公司理财（精要版）（第9版）课件 13

Chapter13Return,Risk,andtheSecurityMarketLineMcGraw-Hill/IrwinCopyright©2010byTheMcGraw-HillCompanies,Inc.Allrightsreserved.1KeyConceptsandSkillsKnowhowtocalculateexpectedreturnsUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntrade-offBeabletousetheCapitalAssetPricingModel13-22ChapterOutlineExpectedReturnsandVariancesPortfoliosAnnouncements,Surprises,andExpectedReturnsRisk:SystematicandUnsystematicDiversificationandPortfolioRiskSystematicRiskandBetaTheSecurityMarketLineTheSMLandtheCostofCapital:APreview13-33ExpectedReturnsExpectedreturnsarebasedontheprobabilitiesofpossibleoutcomesInthiscontext,“expected”meansaverageiftheprocessisrepeatedmanytimesThe“expected”returndoesnotevenhavetobeapossiblereturn13-44Example:ExpectedReturnsSupposeyouhavepredictedthefollowingreturnsforstocksCandTinthreepossiblestatesoftheeconomy.Whataretheexpectedreturns?

State Probability C T Boom 0.3 15 25 Normal 0.5 10 20 Recession ??? 2 1RC=.3(15)+.5(10)+.2(2)=9.9%RT=.3(25)+.5(20)+.2(1)=17.7%13-55VarianceandStandardDeviationVarianceandstandarddeviationmeasurethevolatilityofreturnsUsingunequalprobabilitiesfortheentirerangeofpossibilitiesWeightedaverageofsquareddeviations13-66Example:VarianceandStandardDeviationConsiderthepreviousexample.Whatarethevarianceandstandarddeviationforeachstock?StockC2=.3(15-9.9)2+.5(10-9.9)2+.2(2-9.9)2=20.29=4.50%StockT2=.3(25-17.7)2+.5(20-17.7)2+.2(1-17.7)2=74.41=8.63%13-77AnotherExampleConsiderthefollowinginformation:

State Probability ABC,Inc.(%) Boom .25 15 Normal .50 8 Slowdown .15 4 Recession .10 -3Whatistheexpectedreturn?Whatisthevariance?Whatisthestandarddeviation?13-88PortfoliosAportfolioisacollectionofassetsAnasset’sriskandreturnareimportantinhowtheyaffecttheriskandreturnoftheportfolioTherisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassets13-99Example:PortfolioWeightsSupposeyouhave$15,000toinvestandyouhavepurchasedsecuritiesinthefollowingamounts.Whatareyourportfolioweightsineachsecurity?$2000ofDCLK$3000ofKO$4000ofINTC$6000ofKEIDCLK:2/15=.133KO:3/15=.2INTC:4/15=.267KEI:6/15=.413-1010PortfolioExpectedReturnsTheexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsoftherespectiveassetsintheportfolio

Youcanalsofindtheexpectedreturnbyfindingtheportfolioreturnineachpossiblestateandcomputingtheexpectedvalueaswedidwithindividualsecurities13-1111Example:ExpectedPortfolioReturnsConsidertheportfolioweightscomputedpreviously.Iftheindividualstockshavethefollowingexpectedreturns,whatistheexpectedreturnfortheportfolio?DCLK:19.69%KO:5.25%INTC:16.65%KEI:18.24%E(RP)=.133(19.69)+.2(5.25)+.267(16.65)+.4(18.24)=15.41%13-1212PortfolioVarianceComputetheportfolioreturnforeachstate:

RP=w1R1+w2R2+…+wmRmComputetheexpectedportfolioreturnusingthesameformulaasforanindividualassetComputetheportfoliovarianceandstandarddeviationusingthesameformulasasforanindividualasset13-1313Example:PortfolioVarianceConsiderthefollowinginformationInvest50%ofyourmoneyinAssetA

State Probability A B

Boom .4 30% -5% Bust .6 -10% 25%Whataretheexpectedreturnandstandarddeviationforeachasset?Whataretheexpectedreturnandstandarddeviationfortheportfolio?Portfolio12.5%7.5%13-1414AnotherExampleConsiderthefollowinginformation

