财务管理ppt英文课件ChaVIP

Chapter5,RiskandReturn,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,1,ChapterObjectives,DefiningRiskandReturnCalculatetheexpectedreturnandrisk(standarddeviation)ofbothasingleassetandaportfolio.Distinguishbetweensystematicandnon-systematicrisk.Explaintheprincipleofdiversification.Explainthecapitalassetpricingmodel(CAPM).Explainthesecuritymarketline(SML).,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,2,October.Thisisoneofthepeculiarlydangerousmonthstospeculateinstocksin.TheothersareJuly,January,September,April,November,May,March,June,December,AugustandFebruary.-MarkTwain,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,3,Incomereceivedonaninvestmentplusanychangeinmarketprice,usuallyexpressedasapercentofthebeginningmarketpriceoftheinvestment.,DefiningReturn,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,4,ExampleThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershare,andshareholdersjustreceiveda$1dividend.Whatreturnwasearnedoverthepastyear?,=5%,ReturnExample,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,5,MostdecisionsinvolveagambleProbabilitiescanbeknownorunknown,andoutcomescanbeknownorunknownRisk-existswhen:Possibleoutcomesandprobabilitiesareknowne.g.,RouletteWheelorDiceUncertainty-existswhen:Possibleoutcomesorprobabilitiesareunknowne.g.,DrillingforOilinanunknownfield,RiskandUncertainty,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,6,ConceptsofRisk,Risk-Thevariabilityofreturnsfromthosethatareexpected.Whenprobabilitiesareknown,wecananalyzeriskusingprobabilitydistributions.Assignaprobabilitytoeachstateofnature,andbeexhaustive,sothatpi=1,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,7,ExpectedReturnHoldingtheseinvestmentsinaportfolioiseffective.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,30,Combiningsecuritiesthatarenotperfectly,positivelycorrelatedreducesrisk.,DiversificationandtheCorrelationCoefficient,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,31,Diversification,Theprocessofspreadinginvestmentsacrossdifferentassets,industriesandcountriestoreducerisk.Totalrisk=systematicrisk+non-systematicriskNon-systematicriskcanbeeliminatedbydiversification;systematicriskaffectsallassetsandcannotbediversifiedaway.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,32,SystematicRiskisthevariabilityofreturnonstocksorportfoliosassociatedwithchangesinreturnonthemarketasawhole.UnsystematicRiskisthevariabilityofreturnonstocksorportfoliosnotexplainedbygeneralmarketmovements.Itisavoidablethroughdiversification.,TotalRisk=SystematicRisk+UnsystematicRisk,TotalRisk=SystematicRisk+UnsystematicRisk,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,33,TotalRisk,Unsystematicrisk,Systematicrisk,STDDEVOFPORTFOLIORETURN,NUMBEROFSECURITIESINTHEPORTFOLIO,Factorssuchaschangesinnationseconomy,taxreformbytheCongress,orachangeintheworldsituation.,SystematicRisk,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,34,TotalRisk,Unsystematicrisk,Systematicrisk,STDDEVOFPORTFOLIORETURN,NUMBEROFSECURITIESINTHEPORTFOLIO,Factorsuniquetoaparticularcompanyorindustry.Forexample,thedeathofakeyexecutiveorlossofagovernmentaldefensecontract.,UnsystematicRisk,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,35,1.Capitalmarketsareefficient.2.Homogeneousinvestorexpectationsoveragivenperiod.3.Risk-freeassetreturniscertain(useshort-tointermediate-termTreasuriesasaproxy).4.Marketportfoliocontainsonlysystematicrisk(useSWhatdeterminesanassetsexpectedreturn?Therisk-freerate-thepuretimevalueofmoney.Themarketriskpremium-therewardforbearingsystematicrisk.Thebetacoefficient-ameasureoftheamountofsystematicriskpresentinaparticularasset.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,37,ExpectedReturnonanIndividualSecurity,ThisformulaiscalledtheCapitalAssetPricingModel(CAPM),Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,38,Anindexofsystematicrisk.Itmeasuresthesensitivityofastocksreturnstochangesinreturnsonthemarketportfolio.Thebetaforaportfolioissimplyaweightedaverageoftheindividualstockbetasintheportfolio.,WhatisBeta()?,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,39,StockBetas,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,40,TheEfficientSetforManySecurities,Consideraworldwithmanyriskyassets;wecanstillidentifytheopportunitysetofrisk-returncombinationsofvariousportfolios.,return,P,IndividualAssets,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,41,TheEfficientSetforManySecurities,Giventheopportunitysetwecanidentifytheminimumvarianceportfolio.,return,P,minimumvarianceportfolio,IndividualAssets,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,42,Thesectionoftheopportunitysetabovetheminimumvarianceportfolioistheefficientfrontier.,TheEfficientSetforManySecurities,return,P,minimumvarianceportfolio,efficientfrontier,IndividualAssets,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,43,OptimalRiskyPortfoliowithaRisk-FreeAsset,100%bonds,100%stocks,rf,return,Inadditiontostocksandbonds,consideraworldthatalsohasrisk-freesecuritieslikeT-bills.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,44,CapitalMarketLine(CML),100%bonds,100%stocks,rf,return,Balancedfund,CML,NowinvestorscanallocatetheirmoneyacrosstheT-billsandabalancedmutualfund,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,45,MarketEquilibrium,return,P,efficientfrontier,rf,M,CML,Withthecapitalallocationlineidentified,allinvestorschooseapointalongthelinesomecombinationoftherisk-freeassetandthemarketportfolioM.Inaworldwithhomogeneousexpectations,Misthesameforallinvestors.