and return（公司金融英文版） ppt课件

PrinciplesofCorporateFinanceSeventhEditionRichardA BrealeyStewartC Myers SlidesbyMatthewWill Chapter8 McGrawHill Irwin Copyright 2003byTheMcGraw HillCompanies Inc Allrightsreserved RiskandReturn TopicsCovered MarkowitzPortfolioTheoryRiskandReturnRelationshipTestingtheCAPMCAPMAlternatives MarkowitzPortfolioTheory Combiningstocksintoportfolioscanreducestandarddeviation belowthelevelobtainedfromasimpleweightedaveragecalculation Correlationcoefficientsmakethispossible Thevariousweightedcombinationsofstocksthatcreatethisstandarddeviationsconstitutethesetofefficientportfolios MarkowitzPortfolioTheory Pricechangesvs NormaldistributionMicrosoft Daily change1990 2001 ProportionofDays Daily Change MarkowitzPortfolioTheory StandardDeviationVS ExpectedReturnInvestmentA probability return MarkowitzPortfolioTheory StandardDeviationVS ExpectedReturnInvestmentB probability return MarkowitzPortfolioTheory StandardDeviationVS ExpectedReturnInvestmentC probability return MarkowitzPortfolioTheory StandardDeviationVS ExpectedReturnInvestmentD probability return MarkowitzPortfolioTheory CocaCola Reebok StandardDeviation ExpectedReturn 35 inReebok ExpectedReturnsandStandardDeviationsvarygivendifferentweightedcombinationsofthestocks EfficientFrontier StandardDeviation ExpectedReturn Eachhalfeggshellrepresentsthepossibleweightedcombinationsfortwostocks Thecompositeofallstocksetsconstitutestheefficientfrontier EfficientFrontier StandardDeviation ExpectedReturn LendingorBorrowingattheriskfreerate rf allowsustoexistoutsidetheefficientfrontier rf LendingBorrowing T S EfficientFrontier ExampleCorrelationCoefficient 4Stockss ofPortfolioAvgReturnABCCorp2860 15 BigCorp4240 21 StandardDeviation weightedavg 33 6StandardDeviation Portfolio 28 1Return weightedavg Portfolio 17 4 EfficientFrontier ExampleCorrelationCoefficient 4Stockss ofPortfolioAvgReturnABCCorp2860 15 BigCorp4240 21 StandardDeviation weightedavg 33 6StandardDeviation Portfolio 28 1Return weightedavg Portfolio 17 4 Let sAddstockNewCorptotheportfolio EfficientFrontier ExampleCorrelationCoefficient 3Stockss ofPortfolioAvgReturnPortfolio28 150 17 4 NewCorp3050 19 NEWStandardDeviation weightedavg 31 80NEWStandardDeviation Portfolio 23 43NEWReturn weightedavg Portfolio 18 20 EfficientFrontier ExampleCorrelationCoefficient 3Stockss ofPortfolioAvgReturnPortfolio28 150 17 4 NewCorp3050 19 NEWStandardDeviation weightedavg 31 80NEWStandardDeviation Portfolio 23 43NEWReturn weightedavg Portfolio 18 20 NOTE Higherreturn LowerriskHowdidwedothat DIVERSIFICATION EfficientFrontier A B Return Risk measuredass EfficientFrontier A B Return Risk AB EfficientFrontier A B N Return Risk AB EfficientFrontier A B N Return Risk AB ABN EfficientFrontier A B N Return Risk AB Goalistomoveupandleft WHY ABN EfficientFrontier Return Risk LowRiskHighReturn HighRiskHighReturn LowRiskLowReturn HighRiskLowReturn EfficientFrontier Return Risk LowRiskHighReturn HighRiskHighReturn LowRiskLowReturn HighRiskLowReturn EfficientFrontier Return Risk A B N AB ABN SecurityMarketLine Return Risk rf RiskFreeReturn EfficientPortfolio SecurityMarketLine Return rf RiskFreeReturn EfficientPortfolio BETA 1 0 SecurityMarketLine Return rf RiskFreeReturn BETA SecurityMarketLine SML SecurityMarketLine Return BETA rf 1 0 SML SMLEquation rf B rm rf CapitalAssetPricingModel R rf B rm rf CAPM TestingtheCAPM AvgRiskPremium1931 65 PortfolioBeta 1 0 SML 3020100 Investors MarketPortfolio Betavs AverageRiskPremium TestingtheCAPM AvgRiskPremium1966 91 PortfolioBeta 1 0 SML 3020100 Investors MarketPortfolio Betavs AverageRiskPremium TestingtheCAPM High minuslowbook to market Returnvs Book to Market Dollars Lowminusbig http mba tuck dartmouth edu pages faculty ken french data library html ConsumptionBetasvsMarketBetas Stocks andotherriskyassets Wealth marketportfolio StandardCAPM ConsumptionCAPM Arbitrag