财务管理基础：第5章 风险与收益

1、5.1Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.5.2Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.1.Understand the

2、 relationship (or “trade-off”) between risk and return.2.Define risk and return and show how to measure them by calculating expected return, standard deviation, and coefficient of variation.3.Discuss the different types of investor attitudes toward risk. 4.Explain risk and return in a portfolio cont

3、ext, and distinguish between individual security and portfolio risk.5.Distinguish between avoidable (unsystematic) risk and unavoidable (systematic) risk and explain how proper diversification can eliminate one of these risks. 6.Define and explain the capital-asset pricing model (CAPM), beta, and th

4、e characteristic line.7.Calculate a required rate of return using the capital-asset pricing model (CAPM).8.Demonstrate how the Security Market Line (SML) can be used to describe this relationship between expected rate of return and systematic risk. 9.Explain what is meant by an “efficient financial

5、market” and describe the three levels (or forms) of market efficiency.5.3Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.定义风险和收益定义风险和收益用概率分布衡量风险用概率分布衡量风险对待风险的态度对待风险的态度投资组合中的风险和收益投资组合中的风险和收益投资分散化投资分散化资本资本资产定价模型

6、（资产定价模型（CAPM）有效的金融市场有效的金融市场5.4Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.基于所有权而收到的基于所有权而收到的现金支付现金支付加上加上市价的市价的变化变化，除以，除以初始投资价格初始投资价格，即收益率。，即收益率。+ ()R =5.5Van Horne and Wachowicz, Fundamentals of Financial

7、Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.1年以前，股票年以前，股票A的价格为每股的价格为每股10美元美元. 现在，现在，该股票以每股该股票以每股9.5美元美元被交易，股东们刚收到每被交易，股东们刚收到每股股1美元的股利美元的股利. 在过去的在过去的1年中收益率是多少？年中收益率是多少？5.6Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson E

8、ducation Limited 2009. Created by Gregory Kuhlemeyer.1年以前，股票年以前，股票A的价格为每股的价格为每股10美元美元. 现在，现在，该股票以每股该股票以每股9.5美元美元被交易，股东们刚收到每被交易，股东们刚收到每股股1美元的股利美元的股利. 在过去的在过去的1年中收益率是多少？年中收益率是多少？+ ( ) = 5.7Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Crea

9、ted by Gregory Kuhlemeyer.5.8Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. R = S S ( Ri )( Pi )R 指该资产的预期收益率指该资产的预期收益率,Ri 指第指第i种可能的预期收益率种可能的预期收益率,Pi 指该收益率发生的概率指该收益率发生的概率,n 是所有可能性的数量。是所有可能性的数量。nI = 15.9Van Ho

10、rne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.Stock BW RiPi (Ri)(Pi) -0.15 0.10 0.015 -0.03 0.20 0.006 0.09 0.40 0.036 0.21 0.20 0.042 0.33 0.10 0.033 Sum 1.00 股票股票BW的的预期收益预期收益率率, R,是是.09 或或 9%5.10Van Horne and Wa

11、chowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. = S S ( Ri R )2( Pi ), , 是一个分布对其均值的离散程度的是一个分布对其均值的离散程度的统计衡量指标。统计衡量指标。是方差的开平方是方差的开平方.注意，这里是对离散分布而言的注意，这里是对离散分布而言的。ni = 15.11Van Horne and Wachowicz, Fundamentals of Financial Ma

12、nagement, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.Stock BW RiPi (Ri)(Pi) (Ri - R )2(Pi) 0.15 0.10 0.015 0.00576 0.03 0.20 0.006 0.00288 0.09 0.40 0.036 0.00000 0.21 0.20 0.042 0.00288 0.33 0.10 0.033 0.00576 Sum 1.00 5.12Van Horne and Wachowicz, Fundamentals of Fi

13、nancial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.ni=1 = S S ( Ri R )2( Pi ) = .01728 = or 5.13Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.方差系数，该分布收益率的标准差与期望方差

14、系数，该分布收益率的标准差与期望收益率的比值。收益率的比值。它是相对风险的衡量指标。它是相对风险的衡量指标。 CV = /CV of BW = / = 1.465.14Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. 离散离散 连续连续00.0050.010.0150.020.0250.030.035-50%-41%-32%-23%-14%-5%4%13%22%31%

15、40%49%58%67%5.15Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.假设下面列出的表单代表了一项投资的总体收益假设下面列出的表单代表了一项投资的总体收益率的连续分布率的连续分布(尽管如此这里只有尽管如此这里只有10个收益率个收益率).9.6%, 15.4%, 26.7%, 0.2%, 20.9%, 28.3%, 5.9%, 3.3%, 12.2%, 10.

