公司理财罗斯英文原书第九版第十一章课件

ReturnandRisk:TheCapitalAssetPricingModelChapter11Copyright©2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinReturnandRisk:TheCapitalA0KeyConceptsandSkillsKnowhowtocalculateexpectedreturnsKnowhowtocalculatecovariances,correlations,andbetasUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntradeoffBeabletousetheCapitalAssetPricingModelKeyConceptsandSkillsKnowho1ChapterOutline11.1IndividualSecurities11.2ExpectedReturn,Variance,andCovariance11.3TheReturnandRiskforPortfolios11.4TheEfficientSetforTwoAssets11.5TheEfficientSetforManyAssets11.6Diversification11.7RisklessBorrowingandLending11.8MarketEquilibrium11.9RelationshipbetweenRiskandExpectedReturn(CAPM)ChapterOutline11.1Individual211.1IndividualSecuritiesThecharacteristicsofindividualsecuritiesthatareofinterestarethe:ExpectedReturnVarianceandStandardDeviationCovarianceandCorrelation(toanothersecurityorindex)11.1IndividualSecuritiesThe311.2ExpectedReturn,Variance,andCovarianceConsiderthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomy,andtheonlyassetsareastockfundandabondfund.11.2ExpectedReturn,Variance4ExpectedReturnExpectedReturn5ExpectedReturnExpectedReturn6VarianceVariance7VarianceVariance8StandardDeviationStandardDeviation9Covariance“Deviation”comparesreturnineachstatetotheexpectedreturn.“Weighted”takestheproductofthedeviationsmultipliedbytheprobabilityofthatstate.Covariance“Deviation”compare10CorrelationCorrelation1111.3TheReturnandRiskforPortfoliosNotethatstockshaveahigherexpectedreturnthanbondsandhigherrisk.Letusturnnowtotherisk-returntradeoffofaportfoliothatis50%investedinbondsand50%investedinstocks.11.3TheReturnandRiskforP12PortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:

PortfoliosTherateofreturno13PortfoliosTheexpectedrateofreturnontheportfolioisaweightedaverageoftheexpectedreturnsonthesecuritiesintheportfolio.PortfoliosTheexpectedrateof14PortfoliosThevarianceoftherateofreturnonthetworiskyassetsportfoliois

whereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.PortfoliosThevarianceofthe15PortfoliosObservethedecreaseinriskthatdiversificationoffers.Anequallyweightedportfolio(50%instocksand50%inbonds)haslessriskthaneitherstocksorbondsheldinisolation.PortfoliosObservethedecrease1611.4TheEfficientSetforTwoAssetsWecanconsiderotherportfolioweightsbesides50%instocksand50%inbonds.100%bonds100%stocks11.4TheEfficientSetforTwo17TheEfficientSetforTwoAssets100%stocks100%bondsNotethatsomeportfoliosare“better”thanothers.Theyhavehigherreturnsforthesamelevelofriskorless.TheEfficientSetforTwoAsse18PortfolioswithVariousCorrelations100%bondsreturn100%stocks=0.2=1.0=-1.0Relationshipdependsoncorrelationcoefficient-1.0<

r

<+1.0Ifr=+1.0,noriskreductionispossibleIfr=–1.0,completeriskreductionispossiblePortfolioswithVariousCorrel1911.5TheEfficientSetforManySecuritiesConsideraworldwithmanyriskyassets;wecanstillidentifytheopportunitysetofrisk-returncombinationsofvariousportfolios.returnPIndividualAssets11.5TheEfficientSetforMan20TheEfficientSetforManySecuritiesThesectionoftheopportunitysetabovetheminimumvarianceportfolioistheefficientfrontier.returnPminimumvarianceportfolioefficientfrontierIndividualAssetsTheEfficientSetforManySec21Announcements,Surprises,andExpectedReturnsThereturnonanysecurityconsistsoftwoparts.

