《投资学》博迪第九版课件Chap009

1、CHAPTER 9The Capital Asset Pricing ModelCHAPTER 9The Capital Asset PriIt 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 developmentCapita

2、l Asset Pricing Model (CAPM)It is the equilibrium model thAssumptionsIndividual 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-

3、variance optimizersThere are homogeneous expectationsAssumptionsIndividual investorAll 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 valueResulti

4、ng Equilibrium ConditionsAll investors will hold the saRisk premium on the market depends on the average risk aversion of all market participantsRisk premium on an individual security is a function of its covariance with the marketResulting Equilibrium ConditionsRisk premium on the market depFigure

5、9.1 The Efficient Frontier and the Capital Market LineFigure 9.1 The Efficient FrontMarket Risk PremiumThe risk premium on the market portfolio will be proportional to its risk and the degree of risk aversion of the investor:Market Risk PremiumThe risk prThe risk premium on individual securities is

6、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 make up the market portfolio.Return and Risk For Individual SecuritiesThe risk premium on individualGE ExampleC

7、ovariance of GE return with the market portfolio:Therefore, the reward-to-risk ratio for investments in GE would be:GE ExampleCovariance of GE retGE ExampleReward-to-risk ratio for investment in market portfolio:Reward-to-risk ratios of GE and the market portfolio should be equal:GE ExampleReward-to

8、-risk ratioGE ExampleThe risk premium for GE:Restating, we obtain:GE ExampleThe risk premium forExpected Return-Beta RelationshipCAPM holds for the overall portfolio because:This also holds for the market portfolio:Expected Return-Beta RelationsFigure 9.2 The Security Market LineFigure 9.2 The Secur

9、ity MarketFigure 9.3 The SML and a Positive-Alpha StockFigure 9.3 The SML and a PositThe 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 rela

10、tionship.The Index Model and Realized RFigure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-1991Figure 9.4 Estimates of IndiviIs 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 alph

11、as are revealed only by superior security analysis.Is the CAPM Practical?CAPM is Is the CAPM Practical?We must use a proxy for the market portfolio. CAPM is still considered the best available description of security pricing and is widely accepted.Is the CAPM Practical?We must Econometrics and the E

12、xpected 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 were perfectly valid.Econometrics and the Expected Extensions of the CAPMZero-Beta ModelHelps to explain positive alphas o

13、n low beta stocks and negative alphas on high beta stocksConsideration of labor income and non-traded assetsExtensions of the CAPMZero-BetExtensions of the CAPMMertons Multiperiod Model and hedge portfoliosIncorporation of the effects of changes in the real rate of interest and inflationConsumption-

14、based CAPMRubinstein, Lucas, and BreedenInvestors allocate wealth between consumption today and investment for the futureExtensions of the CAPMMertonsLiquidity and the CAPMLiquidity: The ease and speed with which an asset can be sold at fair market valueIlliquidity Premium: Discount from fair market

15、 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.Liquidity and the CAPMLiquiditFigure 9.5 The Relationship Between Illiquidity and Average ReturnsFigure 9.5 The Relationship BeLiquidity RiskIn a f