第二章证券投资风险和收益(证券投资学-北大,杨云红)ppt课件

1、第二章 证券投资风险和收益.报答和风险的定义投资者制定投资目的应思索报答和风险投资者厌恶风险，承当风险需求补偿不同的投资者对风险厌恶程度不一样，怎样描写不同投资者对收益-风险之间的权衡关系市场给出收益-风险之间的公平关系-市场定价.1. 报答率的定义报答率是对证券表现的一种度量。总报答率(持有期收益率HPR(holding period return)假设红利在持有期末支付.Example: buy share at $50, at end of year it is worth $55 and pays $2 dividendGross Return=.净报答率净报答率=收入收益+资本利得.

2、HPR provides a useful device for simplifying the complex reality of investment analysis. Although no panacea, it allows an analyst to focus on the most relevant horizon in a given situation and offers a good measure of performance over such a period.多期报答率和复利例子：一种股票现价为46元，假设一年后价钱为50元，两年后价钱为56元；在第一年中红

3、利为1.5元，第二年中红利为2元，假设每次分红都在年末进展，求这种股票在这两年中的持有期收益率HPR，以及以复利计算时的每年持有期收益率HPR。.假设红利支付后马上投资.几何平均与算术平均. 2. 证券投资的风险风险是指未来的不确定性没有风险就没有股市2001年下半年以来的中国股市2001年9.111987年10月19日，被称为“黑色星期一 DJIA 下跌了22.6%(508点 .近八年中国股市. NASDAQ指数曾高达5100多点，2002/10/2不到1200！ . 微软为绩优股，但股价已较2000年高位下跌约六成！ . LUCENT 2002/10/2股价仅$0.75，不及1999年高位

4、的1%！ .证券投资的风险例子：下一年他有5000块钱用于投资，投资一年，有六种投资时机供选择：130天到期、如今年收益率为6%的货币市场基金2一年定期存款，利率为7.5%310年期长期国债，每年收益为9%4一种股票，现价10元/股，下一年的预期股价为11.2元/股，且估计红利为0.2元5一人向他借钱，期限一年，利率15% (6以8.4元人民币兑1美圆买外汇.证券投资的收益和风险问题他投资在哪种证券有哪些风险如何度量风险假设该股票下一年的预期价钱为10元，他能否会投资该股票投资者如何决策.证券投资风险风险的来源运营风险(Business risk)财务风险(Financial risk) 流动

5、风险(Liquidity risk)违约风险(Default risk)利率风险通货膨胀风险国家经济情况系统风险与非系统风险.收益和风险的例子一支股票，现价100元/股，预期在接下来的一年中的红利为4元，一年后的价钱预期为下表所示，无风险利率为6%state of the economy probability ending price HPRboom 0.25 140元 44%normal growth 0.50 110元 14%recession 0.25 80元 -16%. 对风险证券收益的度量期望报答率 (expected return)样本均值The record of past r

6、ates of return is one possible source of information about expected return. 由于我们无法知道未来，所以用样本均值来估计期望报答率. 实现报答率 (realized return)风险酬金(risk premium)与超额报答率(excess return).例子：风险酬金(risk premium)与超额报答率(excess return)一支股票，现价100元/股，预期在接下来的一年中的红利为4元，一年后的价钱预期为下表所示，无风险利率为6%state of the economy probability endin

7、g price HPRboom 0.25 140元 44%normal growth 0.50 110元 14%recession 0.25 80元 -16%.对风险证券风险的度量方差、规范差样本方差The record of past rates of return is one possible source of information about variance.由于我们无法知道未来，所以用样本方差来估计方差.We should stress that variability of HPR in the past can be an unreliable guide to risk,

8、 at least in the case of the risk-free asset.For risk-free asset, the variance is zero, but the sample variance is not zero. This reflects variation over time in expected returns rather than fluctuations of actual returns around prior expectations. .最大、最小值之差频率分布.作业：计算我国股市的报答率和风险目的：使得我们对各种能够投资的表现有一个合

9、理的预期。要求：把股票分成大、中、小三个板快分别计算报答率和风险按照样本均值、最大和最小值、分布频率分别计算报答率.VaR (Value at Risk)the expected maximum loss (or worst loss) over a target horizon within a given confidence interval.例子HPR的方差HPR的规范差.Annual rates of return, 1926-1999.The trade-off between risk and return普通来说，高收益伴随着高风险The equity premium for

10、the market of U.S. from 1926-2002 is 5.9% .W = 100W1 = 150 Profit = 50W2 = 80 Profit = -20p = .61-p = .4E(W) = pW1 + (1-p)W2 = 6 (150) + .4(80) = 122s2 = pW1 - E(W)2 + (1-p) W2 - E(W)2 =.6 (150-122)2 + .4(80=122)2 = 1,176,000s = 34.293Example: Risk - Uncertain Outcomes.W1 = 150 Profit = 50W2 = 80 Pr

11、ofit = -20p = .61-p = .4100Risky Inv.Risk Free T-billsProfit = 5Risk Premium = 17Example: Risky Investments with Risk-Free Investment.The question of whether a given risk premium provides adequate compensation for the investments risk is age-old. One of central concerns of finance theory is the meas

