公司理财-罗斯Ch09最新版本

1、.9-0CHAPTER9Capital Market Theory: An Overview.9-1Chapter Outline9.1 Returns9.2 Holding-Period Returns9.3 Return Statistics9.4 Average Stock Returns and Risk-Free Returns9.5 Risk Statistics9.6 Summary and Conclusions.9-29.1 ReturnsDollar Returnsthe sum of the cash received and the change in value of

2、 the asset, in dollars.Time01Initial investmentEnding market valueDividendsPercentage Returnsthe sum of the cash received and the change in value of the asset divided by the original investment.9-39.1 ReturnsDollar Return = Dividend + Change in Market Valueyield gains capitalyield dividend+=uemarket

3、 val beginninguemarket valin change dividend +=uemarket val beginningreturndollar return percentage=.9-49.1 Returns: ExampleSuppose you bought 100 shares of Wal-Mart (WMT) one year ago today at $25. Over the last year, you received $20 in dividends (= 20 cents per share 100 shares). At the end of th

4、e year, the stock sells for $30. How did you do?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 percentage gain for the year is20.8% = $2,500$520.9-59.1 Returns: ExampleDo

5、llar Return:$520 gainTime01-$2,500$3,000$20Percentage Return:20.8% = $2,500$520.9-69.2 Holding-Period ReturnsThe holding period return is the return that an investor would get when holding an investment over a period of n years, when the return during year i is given as ri:1)1 ()1 ()1 (return period

6、 holding21+=nrrrEnding Market value = Beginning Market Value (1 + Holding-Period Return).9-7Geometric Mean Return versus Geometric Mean Return versus Arithmetic Mean ReturnArithmetic Mean Return.9-8Holding Period Return: ExampleSuppose your investment provides the following returns over a four-year

7、period:Year Return110%2-5%320%415%21.444421.1)15. 1 ()20. 1 ()95(.)10. 1 (1)1 ()1 ()1 ()1 (return period holdingYour 4321=+=rrrr.9-9Holding Period Return: ExampleAn investor who held this investment would have actually realized an annual return of 9.58%:So, our investor made 9.58% on his money for f

8、our years, realizing a holding period return of 44.21%Year Return110%2-5%320%415%58. 9095844.1)15. 1 ()20. 1 ()95(.)10. 1 ()1 ()1 ()1 ()1 ()1 (return average Geometric443214=+=+=ggrrrrrr4)095844. 1 (4421. 1=.9-10Holding Period Return: ExampleNote that the geometric average is not the same thing as t

9、he arithmetic average:Year Return110%2-5%320%415%104%15%20%5%104return average Arithmetic4321=+=+=rrrr.9-11Holding Period ReturnsA famous set of studies dealing with the rates of returns on common stocks, bonds, and Treasury bills was conducted by Roger Ibbotson and Rex Sinquefield.They present year

10、-by-year historical rates of return starting in 1926 for the following five important types of financial instruments in the United States:Large-Company Common StocksSmall-company Common StocksLong-Term Corporate BondsLong-Term U.S. Government Bonds(20 years)U.S. Treasury Bills(3 months).9-12The Futu

11、re Value of an Investmentof $1 in 1925$59.70$17.48Source: Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved.$1,775.34.9-13Return Variance and Return Standard Return Variance a

12、nd Return Standard DeviationDeviation.9-149.3 Return StatisticsThe history of capital market returns can be summarized by describing the average return the standard deviation of those returns the frequency distribution of the returns.TRRRT)(1+=22212()()()1TRRRRRRSDVART+=.9-15Return Statistics: An Ex

13、ampleReturn Statistics: An Example.9-16.9-17.9-18Historical Returns, 1926-2002 Source: Stocks, Bonds, Bills, and Inflation 2003 Yearbook, Ibbotson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved. 90%+ 90%0% Average Standard Series An

14、nual Return DeviationDistributionLarge Company Stocks12.2%20.5%Small Company Stocks16.933.2Long-Term Corporate Bonds6.28.7Long-Term Government Bonds5.89.4U.S. Treasury Bills3.83.2Inflation-19Risk-free Returns and Risk PremiumsRisk-free Returns and Risk PremiumsThe Treasury bill is usually us

15、ed as the risk-free return. Treasury bills are U.S. federal government debt that will mature in one year or less.9-20The Risk Premium is the additional return (over and above the risk-free rate) resulting from bearing risk.Risk Premiums = Returns on Risky Securities Risk-free Return.9-21We will use

