英文版公司理财课件cha

Chapter10Introductiontorisk,return,andtheopportunitycostofcapital1英文版公司理财课件cha共56页，您现在浏览的是第1页!ObjectivesEstimatetheopportunitycostofcapitalforan“average-risk”projectCalculatethestandarddeviationofreturnforindividualmonstocksorforastockportfolioUnderstandwhydiversificationreducesriskDistinguishbetweenuniquerisk,whichcanbediversifiedaway,andmarketriskwhichcannot2英文版公司理财课件cha共56页，您现在浏览的是第2页!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk3英文版公司理财课件cha共56页，您现在浏览的是第3页!Wheninvestorsbuyastockorabond,theirreturnesintwoforms:(1)Adividendorinterestpaymentand(2)Acapitalgainoracapitalloss4英文版公司理财课件cha共56页，您现在浏览的是第4页!problemSupposeyoubought100sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(20centspershare×100shares).Attheendoftheyear,thestocksellsfor$30.Howdidyoudo?5英文版公司理财课件cha共56页，您现在浏览的是第5页!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk6英文版公司理财课件cha共56页，您现在浏览的是第6页!Whenyouinvestinastock,youdon’tknowwhatreturnyouwillearn.Butbylookingatthehistoryofsecurityreturns,youcangetsomeidea7英文版公司理财课件cha共56页，您现在浏览的是第7页!MarketindexesFinancialanalystscan’ttraceeverystock,sotheyrelyonmarketindexestosummarizethereturnondifferentclassesofsecuritiesMarketindex:measureoftheinvestmentperformanceoftheoverallmarketDowJonesIndustrialAverage:indexoftheinvestmentperformanceofaportfolioof30“blue-chip”stocksStandard&Poor’spositeindex:indexoftheinvestmentperformanceofaportfolioof500largestocks.AlsocalledtheS&P5008英文版公司理财课件cha共56页，您现在浏览的是第8页!Thesafestinvestment,Treasurybills,hadthelowestratesofreturn.Long-termgovernmentbondsgaveslightlyhigherreturnsthanTreasurybillsMaturitypremium:extraaveragereturnfrominvestinginlong-versusshort-termTreasurysecuritiesMaturitypremium9英文版公司理财课件cha共56页，您现在浏览的是第9页!Thehistoricalrecordshowsthatinvestorshavereceivedariskpremiumforholdingriskyassets.Averagereturnsonhigh-riskassetsarehigherthanthoseonlow-riskassets10英文版公司理财课件cha共56页，您现在浏览的是第10页!Theexpectedreturnonaninvestmentprovidespensationtoinvestorsbothforwaiting(thetimevalueofmoney)andforworrying(theriskoftheparticularasset)Thecalculationsassumethatthereisanormal,stableriskpremiumonthemarketportfolio11英文版公司理财课件cha共56页，您现在浏览的是第11页!Variance:方差Standarddeviation:标准差Averagereturn:平均收益率12英文版公司理财课件cha共56页，您现在浏览的是第12页!Commonstocks’riskshowsupinthewidespreadofoutes;highorlowreturnsforTreasurybondsandbillsaremuchlessmon.InvestorsinTreasurybondsandbillscouldbemuchmoreconfidentoftheoutethanmonstockholders13英文版公司理财课件cha共56页，您现在浏览的是第13页!VarianceandstandarddeviationInvestmentriskdependsonthedispersion

分散

orspreadofpossibleoutesThestandardmeasuresarevarianceandstandarddeviationVariance:averagevalueofsquareddeviations离差

frommean(均值).Ameasureofvolatility分散性Standarddeviation:squarerootofvariance.Anothermeasureofvolatility14英文版公司理财课件cha共56页，您现在浏览的是第14页!rt=returnfortheithoute

prt=probabilityofoccurrenceoftheithoute

n=numberofoutesconsidered15英文版公司理财课件cha共56页，您现在浏览的是第15页!Thelargerthestandarddeviation,themorevariableareaninvestment’sreturnsandriskieristheinvestment.Astandarddeviationofzeroindicatesnovariabilityandthusnorisk.16英文版公司理财课件cha共56页，您现在浏览的是第16页!17英文版公司理财课件cha共56页，您现在浏览的是第17页!Asexpected,Treasurybillsweretheleastvariablesecurity,andsmall-firmstockswerethemostvariable.Governmentandcorporatebondsholdthemiddleground.18英文版公司理财课件cha共56页，您现在浏览的是第18页!expectedrateofreturnforStockX=18%expectedrateofreturnforStockY=18%StockXappearsriskierthanStockYbecausepossiblereturnsfromXaremorevariable,measuredbyitsstandarddeviationof13.91percent,thanthosefromStockY,whichhaveastandarddeviationofonly5.06percent19英文版公司理财课件cha共56页，您现在浏览的是第19页!Diversification:分散投资Portfolio:投资组合Unique