First,theexpectedreturnsSecond,theunexpectedorriskyreturnsAwaytowritethereturnonastockinthecomingmonthis:Announcements,Surprises,and22Announcements,Surprises,andExpectedReturnsAnyannouncementcanbebrokendownintotwoparts,theanticipated(orexpected)partandthesurprise(orinnovation):Announcement=Expectedpart+Surprise.Theexpectedpartofanyannouncementisthepartoftheinformationthemarketusestoformtheexpectation,R,ofthereturnonthestock.Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U.Announcements,Surprises,and23DiversificationandPortfolioRiskDiversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturns.Thisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanother.However,thereisaminimumlevelofriskthatcannotbediversifiedaway,andthatisthesystematicportion.DiversificationandPortfolio24PortfolioRiskandNumberofStocksNondiversifiablerisk;SystematicRisk;MarketRiskDiversifiableRisk;NonsystematicRisk;FirmSpecificRisk;UniqueRisknInalargeportfoliothevariancetermsareeffectivelydiversifiedaway,butthecovariancetermsarenot.PortfolioriskPortfolioRiskandNumberofS25Risk:SystematicandUnsystematicAsystematicriskisanyriskthataffectsalargenumberofassets,eachtoagreaterorlesserdegree.Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Unsystematicriskcanbediversifiedaway.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.Ontheotherhand,announcementsspecifictoasinglecompanyareexamplesofunsystematicrisk.Risk:SystematicandUnsystema26TotalRiskTotalrisk=systematicrisk+unsystematicriskThestandarddeviationofreturnsisameasureoftotalrisk.Forwell-diversifiedportfolios,unsystematicriskisverysmall.Consequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk.TotalRiskTotalrisk=systema27OptimalPortfoliowithaRisk-FreeAssetInadditiontostocksandbonds,consideraworldthatalsohasrisk-freesecuritieslikeT-bills.100%bonds100%stocksrfreturnOptimalPortfoliowithaRisk-2811.7RisklessBorrowingandLendingNowinvestorscanallocatetheirmoneyacrosstheT-billsandabalancedmutualfund.100%bonds100%stocksrfreturnBalancedfundCML11.7RisklessBorrowingandLe29RisklessBorrowingandLending Witharisk-freeassetavailableandtheefficientfrontieridentified,wechoosethecapitalallocationlinewiththesteepestslope.returnPefficientfrontierrfCMLRisklessBorrowingandLending3011.8MarketEquilibrium

Withthecapitalallocationlineidentified,allinvestorschooseapointalongtheline—somecombinationoftherisk-freeassetandthemarketportfolioM.Inaworldwithhomogeneousexpectations,Misthesameforallinvestors.returnPefficientfrontierrfMCML11.8MarketEquilibrium Witht31MarketEquilibriumWheretheinvestorchoosesalongtheCapitalMarketLinedependsonherrisktolerance.ThebigpointisthatallinvestorshavethesameCML.100%bonds100%stocksrfreturnBalancedfundCMLMarketEquilibriumWherethein32RiskWhenHoldingtheMarketPortfolioResearchershaveshownthatthebestmeasureoftheriskofasecurityinalargeportfolioisthebeta(b)ofthesecurity.Betameasurestheresponsivenessofasecuritytomovementsinthemarketportfolio(i.e.,systematicrisk).RiskWhenHoldingtheMarketP33EstimatingbwithRegressionSecurityReturnsReturnonmarket%Ri=a

i+biRm+eiSlope=biCharacteristicLineEstimatingbwithRegressionSe34TheFormulaforBetaClearly,yourestimateofbetawilldependuponyourchoiceofaproxyforthemarketportfolio.TheFormulaforBetaClearly,y3511.9RelationshipbetweenRiskandExpectedReturn(CAPM)ExpectedReturnontheMarket:Expectedreturnonanindividualsecurity:MarketRiskPremiumThisappliestoindividualsecuritiesheldwithinwell-diversifiedportfolios.11.9RelationshipbetweenRisk36ExpectedReturnonaSecurityThisformulaiscalledtheCapitalAssetPricingModel(CAPM):Assumebi=0,thentheexpectedreturnisRF.Assume

