英文版公司理财课件

1、1,Chapter 10,Introduction to risk, return, and the opportunity cost of capital,2,Objectives,Estimate the opportunity cost of capital for an “average-risk” project Calculate the standard deviation of return for individual common stocks or for a stock portfolio Understand why diversification reduces r

2、isk Distinguish between unique risk, which can be diversified away, and market risk which cannot,3,Content,Rates of return: a review A century of capital market history Measuring risk Risk and diversification Thinking about risk,4,Percentage return: 收益率 Dividend yield: 股利收益率 Capital gain: 资本利得 Capit

3、al loss: 资本损失 Real rate of return: 实际收益率 Nominal rate of return: 名义收益率 Inflation rate: 通胀率,5,When investors buy a stock or a bond, their return comes in two forms: (1) A dividend or interest payment and (2) A capital gain or a capital loss,6,Where: rt =actual, expected, or required rate of return du

4、ring period t; Dt: cash received from the asset investment in the time period t-1 to t; Pt: price (value ) of asset at time t; Pt-1: price ( value ) of asset at time t-1, initial price,7,problem,Suppose you bought 100 shares of Wal-Mart (WMT) one year ago today at $25. Over the last year, you receiv

5、ed $20 in dividends (20 cents per share 100 shares). At the end of the year, the stock sells for $30. How did you do?,8,Quite well. You invested $25 100 = $2,500. At the end of the year, you have stock worth $3,000 and cash dividends of $20. Your dollar gain was $520 = $20 + ($3,000 $2,500). Your pe

6、rcentage gain for the year is:,9,Content,Rates of return: a review A century of capital market history Measuring risk Risk and diversification Thinking about risk,10,Market index: 市场指数 Dow Jones Industrial Average: 道琼斯工业股票平均价格指数 Standard high or low returns for Treasury bonds and bills are much less

7、 common. Investors in Treasury bonds and bills could be much more confident of the outcome than common stockholders,24,If we knew all the possible outcomes and associated probabilities, a continuous probability distribution could be developed. This type of distribution can be thought of as a bar cha

8、rt (histogram), for a very large number of outcomes.,Continuous probability distribution,25,Variance and standard deviation,Investment risk depends on the dispersion 分散 or spread of possible outcomes The standard measures are variance and standard deviation Variance: average value of squared deviati

9、ons离差 from mean (均值). A measure of volatility 分散性 Standard deviation: square root of variance. Another measure of volatility,26,27,rt=return for the ith outcomeprt= probability of occurrence of the ith outcome n= number of outcomes considered,28,Self test 10.4,29,The larger the standard deviation, t

10、he more variable are an investments returns and riskier is the investment. A standard deviation of zero indicates no variability and thus no risk.,30,Measuring the variation in stock returns,When estimating the spread of possible outcomes from investing in the stock market, most financial analysts s

11、tart by assuming that the spread of returns in the past is a reasonable indication of what could happen in the future. Therefore, they calculate the standard deviation of past returns,31,32,You may find it interesting to compare the coin-tossing game and the stock market as alternative investments.

12、The stock market generated an average annual return of 4.18 percent with a standard deviation of 19.54 percent. The game offers 10 and 21 percent, respectivelyslightly lower return and about the same variability.,33,As expected, Treasury bills were the least variable security, and small-firm stocks

13、were the most variable. Government and corporate bonds hold the middle ground.,34,You have estimated the following probability distributions of expected future returns for stocks X and Y:,A. what is the expected rate of return for Stock X? Y? B. What is the SD of expected returns for Stock X? Y? C.

14、Which stock would you consider to be riskier? Why?,35,expected rate of return for Stock X=18% expected rate of return for Stock Y=18% Stock X appears riskier than Stock Y because possible returns from X are more variable, measured by its standard deviation of 13.91 percent, than those from Stock Y,

15、which have a standard deviation of only 5.06 percent,36,Content,Rates of return: a review A century of capital market history Measuring risk Risk and diversification Thinking about risk,37,Diversification: 分散投资 Portfolio: 投资组合 Unique risk or diversifiable risk: 特有风险或可分散风险 Market risk or systematic r

16、isk: 市场风险或系统风险,38,Risk is best judged in a portfolio context 环境 . Most investors do not put all their eggs into one basket: They diversify. Thus the effective risk of any security cannot be judged by an examination of that security alone. Part of the uncertainty about the securitys return is diversi

17、fied away when the security is grouped with others in a portfolio.,39,Do these standard deviations look high to you?,40,Diversification,The market portfolio is made up of individual stocks, why isnt its variability equal to the average variability of its components?,Diversification reduces variabili

18、ty,Diversification: strategy designed to reduce risk by spreading the portfolio across many investments,41,Notice that diversification reduces risk rapidly atfirst, then more slowly.,Even a little diversification can provide a substantial reduction in variability.,42,Suppose you calculate and compar

19、e the standard deviations of randomly chosen one-stock portfolios, two-stock portfolios, five-stock portfolios, etc. A high proportion of the investments would be in the stocks of small companies and individually very risky. However, you can see from Figure that diversification can cut the variabili

20、ty of returns about in half. Notice also that you can get most of this benefit with relatively few stocks: The improvement is slight when the number of securities is increased beyond, say, 20 or 30.,43,Portfolio diversification works because prices of different stocks do not move exactly together. D

21、iversification works best when the returns are negatively correlated.,44,Asset versus portfolio risk,The expected return on each stock is simply the average of the three possible outcomes. The variance is the average of the squared deviations from the expected return, and the standard deviation is t

22、he square root of the variance,45,46,47,1. Investors care about the expected return and risk of their portfolio of assets. The risk of the overall portfolio can be measured by the volatility of returns, that is, the variance or standard deviation,Summary,48,Summary,2. The standard deviation of the r

23、eturns of an individual security measures how risky that security would be if held in isolation. But an investor who holds a portfolio of securities is interested only in how each security affects the risk of the entire portfolio. The contribution of a security to the risk of the portfolio depends o

24、n how the securitys returns vary with the investors other holdings. Thus a security that is risky if held in isolation may nevertheless serve to reduce the variability of the portfolio if its returns do not move in lockstep(步伐一致)with the rest of the portfolio,49,Diversification reduces the spread of

25、 returns,50,Market risk versus unique risk,Diversification reduces risk rapidly at first and then more slowly,51,Diversification eliminates unique risk. But there is some risk that diversification cannot eliminate. This is called market risk,52,Unique risk,Unique risk : risk factors affecting only t

26、hat firm. Also called diversifiable risk. Unique risk arises because many of the perils that surround an individual company are peculiar to that company and perhaps its direct competitors,53,Market risk: economywide (macroeconomic) sources of risk that affect the overall stock market. Also called systematic risk. Market risk stems from economywide perils that threaten all business. Market risk explains why stocks have a tendency to move together, so even well-diversified portfolios are exposed to market mov