公司理财罗斯英文原书第九版第十一章课件

1、公司理财罗斯英文原书第九版第十一章,Return and Risk: The Capital Asset Pricing Model,Chapter 11,Copyright 2010 by the McGraw-Hill Companies, Inc. All rights reserved.,McGraw-Hill/Irwin,公司理财罗斯英文原书第九版第十一章,Key Concepts and Skills,Know how to calculate expected returns Know how to calculate covariances, correlations, and

2、 betas Understand the impact of diversification Understand the systematic risk principle Understand the security market line Understand the risk-return tradeoff Be able to use the Capital Asset Pricing Model,公司理财罗斯英文原书第九版第十一章,Chapter Outline,11.1 Individual Securities 11.2 Expected Return, Variance,

3、 and Covariance 11.3 The Return and Risk for Portfolios 11.4 The Efficient Set for Two Assets 11.5 The Efficient Set for Many Assets 11.6 Diversification 11.7 Riskless Borrowing and Lending 11.8 Market Equilibrium 11.9 Relationship between Risk and Expected Return (CAPM),公司理财罗斯英文原书第九版第十一章,11.1 Indiv

4、idual Securities,The characteristics of individual securities that are of interest are the: Expected Return Variance and Standard Deviation Covariance and Correlation (to another security or index),公司理财罗斯英文原书第九版第十一章,11.2 Expected Return, Variance, and Covariance,Consider the following two risky asse

5、t world. There is a 1/3 chance of each state of the economy, and the only assets are a stock fund and a bond fund.,公司理财罗斯英文原书第九版第十一章,Expected Return,公司理财罗斯英文原书第九版第十一章,Expected Return,公司理财罗斯英文原书第九版第十一章,Variance,公司理财罗斯英文原书第九版第十一章,Variance,公司理财罗斯英文原书第九版第十一章,Standard Deviation,公司理财罗斯英文原书第九版第十一章,Covarian

6、ce,“Deviation” compares return in each state to the expected return.,“Weighted” takes the product of the deviations multiplied by the probability of that state.,公司理财罗斯英文原书第九版第十一章,Correlation,公司理财罗斯英文原书第九版第十一章,11.3 The Return and Risk for Portfolios,Note that stocks have a higher expected return than

7、 bonds and higher risk. Let us turn now to the risk-return tradeoff of a portfolio that is 50% invested in bonds and 50% invested in stocks.,公司理财罗斯英文原书第九版第十一章,Portfolios,The rate of return on the portfolio is a weighted average of the returns on the stocks and bonds in the portfolio:,公司理财罗斯英文原书第九版第十

8、一章,Portfolios,The expected rate of return on the portfolio is a weighted average of the expected returns on the securities in the portfolio.,公司理财罗斯英文原书第九版第十一章,Portfolios,The variance of the rate of return on the two risky assets portfolio is,where BS is the correlation coefficient between the return

9、s on the stock and bond funds.,公司理财罗斯英文原书第九版第十一章,Portfolios,Observe the decrease in risk that diversification offers. An equally weighted portfolio (50% in stocks and 50% in bonds) has less risk than either stocks or bonds held in isolation.,公司理财罗斯英文原书第九版第十一章,11.4 The Efficient Set for Two Assets,We

10、 can consider other portfolio weights besides 50% in stocks and 50% in bonds.,100% bonds,100% stocks,公司理财罗斯英文原书第九版第十一章,The Efficient Set for Two Assets,100% stocks,100% bonds,Note that some portfolios are “better” than others. They have higher returns for the same level of risk or less.,公司理财罗斯英文原书第九

11、版第十一章,Portfolios with Various Correlations,100% bonds,return,100% stocks, = 0.2, = 1.0, = -1.0,Relationship depends on correlation coefficient -1.0 r +1.0 If r = +1.0, no risk reduction is possible If r = 1.0, complete risk reduction is possible,公司理财罗斯英文原书第九版第十一章,11.5 The Efficient Set for Many Secu

12、rities,Consider a world with many risky assets; we can still identify the opportunity set of risk-return combinations of various portfolios.,return,P,Individual Assets,公司理财罗斯英文原书第九版第十一章,The Efficient Set for Many Securities,The section of the opportunity set above the minimum variance portfolio is t