bi=1,thenExpectedreturnonasecurity=Risk-freerate+Betaofthesecurity×MarketriskpremiumExpectedReturnonaSecurityT37RelationshipBetweenRisk&ReturnExpectedreturnb1.0RelationshipBetweenRisk&Re38RelationshipBetweenRisk&ReturnExpectedreturnb1.5RelationshipBetweenRisk&Re39QuickQuizHowdoyoucomputetheexpectedreturnandstandarddeviationforanindividualasset?Foraportfolio?Whatisthedifferencebetweensystematicandunsystematicrisk?Whattypeofriskisrelevantfordeterminingtheexpectedreturn?Consideranassetwithabetaof1.2,arisk-freerateof5%,andamarketreturnof13%.Whatistheexpectedreturnontheasset?QuickQuizHowdoyoucomputet40ReturnandRisk:TheCapitalAssetPricingModelChapter11Copyright©2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinReturnandRisk:TheCapitalA41KeyConceptsandSkillsKnowhowtocalculateexpectedreturnsKnowhowtocalculatecovariances,correlations,andbetasUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntradeoffBeabletousetheCapitalAssetPricingModelKeyConceptsandSkillsKnowho42ChapterOutline11.1IndividualSecurities11.2ExpectedReturn,Variance,andCovariance11.3TheReturnandRiskforPortfolios11.4TheEfficientSetforTwoAssets11.5TheEfficientSetforManyAssets11.6Diversification11.7RisklessBorrowingandLending11.8MarketEquilibrium11.9RelationshipbetweenRiskandExpectedReturn(CAPM)ChapterOutline11.1Individual4311.1IndividualSecuritiesThecharacteristicsofindividualsecuritiesthatareofinterestarethe:ExpectedReturnVarianceandStandardDeviationCovarianceandCorrelation(toanothersecurityorindex)11.1IndividualSecuritiesThe4411.2ExpectedReturn,Variance,andCovarianceConsiderthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomy,andtheonlyassetsareastockfundandabondfund.11.2ExpectedReturn,Variance45ExpectedReturnExpectedReturn46ExpectedReturnExpectedReturn47VarianceVariance48VarianceVariance49StandardDeviationStandardDeviation50Covariance“Deviation”comparesreturnineachstatetotheexpectedreturn.“Weighted”takestheproductofthedeviationsmultipliedbytheprobabilityofthatstate.Covariance“Deviation”compare51CorrelationCorrelation5211.3TheReturnandRiskforPortfoliosNotethatstockshaveahigherexpectedreturnthanbondsandhigherrisk.Letusturnnowtotherisk-returntradeoffofaportfoliothatis50%investedinbondsand50%investedinstocks.11.3TheReturnandRiskforP53PortfoliosTherateofreturnontheportfolioisaweightedaverageofthereturnsonthestocksandbondsintheportfolio:

PortfoliosTherateofreturno54PortfoliosTheexpectedrateofreturnontheportfolioisaweightedaverageoftheexpectedreturnsonthesecuritiesintheportfolio.PortfoliosTheexpectedrateof55PortfoliosThevarianceoftherateofreturnonthetworiskyassetsportfoliois

whereBSisthecorrelationcoefficientbetweenthereturnsonthestockandbondfunds.PortfoliosThevarianceofthe56PortfoliosObservethedecreaseinriskthatdiversificationoffers.Anequallyweightedportfolio(50%instocksand50%inbonds)haslessriskthaneitherstocksorbondsheldinisolation.PortfoliosObservethedecrease5711.4TheEfficientSetforTwoAssetsWecanconsiderotherportfolioweightsbesides50%instocksand50%inbonds.100%bonds100%stocks11.4TheEfficientSetforTwo58TheEfficientSetforTwoAssets100%stocks100%bondsNotethatsomeportfoliosare“better”thanothers.Theyhavehigherreturnsforthesamelevelofriskorless.TheEfficientSetforTwoAsse59PortfolioswithVariousCorrelations100%bondsreturn100%stocks=0.2=1.0=-1.0Relationshipdependsoncorrelationcoefficient-1.0<

r

<+1.0Ifr=+1.0,noriskreductionispossibleIfr=–1.0,completeriskreductionispossiblePortfolioswithVariousCorrel6011.5TheEfficientSetforManySecuritiesConsideraworldwithmanyriskyassets;wecanstillidentifytheopportunitysetofrisk-returncombinationsofvariousportfolios.returnPIndividualAssets11.5TheEfficientSetforMan61TheEfficientSetforManySecuritiesThesectionoftheopportunitysetabovetheminimumvarianceportfolioistheefficientfrontier.returnPminimumvarianceportfolioefficientfrontierIndividualAssetsTheEfficientSetforManySec62Announcements,Surprises,andExpectedReturnsThereturnonanysecurityconsistsoftwoparts.

First,theexpectedreturnsSecond,theunexpectedorriskyreturnsAwaytowritethereturnonastockinthecomingmonthis:Announcements,Surprises,and63Announcements,Surprises,andExpectedReturnsAnyannouncementcanbebrokendownintotwoparts,theanticipated(orexpected)partandthesurprise(orinnovation):Announcement=Expectedpart+Surprise.Theexpectedpartofanyannouncementisthepartoftheinformationthemarketusestoformtheexpectation,R,ofthereturnonthestock.Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U.Announcements,Surprises,and64DiversificationandPortfolioRiskDiversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturns.Thisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanother.However,thereisaminimumlevelofriskthatcannotbediversifiedaway,andthatisthesystematicportion.DiversificationandPortfolio65PortfolioRiskandNumberofStocksNondiversifiablerisk;SystematicRisk;MarketRiskDiversifiableRisk;NonsystematicRisk;FirmSpecificRisk;UniqueRisknInalargeportfoliothevariancetermsareeffectivelydiversifiedaway,butthecovariancetermsarenot.PortfolioriskPortfolioRiskandNumberofS66Risk:SystematicandUnsystematicAsystematicriskisanyriskthataffectsalargenumberofassets,eachtoagreaterorlesserdegree.Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Unsystematicriskcanbediversifiedaway.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.Ontheotherhand,announcementsspecifictoasinglecompanyareexamplesofunsystematicrisk.Risk:SystematicandUnsystema67TotalRiskTotalrisk=systematicrisk+unsystematicriskThestandarddeviationofreturnsisameasureoftotalrisk.Forwell-diversifiedportfolios,unsystematicriskisverysmall.Consequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk.TotalRiskTotalrisk=systema68OptimalPortfoliowithaRisk-FreeAssetInadditiontostocksandbonds,consideraworldthatalsohasrisk-freesecuritieslikeT-bills.100%bonds100%stocksrfreturnOptimalPortfoliowithaRisk-6911.7RisklessBorrowingandLendingNowinvestorscanallocatetheirmoneyacrosstheT-billsandabalancedmutualfund.100%bonds100%stocksrfreturnBalancedfundCML11.7RisklessBorrowingandLe70RisklessBorrowingandLending Witharisk-freeassetavailableandtheefficientfrontieridentified,wechoosethecapitalallocationlinewiththesteepestslope.returnPefficientfrontierrfCMLRisklessBorrowingandLending7111.8MarketEquilibrium

Withthecapitalallocationlineidentified,allinvestorschooseapointalongtheline—somecombinationoftherisk-freeassetandthemarketportfolioM.Inaworldwithhomogeneousexpectations,Misthesameforallinvestors.returnPefficientfrontierrfMCML11.8MarketEquilibrium Witht72MarketEquilibriumWheretheinvestorchoosesalongtheCapitalMarketLinedependsonherrisktolerance.ThebigpointisthatallinvestorshavethesameCML