16、the Stock Market Risk Stock Market Risk Premium Premium a lot in the next few chapters and throughout the text:Market Risk Premium = Return on the Stock Market Risk-free Return.9-22Average Return on the Stock Market = 12.2%, Treasury Bills = 3.8%, therefore,Market Risk Premium = 12.2% 3.8% = 8.4%.9-

17、239.4 Average Stock Returnsand Risk-Free ReturnsOne of the most significant observations of stock market data is this long-run excess of stock return over the risk-free return.The average excess return from large company common stocks for the period 1926 through 1999 was 8.4% = 12.2% 3.8%The average

18、 excess return from small company common stocks for the period 1926 through 1999 was 13.2% = 16.9% 3.8%The average excess return from long-term corporate bonds for the period 1926 through 1999 was 2.4% = 6.2% 3.8%.9-24Risk PremiaSuppose that The Wall Street Journal announced that the current rate fo

19、r on-year Treasury bills is 5%. What is the expected return on the market of small-company stocks?Recall that the average excess return from small company common stocks for the period 1926 through 1999 was 13.2%Given a risk-free rate of 5%, we have an expected return on the market of small-company s

20、tocks of 18.2% = 13.2% + 5%.9-25The Risk-Return Tradeoff2%4%6%8%10%12%14%16%18%0%5%10%15%20%25%30%35%Annual Return Standard DeviationAnnual Return AverageT-BondsT-BillsLarge-Company StocksSmall-Company Stocks.9-26Rates of Return 1926-2002Source: Stocks, Bonds, Bills, and Inflation 2000 Yearbook, Ibb

21、otson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved.9-27Risk PremiumsRate of return on T-bills is essentially risk-free.Investing in stocks is risky, but there are compensations.The difference between the return on T-bills and stoc

22、ks is the risk premium for investing in stocks.An old saying on Wall Street is “You can either sleep well or eat well.”.9-28Stock Market VolatilitySource: Stocks, Bonds, Bills, and Inflation 2000 Yearbook, Ibbotson Associates, Inc., Chicago (annually updates work by Roger G. Ibbotson and Rex A. Sinq

23、uefield). All rights reserved.The volatility of stocks is not constant from year to year.9-299.5 Risk StatisticsThere is no universally agreed-upon definition of risk.The measures of risk that we discuss are variance and standard deviation.The standard deviation is the standard statistical measure o

24、f the spread of a sample, and it will be the measure we use most of this time.Its interpretation is facilitated by a discussion of the normal distribution.Read example on p247.9-30Normal DistributionA large enough sample drawn from a normal distribution looks like a bell-shaped curve.ProbabilityRetu

25、rn onlarge company commonstocks 99.74% 3 49.3% 2 28.8% 1 8.3%012.2%+ 1 32.7%+ 2 53.2%+ 3 73.7%About 2/3 of the yearly returns will be between -8.3% and +32.7%, the probability that a yearly return will fall within 20.5 percent of the mean of 12.2 percent will be approximately 2/3.68.26%95.44%20.5%.9

26、-31Normal Distribution S&P 500 Return Frequencies02511169121212110024681012141662%52%42%32%22%12%2%-8%-18%-28%-38%-48%-58%Annual returnsReturn frequencyNormal approximationMean = 12.8%Std. Dev. = 20.4%Source: Stocks, Bonds, Bills, and Inflation 2002 Yearbook, Ibbotson Associates, Inc., Chicago (

27、annually updates work by Roger G. Ibbotson and Rex A. Sinquefield). All rights reserved.9-329.6 Summary and ConclusionsThis chapter presents returns for four asset classes:Large Company StocksSmall Company StocksLong-Term Government BondsTreasury BillsStocks have outperformed bonds over most of the

28、twentieth century, although stocks have also exhibited more risk.9-339.6 Summary and ConclusionsThe statistical measures in this chapter are necessary building blocks for the material of the next three chapters.9-34Multiple choices1. A capital gain occurs when A)the selling price is less than the pu

29、rchase price. B)the purchase price is less than the selling price. C)there is no dividend paid. D)there is no income component of return. E)never, as they can not exist. .9-35Answer: B .9-362. You bought 100 shares of stock at $20 each. At the end of the year, you received a total of $400 in dividen

30、ds, and your stock was worth $2,500 total. What was your total return? A)20% B)45% C)50% D)90% E)None of the above. .9-37Answer: BRationale: $ Invest = $20(100) = $2,000$ Return = ($2,500+$400-$2,000)/$2,000 = 45%.9-38The prices for IMB over the last 3 years are given below. Assuming no dividends were paid, what was the 3-ye