13、he efficient frontier.,return,P,minimum variance portfolio,efficient frontier,Individual Assets,公司理财罗斯英文原书第九版第十一章,Announcements, Surprises, and Expected Returns,The return on any security consists of two parts. First, the expected returns Second, the unexpected or risky returns A way to write the re

14、turn on a stock in the coming month is:,公司理财罗斯英文原书第九版第十一章,Announcements, Surprises, and Expected Returns,Any announcement can be broken down into two parts, the anticipated (or expected) part and the surprise (or innovation): Announcement = Expected part + Surprise.,公司理财罗斯英文原书第九版第十一章,Diversification

15、 and Portfolio Risk,Diversification can substantially reduce the variability of returns without an equivalent reduction in expected returns. This reduction in risk arises because worse than expected returns from one asset are offset by better than expected returns from another. However, there is a m

16、inimum level of risk that cannot be diversified away, and that is the systematic portion.,公司理财罗斯英文原书第九版第十一章,Portfolio Risk and Number of Stocks,Nondiversifiable risk; Systematic Risk; Market Risk,Diversifiable Risk; Nonsystematic Risk; Firm Specific Risk; Unique Risk,n,In a large portfolio the varia

17、nce terms are effectively diversified away, but the covariance terms are not.,Portfolio risk,公司理财罗斯英文原书第九版第十一章,Risk: Systematic and Unsystematic,A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree. An unsystematic risk is a risk that specifically a

18、ffects a single asset or small group of assets. Unsystematic risk can be diversified away. Examples of systematic risk include uncertainty about general economic conditions, such as GNP, interest rates or inflation. On the other hand, announcements specific to a single company are examples of unsyst

19、ematic risk.,公司理财罗斯英文原书第九版第十一章,Total Risk,Total risk = systematic risk + unsystematic risk The standard deviation of returns is a measure of total risk. For well-diversified portfolios, unsystematic risk is very small. Consequently, the total risk for a diversified portfolio is essentially equivalen

20、t to the systematic risk.,公司理财罗斯英文原书第九版第十一章,Optimal Portfolio with a Risk-Free Asset,In addition to stocks and bonds, consider a world that also has risk-free securities like T-bills.,100% bonds,100% stocks,rf,return,公司理财罗斯英文原书第九版第十一章,11.7 Riskless Borrowing and Lending,Now investors can allocate th

21、eir money across the T-bills and a balanced mutual fund.,100% bonds,100% stocks,rf,return,Balanced fund,CML,公司理财罗斯英文原书第九版第十一章,Riskless Borrowing and Lending,With a risk-free asset available and the efficient frontier identified, we choose the capital allocation line with the steepest slope.,return,P

22、,efficient frontier,rf,CML,公司理财罗斯英文原书第九版第十一章,11.8 Market Equilibrium,With the capital allocation line identified, all investors choose a point along the linesome combination of the risk-free asset and the market portfolio M. In a world with homogeneous expectations, M is the same for all investors.,

23、return,P,efficient frontier,rf,M,CML,公司理财罗斯英文原书第九版第十一章,Market Equilibrium,Where the investor chooses along the Capital Market Line depends on her risk tolerance. The big point is that all investors have the same CML.,100% bonds,100% stocks,rf,return,Balanced fund,CML,公司理财罗斯英文原书第九版第十一章,Risk When Hold

24、ing the Market Portfolio,Researchers have shown that the best measure of the risk of a security in a large portfolio is the beta (b)of the security. Beta measures the responsiveness of a security to movements in the market portfolio (i.e., systematic risk).,公司理财罗斯英文原书第九版第十一章,Estimating b with Regres

25、sion,Security Returns,Return on market %,Ri = a i + biRm + ei,公司理财罗斯英文原书第九版第十一章,The Formula for Beta,Clearly, your estimate of beta will depend upon your choice of a proxy for the market portfolio.,公司理财罗斯英文原书第九版第十一章,11.9 Relationship between Risk and Expected Return (CAPM),Expected Return on the Market:,Expected return on an individu