投资学英文课件：Chap009 The Capital Asset Pricing Model

1、Investments, 8th editionBodie, Kane and MarcusMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies, Inc. All rights reserved.9-2 It is the equilibrium model that underlies all modern financial theory Derived using principles of diversification with simplified assumptions Markowitz, Sharpe, L

2、intner and Mossin are researchers credited with its developmentCapital Asset Pricing Model (CAPM)9-3 Individual investors are price takers Single-period investment horizon Investments are limited to traded financial assets No taxes and transaction costsAssumptions9-4 Information is costless and avai

3、lable to all investors Investors are rational mean-variance optimizers There are homogeneous expectationsAssumptions Continued9-5 All investors will hold the same portfolio for risky assets market portfolio Market portfolio contains all securities and the proportion of each security is its market va

4、lue as a percentage of total market valueResulting Equilibrium Conditions9-6 Risk premium on the market depends on the average risk aversion of all market participants Risk premium on an individual security is a function of its covariance with the marketResulting Equilibrium Conditions Continued9-7F

5、igure 9.1 The Efficient Frontier and the Capital Market Line9-8Market Risk PremiumThe risk premium on the market portfolio will be proportional to its risk and the degree of risk aversion of the investor:22()where is the variance of the market portolio and is the average degree of risk aversion acro

6、ss investorsMfMME rrAA9-9 The risk premium on individual securities is a function of the individual securitys contribution to the risk of the market portfolio An individual securitys risk premium is a function of the covariance of returns with the assets that make up the market portfolioReturn and R

7、isk For Individual Securities9-10Using GE Text Example Covariance of GE return with the market portfolio: Therefore, the reward-to-risk ratio for investments in GE would be:11(,),( ,)nnGEMGEk kkkGEkkCov rrCov rw rw Cov r r()()GEs contribution to risk premiumGEs contribution to variance(,)(,)GEGEfGEf

8、GEGEMGEMwE rrE rrw Cov rrCov rr9-11Using GE Text Example Continued Reward-to-risk ratio for investment in market portfolio: Reward-to-risk ratios of GE and the market portfolio: And the risk premium for GE:2()Market risk premiumMarket varianceMfME rr2()()(,)GEfMfGEMME rrE rrCov rr2(,)()()GEMGEfMfMCo

9、v rrE rrE rr9-12Expected Return-Beta Relationship CAPM holds for the overall portfolio because: This also holds for the market portfolio:P()( ) andPkkkkkkE rw E rw()()MfMMfE rrE rr9-13Figure 9.2 The Security Market Line9-14Figure 9.3 The SML and a Positive-Alpha Stock9-15The Index Model and Realized

10、 Returns To move from expected to realized returnsuse the index model in excess return form: The index model beta coefficient turns out to be the same beta as that of the CAPM expected return-beta relationshipiiiMiRRe9-16Figure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-19919-17The CAPM an

11、d Reality Is the condition of zero alphas for all stocks as implied by the CAPM metNot perfect but one of the best available Is the CAPM testableProxies must be used for the market portfolio CAPM is still considered the best available description of security pricing and is widely accepted9-18Econome

12、trics and the Expected Return-Beta Relationship It is important to consider the econometric technique used for the model estimated Statistical bias is easily introducedMiller and Scholes paper demonstrated how econometric problems could lead one to reject the CAPM even if it were perfectly valid9-19

13、Extensions of the CAPM Zero-Beta ModelHelps to explain positive alphas on low beta stocks and negative alphas on high beta stocks Consideration of labor income and non-traded assets Mertons Multiperiod Model and hedge portfoliosIncorporation of the effects of changes in the real rate of interest and

14、 inflation9-20Extensions of the CAPM Continued A consumption-based CAPM Models by Rubinstein, Lucas, and Breeden Investor must allocate current wealth between todays consumption and investment for the future9-21Liquidity and the CAPM Liquidity Illiquidity Premium Research supports a premium for illiquidity.Amihud and MendelsonAcharya and Pedersen9-22Figure 9.5 The Relationship Between Illiquidity and Average Returns9-23Three Elements of Liquidity Sensitivity of security