riskordiversifiablerisk:特有风险或可分散风险Marketriskorsystematicrisk:市场风险或系统风险20英文版公司理财课件cha共56页，您现在浏览的是第20页!Dothesestandarddeviationslookhightoyou?Amazon.68.2%DellComputer45.5Ford42.7Boeing33.8McDonald’s28.1GeneralElectric24.3Wal-Mart23.1H.J.Heinz21.8Pfizer20.4ExxonMobil15.721英文版公司理财课件cha共56页，您现在浏览的是第21页!Noticethatdiversification

reducesriskrapidlyat

first,thenmoreslowly.Evenalittlediversificationcanprovideasubstantialreductioninvariability.

22英文版公司理财课件cha共56页，您现在浏览的是第22页!Portfoliodiversificationworksbecausepricesofdifferentstocksdonotmoveexactlytogether.Diversificationworksbestwhenthereturnsarenegativelycorrelated.23英文版公司理财课件cha共56页，您现在浏览的是第23页!24英文版公司理财课件cha共56页，您现在浏览的是第24页!1.Investorscareabouttheexpectedreturnandriskoftheirportfolioofassets.Theriskoftheoverallportfoliocanbemeasuredbythevolatilityofreturns,thatis,thevarianceorstandarddeviationSummary25英文版公司理财课件cha共56页，您现在浏览的是第25页!Diversificationreducesthespreadofreturns26英文版公司理财课件cha共56页，您现在浏览的是第26页!Diversificationeliminatesuniquerisk.Butthereissomeriskthatdiversificationcannoteliminate.Thisiscalledmarketrisk27英文版公司理财课件cha共56页，您现在浏览的是第27页!Marketrisk:economywide(macroeconomic)sourcesofriskthataffecttheoverallstockmarket.Alsocalledsystematicrisk.Marketriskstemsfromeconomywideperilsthatthreatenallbusiness.Marketriskexplainswhystockshaveatendencytomovetogether,soevenwell-diversifiedportfoliosareexposedtomarketmovementsForareasonablywell-diversifiedportfolio,onlymarketriskmattersMarketrisk28英文版公司理财课件cha共56页，您现在浏览的是第28页!RiskdefinedInthemostbasicsense,riskisthechanceoffinancialloss.Assetshavinggreaterchancesoflossareviewedasmoreriskythanthosewithlesserchancesofloss.Moreformally,theriskisusedinterchangeablywithuncertaintytorefertothevariabilityofreturnsassociatedwithagivenasset.29英文版公司理财课件cha共56页，您现在浏览的是第29页!Percentagereturn:收益率Dividendyield:股利收益率Capitalgain:资本利得Capitalloss:资本损失Realrateofreturn:实际收益率Nominalrateofreturn:名义收益率Inflationrate:通胀率30英文版公司理财课件cha共56页，您现在浏览的是第30页!Where:rt=actual,expected,orrequiredrateofreturnduringperiodt;Dt:cashreceivedfromtheassetinvestmentinthetimeperiodt-1tot;Pt:price(value)ofassetattimet;Pt-1:price(value)ofassetattimet-1,initialpricePercentagecapitalgainRt=Dividendyield+31英文版公司理财课件cha共56页，您现在浏览的是第31页!Quitewell.Youinvested$25×100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,000–$2,500).Yourpercentagegainfortheyearis:20.8%=$2,500$52032英文版公司理财课件cha共56页，您现在浏览的是第32页!Marketindex:市场指数DowJonesIndustrialAverage:道琼斯工业股票平均价格指数Standard&Poor’spositeindex:标准普尔综合指数Maturitypremium:期限溢价Riskpremium:风险溢价marketportfolio:市场组合33英文版公司理财课件cha共56页，您现在浏览的是第33页!RiskdefinedInthemostbasicsense,riskisthechanceoffinancialloss.Assetshavinggreaterchancesoflossareviewedasmoreriskythanthosewithlesserchancesofloss.Moreformally,thetermriskisusedinterchangeablywithuncertaintytorefertothevariabilityofreturnsassociatedwithagivenasset.34英文版公司理财课件cha共56页，您现在浏览的是第34页!Thehistoricalrecord35英文版公司理财课件cha共56页，您现在浏览的是第35页!RiskpremiumCommonstockswereinaclassbythemselves.Investorswhoacceptedtheriskofmonstocksreceivedonaverageanextrareturnof7.6%ayearoverthereturnonTreasurybills.ThisistheriskpremiumRiskpremium:expectedreturninexcessofrisk-freereturnaspensationforrisk36英文版公司理财课件cha共56页，您现在浏览的是第36页!TheopportunitycostofcapitalforsafeprojectsistherateofreturnofferedbysafeTreasurybillsTheopportunitycostofcapitalfor“average-risk”projectsistheexpectedreturnonthemarketportfolioUsinghistoricalevidencetoestimatetoday’scostofcapital37英文版公司理财课件cha共56页，您现在浏览的是第37页!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk38英文版公司理财课件cha共56页，您现在浏览的是第38页!Probabilitydistribution概率分布