12、urement of risk and the determination of the risk premiums that investors can expect of risky assets in well-function capital markets. 投资者的选择方式投资者的成效函数例子最大化成效函数.5.1 风险厌恶例子: a lottery where you will either receive $50,000 if a coin lands heads and lose $20,000 if it lands tails compare this with gett

13、ing $15,000 for suremost people would prefer the sure $15,000: both choices offer an expected reward of $15,000 but one of them also has risk, which we dislikeif the sure thing reward was only $10,000, you might choose the lottery instead.Risk averse.Stock offer higher average returns than bonds bec

14、ause:People are risk averse: to be willing to hold a risky security they must receive higher expected return as a reward for doing so.The additional average returns from stocks should reflect the greater riskiness of stocks.Finance theory says:Average returns over long periods of time are determined

15、 by risk.How much extra return do we need to be compensated for the additional risk?Is the 6% equity premium enough? Is it too much?Equity premium puzzleEconomist have had trouble justifying a premium as big as 6% on the basis of risk.成效 财富.5.2风险便好例子.5.3 风险中性例子.5.4 风险逃避者的无差别曲线当资产的报答率 服从以 为均值，以 为规范差的

16、正态分布时，风险厌恶者的报答与风险之间的边沿替代率是正的，无差别曲线是凸的，并且，位于更西北方向的无差别曲线的成效更高。例子： .图1：风险逃避者的无差别曲线.不同风险厌恶程度.无差别曲线不能相交.假设：一切风险厌恶者的无差别曲线如图1所示，在均值-规范差平面上，为严厉增的凸函数，并且，越在西北方向的无差别曲线，其成效越高。.6. Asset risk and portfolio riskInvestors must take account of the interplay between asset returns when evaluating the risk of a portfol

17、ioThe risk of individual asset in a portfolio must be measured in the context of the effect of their return on overall portfolio variability.ExampleBest Candy stockSugarKane stockNormal Year for SugarAbnormal YearBullish Stock MarketBearish Stock MarketSugar CrisisProbabilityRate of return2

18、5%10%-25%Normal Year for SugarAbnormal YearBullish Stock MarketBearish Stock MarketSugar CrisisProbabilityRate of return13%2.5%35%.The reward and risk of three alternative (the rate of return of T-bills is 5%)PortfolioExpected ReturnStandard DeviationAll in Best Candy10.05%18.9%Half in T-bi

19、lls7.75%9.45%Half in SugarKane8.25%4.83%.7. 证券定价方法个人定价(Personal Valuation)这种定价在只需一种证券时是正确的。 例如，宠物的价钱市场定价(Market Valuation)A security need not and should not be valued without considering available alternatives. Current market values of other securities provide important information, because a securi

20、ty is seldom so unique that nothing else is comparable. Security valuation should not be done in a vacuum, it should instead be performed in a market context.-W. F. Sharpe, etc.定价是相对的.保险中的例子： 假设一种人身保险，对象为60岁安康的老人：假设从投保之日起，在一年之内被投保人去世，保险公司支付投保人100000元，否那么，保险公司不支付任何款项。这种险种的价钱为2300元。如今，某公司60岁的总裁向他贷款，条件

21、是，假设一年后他还健在，他支付给他100000元，否那么，他回收不了任何贷款。问题是，他究竟应该贷多少给这位总裁。. 代表这位总裁答应支付给他100000元的这份协议，其实是他购买的一份证券，从这个角度来看，问题变成，这份证券的价钱为多少？.由无套利原理，这个价钱显然依赖于市场上已有的证券：保险公司的保险和无风险利率。作为投资者，他将利用套期保值来对冲投资的风险。假设无风险利率为=8%。他贷款给公司总裁即，他以价钱买了一份证券，再花2300元给这位总裁买一份保险。一年后，假设这位总裁去世，他不能追回任何贷款，但他得到保险公司的赔偿100000元。假设这位总裁健在，保险公司不会支付任何赔偿，但他

22、按照协议从这位总裁处得到100000元。所以，无论哪种情况发生，他都会得到100000元。这正是金融学方法论的本质所在：利用知价钱证券来模拟未知价钱，以到达定价之目的。.下表列出了本例中套期保值的过程。证券 不确定事件总裁去世 总裁健在 本钱贷款 0 100000元 P保险 100000元 0 2300元总和 100000元 100000元 92592.59元由无风险利率，无风险证券组合如今的价钱为92592.59元。由此，他如今贷款为 P =90292.59元。.证券市场定价定价公式资产价钱运动的缘由为了定价我们需求现金流需求报答率.折现值公式 =riskless nominal interest rate+risk premium =real interest rate +expected inflation+risk premium 称为折现率期望报答率需求报答率.股价运动的缘由未来红利的预期值发生变化现金流折现率发生变化无风险利率风险酬金风险量变化投资者需求的每单位风险补偿发生变化风险价钱.Understanding the effect of economic reportsBonds and Inflationif news comes out that inflation is higher than expected, b