公司理财9资本市场理论综述ppt课件.ppt

CorporateFinance 第9章资本市场理论综述 9 1收益9 2持有期间收益率9 3收益统计9 4股票平均收益和无风险收益9 5风险统计9 6小结 CorporateFinance 9 1收益Returns DollarReturnsthesumofthecashreceivedandthechangeinvalueoftheasset indollars PercentageReturnsthesumofthecashreceivedandthechangeinvalueoftheassetdividedbytheoriginalinvestment CorporateFinance DollarReturn Dividend ChangeinMarketValue CorporateFinance 例 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 CorporateFinance DollarReturns 520gain PercentageReturns CorporateFinance 9 2持有期间收益率Holding PeriodReturns Theholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnyears whenthereturnduringyeariisgivenasri CorporateFinance 例 Supposeyourinvestmentprovidesthefollowingreturnsoverafour yearperiod CorporateFinance Aninvestorwhoheldthisinvestmentwouldhaveactuallyrealizedanannualreturnof9 58 So ourinvestormade9 58 onhismoneyforfouryears realizingaholdingperiodreturnof44 21 CorporateFinance Notethatthegeometricaverageisnotthesamethingasthearithmeticaverage CorporateFinance Afamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks bonds andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield Theypresentyear by yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates 大公司的普通股 500家市值最大Large CompanyCommonStocks小公司的普通股 市值排在最后5 的公司 Small companyCommonStocks长期公司债 20年 Long TermCorporateBonds长期国债 20年 Long TermU S GovernmentBonds短期国库券 3个月 U S TreasuryBills CorporateFinance TheFutureValueofanInvestmentof 1in1926 40 22 15 64 Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved CorporateFinance 9 3收益统计ReturnStatistics Thehistoryofcapitalmarketreturnscanbesummarizedbydescribingtheaveragereturnthestandarddeviation 标准差 ofthosereturnsthefrequencydistributionofthereturns CorporateFinance 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 CorporateFinance 9 4股票平均收益和无风险收益AverageStockReturnsandRisk FreeReturns TheRiskPremium 风险溢价 istheadditionalreturn overandabovetherisk freerate resultingfrombearingrisk Oneofthemostsignificantobservationsofstockmarketdataisthislong runexcessofstockreturnovertherisk freereturn Theaverageexcessreturn 平均超额回报 fromlargecompanycommonstocksfortheperiod1926through1999was9 2 13 0 3 8 Theaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through1999was13 9 17 7 3 8 Theaverageexcessreturnfromlong termcorporatebondsfortheperiod1926through1999was2 3 6 1 3 8 CorporateFinance SupposethatTheWallStreetJournal 华尔街日报 announcedthatthecurrentrateforon yearTreasurybillsis5 Whatistheexpectedreturnonthemarketofsmall companystocks Recallthattheaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through1999was13 9 Givenarisk freerateof5 wehaveanexpectedreturnonthemarketofsmall companystocksof18 9 13 9 5 CorporateFinance 风险与收益的权衡TheRisk ReturnTradeoff CorporateFinance 1926 1999的收益率RatesofReturn1926 1999 Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved CorporateFinance 风险溢价RiskPremiums RateofreturnonT billsisessentiallyrisk free Investinginstocksisrisky buttherearecompensations ThedifferencebetweenthereturnonT billsandstocksistheriskpremiumforinvestinginstocks AnoldsayingonWallStreetis Youcaneithersleepwelloreatwell CorporateFinance 股票市场变化无常StockMarketVolatility Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved Thevolatilityofstocksisnotconstantfromyeartoyear CorporateFinance 9 5风险统计RiskStatistics 风险尚无统一的定义 Thereisnouniversallyagreed upondefinitionofrisk Themeasuresofriskthatwediscussarevarianceandstandarddeviation Thestandarddeviationisthestandardstatisticalmeasureofthespreadofasample anditwillbethemeasureweusemostofthistime Itsinterpretationisfacilitatedbyadiscussionofthenormaldistribution 正态分布 CorporateFinance 正态分布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 CorporateFinance The20 1 percentstandarddeviationwefoundforstockreturnsfrom1926through1999cannowbeinterpretedinthefollowingway ifstockreturnsareapproximatelynormallydistributed theprobability 概率 thatayearlyreturnwillfallwithin20 1percentofthemean 中间值 of13 3percentwillbeapproximately2 3 CorporateFinance Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved CorporateFinance 9 6小结SummaryandConclusions Thischapterpresentsreturnsforfourassetclasses LargeCompanyStocksSmallCompanyStocksLong TermGovernmentBondsTreasuryBillsStockshaveoutperformed 胜过 bondsovermostofthetwentiethcentury althoughstock