金融学英文课件：Chapter13 Capital Market Equilibrium

1、Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall1ObjectiveThe Theory of the CAPMUse of CAPM in benchmarking Using CAPM to determine correct rate for discountingCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall2Copyright 2009 Pearson Education, Inc. Publishing as Pr

2、entice Hall3Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall4Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall5Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall6Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall7Copyright 2009 Pears

3、on Education, Inc. Publishing as Prentice Hall8Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall9Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall10Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall11Copyright 2009 Pearson Education, Inc. Publishing

4、as Prentice Hall12Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall13Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall14ji,exemplarexemplarexemplarportfioioCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall15Copyright 2009 Pearson Education, Inc. Pub

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6、ope of CMLMfrfMMfME rrErE rrCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall21Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall22Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall23Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall24

7、2MMfE rrACopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall25 expected productivity household inter-temporal preferences for consumptionCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall26 2220.14, 0.20, 0.06,0.14 0.062.00.20MMfMfMfMME rrE rrE rrAAA Copyright 2009 Pea

8、rson Education, Inc. Publishing as Prentice Hall27Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall28Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall29Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall30Copyright 2009 Pearson Education, Inc. Publish

9、ing as Prentice Hall31 jfjMfjfjMfE rrE rrE rrE rrCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall32Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall33Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall34Copyright 2009 Pearson Education, Inc. Publishi

10、ng as Prentice Hall35Security Prices102030405060700.000 0.083 0.167 0.250 0.333 0.417 0.500 0.583 0.667 0.750 0.833 0.917 1.000YearsValueMarket_PriceStock_Z_PriceCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall36Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall37Co

11、pyright 2009 Pearson Education, Inc. Publishing as Prentice Hall38monthMkt_Price Z_Pricehpr_Mkthpr_Z050.0030.00 hpr_Mkthpr_Zannual_cont_mktannual_cont_zreg_line155.8433.8711.68%12.90%132.55%145.56%176.82%252.8733.65-5.32%-0.64%-65.59%-7.75%-64.54%358.1939.1910.07%16.47%115.15%182.98%155.62%460.3341.

12、303.66%5.38%43.19%62.90%67.97%556.9738.93-5.57%-5.74%-68.71%-70.89%-68.35%651.5234.20-9.56%-12.15% -120.56% -155.40% -131.50%752.8035.882.47%4.91%29.32%57.54%51.08%855.0438.244.24%6.56%49.83%76.22%76.06%955.7640.641.32%6.28%15.70%73.08%34.48%1062.2046.2611.55%13.83%131.12%155.46%175.09%1156.8441.01-

13、8.62%-11.34% -108.23% -144.43% -116.49%1255.3039.54-2.71%-3.58%-32.93%-43.78%-24.76%an_an_fact 1.1059341.318151mu10.07%27.62%an_cont_rate 0.100690.27623sig0.2590990.325796rho0.968777beta1.218157Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall39Regression of Returns of Z on Market -

14、200%-150%-100%-50%0%50%100%150%200%-150%-100%-50%0%50%100%150%Market ReturnReturn on ZCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall40Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall41Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall42mmzzmodl 1

15、5% 20% 12% 25% 90% 1.13Meas 10% 26% 28% 33% 97% 1.22Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall43Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall44Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall45Security Market LineMarket Portfolio-20%-15%

16、-10%-5%0%5%10%15%20%-2.0-1.5-1.0-0.50.00.51.01.52.0Beta (Risk)Expected Risk PremiumCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall46Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall47irirnrrrwrwrwinnnwwww.21221121.21, 12.22211jijirrjinirirwrwrwjiinnwwwCopyright 20

17、09 Pearson Education, Inc. Publishing as Prentice Hall48 ,22i MiMi Mii Mii MMMMifiMfE rrEr Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall49Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall50Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall51Copyr

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19、 Inc. Publishing as Prentice Hall56Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall57Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall58 You may have been asked to take part in an investment game where you given $100,000 to manage for a semester; winner takes all T

20、he overwhelming chances are that the winning student uses poor financial practicesCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall59 The criteria of success for the game differs significantly from real-life investing, so your strategy for winning is likely to be different If you di

21、versify away unsystematic risk-even if you have some kind of informational advantage over your competition-you are very unlikely to win the game To win, you need individual risk to separate you from the crowd Unlike a real investor you dont have real downside-risk your upside-potential materializes

22、only by being firstCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall60Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall6104. 10*20. 03 . 1*80. 0bondcompanycompanybondequityequitycompanywwCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall620.051.040.1

23、50.0515.4%A B CfA B CMfErrErrCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall6373. 10*40. 0*60. 004. 1bondequityequitybondequityequitycompanywwCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall64106$52.630.154 0.04Dpk gCopyright 2009 Pearson Education, Inc. Publishi

24、ng as Prentice Hall65Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall66Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall671. CAPM actually does hold, but the “market” portfolios used in the testing were incomplete and inadequate representations of the true market p

25、ortfolio.Copyright 2009 Pearson Education, Inc. Publishing as Prentice Hall682. The focus on market imperfections is not contemplated in the CAPM. Such as:borrowing costs and constraintsshort sales restrictions and costsdifferent tax treatments for various assetsThe nontradability of some important

26、assets such as human capitalCopyright 2009 Pearson Education, Inc. Publishing as Prentice Hall69Add greater realism to the modeling assumptions, while maintaining the CAPMs basic methodology.One such model is the multifactor Intertemporal Capital Asset Pricing Model (ICAPM)Copyright 2009 Pearson Education,