公司理财罗斯英文原书第九版第十二章课件.ppt

AnAlternativeViewofRiskandReturn TheArbitragePricingTheory Chapter12 0 PPT学习交流 KeyConceptsandSkills Discusstherelativeimportanceofsystematicandunsystematicriskindeterminingaportfolio sreturnCompareandcontrasttheCAPMandArbitragePricingTheory 1 PPT学习交流 ChapterOutline 12 1Introduction12 2SystematicRiskandBetas12 3PortfoliosandFactorModels12 4BetasandExpectedReturns12 5TheCapitalAssetPricingModelandtheArbitragePricingTheory12 6EmpiricalApproachestoAssetPricing 2 PPT学习交流 12 1IntroductionArbitragePricingTheory Arbitragearisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit Sincenoinvestmentisrequired aninvestorcancreatelargepositionstosecurelargelevelsofprofit Inefficientmarkets profitablearbitrageopportunitieswillquicklydisappear 3 PPT学习交流 TotalRisk Totalrisk systematicrisk unsystematicriskThestandarddeviationofreturnsisameasureoftotalrisk Forwell diversifiedportfolios unsystematicriskisverysmall Consequently thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk 4 PPT学习交流 Risk SystematicandUnsystematic SystematicRisk m NonsystematicRisk n 2 Totalrisk Wecanbreakdownthetotalriskofholdingastockintotwocomponents systematicriskandunsystematicrisk 5 PPT学习交流 12 2SystematicRiskandBetas Thebetacoefficient b tellsustheresponseofthestock sreturntoasystematicrisk IntheCAPM bmeasurestheresponsivenessofasecurity sreturntoaspecificriskfactor thereturnonthemarketportfolio Weshallnowconsiderothertypesofsystematicrisk 6 PPT学习交流 SystematicRiskandBetas Forexample supposewehaveidentifiedthreesystematicrisks inflation GNPgrowth andthedollar eurospotexchangerate S Ourmodelis 7 PPT学习交流 SystematicRiskandBetas Example Supposewehavemadethefollowingestimates bI 2 30bGNP 1 50bS 0 50Finally thefirmwasabletoattracta superstar CEO andthisunanticipateddevelopmentcontributes1 tothereturn 8 PPT学习交流 SystematicRiskandBetas Example Wemustdecidewhatsurprisestookplaceinthesystematicfactors Ifitwerethecasethattheinflationratewasexpectedtobe3 butinfactwas8 duringthetimeperiod then FI Surpriseintheinflationrate actual expected 8 3 5 9 PPT学习交流 SystematicRiskandBetas Example IfitwerethecasethattherateofGNPgrowthwasexpectedtobe4 butinfactwas1 then FGNP SurpriseintherateofGNPgrowth actual expected 1 4 3 10 PPT学习交流 SystematicRiskandBetas Example Ifitwerethecasethatthedollar eurospotexchangerate S wasexpectedtoincreaseby10 butinfactremainedstableduringthetimeperiod then FS Surpriseintheexchangerate actual expected 0 10 10 11 PPT学习交流 SystematicRiskandBetas Example Finally ifitwerethecasethattheexpectedreturnonthestockwas8 then 12 PPT学习交流 12 3PortfoliosandFactorModels Nowletusconsiderwhathappenstoportfoliosofstockswheneachofthestocksfollowsaone factormodel WewillcreateportfoliosfromalistofNstocksandwillcapturethesystematicriskwitha1 factormodel Theithstockinthelisthasreturn 13 PPT学习交流 RelationshipBetweentheReturnontheCommonFactor ExcessReturn Excessreturn ThereturnonthefactorF Ifweassumethatthereisnounsystematicrisk thenei 0 14 PPT学习交流 RelationshipBetweentheReturnontheCommonFactor ExcessReturn Excessreturn ThereturnonthefactorF Ifweassumethatthereisnounsystematicrisk thenei 0 15 PPT学习交流 RelationshipBetweentheReturnontheCommonFactor ExcessReturn Excessreturn ThereturnonthefactorF Differentsecuritieswillhavedifferentbetas 16 PPT学习交流 PortfoliosandDiversification Weknowthattheportfolioreturnistheweightedaverageofthereturnsontheindividualassetsintheportfolio 17 PPT学习交流 PortfoliosandDiversification Thereturnonanyportfolioisdeterminedbythreesetsofparameters Inalargeportfolio thethirdrowofthisequationdisappearsastheunsystematicriskisdiversifiedaway 18 PPT学习交流 PortfoliosandDiversification Sothereturnonadiversifiedportfolioisdeterminedbytwosetsofparameters Theweightedaverageofexpectedreturns TheweightedaverageofthebetastimesthefactorF Inalargeportfolio theonlysourceofuncertaintyistheportfolio ssensitivitytothefactor 19 PPT学习交流 12 4BetasandExpectedReturns Thereturnonadiversifiedportfolioisthesumoftheexpectedreturnplusthesensitivityoftheportfoliotothefactor 20 PPT学习交流 RelationshipBetweenb ExpectedReturn Ifshareholdersareignoringunsystematicrisk onlythesystematicriskofastockcanberelatedtoitsexpectedreturn 21 PPT学习交流 RelationshipBetweenb ExpectedReturn Expectedreturn b A B C D SML 22 PPT学习交流 12 5TheCapitalAssetPricingModelandtheArbitragePricingTheory APTappliestowelldiversifiedportfoliosandnotnecessarilytoindividualstocks WithAPTitispossibleforsomeindividualstockstobemispriced notlieontheSML APTismoregeneralinthatitgetstoanexpectedreturnandbetarelationshipwithouttheassumptionofthemarketportfolio APTcanbeextendedtomultifactormodels 23 PPT学习交流 12 6EmpiricalApproachestoAssetPricing BoththeCAPMandAPTarerisk basedmodels Empiricalmethodsarebasedlessontheoryandmoreonlookingforsomeregularitiesinthehistoricalrecord Beawarethatcorrelationdoesnotimplycausality Relatedtoempiricalmethodsisthepracticeofclassifyingportfoliosbystyle e g ValueportfolioGrowthportfolio 24 PPT学习交流 QuickQuiz Differentiatesystematicriskfromunsystematicrisk Whichtypeisessentiallyeliminatedwithwelldiversifiedportfolios Definearbitrage ExplainhowtheCAPMbeconsideredaspecialcaseofArbitragePricingTheory 25 PPT学习交流 26 PPT学习交流 Answer 27 PPT学习交流 2 Thefollowingthreestocksareavailableinthemarket Assumethemarketmodelisvalid a writethemarket modelequationforeachstock b whatisthere