CAPM-资产定价模型英文版课件

PMM1008PrinciplesofFinanceandInvestmentCapitalAssetPricingModel(CAPM)PMM1008PrinciplesofFinancea1Introduction

CAPMisbasedonMarkowitz’sportfoliotheoryanddefinesalinearrelationshipbetweenthesystematicriskofasecurityanditsrequiredrateofreturn.OriginallydevelopedindividuallybySharpe,MossinandLinter,thislinearrelationshipisrepresentedbythesecuritymarketline(SML). Ri=Rf+βi(Rm–Rf)Thisstatesthattheexpectedreturnoftheriskyinvestmentequalsthereturnfromtherisk-freeinvestmentplusthereturnfromthemarketportfolio.Introduction2RiskUnsystematicrisk–riskthatcanbediversifiedawaybyholdingawelldiversifiedportfolioSystematicrisk–riskthatcannotbediversifiedaway,itcomprisestheriskfactorscommontoallfirms.Itismeasuredbybeta,β,whichisthesensitivityofsystematicrisktochangesinmarketreturns.RiskUnsystematicrisk–riskt3BetaβThisisanindexoftheresponsivenessinthechangesinreturnsofasecurityinrelationtochangesinthestockmarket.Themarketβisalways1(one)andisthebenchmarkforthesystematicriskofsecuritiestobemeasured.Itmeasuresthesensitivityofthereturnsonsecuritytochangesinsystematicrisk.BetaβThisisanindexofthe4BetaβIftheβ=1.5Thisismoresystematicriskthanthemarket.Soifthemarketreturnincreasesby10%thenthesecurity’sreturnwillincreaseby1.5x10%=15%Thiswouldbeanaggressivesecurityandisattractivetoinvestorswhenthemarketisrising.Betafiguresarecalculatedbythemarkets.BetaβIftheβ=1.55CAPMAssumptionsBasedonasimpleworld.InvestorsarerationalInvestorsarelookingtomaximisetheirwealthFreeinformationFreelyabletoborrowandlendDiversifiedportfolioPerfectlycompetitivemarketCAPMAssumptionsBasedonasim6CAPMRi=Rf+βi(Rm–Rf)WhereRi=rateofreturnofthesecurityfoundfromusingthemodel (intheUKshort-datedtreasurybills)Rf=riskfreerateofinterest(governmentbonds)

Βi=betaforthesecurity(systematicriskβ=1forthemarket) Rm=thereturnonthemarketfoundbyusingstockexchange

indicese.gFTSE100asarepresentationofthemarket CAPMRi=Rf+βi(Rm–Rf)7Example:Supposewearegiventhefollowinginformationaboutsecurityi,themarketandtherisk-freerateofreturnisRm=20%,Rf=12%andbetais0.90.Calculatetheexpectedreturnofsecurityi.Ri=Rf+βi(Rm–Rf)Ri=0.12+(0.90x(0.20–0.12)Ri=0.192Ri=19.2%Example:Supposewearegivent8Example:Supposewearegiventhefollowinginformationaboutsecurityi,themarketandtherisk-freerateofreturnisRm=14%,Rf=6%andbetais1.2Calculatetheexpectedreturnofsecurityi.Ri=Rf+βi(Rm–Rf)Ri=0.06+(1.2x(0.14–0.06)Ri=0.156Ri=15.6%Example:Supposewearegivent9BynextweekCapitalInvestmentAppraisalsAdvantagesanddisadvantagesofpayback–JennyAdvantagesanddisadvantagesofaccountingrateofreturn–Jasmine