财务管理英文课件3

0 Chapter3 RiskandReturn 1 I Return1 Mono periodreturnTherateofreturnonaninvestmentcanbecalculatedasfollows Amountreceived Amountinvested Return AmountinvestedForexample if 1 000isinvestedand 1 100isreturnedafteroneyear therateofreturnforthisinvestmentis 1 100 1 000 1 000 10 2 2 Holdingperiodreturn Ifaninvestorhasholdanassetsfornperiodswithannualrateofreturnr hisholdingperiodreturnis Ifaninvestorhasholdanassetsfornperiods andr1 r2 rnrepresenthisrateofreturnforperiod1 2 n hisholdingperiodreturnis 3 HoldingPeriodReturn Example Supposeyourinvestmentprovidesthefollowingreturnsoverafour yearperiod 4 HoldingPeriodReturn Example Notethatthegeometricaverageisnotthesamethingasthearithmeticaverage 5 3 Typesofrateofreturn 1 Realrateofreturn Fulfilledreturn 2 Expectedrateofreturn ForecastedorestimatedreturnthatCouldbefulfilledinforeseeingfuture 3 Requiredrateofreturn Requiredminimalrateofreturnbyinvestorsasawhole Example Youbought100sharesofastockwith 50each2monthsago Youhaveholdthemtillnow Youhavereceived 0 5asdividendpershare Now supposeyousay Iwouldn tsellthemunlessreturngoesupto20 Youmean ifonlythestockpricegoesto 59 5 youwillsellthem Soyourequiredrateofreturnis20 Onaverage amarketrequiredrateofreturnistheraterequiredbytheinvestorsasawhole 6 Realrateofreturnexample Afamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks bonds andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield Theypresentyear by yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates Large CompanyCommonStocksSmall companyCommonStocksLong TermCorporateBondsLong TermU S GovernmentBondsU S TreasuryBills国库券 7 TheFutureValueofanInvestmentof 1in1925 59 70 17 48 Source Stocks Bonds Bills andInflation2003Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved 1 775 34 5 520 39 07 1 8 RatesofReturn1926 2002 Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved 9 StockMarketVolatility Source Stocks Bonds Bills andInflation2000Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved Thevolatilityofstocksisnotconstantfromyeartoyear 10 HistoricalReturns 1926 2002 Source Stocks Bonds Bills andInflation2003Yearbook IbbotsonAssociates Inc Chicago annuallyupdatesworkbyRogerG IbbotsonandRexA Sinquefield Allrightsreserved 90 90 0 AverageStandardSeriesAnnualReturnDeviationDistributionLargeCompanyStocks12 2 20 5 SmallCompanyStocks16 933 2Long TermCorporateBonds6 28 7Long TermGovernmentBonds5 89 4U S TreasuryBills3 83 2Inflation3 14 4 11 TheRisk ReturnTradeoffRateofreturnonT billsisessentiallyrisk free Investinginstocksisrisky buttherearecompensations ThedifferencebetweenthereturnonT billsandstocksistheriskpremiumforinvestinginstocks AnoldsayingonWallStreetis Youcaneithersleepwelloreatwell 12 Example1 13 Whataretheexpectedrateofreturnfordifferentstocks 14 Example1 continued Comparison ExpreturnHT17 4 Market15 0 USR13 8 T bill8 0 Coll 1 7 HThasthehighestexpectedreturn andappearstobethebestinvestmentalternative butisitreally Havewefailedtoaccountforrisk 15 II Risks Uncertainty I Riskinfinance Returnofanassetisnotcertain buttheprobabilitiesofreturncouldbeestimated II MeasuringStand alonerisk 16 Stand aloneriskforindividualasset 1 Standarddeviation 17 Calculate foreachalternatives cont 18 Comparingstandarddeviations 19 Commentsonstandarddeviationasameasureofrisk Standarddeviation i measurestotal orstand alone risk Thelarger iis thelowertheprobabilitythatactualreturnswillbeclosertoexpectedreturns Larger iisassociatedwithawiderprobabilitydistributionofreturns