State Probability X Z Boom .25 15% 10% Normal .60 10% 9% Recession .15 5% 10%Whataretheexpectedreturnandstandarddeviationforaportfoliowithaninvestmentof$6,000inassetXand$4,000inassetZ? 13-1515Expectedvs.UnexpectedReturnsRealizedreturnsaregenerallynotequaltoexpectedreturnsThereistheexpectedcomponentandtheunexpectedcomponentAtanypointintime,theunexpectedreturncanbeeitherpositiveornegativeOvertime,theaverageoftheunexpectedcomponentiszero13-1616AnnouncementsandNewsAnnouncementsandnewscontainbothanexpectedcomponentandasurprisecomponentItisthesurprisecomponentthataffectsastock’spriceandthereforeitsreturnThisisveryobviouswhenwewatchhowstockpricesmovewhenanunexpectedannouncementismadeorearningsaredifferentthananticipated13-1717EfficientMarketsEfficientmarketsarearesultofinvestorstradingontheunexpectedportionofannouncementsTheeasieritistotradeonsurprises,themoreefficientmarketsshouldbeEfficientmarketsinvolverandompricechangesbecausewecannotpredictsurprises13-1818SystematicRiskRiskfactorsthataffectalargenumberofassetsAlsoknownasnon-diversifiableriskormarketriskIncludessuchthingsaschangesinGDP,inflation,interestrates,etc.13-1919UnsystematicRiskRiskfactorsthataffectalimitednumberofassetsAlsoknownasuniqueriskandasset-specificriskIncludessuchthingsaslaborstrikes,partshortages,etc.13-2020ReturnsTotalReturn=expectedreturn+unexpectedreturnUnexpectedreturn=systematicportion+unsystematicportionTherefore,totalreturncanbeexpressedasfollows:TotalReturn=expectedreturn+systematicportion+unsystematicportion13-2121DiversificationPortfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectorsDiversificationisnotjustholdingalotofassetsForexample,ifyouown50Internetstocks,youarenotdiversifiedHowever,ifyouown50stocksthatspan20differentindustries,thenyouarediversified13-2222Table13.713-2323ThePrincipleofDiversificationDiversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturnsThisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanotherHowever,thereisaminimumlevelofriskthatcannotbediversifiedawayandthatisthesystematicportion13-2424Figure13.113-2525DiversifiableRiskTheriskthatcanbeeliminatedbycombiningassetsintoaportfolioOftenconsideredthesameasunsystematic,uniqueorasset-specificriskIfweholdonlyoneasset,orassetsinthesameindustry,thenweareexposingourselvestoriskthatwecoulddiversifyaway13-2626TotalRiskTotalrisk=systematicrisk+unsystematicriskThestandarddeviationofreturnsisameasureoftotalriskForwell-diversifiedportfolios,unsystematicriskisverysmallConsequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk13-2727SystematicRiskPrincipleThereisarewardforbearingriskThereisnotarewardforbearingriskunnecessarilyTheexpectedreturnonariskyassetdependsonlyonthatasset’ssystematicrisksinceunsystematicriskcanbediversifiedaway13-2828Table13.8InsertTable13.8here13-2929MeasuringSystematicRiskHowdowemeasuresystematicrisk?WeusethebetacoefficientWhatdoesbetatellus?Abetaof1impliestheassethasthesamesystematicriskastheoverallmarketAbeta<1impliestheassethaslesssystematicriskthantheoverallmarketAbeta>1impliestheassethasmoresystematicriskthantheoverallmarket13-3030Totalvs.SystematicRiskConsiderthefollowinginformation: StandardDeviation Beta SecurityC 20% 1.25 SecurityK 30% 0.95Whichsecurityhasmoretotalrisk?Whichsecurityhasmoresystematicrisk?Whichsecurityshouldhavethehigherexpectedreturn?13-3131WorktheWebExampleManysitesprovidebetasforcompaniesYahooFinanceprovidesbeta,plusalotofotherinformationunderitsKeyStatisticslinkClickonthewebsurfertogotoYahooFinanceEnteratickersymbolandgetabasicquoteClickonKeyStatistics13-3232Example:PortfolioBetasConsiderthepreviousexamplewiththefollowingfoursecurities

Security Weight Beta DCLK .133 2.685 KO .2 0.195 INTC .267 2.161 KEI .4 2.434Whatistheportfoliobeta?.133(2.685)+.2(.195)+.267(2.161)+.4(2.434)=1.94713-3333BetaandtheRiskPremiumRememberthattheriskpremium=expectedreturn–risk-freerateThehigherthebeta,thegreatertheriskpremiumshouldbeCanwedefinetherelationshipbetweentheriskpremiumandbetasothatwecanestimatetheexpectedreturn?YES!13-3434Example:PortfolioExpectedReturnsandBetasRfE(RA)A13-3535Reward-to-RiskRatio:DefinitionandExampleThereward-to-riskratioistheslopeofthelineillustratedinthepreviousexampleSlope=(E(RA)–Rf)/(A–0)Reward-to-riskratioforpreviousexample=

(20–8)/(1.6–0)=7.5Whatifanassethasareward-to-riskratioof8(implyingthattheassetplotsabovetheline)?Whatifanassethasareward-to-riskratioof7(implyingthattheassetplotsbelowtheline)?13-3636MarketEquilibriumInequilibrium,allassetsandportfoliosmusthavethesamereward-to-riskratio,andtheyallmustequalthereward-to-riskratioforthemarket13-3737SecurityMarketLineThesecuritymarketline(SML)istherepresentationofmarketequilibriumTheslopeoftheSMListhereward-to-riskratio:(E(RM)–Rf)/MButsincethebetaforthemarketisALWAYSequaltoone,theslopecanberewrittenSlope=E(RM)–Rf=marketriskpremium13-3838TheCapitalAssetPricingModel(CAPM)ThecapitalassetpricingmodeldefinestherelationshipbetweenriskandreturnE(RA)=Rf+A(E(RM)–Rf)Ifweknowanasset’ssystematicrisk,wecanusetheCAPMtodetermineitsexpectedreturnThisistruewhetherwearetalkingaboutfinancialassetsorphysicalassets13-3939FactorsAffectingExpectedReturnPuretimevalueofmoney:measuredbytherisk-freerateRewardforbearingsystematicrisk:measuredbythemarketriskpremiumAmountofsystematicrisk:measuredbybeta13-4040Example-CAPMConsiderthebetasfo