课件罗斯公司理财教师手册、英文答案、课件chap011

1、AnAlternativeViewofRiskandReturnTheArbitragePricingTheory,KeyConceptsandSkills,UnderstandthedecompositionofasecuritysreturnintoexpectedandunexpectedcomponentsDiscusstherelativeimportanceofsystematicandunsystematicriskindeterminingaportfoliosreturnCompareandcontrasttheCAPMandArbitragePricingTheory,Ch

2、apterOutline,11.1FactorModels:Announcements,Surprises,andExpectedReturns11.2Risk:SystematicandUnsystematic11.3SystematicRiskandBetas11.4PortfoliosandFactorModels11.5BetasandExpectedReturns11.6TheCapitalAssetPricingModelandtheArbitragePricingTheory11.7EmpiricalApproachestoAssetPricing,ArbitragePricin

3、gTheory,Arbitragearisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,aninvestorcancreatelargepositionstosecurelargelevelsofprofit.Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear.,11.1FactorModels:Announcements,Surprises,andExpecte

4、dReturns,Thereturnonanysecurityconsistsoftwoparts.First,theexpectedreturnsSecond,theunexpectedorriskyreturnsAwaytowritethereturnonastockinthecomingmonthis:,FactorModels:Announcements,Surprises,andExpectedReturns,Anyannouncementcanbebrokendownintotwoparts,theanticipated(orexpected)partandthesurprise(

5、orinnovation):Announcement=Expectedpart+Surprise.,Theexpectedpartofanyannouncementisthepartoftheinformationthemarketusestoformtheexpectation,R,ofthereturnonthestock.Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U.,11.2Risk:SystematicandUnsystematic,Asystematicriskisanyriskthataf

6、fectsalargenumberofassets,eachtoagreaterorlesserdegree.Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Unsystematicriskcanbediversifiedaway.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.Ontheotherhand,anno

7、uncementsspecifictoasinglecompanyareexamplesofunsystematicrisk.,Risk:SystematicandUnsystematic,SystematicRisk:m,NonsystematicRisk:,n,2,Totalrisk,Wecanbreakdownthetotalriskofholdingastockintotwocomponents:systematicriskandunsystematicrisk:,11.3SystematicRiskandBetas,Thebetacoefficient,b,tellsustheres

8、ponseofthestocksreturntoasystematicrisk.IntheCAPM,bmeasurestheresponsivenessofasecuritysreturntoaspecificriskfactor,thereturnonthemarketportfolio.,Weshallnowconsiderothertypesofsystematicrisk.,SystematicRiskandBetas,Forexample,supposewehaveidentifiedthreesystematicrisks:inflation,GNPgrowth,andthedol

9、lar-eurospotexchangerate,S($,).Ourmodelis:,SystematicRiskandBetas:Example,Supposewehavemadethefollowingestimates:bI=-2.30bGNP=1.50bS=0.50Finally,thefirmwasabletoattracta“superstar”CEO,andthisunanticipateddevelopmentcontributes1%tothereturn.,SystematicRiskandBetas:Example,Wemustdecidewhatsurprisestoo

10、kplaceinthesystematicfactors.Ifitwerethecasethattheinflationratewasexpectedtobe3%,butinfactwas8%duringthetimeperiod,then:FI=Surpriseintheinflationrate=actualexpected=8%3%=5%,SystematicRiskandBetas:Example,IfitwerethecasethattherateofGNPgrowthwasexpectedtobe4%,butinfactwas1%,then:FGNP=Surpriseinthera

11、teofGNPgrowth=actualexpected=1%4%=3%,SystematicRiskandBetas:Example,Ifitwerethecasethatthedollar-eurospotexchangerate,S($,),wasexpectedtoincreaseby10%,butinfactremainedstableduringthetimeperiod,then:FS=Surpriseintheexchangerate=actualexpected=0%10%=10%,SystematicRiskandBetas:Example,Finally,ifitwere

12、thecasethattheexpectedreturnonthestockwas8%,then:,11.4PortfoliosandFactorModels,Nowletusconsiderwhathappenstoportfoliosofstockswheneachofthestocksfollowsaone-factormodel.WewillcreateportfoliosfromalistofNstocksandwillcapturethesystematicriskwitha1-factormodel.Theithstockinthelisthasreturn:,Relations

13、hipBetweentheReturnontheCommonFactor&ExcessReturn,Excessreturn,ThereturnonthefactorF,Ifweassumethatthereisnounsystematicrisk,thenei=0.,RelationshipBetweentheReturnontheCommonFactor&ExcessReturn,Excessreturn,ThereturnonthefactorF,Ifweassumethatthereisnounsystematicrisk,thenei=0.,RelationshipBetweenth

14、eReturnontheCommonFactor&ExcessReturn,Excessreturn,ThereturnonthefactorF,Differentsecuritieswillhavedifferentbetas.,PortfoliosandDiversification,Weknowthattheportfolioreturnistheweightedaverageofthereturnsontheindividualassetsintheportfolio:,PortfoliosandDiversification,Thereturnonanyportfolioisdete

15、rminedbythreesetsofparameters:,Inalargeportfolio,thethirdrowofthisequationdisappearsastheunsystematicriskisdiversifiedaway.,PortfoliosandDiversification,Sothereturnonadiversifiedportfolioisdeterminedbytwosetsofparameters:Theweightedaverageofexpectedreturns.TheweightedaverageofthebetastimesthefactorF

16、.,Inalargeportfolio,theonlysourceofuncertaintyistheportfoliossensitivitytothefactor.,11.5BetasandExpectedReturns,Thereturnonadiversifiedportfolioisthesumoftheexpectedreturnplusthesensitivityoftheportfoliotothefactor.,RelationshipBetweenb&ExpectedReturn,Ifshareholdersareignoringunsystematicrisk,onlyt

17、hesystematicriskofastockcanberelatedtoitsexpectedreturn.,RelationshipBetweenb&ExpectedReturn,Expectedreturn,b,A,B,C,D,SML,11.6TheCapitalAssetPricingModelandtheArbitragePricingTheory,APTappliestowelldiversifiedportfoliosandnotnecessarilytoindividualstocks.WithAPTitispossibleforsomeindividualstockstob

18、emispriced-notlieontheSML.APTismoregeneralinthatitgetstoanexpectedreturnandbetarelationshipwithouttheassumptionofthemarketportfolio.APTcanbeextendedtomultifactormodels.,11.7EmpiricalApproachestoAssetPricing,BoththeCAPMandAPTarerisk-basedmodels.Empiricalmethodsarebasedlessontheoryandmoreonlookingforsomeregularitiesinthehistoricalrecord.Beawarethatcorrelationdoesnotimplycausality.Relatedtoempirical