Difficulttocomparestandarddeviations becausereturnhasnotbeentakenintoaccount 20 Comparingriskandreturn 21 WhyistheT billreturnindependentoftheeconomy DoT billspromiseacompletelyrisk freereturn T billswillreturnthepromised8 regardlessoftheeconomy No T billsdonotprovidearisk freereturn astheyarestillexposedtoinflation Although verylittleunexpectedinflationislikelytooccuroversuchashortperiodoftime T billsarealsoriskyintermsofreinvestmentraterisk T billsarerisk freeinthedefaultsenseoftheword 22 HowdothereturnsofHTandColl behaveinrelationtothemarket HT Moveswiththeeconomy andhasapositivecorrelation Thisistypical Coll Iscountercyclicalwiththeeconomy andhasanegativecorrelation Thisisunusual 23 2 CoefficientofVariation CV Astandardizedmeasureoftheriskperunitofreturn calculatedasthestandarddeviationdividedbytheexpectedreturn 24 Riskrankings bycoefficientofvariation CVT bill0 000HT1 149Coll 7 882USR1 362Market1 020 Collectionshasthehighestdegreeofriskperunitofreturn HT despitehavingthehigheststandarddeviationofreturns hasarelativelyaverageCV 25 IllustratingtheCVasameasureofrelativerisk A B butAisriskierbecauseofalargerprobabilityoflosses Inotherwords thesameamountofrisk asmeasuredby forlessreturns 26 Risk ReturnTradeOff 27 Thefactorsthatyouneedtoconsiderwhenyoumakeaninvestmentdecision Expectedrateofreturn oftheinvestmentassets CV perunitreturn Initialinvestmentamount perdollarinvestment Investorattitudetowardsrisk 28 3 Investorattitudetowardsrisk Riskaversion assumesinvestorsdislikeriskandrequirehigherratesofreturntoencouragethemtoholdriskiersecurities Riskpremium thedifferencebetweenthereturnonariskyassetandlessriskyasset whichservesascompensationforinvestorstoholdriskiersecurities 29 2 Stand aloneriskforportfolio 1 Two assetsportfolio 30 Example Assumeatwo stockportfolioiscreatedwith 50 000investedinbothHTandCollections Expectedreturnofaportfolioisaweightedaverageofeachofthecomponentassetsoftheportfolio Standarddeviationisalittlemoretrickyandrequiresthatanewprobabilitydistributionfortheportfolioreturnsbedevised 31 Calculatingportfolioexpectedreturn 32 Analternativemethodfordeterminingportfolioexpectedreturn 33 CalculatingportfoliostandarddeviationandCV 34 Commentsonportfolioriskmeasures p 3 3 ismuchlowerthanthe iofeitherstock HT 20 0 Coll 13 4 p 3 3 islowerthantheweightedaverageofHTandColl s 16 7 Portfolioprovidesaveragereturnofcomponentstocks butlowerthanaveragerisk Why Negativecorrelationbetweenstocks 35 Returnsdistributionfortwoperfectlypositivelycorrelatedstocks 1 0 36 Returnsdistributionfortwoperfectlynegativelycorrelatedstocks 1 0 10 15 15 25 25 37 Generalcommentsaboutrisk Moststocksarepositivelycorrelatedwiththemarket k m 0 65 35 foranaveragestock Combiningstocksinaportfoliogenerallylowersrisk 38 2 Multi assetsportfolio 39 Creatingaportfolio Beginningwithonestockandaddingrandomlyselectedstockstoportfolio pdecreasesasstocksadded becausetheywouldnotbeperfectlycorrelatedwiththeexistingportfolio Expectedreturnoftheportfolio wouldremainrelativelyconstant Eventuallythediversificationbenefitsofaddingmorestocksdissipates afterabout10stocks andforlargestockportfolios ptendstoconvergeto 10 20 40 III BreakingdownsourcesofriskDiversificationeffectsofastockportfolio 41 Stand alonerisk Marketrisk FirmspecificriskMarketrisk portionofasecurity sstand aloneriskthatcannotbeeliminatedthroughdiversification Measuredbybeta Firmspecificrisk portionofasecurity sstand aloneriskthatcanbeeliminatedthroughproperdiversification 