16、5%计算这个总体的预期收益率和标准差计算这个总体的预期收益率和标准差.5.16Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.首先输入数据，按首先输入数据，按:2nd Data 2nd CLR Work9.6 ENTER 15.4 ENTER 26.7 ENTER 注意，在这个例子中，我们只注意，在这个例子中，我们只为变量为变量X输入数据，而忽略变量输入数据，而忽略变

17、量Y。Source: Courtesy of Texas Instruments5.17Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.首先输入数据，按首先输入数据，按: 0.2 ENTER 20.9 ENTER 28.3 ENTER 5.9 ENTER 3.3 ENTER 12.2 ENTER 10.5 ENTER Source: Courtesy of Texas

18、 Instruments5.18Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.检验结果检验结果! 按按:2nd Stat10个观察值的预期收益率是个观察值的预期收益率是9% 总体标准差是总体标准差是13.32%.这样比手算快多了，但还是比这样比手算快多了，但还是比用电子表格计算要慢！用电子表格计算要慢！Source: Courtesy of Texas Instru

19、ments5.19Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.确定等值确定等值() 是指一笔确定收益的金钱是指一笔确定收益的金钱数额，在同一时点上，该确定的数额带数额，在同一时点上，该确定的数额带来的效用与带有风险的期望收益带来的来的效用与带有风险的期望收益带来的效益相同。效益相同。5.20Van Horne and Wachowicz, Fundamentals

20、 of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.确定等值确定等值 期望值期望值确定等值确定等值= 期望值期望值确定等值确定等值 期望值期望值大多数人是大多数人是.5.21Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeye

21、r.你有两个选择：你有两个选择：(1) 一笔确定的美元收益，或者一笔确定的美元收益，或者 (2)一个掷硬币的赌局，你有一个掷硬币的赌局，你有50%的机会赢得的机会赢得100000美元，另美元，另50%的机会一无所获。所以这个赌局的的机会一无所获。所以这个赌局的期望收益是期望收益是50000美元。美元。Mary要求一笔要求一笔25000美元的确定收益，或者更多，来美元的确定收益，或者更多，来放弃赌局放弃赌局。Raleigh拿拿50000美元和参加赌局一样满意美元和参加赌局一样满意。Shannon 要求至少要求至少52000美元才放弃赌局。美元才放弃赌局。5.22Van Horne and Wac

22、howicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.以上三位的风险态度趋势是怎样的？以上三位的风险态度趋势是怎样的？Mary 是是 因为她的确定等值因为她的确定等值赌局的期望价值赌局的期望价值5.23Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2

23、009. Created by Gregory Kuhlemeyer. RP = S S ( Wj )( Rj )RP 是投资组合的期望收益是投资组合的期望收益,Wj 是投资组合中第是投资组合中第j项资产的权重项资产的权重(投资比例投资比例),Rj 是第是第j项资产的期望收益项资产的期望收益,m 是投资组合中的资产数量是投资组合中的资产数量.mJ = 15.24Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created b

24、y Gregory Kuhlemeyer.mJ=1mK=1 = S SS S Wj Wk s s jk Wj 是投资组合中第是投资组合中第j项资产的权重项资产的权重(投资比例投资比例),Wk是投资组合中第是投资组合中第k项资产的权重项资产的权重(投资比例投资比例),s sjk is 是投资组合中第是投资组合中第j项资产和第项资产和第k项资产的收项资产的收益的协方差。益的协方差。5.25Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 200

25、9. Created by Gregory Kuhlemeyer.课件课件 5-26 到到 5-28 和和 5-31 到到 5-34 假设同学们已经阅读了第假设同学们已经阅读了第5章的附录章的附录A。5.26Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. jk = s s j s s k jk s sj是投资组合中第是投资组合中第j项资产项资产的的标准差标准差,s

