公司理财原书第七版第十一章.ppt

CHAPTER 11 AnAlternativeViewofRiskandReturn TheAPT 11 0 ChapterOutline 11 1FactorModels Announcements Surprises andExpectedReturns11 2Risk SystematicandUnsystematic11 3SystematicRiskandBetas11 4PortfoliosandFactorModels11 5BetasandExpectedReturns11 6TheCapitalAssetPricingModelandtheArbitragePricingTheory11 7ParametricApproachestoAssetPricing11 8SummaryandConclusions 11 1 ArbitragePricingTheory Arbitragearisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit Sincenoinvestmentisrequired aninvestorcancreatelargepositionstosecurelargelevelsofprofit Inefficientmarkets profitablearbitrageopportunitieswillquicklydisappear 11 2 ArbitragePricingTheory TheAPTassumesthatreturnsonsecuritiesaregeneratedbyanumberofindustrywideandmarketwidefactors 11 3 11 1FactorModels Announcements Surprises andExpectedReturns Thereturnonanysecurityconsistsoftwoparts FirsttheexpectedreturnsSecondistheunexpectedorriskyreturns Awaytowritethereturnonastockinthecomingmonthis 11 4 11 1FactorModels Announcements Surprises andExpectedReturns Anyannouncementcanbebrokendownintotwoparts theanticipatedorexpectedpartandthesurpriseorinnovation Announcement Expectedpart Surprise Theexpectedpartofanyannouncementispartoftheinformationthemarketusestoformtheexpectation Rofthereturnonthestock Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock U 11 5 2007年4月23日傍晚 当从4月24日起证券 股票 交易印花税税率由千分之三降至千分之一的消息正式公布后 股民一致认为是 实质性的特大利好 政策出台 不少股民则立即拿起电话或连线QQ 连夜 竞相转告 共同期盼股市一路走好 4月24日的股市果然不负众望 上证综指不但大幅高开 午后更在大盘蓝筹股的推动下展开凌厉升势 最终收市劲升9 29 创出自1996年12月实施涨跌停制度以来的历史最大涨幅 11 6 2007年5月30日半夜鸡叫 900只个股跌停 5月30日 财政部凌晨宣布 即日起将证券交易印花税上调至0 3 上午9时半 沪深股市开盘后出现了放量暴跌的态势 跌幅达6 以上 两市跌停的个股超过900只 11 7 2009年04月30日11 48中国股市午盘上涨部分项目资本金比例下调 华尔街日报报道 中国股市周四 4月30日 午盘上涨 部分投资项目资本金比例下调推动大盘续升 上证综指高开后震荡向下 回探20日线 现为2465 08点 后再度走高 午盘涨0 83 报2488 69点 成交人民币723亿元 较昨日放大约38 国信证券分析师指出 国务院刺激投资的举措及美股隔夜上扬均推动A股延续昨日反弹走势 惟猪流感疫情在节前最后一个交易日给市场平添不确定因素 不排除午后冲高回落的可能性 盘面看 个股多升 上海本地股 地产 水泥股涨幅居前 机械 发电设备 新能源 有色金属等板块大面积走高 钢铁 航空 保险等权重股多升 宝钢股份 600019 涨1 21 医药股继续回落 银行股多疲软 华夏银行 600015 跌2 13 深证成指涨1 79 报9550 95点 11 8 2010年05月07日08 19 彭博通讯社 美国国家广播公司财经频道等财经媒体报道称 已有多个消息来源证实 在美国东部时间6日下午2点47分左右 一名交易员在卖出股票时敲错了一个字母 将百万误打成十亿 导致道琼斯指数突然出现近千点的暴跌 从下午2点42分到2点47分之间 道琼斯指数从10458点瞬间跌至9869 62点 与前一交易日收盘相比 下跌了998 5点 到2点58分 道指又回到10479 74点 这是道琼斯指数历史上第二大单日波幅 彭博社的报道说 宝洁公司的股票在6日下午出现异常波动 股价突然从每股64美元跌至39美元 随后即回升至每股60美元 另根据纽约证券交易所的消息 当天在纽交所交易的股票中 有8只股票出现了交易价为零或者1美分的异常情况 市场交易人士认为 交易中的错误操作以及交易系统的技术问题是纽约股市6日盘中出现异常暴跌的主要原因 目前纽约证券交易所和纳斯达克股票市场正在就当天的异常波动进行调查 11 9 11 2Risk SystematicandUnsystematic Asystematicriskisanyriskthataffectsalargenumberofassets eachtoagreaterorlesserdegree Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets Unsystematicriskcanbediversifiedaway Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions suchasGNP interestratesorinflation 我国07年3月份CPI为8 3 一季度居民消费价格总水平上涨8 0 Ontheotherhand announcementsspecifictoacompany suchasagoldminingcompanystrikinggold areexamplesofunsystematicrisk 11 10 11 2Risk SystematicandUnsystematic SystematicRisk m NonsystematicRisk n Totalrisk U Wecanbreakdowntherisk U ofholdingastockintotwocomponents systematicriskandunsystematicrisk 11 11 11 3SystematicRiskandBetas Thebetacoefficient b tellsustheresponseofthestock sreturntoasystematicrisk IntheCAPM bmeasuredtheresponsivenessofasecurity sreturntoaspecificriskfactor thereturnonthemarketportfolio Weshallnowconsidermanytypesofsystematicrisk 11 12 11 3SystematicRiskandBetas Forexample supposewehaveidentifiedthreesystematicrisksonwhichwewanttofocus InflationGDPgrowthThedollar eurospotexchangerate S Ourmodelis 11 13 SystematicRiskandBetas Example Supposewehavemadethefollowingestimates bI 2 30bGDP 1 50bS 0 50 Finally thefirmwasabletoattracta superstar CEOandthisunanticipateddevelopmentcontributes1 tothereturn 11 14 SystematicRiskandBetas Example Wemustdecidewhatsurprisestookplaceinthesystematicfactors Ifitwasthecasethattheinflationratewasexpectedtobeby3 butinfactwas8 duringthetimeperiod thenFI Surpriseintheinflationrate actual expected 8 3 5 11 15 SystematicRiskandBetas Example IfitwasthecasethattherateofGDPgrowthwasexpectedtobe4 