuallyearn?DoesitmatterifitisabankCDorashareofstock?,Thevariabilityofreturnsfromthosethatareexpected.,DeterminingExpectedReturn(DiscreteDist.),R=S(Ri)(Pi)Ristheexpectedreturnfortheasset,Riisthereturnfortheithpossibility,Piistheprobabilityofthatreturnoccurring,nisthetotalnumberofpossibilities.,n,i=1,HowtoDeterminetheExpectedReturnandStandardDeviation,StockBWRiPi(Ri)(Pi)-.15.10-.015-.03.20-.006.09.40.036.21.20.042.33.10.033Sum1.00.090,Theexpectedreturn,R,forStockBWis.09or9%,DeterminingStandardDeviation(RiskMeasure),s=S(Ri-R)2(Pi)StandardDeviation,s,isastatisticalmeasureofthevariabilityofadistributionarounditsmean.Itisthesquarerootofvariance.Note,thisisforadiscretedistribution.,n,i=1,HowtoDeterminetheExpectedReturnandStandardDeviation,StockBWRiPi(Ri)(Pi)(Ri-R)2(Pi)-.15.10-.015.00576-.03.20-.006.00288.09.40.036.00000.21.20.042.00288.33.10.033.00576Sum1.00.090.01728,DeterminingStandardDeviation(RiskMeasure),s=S(Ri-R)2(Pi)s=.01728s=.1315or13.15%,n,i=1,CoefficientofVariation（CV）,Theratioofthestandarddeviationofadistributiontothemeanofthatdistribution.ItisameasureofRELATIVErisk.CV=s/RCVofBW=.1315/.09=1.46,Discretevs.ContinuousDistributions,DiscreteContinuous,DeterminingExpectedReturn(ContinuousDist.),R=S(Ri)/(n)Ristheexpectedreturnfortheasset,Riisthereturnfortheithobservation,nisthetotalnumberofobservations.,n,i=1,DeterminingStandardDeviation(RiskMeasure),n,i=1,s=S(Ri-R)2(n)Note,thisisforacontinuousdistributionwherethedistributionisforapopulation.Rrepresentsthepopulationmeaninthisexample.,NormalProbabilityDistribution,Z-score,IttellsushowmanystandarddeviationsRisfromthemean.AppendixTableVIfZ=(0-0.09)/0.1315=-0.68,whatittellsus?Thereis25%probabilitythattheactualreturnwillbezeroorless.,Z=(RR)/,CertaintyEquivalent(CE)istheamountofcashsomeonewouldrequirewithcertaintyatapointintimetomaketheindividualindifferentbetweenthatcertainamountandanamountexpectedtobereceivedwithriskatthesamepointintime.,RiskAttitudes,CertaintyequivalentExpectedvalueRiskPreferenceCertaintyequivalent=ExpectedvalueRiskIndifferenceCertaintyequivalentExpectedvalueRiskAversionMostindividualsareRiskAverse.,RiskAttitudes,RiskAttitudeExample,Youhavethechoicebetween(1)aguaranteeddollarrewardor(2)acoin-flipgambleof$100,000(50%chance)or$0(50%chance).Theexpectedvalueofthegambleis$50,000.Maryrequiresaguaranteed$25,000,ormore,tocalloffthegamble.Raleighisjustashappytotake$50,000ortaketheriskygamble.Shannonrequiresatleast$52,000tocalloffthegamble.,WhataretheRiskAttitudetendenciesofeach?,RiskAttitudeExample,Maryshows“riskaversion”becauseher“certaintyequivalent”theexpectedvalueofthegamble.,Wheaton,Inc.paysaconstantannualdividend.Lastyear,thedividendyieldwas3.6percentwhenthestockwassellingfor$28ashare.Whatisthecurrentpriceofthestockifthecurrentdividendyieldis3.2percent?