公司理财（精要版）（第9版）课件 12

Chapter12SomeLessonsfromCapitalMarketHistoryMcGraw-Hill/IrwinCopyright©2010byTheMcGraw-HillCompanies,Inc.Allrightsreserved.1KeyConceptsandSkillsKnowhowtocalculatethereturnonaninvestmentUnderstandthehistoricalreturnsonvarioustypesofinvestmentsUnderstandthehistoricalrisksonvarioustypesofinvestmentsUnderstandtheimplicationsofmarketefficiency12-22ChapterOutlineReturnsTheHistoricalRecordAverageReturns:TheFirstLessonTheVariabilityofReturns:TheSecondLessonMoreaboutAverageReturnsCapitalMarketEfficiency12-33Risk,ReturnandFinancialMarketsWecanexaminereturnsinthefinancialmarketstohelpusdeterminetheappropriatereturnsonnon-financialassetsLessonsfromcapitalmarkethistoryThereisarewardforbearingriskThegreaterthepotentialreward,thegreatertheriskThisiscalledtherisk-returntrade-off12-44DollarReturnsTotaldollarreturn=incomefrominvestment+capitalgain(loss)duetochangeinpriceExample:Youboughtabondfor$950oneyearago.Youhavereceivedtwocouponsof$30each.Youcansellthebondfor$975today.Whatisyourtotaldollarreturn?Income=30+30=60Capitalgain=975–950=25Totaldollarreturn=60+25=$8512-55PercentageReturnsItisgenerallymoreintuitivetothinkintermsofpercentage,ratherthandollar,returnsDividendyield=income/beginningpriceCapitalgainsyield=(endingprice–beginningprice)/beginningpriceTotalpercentagereturn=dividendyield+capitalgainsyield12-66Example–CalculatingReturnsYouboughtastockfor$35,andyoureceiveddividendsof$1.25.Thestockisnowsellingfor$40.Whatisyourdollarreturn?Dollarreturn=1.25+(40–35)=$6.25Whatisyourpercentagereturn?Dividendyield=1.25/35=3.57%Capitalgainsyield=(40–35)/35=14.29%Totalpercentagereturn=3.57+14.29=17.86%12-77TheImportanceofFinancialMarketsFinancialmarketsallowcompanies,governmentsandindividualstoincreasetheirutilitySavershavetheabilitytoinvestinfinancialassetssothattheycandeferconsumptionandearnareturntocompensatethemfordoingsoBorrowershavebetteraccesstothecapitalthatisavailablesothattheycaninvestinproductiveassetsFinancialmarketsalsoprovideuswithinformationaboutthereturnsthatarerequiredforvariouslevelsofrisk12-88Figure12.4InsertFigure12.4here12-99Year-to-YearTotalReturnsLarge-CompanyStockReturnsLong-TermGovernmentBondReturnsU.S.TreasuryBillReturns12-1010AverageReturnsInvestmentAverageReturnLargeStocks12.3%SmallStocks17.1%Long-termCorporateBonds6.2%Long-termGovernmentBonds5.8%U.S.TreasuryBills3.8%Inflation3.1%12-1111RiskPremiumsThe“extra”returnearnedfortakingonriskTreasurybillsareconsideredtoberisk-freeTheriskpremiumisthereturnoverandabovetherisk-freerate12-1212Table12.3AverageAnnualReturnsandRiskPremiumsInvestmentAverageReturnRiskPremiumLargeStocks12.3%8.5%SmallStocks17.1%13.3%Long-termCorporateBonds6.2%2.4%Long-termGovernmentBonds5.8%2.0%U.S.TreasuryBills3.8%0.0%12-1313Figure12.9InsertFigure12.9here12-1414VarianceandStandardDeviationVarianceandstandarddeviationmeasurethevolatilityofassetreturnsThegreaterthevolatility,thegreatertheuncertaintyHistoricalvariance=sumofsquareddeviationsfromthemean/(numberofobservations–1)Standarddeviation=squarerootofthevariance12-1515Example–VarianceandStandardDeviationYearActualReturnAverageReturnDeviationfromtheMeanSquaredDeviation1.15.105.045.0020252.09.105-.015.0002253.06.105-.045.0020254.12.105.015.000225Totals.42.00.0045Variance=.0045/(4-1)=.0015StandardDeviation=.0387312-1616WorktheWebExampleHowvolatilearemutualfunds?Morningstarprovidesinformationonmutualfunds,includingvolatilityClickonthewebsurfertogototheMorningstarsitePickafund,suchastheAIMEuropeanDevelopmentfund(AEDCX)Entertheticker,pressgoandthenclick“RiskMeasures”12-1717InsertFigure12.10hereFigure12.1012-1818Figure12.11Insertfigure12.11here12-1919Arithmeticvs.GeometricMeanArithmeticaverage–returnearnedinanaverageperiodovermultipleperiodsGeometricaverage–averagecompoundreturnperperiodovermultipleperiodsThegeometricaveragewillbelessthanthearithmeticaverageunlessallthereturnsareequalWhichisbetter?ThearithmeticaverageisoverlyoptimisticforlonghorizonsThegeometricaverageisoverlypessimisticforshorthorizonsSo,theanswerdependsontheplanningperiodunderconsideration15–20yearsorless:usethearithmetic20–40yearsorso:splitthedifferencebetweenthem40+years:usethegeometric12-2020Example:ComputingAveragesWhatisthearithmeticandgeometricaverageforthefollowingreturns?Year1 5%Year2 -3%Year3 12%Arithmeticaverage=(5+(–3)+12)/3=4.67%Geometricaverage=