butinfactwas1 thenFGDP SurpriseintherateofGDPgrowth actual expected 1 4 3 11 16 SystematicRiskandBetas Example Ifitwasthecasethatdollar eurospotexchangerate S wasexpectedtoincreaseby10 butinfactremainedstableduringthetimeperiod thenFS Surpriseintheexchangerate actual expected 0 10 10 11 17 SystematicRiskandBetas Example Finally ifitwasthecasethattheexpectedreturnonthestockwas8 then 11 18 11 4PortfoliosandFactorModels Nowletusconsiderwhathappenstoportfoliosofstockswheneachofthestocksfollowsaone factormodel WewillcreateportfoliosfromalistofNstocksandwillcapturethesystematicriskwitha1 factormodel Theithstockinthelisthavereturns 11 19 RelationshipBetweentheReturnontheCommonFactor ExcessReturn Excessreturn ThereturnonthefactorF Ifweassumethatthereisnounsystematicrisk thenei 0 11 20 RelationshipBetweentheReturnontheCommonFactor ExcessReturn Excessreturn ThereturnonthefactorF Ifweassumethatthereisnounsystematicrisk thenei 0 11 21 RelationshipBetweentheReturnontheCommonFactor ExcessReturn Excessreturn ThereturnonthefactorF Differentsecuritieswillhavedifferentbetas 11 22 PortfoliosandDiversification Weknowthattheportfolioreturnistheweightedaverageofthereturnsontheindividualassetsintheportfolio 11 23 PortfoliosandDiversification Thereturnonanyportfolioisdeterminedbythreesetsofparameters Inalargeportfolio thethirdrowofthisequationdisappearsastheunsystematicriskisdiversifiedaway 11 24 PortfoliosandDiversification Sothereturnonadiversifiedportfolioisdeterminedbytwosetsofparameters Theweighedaverageofexpectedreturns TheweightedaverageofthebetastimesthefactorF Inalargeportfolio theonlysourceofuncertaintyistheportfolio ssensitivitytothefactor 11 25 11 5BetasandExpectedReturns Thereturnonadiversifiedportfolioisthesumoftheexpectedreturnplusthesensitivityoftheportfoliotothefactor 11 26 RelationshipBetweenb ExpectedReturn Ifshareholdersareignoringunsystematicrisk onlythesystematicriskofastockcanberelatedtoitsexpectedreturn 11 27 RelationshipBetweenb ExpectedReturn Expectedreturn b A B C D SML 11 28 11 6TheCapitalAssetPricingModelandtheArbitragePricingTheory APTappliestowelldiversifiedportfoliosandnotnecessarilytoindividualstocks WithAPTitispossibleforsomeindividualstockstobemispriced notlieontheSML APTismoregeneralinthatitgetstoanexpectedreturnandbetarelationshipwithouttheassumptionofthemarketportfolio APTcanbeextendedtomultifactormodels 11 29 11 7EmpiricalApproachestoAssetPricing BoththeCAPMandAPTarerisk basedmodels Therearealternatives Empiricalmethodsarebasedlessontheoryandmoreonlookingforsomeregularitiesinthehistoricalrecord Beawarethatcorrelationdoesnotimplycausality Relatedtoempiricalmethodsisthepracticeofclassifyingportfoliosbystylee g ValueportfolioGrowthportfolio 11 30 11 8SummaryandConclusions TheAPTassumesthatstockreturnsaregeneratedaccordingtofactormodelssuchas Assecuritiesareaddedtotheportfolio theunsystematicrisksoftheindividualsecuritiesoffseteachother Afullydiversifiedportfoliohasnounsystematicrisk TheCAPMcanbeviewedasaspecialcaseoftheAPT Empiricalmodelstrytocapturetherelationsbetweenreturnsandstockattributesthatcanbemeasureddirectlyfromthedatawithoutappealtotheory 11 31 MultipleChoiceQuestions 1 BoththeAPTandtheCAPMimplyapositiverelationshipbetweenexpectedreturnandrisk TheAPTviewsriskA verysimilarlytotheCAPMviathebetaofthesecurity B intermsofindividualintersecuritycorrelationversusthebetaoftheCAPM C viatheindustrywideormarketwidefactorscreatingcorrelationbetweensecurities D thestandardizeddeviationofthecovariance E Noneoftheabove 11 32 Answer C 11 33 2 IntheequationR U thethreesymbolsstandfor A averagereturn expectedreturn andunexpectedreturn B requiredreturn expectedreturn andunbiasedreturn C actualtotalreturn expectedreturn andunexpectedreturn D requiredreturn expectedreturn andunbiasedrisk E risk expectedreturn andunsystematicrisk 11 34 Answer C 11 35 3 Whichofthefollowingistrueabouttheimpactonmarketpriceofasecuritywhenacompanymakesanannouncementandthemarkethasdiscountedthenews A Thepricewillchangeagreatdeal eventhoughtheimpactisprimarilyinthefu