26、sk是投资组合中第是投资组合中第k项资产的权重项资产的权重,rjk 是投资组合中第是投资组合中第j项和第项和第k项资产的项资产的相关系数。相关系数。5.27Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.一一种两个变量间线性关系的标准化统计衡种两个变量间线性关系的标准化统计衡量指标。量指标。(完全负相关完全负相关), 经经过过 (不相关不相关), 到到 (完全正相关完

27、全正相关).5.28Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.一个有三项资产的投资组合一个有三项资产的投资组合: Col 1 Col 2 Col 3Row 1W1W1s s1,1 W1W2s s1,2 W1W3s s1,3Row 2W2W1s s2,1 W2W2s s2,2 W2W3s s2,3Row 3W3W1s s3,1 W3W2s s3,2 W3W3s s

28、3,3s sj,k =是投资组合中第是投资组合中第j项资产和第项资产和第k项资产的收项资产的收益的协方差益的协方差.5.29Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.你构建了一个由股票你构建了一个由股票D和股票和股票BW构成的投资组合构成的投资组合。 你你投资了投资了 在在 在在 . 记住：记住： 的预期收益率和标准差分别为的预期收益率和标准差分别为 和和 ，

29、的的预期收益率和标准差分别为预期收益率和标准差分别为 和和 ， BW 和和 D 之间的协方差是之间的协方差是.5.30Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.WBW = $2,000/$5,000 = 0.4 = $3,000/$5,000 =RP = (WBW)(RBW) + ()() RP = (0.4)(9%) + ()()RP = (3.6%) + (

30、) = 5.31Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.两项资产的投资组合两项资产的投资组合: Col 1 Col 2Row 1WBW WBW s sBW,BW WBW WD s sBW,DRow 2 WD WBW s sD,BW WD WD s sD,D两项资产的投资组合的方差两项资产的投资组合的方差协方差矩阵。协方差矩阵。5.32Van Horne and

31、 Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.两项资产的投资组合两项资产的投资组合: Col 1 Col 2Row 1 (0.4)(0.4)(0.0173) (0.4)(0.6)(0.0105)Row 2 (0.6)(0.4)(0.0105) (0.6)(0.6)(0.0113)方差方差协方差矩阵的代入。协方差矩阵的代入。5.33Van Horne and Wachowicz, Fundam

32、entals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.两项资产的投资组合两项资产的投资组合: Col 1 Col 2Row 1 (0.0028) (0.0025)Row 2 (0.0025) (0.0041)方差方差协方差矩阵的实际元素值。协方差矩阵的实际元素值。5.34Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearso

33、n Education Limited 2009. Created by Gregory Kuhlemeyer.s sP = 0.0028 + (2)(0.0025) + 0.0041s sP = SQRT(0.0119)s sP = 0.1091 or 10.91%用各自的标准差求出加权平均是不对的！用各自的标准差求出加权平均是不对的！5.35Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregor

34、y Kuhlemeyer.像下面这样加权平均的方法是错误的像下面这样加权平均的方法是错误的:s sP = 0.4 (13.15%) + 0.6(10.65%)s sP = 5.26 + 6.39 = 11.65%10.91% = 11.65%这样不对这样不对.5.36Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. 股票股票 C 股票股票 D 投资组合投资组合 9.0

35、0% 8.00% 8.64%13.15% 10.65% 10.91% 1.46 1.33 1.26投资组合拥有投资组合拥有最低最低的变动系数，原因就是多的变动系数，原因就是多样性样性.5.37Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.不是完全正相关的证券组合起来降低了风险。不是完全正相关的证券组合起来降低了风险。TIMETIMETIME投资收益投资收益5.38V

36、an Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.是指由影响整个市场的风险因是指由影响整个市场的风险因素引起的股票或投资组合收益的风险素引起的股票或投资组合收益的风险.is是某一公司或特定行业所是某一公司或特定行业所特有的风险，而与普遍的市场变动无关。可以通特有的风险，而与普遍的市场变动无关。可以通过多样化投资，降低非系统风险。过多样化投资，降低非系统风险。= 系统风险系

37、统风险 + 5.39Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.投资组合收益的标准差投资组合收益的标准差投资组合中证券的数量投资组合中证券的数量系统风险：国家经济变动、国会的税收系统风险：国家经济变动、国会的税收改革、世界形势的改变等因素改革、世界形势的改变等因素5.40Van Horne and Wachowicz, Fundamentals of Financ