$31.5D=3.6%*$28=1.008P0=D/DY=1.008/3.2%=$31.5,Oneyearago,Mikepurchased100sharesofPJstockfor$3,100.Thestockdoesnotpayanyregulardividendsbutitdidpayaspecialdividendof$2.40asharelastweek.Thismorning,hesoldhissharesfor$29.80ashare.Whatwashistotalreturnonthisinvestment?3.87%=($29.8+$2.4-$31)/$31,Youownaportfoliothatconsistsof$8,000instockA,$4,600instockB,$13,000instockC,and$5,500instockD.WhatistheportfolioweightofstockD?17.68percent,ThestockofHobbyTownhasanexpectedreturnof8.8percent.Giventheinformationbelow,whatistheexpectedreturnonthisstockiftheeconomyisnormal?6.43%,Giventhefollowinginformation,whatisthevarianceforthisstock?,E(R)=0.15*0.26+0.65*0.13+0.20*(-0.18)=0.0875,Section2,29,Portfolios,AportfolioisacollectionofassetsAnassetsriskandreturnareimportantinhowtheyaffecttheriskandreturnoftheportfolioTherisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassets,RP=S(Wj)(Rj)RPistheexpectedreturnfortheportfolio,Wjistheweight(investmentproportion)forthejthassetintheportfolio,Rjistheexpectedreturnofthejthasset,misthetotalnumberofassetsintheportfolio.,DeterminingPortfolioExpectedReturn,m,j=1,DeterminingPortfolioExpectedReturn,RP=0.4*12%+0.45*9%+0.15*2%=9.15%,32,Diversification,PortfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectorsDiversificationisnotjustholdingalotofassetsForexample,ifyouown50Internetstocks,youarenotdiversifiedHowever,ifyouown50stocksthatspan20differentindustries,thenyouarediversified,CorrelationCoefficient,Astandardizedstatisticalmeasureofthelinearrelationshipbetweentwovariables.Itsrangeisfrom-1.0(perfectnegativecorrelation),through0(nocorrelation),to+1.0(perfectpositivecorrelation).,Combiningsecuritiesthatarenotperfectly,positivelycorrelatedreducesrisk.,DiversificationandtheCorrelationCoefficient,INVESTMENTRETURN,TIME,TIME,TIME,SECURITYE,SECURITYF,CombinationEandF,SystematicRiskisthevariabilityofreturnonstocksorportfoliosassociatedwithchangesinreturnonthemarketasawhole.UnsystematicRiskisthevariabilityofreturnonstocksorportfoliosnotexplainedbygeneralmarketmovements.Itisavoidablethroughdiversification.,TotalRisk=SystematicRisk+UnsystematicRisk,TotalRisk=SystematicRisk+UnsystematicRisk,TotalRisk=SystematicRisk+UnsystematicRisk,TotalRisk,Unsystematicrisk,Systematicrisk,STDDEVOFPORTFOLIORETURN,NUMBEROFSECURITIESINTHEPORTFOLIO,Factorssuchaschangesinnationseconomy,taxreformbytheCongress,orachangeintheworldsituation.,TotalRisk=SystematicRisk+UnsystematicRisk,TotalRisk,Unsystematicrisk,Systematicrisk,STDDEVOFPORTFOLIORETURN,NUMBEROFSECURITIESINTHEPORTFOLIO,Factorsuniquetoaparticularcompanyorindustry.Forexample,thedeathofakeyexecutiveorlossofagovernmentaldefensecontract.,Anindexofsystematicrisk.Itmeasuresthesensitivityofastocksreturnstochangesinreturnsonthemarketportfolio.Thebetaforaportfolioissimplyaweightedaverageoftheindividualstockbetasintheportfolio.,WhatisBeta?,CharacteristicLine,EXCESSRETURNONSTOCK,EXCESSRETURNONMARKETPORTFOLIO,Beta=,RiseRun,Narrowerspreadishighercorrelation,CharacteristicLine,CharacteristicLinesandDifferentBetas,EXCESSRETURNONSTOCK,EXCESSRETURNONMARKETPORTFOLIO,Beta1(aggressive),Eachcharacteristiclinehasadifferentslope.,Example:PortfolioBetas,ConsiderthepreviousexamplewiththefollowingfoursecuritiesSecurityWeightBetaDCLK.1332.685KO.20.195INTC.2672.161KEI.42.434Whatistheportfoliobeta?.133(2.685)+.2(.195)+.267(2.161)+.4(2.434)=1.947,Example:PortfolioExpectedReturnsandBetasP335,Rf,E(RA),A,E(RA)=20%A=1.6Rf=8%,Reward-to-RiskRatio:DefinitionandExample,Thereward-to-riskratioistheslopeofthelineillustratedinthepreviousexampleSlope=(E(RA)Rf)/(A0)Reward-to-riskratioforpreviousexample=(208)/(1.60)=7.5Whatifanassethasareward-to-riskratioof8(implyingthattheassetplotsabovetheline)?Whatifanassethasareward-to-riskratioof7(implyingthattheassetplotsbelowtheline)?,MarketEquilibrium,Inequilibrium,allassetsandportfoliosmusthavethesamereward-to-riskratioandtheyallmustequalthereward-to-riskratioforthemarket,SecurityMarketLine,Thesecuritymarketline(SML)istherepresentationofmarketequilibriumTheslopeoftheSMListhereward-to-riskratio:(E(RM)Rf)/MButsincethebetaforthemarketisALWAYSequalto1,theslopecanberewrittenSlope=E(RM)Rf=marketriskpremium,CAPMisamodelthatdescribestherelationshipbetweenriskandexpected(required)return;inthismodel,asecuritysexpected(required)returnistherisk-freerateplusapremiumbasedonthesystematicriskofthesecurity.,CapitalAssetPricingModel(CAPM),CapitalAssetPricingModel(CAPM),Rjistherequiredrateofreturnforstockj,Rfistherisk-freerateofreturn,bjisthebetaofstockj(measuressystematicriskofstockj),RMistheexpectedreturnforthemarketportfolio.,Rj=Rf+bj(RM-Rf),1.Capitalmarketsareefficient.2.Homogeneousinvestorexpectationsoveragivenperiod.3.Risk-freeassetreturniscertain(useshort-tointermediate-termTreasuriesasaproxy).4.Marketportfoliocontainsonlysystematicrisk(useS&P500Indexorsimilarasaproxy).,CAPMAssumptions,LisaMilleratBasketWondersisattemptingtodeterminetherateofreturnrequiredbytheirstockinvestors.Lisaisusinga6%Rfandalong-termmarketexpectedrateofreturnof10%.Astockanalystfollowingthefirmhascalculatedthatthefirmbetais1.2.WhatistherequiredrateofreturnonthestockofBasketWonders?,DeterminationoftheRequiredRateofReturn,RBW=Rf+bj(RM-Rf)RBW=6%+1.2(10%-6%)RBW=10.8%TherequiredrateofreturnexceedsthemarketrateofreturnasBWsbetaexceedsthemarketbeta(1.0).,BWsRequiredRateofReturn,LisaMilleratBWisalsoattemptingtodeterminetheintrinsicvalueofthestock.Sheisusingtheconstantgrowthmodel.Lisaestimatesthatthedividendnextperiodwillbe$0.50andthatBWwillgrowataconstantrateof5.8%.Thestockiscurrentlysellingfor$15.Whatistheintrinsicvalueofthestock?Isthestockoverorunderpriced?,DeterminationoftheIntrinsicValueofBW,ThestockisOVERVALUEDasthemarketprice($15)exceedstheintrinsicvalue($10).,DeterminationoftheIntrinsicValueofBW,$0.50,10.8%-5.8%,IntrinsicValue,=,=,$10,SecurityMarketLine,SystematicRisk(Beta),Rf,RequiredReturn,DirectionofMovement,DirectionofMovement,StockY(Overpriced),StockX(Underpriced),ThestockofJensenShippinghasariskpremiumof8.4percentwhilethe