版权说明:本文档由用户提供并上传,收益归属内容提供方,若内容存在侵权,请进行举报或认领
文档简介
1、CHAPTER 9The Capital Asset Pricing Model9-1It is the equilibrium model that underlies all modern financial theoryDerived using principles of diversification with simplified assumptionsMarkowitz, Sharpe, Lintner and Mossin are researchers credited with its developmentCapital Asset Pricing Model (CAPM
2、)9-2AssumptionsIndividual investors are price takersSingle-period investment horizonInvestments are limited to traded financial assetsNo taxes and transaction costsInformation is costless and available to all investorsInvestors are rational mean-variance optimizersThere are homogeneous expectations9
3、-3All investors will hold the same portfolio for risky assets market portfolioMarket portfolio contains all securities and the proportion of each security is its market value as a percentage of total market valueResulting Equilibrium Conditions9-4Risk premium on the market depends on the average ris
4、k aversion of all market participantsRisk premium on an individual security is a function of its covariance with the marketResulting Equilibrium Conditions9-5Figure 9.1 The Efficient Frontier and the Capital Market Line9-6Market Risk PremiumThe risk premium on the market portfolio will be proportion
5、al to its risk and the degree of risk aversion of the investor:9-7The risk premium on individual securities is a function of the individual securitys contribution to the risk of the market portfolio.An individual securitys risk premium is a function of the covariance of returns with the assets that
6、make up the market portfolio.Return and Risk For Individual Securities9-8GE ExampleCovariance of GE return with the market portfolio:Therefore, the reward-to-risk ratio for investments in GE would be:9-9GE ExampleReward-to-risk ratio for investment in market portfolio:Reward-to-risk ratios of GE and
7、 the market portfolio should be equal:9-10GE ExampleThe risk premium for GE:Restating, we obtain:9-11Expected Return-Beta RelationshipCAPM holds for the overall portfolio because:This also holds for the market portfolio:9-12Figure 9.2 The Security Market Line9-13Figure 9.3 The SML and a Positive-Alp
8、ha Stock9-14The Index Model and Realized ReturnsTo move from expected to realized returns, use the index model in excess return form:The index model beta coefficient is the same as the beta of the CAPM expected return-beta relationship.9-15Figure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-
9、19919-16Is the CAPM Practical?CAPM is the best model to explain returns on risky assets. This means:Without security analysis, is assumed to be zero.Positive and negative alphas are revealed only by superior security analysis.9-17Is the CAPM Practical?We must use a proxy for the market portfolio. CA
10、PM is still considered the best available description of security pricing and is widely accepted.9-18Econometrics and the Expected Return-Beta RelationshipStatistical bias is easily introduced.Miller and Scholes paper demonstrated how econometric problems could lead one to reject the CAPM even if it
11、 were perfectly valid.9-19Extensions of the CAPMZero-Beta ModelHelps to explain positive alphas on low beta stocks and negative alphas on high beta stocksConsideration of labor income and non-traded assets9-20Extensions of the CAPMMertons Multiperiod Model and hedge portfoliosIncorporation of the ef
12、fects of changes in the real rate of interest and inflationConsumption-based CAPMRubinstein, Lucas, and BreedenInvestors allocate wealth between consumption today and investment for the future9-21Liquidity and the CAPMLiquidity: The ease and speed with which an asset can be sold at fair market value
13、Illiquidity Premium: Discount from fair market value the seller must accept to obtain a quick sale. Measured partly by bid-asked spreadAs trading costs are higher, the illiquidity discount will be greater.9-22Figure 9.5 The Relationship Between Illiquidity and Average Returns9-23Liquidity RiskIn a financi
温馨提示
- 1. 本站所有资源如无特殊说明,都需要本地电脑安装OFFICE2007和PDF阅读器。图纸软件为CAD,CAXA,PROE,UG,SolidWorks等.压缩文件请下载最新的WinRAR软件解压。
- 2. 本站的文档不包含任何第三方提供的附件图纸等,如果需要附件,请联系上传者。文件的所有权益归上传用户所有。
- 3. 本站RAR压缩包中若带图纸,网页内容里面会有图纸预览,若没有图纸预览就没有图纸。
- 4. 未经权益所有人同意不得将文件中的内容挪作商业或盈利用途。
- 5. 人人文库网仅提供信息存储空间,仅对用户上传内容的表现方式做保护处理,对用户上传分享的文档内容本身不做任何修改或编辑,并不能对任何下载内容负责。
- 6. 下载文件中如有侵权或不适当内容,请与我们联系,我们立即纠正。
- 7. 本站不保证下载资源的准确性、安全性和完整性, 同时也不承担用户因使用这些下载资源对自己和他人造成任何形式的伤害或损失。
最新文档
- 2025-2030新型催化剂合成路线突破与工业催化效率提升方案
- 2025-2030新型传感器技术设备制造市场供需现状评价投资优化路径
- 2025-2030斐济蕉麻纤维产业结构优化与纺织品国际市场品牌培育
- 2025-2030房屋物联网应用市场发展分析报告
- 2025-2030房地产市场评估分析投资研究发展分析行业行业评估报告
- 农村经济发展趋势与对策研究试题
- 不同文化背景下终末期手术伦理决策的差异
- 高空装卸培训课件
- 三级医院康复科多学科整合实践
- VR术前心理干预对生活质量的影响
- 《简爱》每一章节内容概括
- 信息化系统运维与支持手册(标准版)
- 学校桌椅采购项目质量保障方案
- 高考英语读后续写片段小练习(中英对照+模板套用)
- 20以内的加减法练习题库
- 实验:含锌药物的制备及含量测定教学设计-2025-2026学年中职专业课-化学实验技术-分析检验技术-生物与化工大类
- 护工护理病人协议书
- FZ/T 64085-2021非织造用纤维网帘
- 《其它血型系统简介》教学课件
- 外墙保温现场实测实量检查记录表
- 2022年金属冶炼(炼钢)安全管理人员考试题库(完整版)
评论
0/150
提交评论