Aprobabilitydistributionisamodelthatrelatesprobabilitiestotheassociatedoutes.Thesimplesttypeofprobabilitydistributionisthebarchart(histogram)柱状图,

whichshowsonlyalimitednumberofoute-probabilitycoordinates坐标.39英文版公司理财课件cha共56页，您现在浏览的是第39页!Ifweknewallthepossibleoutesandassociatedprobabilities,acontinuousprobabilitydistributioncouldbedeveloped.Thistypeofdistributioncanbethoughtofasabarchart(histogram),foraverylargenumberofoutes.Continuousprobabilitydistribution40英文版公司理财课件cha共56页，您现在浏览的是第40页!41英文版公司理财课件cha共56页，您现在浏览的是第41页!Selftest10.442英文版公司理财课件cha共56页，您现在浏览的是第42页!MeasuringthevariationinstockreturnsWhenestimatingthespreadofpossibleoutesfrominvestinginthestockmarket,mostfinancialanalystsstartbyassumingthatthespreadofreturnsinthepastisareasonableindicationofwhatcouldhappeninthefuture.Therefore,theycalculatethestandarddeviationofpastreturns43英文版公司理财课件cha共56页，您现在浏览的是第43页!Youmayfinditinterestingtoparethecoin-tossinggameandthestockmarketasalternativeinvestments.Thestockmarketgeneratedanaverageannualreturnof4.18percentwithastandarddeviationof19.54percent.Thegameoffers10and21percent,respectively—slightlylowerreturnandaboutthesamevariability.44英文版公司理财课件cha共56页，您现在浏览的是第44页!YouhaveestimatedthefollowingprobabilitydistributionsofexpectedfuturereturnsforstocksXandY:A.whatistheexpectedrateofreturnforStockX?Y?B.WhatistheSDofexpectedreturnsforStockX?Y?C.Whichstockwouldyouconsidertoberiskier?Why?StockXStockYprobabilityreturnprobabilityreturn0.210%0.2-4%0.6180.6180.2260.24045英文版公司理财课件cha共56页，您现在浏览的是第45页!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk46英文版公司理财课件cha共56页，您现在浏览的是第46页!Riskisbestjudgedinaportfoliocontext环境.Mostinvestorsdonotputalltheireggsintoonebasket:Theydiversify.Thustheeffectiveriskofanysecuritycannotbejudgedbyanexaminationofthatsecurityalone.Partoftheuncertaintyaboutthesecurity’sreturnisdiversifiedawaywhenthesecurityisgroupedwithothersinaportfolio.47英文版公司理财课件cha共56页，您现在浏览的是第47页!DiversificationThemarketportfolioismadeupofindividualstocks,whyisn’titsvariabilityequaltotheaveragevariabilityofitsponents?DiversificationreducesvariabilityDiversification:strategydesignedtoreduceriskbyspreadingtheportfolioacrossmanyinvestments48英文版公司理财课件cha共56页，您现在浏览的是第48页!Supposeyoucalculateandparethestandarddeviationsofrandomlychosenone-stockportfolios,two-stockportfolios,five-stockportfolios,etc.Ahighproportionoftheinvestmentswouldbeinthestocksofsmallpaniesandindividuallyveryrisky.However,youcanseefromFigurethatdiversificationcancutthevariabilityofreturnsaboutinhalf.Noticealsothatyoucangetmostofthisbenefitwithrelativelyfewstocks:Theimprovementisslightwhenthenumberofsecuritiesisincreasedbeyond,say,20or30.49英文版公司理财课件cha共56页，您现在浏览的是第49页!AssetversusportfolioriskTheexpectedreturnoneachstockissimplytheaverageofthethreepossibleoutes.Thevarianceistheaverageofthesquareddeviationsfromtheexpectedreturn,andthestandarddeviationisthesquarerootofthevariance50英文版公司理财课件cha共56页，您现在浏览的是第50页!51英文版公司理财课件cha共56页，您现在浏览的是第51页!Summary2.Thestandarddeviationofthereturnsofanindividualsecuritymeasureshowriskythatsecuritywouldbeifheldinisolation.Butaninvestorwhoholdsaportfolioofsecuritiesisint