42 Failuretodiversify Ifaninvestorchoosestoholdaone stockportfolio exposedtomoreriskthanadiversifiedinvestor wouldtheinvestorbecompensatedfortherisktheybear NO Stand aloneriskisnotimportanttoawell diversifiedinvestor Rational risk averseinvestorsareconcernedwith p whichisbaseduponmarketrisk Therecanbeonlyoneprice themarketreturn foragivensecurity Nocompensationshouldbeearnedforholdingunnecessary diversifiablerisk 43 III CapitalAssetPricingModel CAPM Modelbaseduponconceptthatastock srequiredrateofreturnisequaltotherisk freerateofreturnplusariskpremiumthatreflectstheriskinessofthestockafterdiversification Primaryconclusion Therelevantriskinessofastockisitscontributiontotheriskinessofawell diversifiedportfolio 44 1 CAPMmodel RequiredReturn Riskfreerate RiskpremiumOrr rf RiskpremiumRiskpremiumistherequiredadditionalreturnovertheriskfreerateneededtocompensateinvestorsfortakingsystematicriskoftheasset Thesizeofitdependsonmarketriskpremiumandthebetaoftheasset Thatis Riskpremium Marketriskpremium rm rf So r rf rm rf 45 2 Whatisthemarketriskpremium Additionalreturnovertherisk freerateneededtocompensateinvestorsforassuminganaverageamountofrisk Itssizedependsontheperceivedriskofthestockmarketandinvestors degreeofriskaversion Variesfromyeartoyear butmostestimatessuggestthatitrangesbetween4 and8 peryear 46 3 Beta Measuresastock smarketrisk andshowsastock svolatilityrelativetothemarket Indicateshowriskyastockisifthestockisheldinawell diversifiedportfolio Covariancewiththemarket Varianceofthemarket 47 Howdowecalculatebetas Runaregressionofpastreturnsofasecurityagainstpastreturnsonthemarket Theslopeoftheregressionline sometimescalledthesecurity scharacteristicline isdefinedasthebetacoefficientforthesecurity 48 Illustratingthecalculationofbeta 49 Commentsonbeta Ifbeta 1 0 thesecurityisjustasriskyastheaveragestock Ifbeta 1 0 thesecurityisriskierthanaverage Ifbeta 1 0 thesecurityislessriskythanaverage Moststockshavebetasintherangeof0 5to1 5 50 Canthebetaofasecuritybenegative Yes ifthecorrelationbetweenStockiandthemarketisnegative i e i m 0 Forexample TheparentcompanyofFPLGrouphasbeta 0 02inOct 2006 Ifthecorrelationisnegative theregressionlinewouldslopedownward andthebetawouldbenegative However anegativebetaishighlyunlikely 51 ListofBetacoefficients 200220062008 AOL TimeWarner1 651 940 85Microsoft1 250 940 89GeneralElectric1 300 811 73Coca Cola0 850 700 56Procter Gambl0 650 270 41IBM1 051 000 82 52 Comparingexpectedreturnandbetacoefficients 53 4 SecurityMarketLine SML Calculatingrequiredratesofreturn SML ri rf rm rf i 1 0 SML rmrf0 MarketPortfolio 54 FactorsthatchangetheSML Whatifinvestorsraiseinflationexpectationsby3 whatwouldhappentotheSML SML1 ri SML2 00 51 01 5 1815118 DI 3 Risk i 55 FactorsthatchangetheSML Whatifinvestors riskaversionincreased causingthemarketriskpremiumtoincreaseby3 whatwouldhappentotheSML SML1 ri SML2 00 51 01 5 1815118 DRPM 3 Risk i 56 Calculatingrequiredratesofreturn rHT 8 0 15 0 8 0 1 30 8 0 7 0 1 30 8 0 9 1 17 10 rM 8 0 7 0 1 00 15 00 rUSR 8 0 7 0 0 89 14 23 rT bill 8 0 7 0 0 00 8 00 rColl 8 0 7 0 0 87 1 91 57 Expectedvs Requiredreturns 58 5 MarketequilibriumTherefore WecanuseCAPMtocalculateeitherexpectedorrequiredrateofreturn 59 6 CalculatingportfoliorequiredreturnsorexpectedreturnsusingCAPMandportfolio s Therequiredreturnofaportfolioistheweightedaverageofeachofthestock srequiredreturns rP wHTrHT wCollrCollrP 0 5 17 1 0 5 1 9 rP 9 5 Or usingtheportfolio sbeta CAPMcanbeusedtosolveforexpectedreturn rP rRF