[(1+.05)*(1-.03)*(1+.12)]1/3–1=.0449=4.49%12-2121EfficientCapitalMarketsStockpricesareinequilibriumorare“fairly”pricedIfthisistrue,thenyoushouldnotbeabletoearn“abnormal”or“excess”returnsEfficientmarketsDONOTimplythatinvestorscannotearnapositivereturninthestockmarket12-2222Figure12.13Insertfigure12.13here12-2323WhatMakesMarketsEfficient?TherearemanyinvestorsouttheredoingresearchAsnewinformationcomestomarket,thisinformationisanalyzedandtradesaremadebasedonthisinformationTherefore,pricesshouldreflectallavailablepublicinformationIfinvestorsstopresearchingstocks,thenthemarketwillnotbeefficient12-2424CommonMisconceptions

aboutEMHEfficientmarketsdonotmeanthatyoucan’tmakemoneyTheydomeanthat,onaverage,youwillearnareturnthatisappropriatefortheriskundertakenandthereisnotabiasinpricesthatcanbeexploitedtoearnexcessreturnsMarketefficiencywillnotprotectyoufromwrongchoicesifyoudonotdiversify–youstilldon’twantto“putallyoureggsinonebasket”12-2525StrongFormEfficiencyPricesreflectallinformation,includingpublicandprivateIfthemarketisstrongformefficient,theninvestorscouldnotearnabnormalreturnsregardlessoftheinformationtheypossessedEmpiricalevidenceindicatesthatmarketsareNOTstrongformefficientandthatinsiderscouldearnabnormalreturns12-2626SemistrongFormEfficiencyPricesreflectallpubliclyavailableinformationincludingtradinginformation,annualreports,pressreleases,etc.Ifthemarketissemistrongformefficient,theninvestorscannotearnabnormalreturnsbytradingonpublicinformationImpliesthatfundamentalanalysiswillnotleadtoabnormalreturns12-2727WeakFormEfficiencyPricesreflectallpastmarketinformationsuchaspriceandvolumeIfthemarketisweakformefficient,theninvestorscannotearnabnormalreturnsbytradingonmarketinformationImpliesthattechnicalanalysiswillnotleadtoabnormalreturnsEmpiricalevidenceindicatesthatmarketsaregenerallyweakformefficient12-2828QuickQuizWhichoftheinvestmentsdiscussedhavehadthehighestaveragereturnandriskpremium?Whichoftheinvestmentsdiscussedhavehadthehigheststandarddeviation?Whatiscapitalmarketefficiency?Whatarethethreeformsofmarketefficiency?12-2929EthicsIssuesProgramtradingisdefinedasautomatedtradinggeneratedbycomputeral