公司理财第九章 (2)ppt课件.ppt

CorporateFinanceRoss Westerfield Jaffe SixthEdition ChapterOutline 9 1Returns9 2Holding PeriodReturns9 3ReturnStatistics9 4AverageStockReturnsandRisk FreeReturns9 5RiskStatistics9 6SummaryandConclusions 9 1Returns DollarReturnsthesumofthecashreceivedandthechangeinvalueoftheasset indollars PercentageReturnsthesumofthecashreceivedandthechangeinvalueoftheassetdividedbytheoriginalinvestment DollarReturn Dividend ChangeinMarketValue 9 1Returns 9 1Returns Example Supposeyoubought100sharesofWal Mart WMT oneyearagotodayat 25 Overthelastyear youreceived 20individends 20centspershare 100shares Attheendoftheyear thestocksellsfor 30 Howdidyoudo Quitewell Youinvested 25 100 2 500 Attheendoftheyear youhavestockworth 3 000andcashdividendsof 20 Yourdollargainwas 520 20 3 000 2 500 Yourpercentagegainfortheyearis 9 1Returns Example DollarReturns 520gain PercentageReturns 9 2Holding PeriodReturns Theholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnyears whenthereturnduringyeariisgivenasri HoldingPeriodReturn Example Supposeyourinvestmentprovidesthefollowingreturnsoverafour yearperiod HoldingPeriodReturn Example Aninvestorwhoheldthisinvestmentwouldhaveactuallyrealizedanannualreturnof9 58 So ourinvestormade9 58 onhismoneyforfouryears realizingaholdingperiodreturnof44 21 HoldingPeriodReturn Example Notethatthegeometricaverageisnotthesamethingasthearithmeticaverage HoldingPeriodReturns Afamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks bonds andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield Theypresentyear by yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates Large CompanyCommonStocksSmall companyCommonStocksLong TermCorporateBondsLong TermU S GovernmentBondsU S TreasuryBills TheFutureValueofanInvestmentof 1in1926 40 22 15 64 Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved 9 3ReturnStatistics Thehistoryofcapitalmarketreturnscanbesummarizedbydescribingtheaveragereturnthestandarddeviationofthosereturnsthefrequencydistributionofthereturns HistoricalReturns 1926 1999 Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved 90 90 0 AverageStandardSeriesAnnualReturnDeviationDistributionLargeCompanyStocks13 0 20 3 SmallCompanyStocks17 733 9Long TermCorporateBonds6 18 7Long TermGovernmentBonds5 69 2U S TreasuryBills3 83 2Inflation3 24 5 9 4AverageStockReturnsandRisk FreeReturns TheRiskPremiumistheadditionalreturn overandabovetherisk freerate resultingfrombearingrisk Oneofthemostsignificantobservationsofstockmarketdataisthislong runexcessofstockreturnovertherisk freereturn Theaverageexcessreturnfromlargecompanycommonstocksfortheperiod1926through1999was9 2 13 0 3 8 Theaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through1999was13 9 17 7 3 8 Theaverageexcessreturnfromlong termcorporatebondsfortheperiod1926through1999was2 3 6 1 3 8 RiskPremia SupposethatTheWallStreetJournalannouncedthatthecurrentrateforon yearTreasurybillsis5 Whatistheexpectedreturnonthemarketofsmall companystocks Recallthattheaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through1999was13 9 Givenarisk freerateof5 wehaveanexpectedreturnonthemarketofsmall companystocksof18 9 13 9 5 TheRisk ReturnTradeoff RatesofReturn1926 1999 Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved RiskPremiums RateofreturnonT billsisessentiallyrisk free Investinginstocksisrisky buttherearecompensations ThedifferencebetweenthereturnonT billsandstocksistheriskpremiumforinvestinginstocks AnoldsayingonWallStreetis Youcaneithersleepwelloreatwell StockMarketVolatility Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved Thevolatilityofstocksisnotconstantfromyeartoyear 9 5RiskStatistics Thereisnouniversallyagreed upondefinitionofrisk Themeasuresofriskthatwediscussarevarianceandstandarddeviation Thestandarddeviationisthestandardstatisticalmeasureofthespreadofasample anditwillbethemeasureweusemostofthistime Itsinterpretationisfacilitatedbyadiscussionofthenormaldistribution NormalDistribution Alargeenoughsampledrawnfromanormaldistributionlookslikeabell shapedcurve Probability Returnonlargecompanycommonstocks 68 95 99 3 47 9 2 27 6 1 7 3 013 0 133 3 253 6 373 9 theprobabilitythatayearlyreturnwillfallwithin20 1percentofthemeanof13 3percentwillbeapproximately2 3 NormalDistribution The20 1 percentstandarddeviationwefoundforstockreturnsfrom1926through1999cannowbeinterpretedinthefollowingway ifstockreturnsareapproximatelynormallydistributed theprobabilitythatayearlyreturnwillfallwithin20 1percentofthemeanof13 3percentwillbeapproximately2 3 NormalDistribution Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved 9 6SummaryandConclusions Thischapterpresentsreturnsforfourassetclasses LargeCompanyStocksSmallCompanyStocksLong TermGovernmentBondsTreasuryBillsStockshaveoutperformedbondsovermostofthetwentiethcentury al