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,46,MarketEquilibrium,100%bonds,100%stocks,rf,return,OptimalRiskyPortfolio,CML,AllinvestorshavethesameCMLbecausetheyallhavethesameoptimalriskyportfoliogiventherisk-freerate.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,47,EstimationofBeta,Theoretically,thecalculationofbetaisstraightforward:ProblemsBetasmayvaryovertime.Thesamplesizemaybeinadequate.Betasareinfluencedbychangingfinancialleverageandbusinessrisk.SolutionsProblems1and2(above)canbemoderatedbymoresophisticatedstatisticaltechniques.Problem3canbelessenedbyadjustingforchangesinbusinessandfinancialrisk.Lookataveragebetaestimatesofcomparablefirmsintheindustry.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,48,EXCESSRETURNONSTOCK,EXCESSRETURNONMARKETPORTFOLIO,Beta=,RiseRun,Narrowerspreadishighercorrelation,CharacteristicLine,CharacteristicLine,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,49,MarketIndexes,DowJonesIndustrialAverage(TheDow)Valueofaportfolioholdingoneshareineachof30largeindustrialfirms.Standard&PoorsCompositeIndex(TheS&P500)Valueofaportfolioholdingsharesin500firms.Holdingsareproportionaltothenumberofsharesintheissues.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,50,CharacteristicLinesandDifferentBetas,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,51,-Rjistherequiredrateofreturnforstockj,-Rfistherisk-freerateofreturn,-bjisthebetaofstockj(measuressystematicriskofstockj),-RMistheexpectedreturnforthemarketportfolio.,Rj=Rf+j(RM-Rf),SecurityMarketLine(SML),Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,52,bM=1.0SystematicRisk(Beta),Rf,RM,RequiredReturn,RiskPremium,Risk-freeReturn,SecurityMarketLine,SecurityMarketLine-ThegraphicrepresentationoftheCAPM.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,53,ExampleLisaMilleratBasketWondersisattemptingtodeterminetherateofreturnrequiredbytheirstockinvestors.Lisaisusinga6%Rfandalong-termmarketexpectedrateofreturnof10%.Astockanalystfollowingthefirmhascalculatedthatthefirmbetais1.2.WhatistherequiredrateofreturnonthestockofBasketWonders?,DeterminationoftheRequiredRateofReturn,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,54,RBW=Rf+bj(RM-Rf)RBW=6%+1.2(10%-6%)RBW=10.8%,BWsRequiredRateofReturn,TherequiredrateofreturnexceedsthemarketrateofreturnasBWsbetaexceedsthemarketbeta(1.0).,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,55,ExampleLisaMilleratBWisalsoattemptingtodeterminetheintrinsicvalueofthestock.Sheisusingtheconstantgrowthmodel.Lisaestimatesthatthedividendnextperiodwillbe$0.50andthatBWwillgrowataconstantrateof5.8%.Thestockiscurrentlysellingfor$15.Whatistheintrinsicvalueofthestock?Isthestockoverorunderpriced?,DeterminationoftheIntrinsicValueofBW,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,56,ThestockisOVERVALUEDasthemarketprice($15)exceedstheintrinsicvalue($10).,DeterminationoftheIntrinsicValueofBW,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,57,SystematicRisk(Beta),Rf,RequiredReturn,DirectionofMovement,DirectionofMovement,StockY(Overpriced),StockX(Underpriced),SecurityMarketLine,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,58,TheseanomalieshavepresentedseriouschallengestotheCAPMtheory.Small-firmEffectPrice/EarningsEffectJanuaryEffect,DeterminationoftheRequiredRateofReturn,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,59,HistoryofEfficiencyMarketTheory,Bachelier(1900)Fama(1965)Roberts(1967)EventstudiesFama,Fisher,Jensen,andRoll(1969):1steventstudyTheorypapersbasedonEfficiencyMarketTheoryModiglianiandMiller(capitalstructure)SharpeandLintner(CAPM)BlackandScholes(1973)RecentattackBehaviorfinance,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,60,EfficiencyMarketTheory,Famasdefinitionofan“efficientmarket”“amarketinwhichpricesalwaysfullyreflectsavailableinformation.”,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,61,EfficiencyMarketTheory(cont.),Theefficientmarketshypothesisholdsthatamarketisefficientifitisimpossibletomakeeconomicprofitsbytradingonavailableinformation.Efficientmarkethypothesisrelyheavilyonthefoundationofeconomictheoryrationalandself-servinginvestorbehavior.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,62,ImplicationsofEfficientCapitalMarkets,TheEMHhasimplicationsforinvestorsandfirms.Sinceinformationisreflectedinsecuritypricesquickly,knowinginformationwhenitisreleaseddoesaninvestornogood.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Firmscannotprofitfromfoolinginvestorsinanefficientmarket.,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,63,RelationshipamongThreeDifferentInformationSets,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,64,Weak-formefficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Semi-strong-formefficiencySecuritypricesreflectallpubliclyavailableinformation.Strong-formefficiencySecuritypricesreflectallinformationpublicandprivate.,Threeformsoftheefficientmarkettheory,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,65,Weak-FormEfficiency:Marketpricesreflectallinformationcontainedinthehistoryofpastprices.Sincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.Returnsareunpredictablefrompastreturnsorotherpastvariables,andthebestforecastofthereturnisitshistoricalmean.,Weak-FormEfficiency,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,66,Semi-strong-formefficiency:Marketpricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.,Semi-strong-formEfficiency,Copyright2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/ebyVanHorneandWachowicz.SlidespreparedbyWuXiaolan,67,EventStudyResults,Overtheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarket