课程课件a-投资学第九章

1a经济因b特有风c.系统风d分散c2按照CAPM模型，假定市场预期收益率15%，无风险利率=8%XY 的预期收益率=1XYZ 值=1.2aXYZ被高b.XYZ是公平定c.XYZ 值为-0.2d.XYZ 值为0.2d第3至第5题中假定无风险利率6%，市场收益率是16% 今天的售价为50 值为1.2。 的β等于1，它的预期收益率应该等于市场收益率，即6+1.2(16-6)=18%。E(r)=(D1+P1-P0)0.18=(6+P1-50)/5 =54、投资者购入一企业，其预期的现金流为1000，但因有风险而不确定。如果投资者认为企业的值是0.5，当值实际为1时，投资者愿意支付的金额比假定1000是型债券。如果β是05，现6%+0.5×(16%-6%)=PV=1000/0.11=96%，支付给企业的价格就应该为：PV=1000/0.16=6250，其中的差额为2840.91，是你多支付的部分，如果你错误地将β视为05而 利 市场线：4=6+β(16-6β=-2/10=-0.6 市场线描述的是 的预期收益率与其系统风险的关系b.市场资产组合是风险性 收益与指数收益的关系d由市场资产组合与无风险资产组成的完a7、如果rf＝6%E(rM)＝14%E(rP)＝1的资产组合的值等于多少E(rP)=rf+β[E(rM)-18=6+(14-6∴β=12/8=1.8、以下说法是对还是错aβ值为零的的预期收益率为零bCAPM模型表明如果要投资者持有高风险的，相应地也要求更高的回报率。c.通过将075的投资投入到国库券，0.75的资产组合。a错。β=0说明E(rPrf，而不是零b错。投资者仅要求承担系统风险(不可分c.错。你的资产组合的75%25%投资于国库券。因此β=0.75×1+如果简单的CAPM模型是有效的，下列各题中哪9可能。如果CAPM是正确的，预期的收益于市场，根据CAPM这是不可能的，因为CAPM认为市场是最有效率的资产组合。使用提供的数据，有SA=16-10)/12=0.5SM=18-10)/24=0.3 不可能。这种情况下 10β(18-10，β为15的预期收益率为：E(r)1015×(110)=22%。A的预期收益率为16%，也 与CAPM模型不一致。不可能。与10题中的 期收益率为：10+0.9×8=17.2%，仍然高于16%。A定价 值为-1.2%。 合A位于CML的下方，这与CAPM并不矛16、一的市场价格为50，期望收益率为14%，无风险利率为6%，市场风险溢价为85%。如果这一与市场资产组券的市场价格是多少？假定该预期会支付一固定红利 溢价为8%(=14%-6%)，因此新的风险溢价为16%，新的折现率为16%+6%=22%。 50=D/0.1D=50×0.14=7.0在新的折现率22%的条件下 价值为 /0.22=31.82元 风险的增加使得它的价值降低了36.36% a.在rM和rfb.无风险利率c.(rM-d.市场预期收益率d 市场线a c.假定投资者正考虑买入一股 a因为市场组合的β定义为112%bβ=0意味着无系统风险。因此，资产组合的公c.运 市场线，β=-0.5 E(r)=5+(-0.5)(12-E(r)4440-1=0.10或 a.Amutualfundwithbetaof0.8hasanexpectedrateofreturnof14%.Ifrf5%,andyouexpecttherateofreturnonthemarketportfoliotobe15%,shouldyouinvestinthisfund?Whatisthefund’salpha?b.Whatpassiveportfoliocomprisedofamarket-indexportfolioandamoneymarketaccountwouldhavethesamebetaasthefund?Showthatthedifferencebetweentheexpectedrateofreturnonthispassiveportfolioandthatofthefundequalsthealphafrompart(a). E(rP)=rf+β[E(rM)-rf]=5%+0.8(15%−5%)==Youshouldinvestinthisfundbecausealphais Thepassiveportfoliowiththesamebetaasthefundshouldbeinvested80%inthemarket-indexportfolioand20%inthemoneymarketaccount.Forthisportfolio:E(rP)=(0.8×15%)+(0.2×5%)=14%−13%=1%= 市场线 市场线的下 市场线的上d数据不da资本市场线b.资本市场线的下c.资本市场线的上d数据不d22、KarenKay,aportfoliomanageratCollinsAsset isusingthecapitalassetpricingmodelfor mendationstoherclients.Herresearch asdevelopedtheinformationshowninthefollowingexhibit.a.Calculateexpectedreturnandalphaforeachb.Identifyandjustifywhichstockwouldbemoreappropriateforaninvestorwhowantstoi.addthisstocktoawell-diversifiedequityii.holdthisstockasasingle-stockB、i.Kayshould mendStockXbecauseofitspositivealpha,comparedtoStockY,whichhasanegativealpha.Ingraphicalterms,theexpectedreturn/riskprofileforStockXplotsabovethesecuritymarketline(SML),whiletheprofileforStockYplotsbelowtheSML.Also,dependingontheindividualriskpreferencesofKay’sclients,thelowerbetaforStockXmayhaveabeneficialeffectonoverallportfoliorisk.ii.Kayshould mendStockYbecauseithashigherforecastedretu dlowerstandarddeviationthanStockX.TherespectiveSharperatiosforStocksXandYandthemarketindexare:Stock (14%5%)/36%=Stock (17%5%)/25%=Market (14%5%)/15%=ThemarketindexhasanevenmoreattractiveSharperatiothaneitheroftheindividualstocks,but,giventhechoicebetweenStockXandStockY,StockYisthesuperioralternative.Whenastockisheldasasinglestockportfolio,standarddeviationistherelevantriskmeasure.Forsuchaportfolio,betaasariskmeasureis oughholdingasingleassetisnota mendedinvestmentstrategy,some holdwhatisessentiallyasingle-assetportfoliowhentheyholdthestockoftheiremployercompany.Forsuchinvestors,therelevanceofstandarddeviationversusbetaisanimportantissue. 值为1.8。假定rf＝8%，E(rM)＝16%，项目的净现E(rP)=rf+β[E(rM)-rf]=8+1.8(18-使用该折现率，NPV=-40+.(10(15/1.26t15×年金因素26%10年 35.73=8+β(18-8β=27.73/10=2.77JoanMcKayisaportfoliomanagerforabanktrustdepartment.McKaymeetswithtwoclients,KevinMurrayandLisaYork,toreviewtheirinvestmentobjectives.Eachclientexpressesaninterestinchanginghisorherindividualinvestmentobjectives.Bothclientscurrentlyholdwell-diversifiedportfoliosofriskyassets.a.Murraywantstoincreasetheexpectedreturnofhisportfolio.Statewh tionMcKayshouldtaketoachieveMurray’sobjective.JustifyyourresponseinthecontextoftheCML.b.Yorkwantstoreducetheriskexposureofherportfoliobutdoesnotwanttoengageinborrowingorlendingactivitiestodoso.Statewh tionMcKayshouldtaketoachieveYork’sobjective.JustifyyourresponseinthecontextoftheSML. McKayshouldborrowfundsandinvestthosefunds yinMurray’sexistingportfolio(i.e.,buymoreriskyasetsonmargin).Inadditiontoincreasedexpectedreturn,thealternativeportfolioonthecapitalmarketlinewillalsohaveincreasedrisk,whichiscausedbythehigherproportionofriskyassetsinthetotal McKayshouldsubstitu owbetastocksforhighbetastocksinordertoredu theoverallbetaofYork’sportfolio.Byreducingtheoverallportfoliobeta,McKaywillreducethesystematicriskoftheportfolio,andthereforereduceitsvolatilityrelativetothemarket.Thesecuritymarketline(SML)suggestssuchaction(i.e.,movingdowntheSML),eventhoughreducingbetamayresultinaslightlossofportfolioefficiencyunlessfulldiversificationismaintained.York’sprimaryobjective,however,isnottomaintainefficiency,buttoreduceriskexposure;reducingportfoliobetameetsthatobjective.BecauseYorkdoesnotwanttoengageinborrowingorlending,McKaycannotreduceriskbysellingequitiesandusingtheproceedstobuyrisk-freeassets(i.e.,lendingpartoftheportfolio). 的预期收益率是什么a市场收益b零收益c.负收益d无风险收益d9%，而另一个为16%。但是前者 值为15，后者 值为1a.你能判断哪个投资顾问更 b如果国库券利率为6%14%c.如果国库券利率为3%，这一时期的市场收益率是15%吗？r1=19%；r2=16%；β1=1.5；a.要找出哪个投资者是更好的个股 更准确b如果rf6%且rM14%，则α(用表示非正常收益)有α1=19-[6+1.5(14-6)]=19-18=1%α2=16-[6+1(14-6)]=16- ，第二个投资者得以在他的资产组 c.如果rf3%且rM15%，则α1=19-[3+1.5(15-3)]=19-21=-α2=16-[3+1(15-3)]=16-测者，而且第一个投资者的显得毫无 CAPM模 值为0.6的资产组合的预期收益率是 值CAPM模型中，0 E(r)=8+0.6(17-8)=13. a.两 b.如果市场收益为5%与25%的可能性相同，两只 c.如果国库券利率6%，市场收益为5%与25%的可能性相 市场线(SML)。d.在 e.激进型企业的管理层在具有与防守型企业 a.β是 βA=(-2-38)/(5-25)=2.0βB=(6-12)/(5-25)=0.3b在每种情况的可能性相等的情况下，预E(rA)=0.5(-2+38)=1E(rB)=0.5(6+12)= 市场线由市场预期收益0525515%决定，此时β为1；国库券的收益率为6%时β为零。见下图市场线的公式为E(r)=6+β(15-d.激进型 但是，分析家得出的预期收益是18%。因此他的 值：α=实际的预期收益-要求的收益(风险既定)=9-8.7=+0.3%。在图上每 的点如上所示e.边界利率由项目的β值0.3决定，而不是 McKayshouldborrowfundsandinvestthosefunds yinMurray’sexistingportfolio(i.e.,buymoreriskyassets nmargin).Inadditiontoincreasedexpectedreturn,thealternativeportfolioonthecapitalmarketlinewillalsohaveincreasedrisk,whichiscausedbythehigherproportionofriskyassetsinthetotalportfolio. McKayshouldsubstitu owbetastocksforhighbetastocksinordertoreducetheoverallbetaofYork’sportfolio.Byreducingtheoverallportfoliobeta,McKaywillreducethesystematicriskoftheportfolio,andthereforereduceitsvolatilityrelativetothemarket.Thesecuritymarketline(SML)suggestssuchaction(i.e.,movingdowntheSML),eventhoughreducingbetamayresultinaslightlossofportfolioefficiencyunlessfulldiversificationismaintained.York’sprimaryobjective,however,isnottomaintainefficiency,buttoreduceriskexposure;reducingportfoliobetameetsthatobjective.BecauseYorkdoesnotwanttoengageinborrowingorlending,McKaycannotreduceriskbysellingequitiesandusingtheproceedstobuyrisk-freeassets(i.e.,lendingpartoftheportfolio). Agree;Regan’sconclusioniscorrect.Bydefinition,themarketportfolioliesonthecapitalmarketline(CML).Undertheassumptionsofcapitalmarkettheory,allportfoliosontheCMLdominate,inarisk-returnsense,portfoliosthatlieontheMarkowitzefficientfrontierbecause,giventhatleverageisallowed,theCMLcreatesaportfoliopossibilitylinethatishigherth lpointsontheefficientfrontierexceptforthemarketportfolio,whichisRainbow’sportfolio.BecauseEagle’sportfolioliesontheMarkowitzefficientfrontieratapointotherthanthemarketportfolio,Rainbow’sportfoliodominatesEagle’sportfolio. Nonsystematicriskistheuniqueriskofindividualstocksinaportfoliothatisdiversifiedawaybyholdingawell-diversifiedportfolio.Totalriskiscomposedofsystematic(market)riskandnonsystematic(firm-specific)risk.Disagree;Wilson’sremarkisincorrect.BecausebothportfolioslieontheMarkowitzefficientfrontier,neitherEaglenorRainbowhasanynonsystematicrisk.Therefore,nonsystematicriskdoesnotexplainthedifferentexpectedreturns.ThedeterminingfactoristhatRainbowliesonthe(straight)line(theCML)connectingtherisk-freeassetandthemarketportfolio(Rainbow),atthepointoftangencytotheMarkowitzefficientfrontierhavingthehighestreturnperunitofrisk.Wilson’sremarkisalsocounteredbythefactthat,sincenonsystematicriskcanbeeliminatedbydiversification,theexpectedreturnforbearingnonsystematiciszero.Thisisaresultofthefactthatwell-diversifiedinvestorsbidupthepriceofeveryassettothepointwhereonlysystematicriskearnsapositivereturn(nonsystematicriskearnsnoreturn)