38、ial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.投资组合收益的标准差投资组合收益的标准差投资组合中证券的数量投资组合中证券的数量非系统风险：某一公司或特定行业所特非系统风险：某一公司或特定行业所特有的因素。例如一位主要执行官的死亡有的因素。例如一位主要执行官的死亡，或是丢掉了一份政府国防合同。，或是丢掉了一份政府国防合同。5.41Van Horne and Wachowicz, Fundamentals of Financial Management, 13t

39、h edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.CAPM 描述了风险和期望（要求的）收描述了风险和期望（要求的）收益间的关系益间的关系; 在这个模型中在这个模型中, 一种证券的期一种证券的期望收益等于望收益等于加上基于这种加上基于这种证券的证券的5.42Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Greg

40、ory Kuhlemeyer.1.资本市场是有效率的。资本市场是有效率的。2.一定期间内，投资者对单个证券的期望相一定期间内，投资者对单个证券的期望相同。同。3. 资产的收益率是确定的资产的收益率是确定的(用中短期国库券的利率代替用中短期国库券的利率代替).4.市场投资组合仅包含市场投资组合仅包含 (用标准普尔用标准普尔500指数代替指数代替).5.43Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gr

41、egory Kuhlemeyer.股票的超额股票的超额收益率收益率市场组合的超额收益率市场组合的超额收益率贝塔值贝塔值 =5.44Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.Time Pd.市场市场我的股票我的股票19.6%12%215.4%5%326.7%19%40.2%3%520.9%13%628.3%14%75.9%9%83.3%1%912.2%12%101

42、0.5%10%“市场市场”和和“我的股票我的股票”的的收益是指收益是指 “超超额收益额收益” ，无，无风险利率已经风险利率已经被减去了。被减去了。5.45Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.假设之前的连续分布问题表示市场组合的假设之前的连续分布问题表示市场组合的“超额收超额收益益”(它可能仍然在你的计算器它可能仍然在你的计算器数据工作表数据工作表中中 2n

43、d Data ).输入超额“市场”收益率，即 “X” 的观察值: 9.6%, 15.4%, 26.7%, 0.2%, 20.9%, 28.3%, 5.9%, 3.3%, 12.2%, 10.5%.输入超额“我的股票”收益率，即 “Y”的观察值: 12%, 5%, 19%, 3%, 13%, 14%, 9%, 1%, 12%, 10%.5.46Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory

44、Kuhlemeyer.我们再来检查一下统计结果我们再来检查一下统计结果(先按先按 2nd 然后按然后按Stat )市场期望收益率和标准差分别为市场期望收益率和标准差分别为 9% 和和 13.32%. 你的股票的期望收益率和标准差分别为你的股票的期望收益率和标准差分别为 6.8% 和和 8.76%.回归方程为回归方程为Y= a + bX. 因此，我们的特征线为因此，我们的特征线为 Y = 1.4448 + 0.595 X 而我们的股票的而我们的股票的 beta 是是 0.595.5.47Van Horne and Wachowicz, Fundamentals of Financial Mana

45、gement, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.它衡量了单个股票收益率对市场组合收它衡量了单个股票收益率对市场组合收益率变化的敏感程度。益率变化的敏感程度。一个投资组合的一个投资组合的贝塔系数贝塔系数就是对该组合就是对该组合中单个股票贝塔系数进行简单的加权平中单个股票贝塔系数进行简单的加权平均均.5.48Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Ed

46、ucation Limited 2009. Created by Gregory Kuhlemeyer.股票的超额收益率股票的超额收益率市场组合的超额收益率市场组合的超额收益率每一条特征线都有每一条特征线都有不同的斜率不同的斜率.5.49Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer. 是股票是股票j要求的预期报酬率要求的预期报酬率, 是无风险收益率是无风险收益率,(

47、衡量股票衡量股票j的系统风险的系统风险), 是市场组合的期望收益率是市场组合的期望收益率.Rj = Rf + b bj(RM Rf)5.50Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.Rj = Rf + b bj(RM Rf) = 系统风险系统风险(Beta)5.51Van Horne and Wachowicz, Fundamentals of Financial Management, 13th edition. Pearson Education Limited 2009. Created by Gregory Kuhlemeyer.贝塔的获取贝塔的获取如果过去能够很好地代表未来的期望，则可以使用如果过去能够很好地代表未来的期望，则可以使用历