公司理财Chap010ppt课件.ppt

RiskandReturn LessonsfromMarketHistory Chapter10 Copyright 2010bytheMcGraw HillCompanies Inc Allrightsreserved McGraw Hill Irwin 0 KeyConceptsandSkills KnowhowtocalculatethereturnonaninvestmentKnowhowtocalculatethestandarddeviationofaninvestment sreturnsUnderstandthehistoricalreturnsandrisksonvarioustypesofinvestmentsUnderstandtheimportanceofthenormaldistributionUnderstandthedifferencebetweenarithmeticandgeometricaveragereturns 1 ChapterOutline 10 1Returns10 2Holding PeriodReturns10 3ReturnStatistics10 4AverageStockReturnsandRisk FreeReturns10 5RiskStatistics10 6MoreonAverageReturns10 7TheU S EquityRiskPremium HistoricalandInternationalPerspectives 2 10 1Returns DollarReturnsthesumofthecashreceivedandthechangeinvalueoftheasset indollars PercentageReturnsthesumofthecashreceivedandthechangeinvalueoftheasset dividedbytheinitialinvestment 3 DollarReturn Dividend ChangeinMarketValue Returns 4 Returns Example Supposeyoubought100sharesofWal Mart WMT oneyearagotodayat 45 Overthelastyear youreceived 27individends 27centspershare 100shares Attheendoftheyear thestocksellsfor 48 Howdidyoudo Youinvested 45 100 4 500 Attheendoftheyear youhavestockworth 4 800andcashdividendsof 27 Yourdollargainwas 327 27 4 800 4 500 Yourpercentagegainfortheyearis 5 Returns Example DollarReturn 327gain PercentageReturn 6 10 2HoldingPeriodReturn TheholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofTyears whenthereturnduringyeariisgivenasRi 7 HoldingPeriodReturn Example Supposeyourinvestmentprovidesthefollowingreturnsoverafour yearperiod 8 HistoricalReturns Afamoussetofstudiesdealingwithratesofreturnsoncommonstocks bonds andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield Theypresentyear by yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates Large companyCommonStocksSmall companyCommonStocksLong termCorporateBondsLong termU S GovernmentBondsU S TreasuryBills 9 10 3ReturnStatistics Thehistoryofcapitalmarketreturnscanbesummarizedbydescribingthe averagereturnthestandarddeviationofthosereturnsthefrequencydistributionofthereturns 10 HistoricalReturns 1926 2007 Source Stocks Bonds Bills andInflation2008Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved 90 90 0 AverageStandardSeriesAnnualReturnDeviationDistributionLargeCompanyStocks12 3 20 0 SmallCompanyStocks17 132 6Long TermCorporateBonds6 28 4Long TermGovernmentBonds5 89 2U S TreasuryBills3 83 1Inflation3 14 2 11 10 4AverageStockReturnsandRisk FreeReturns TheRiskPremiumistheaddedreturn overandabovetherisk freerate resultingfrombearingrisk Oneofthemostsignificantobservationsofstockmarketdataisthelong runexcessofstockreturnovertherisk freereturn Theaverageexcessreturnfromlargecompanycommonstocksfortheperiod1926through2007was 8 5 12 3 3 8 Theaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through2007was 13 3 17 1 3 8 Theaverageexcessreturnfromlong termcorporatebondsfortheperiod1926through2007was 2 4 6 2 3 8 12 RiskPremiums SupposethatTheWallStreetJournalannouncedthatthecurrentrateforone yearTreasurybillsis2 Whatistheexpectedreturnonthemarketofsmall companystocks Recallthattheaverageexcessreturnonsmallcompanycommonstocksfortheperiod1926through2007was13 3 Givenarisk freerateof2 wehaveanexpectedreturnonthemarketofsmall companystocksof15 3 13 3 2 13 TheRisk ReturnTradeoff 14 10 5RiskStatistics Thereisnouniversallyagreed upondefinitionofrisk Themeasuresofriskthatwediscussarevarianceandstandarddeviation Thestandarddeviationisthestandardstatisticalmeasureofthespreadofasample anditwillbethemeasureweusemostofthistime Itsinterpretationisfacilitatedbyadiscussionofthenormaldistribution 15 NormalDistribution Alargeenoughsampledrawnfromanormaldistributionlookslikeabell shapedcurve Probability Returnonlargecompanycommonstocks 99 74 3s 47 7 2s 27 7 1s 7 7 012 3 1s32 3 2s52 3 3s72 3 Theprobabilitythatayearlyreturnwillfallwithin20 0percentofthemeanof12 3percentwillbeapproximately2 3 68 26 95 44 16 NormalDistribution The20 0 standarddeviationwefoundforlargestockreturnsfrom1926through2007cannowbeinterpretedinthefollowingway Ifstockreturnsareapproximatelynormallydistributed theprobabilitythatayearlyreturnwillfallwithin20 0percentofthemeanof12 3 willbeapproximately2 3 17 Example ReturnandVariance Variance 0045 4 1 0015StandardDeviation 03873 18 10 6MoreonAverageReturns Arithmeticaverage returnearnedinanaverageperiodovermultipleperiodsGeometricaverage averagecompoundreturnperperiodovermultipleperiodsThegeometricaveragewillbelessthanthearithmeticaverageunlessallthereturnsareequal Whichisbetter Thearithmeticaverageisoverlyoptimisticforlonghorizons Thegeometricaverageisoverlypessimisticforshorthorizons 19 GeometricReturn Example Recallourearlierexample So ourinvestormadeanaverageof9 58 peryear realizingaholdingperiodreturnof44 21 20 GeometricReturn Example Notethatthegeometricaverageisnotthesameasthearithmeticaverage 21 PerspectivesontheEquityRiskPremium Over1926 2007 theU S equityriskpremiumhasbeenquitelarge Earlieryears beginningin1802 provideasmallerestimateat5 4 Comparabledatafor1900to2005puttheinternationalequityriskpremiumatanaverageof7 1 versus7 4 intheU S Goingforward anestimateof7 seemsreasonable althoughsomewhathigherorlowernumber