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文档简介
LecturePresentationSoftware
toaccompany
InvestmentAnalysisand
PortfolioManagement
SeventhEdition
by
FrankK.Reilly&KeithC.BrownChapter1
TheInvestmentSettingQuestionstobeanswered:Whydoindividualsinvest?Whatisaninvestment?Howdowemeasuretherateofreturnonaninvestment?Howdoinvestorsmeasureriskrelatedtoalternativeinvestments?Chapter1
TheInvestmentSettingWhatfactorscontributetotheratesofreturnthatinvestorsrequireonalternativeinvestments?Whatmacroeconomicandmicroeconomicfactorscontributetochangesintherequiredrateofreturnforindividualinvestmentsandinvestmentsingeneral?WhyDoIndividualsInvest? Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.HowDoWeMeasureTheRateOfReturnOnAnInvestment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate. People’swillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.HowDoWeMeasureTheRateOfReturnOnAnInvestment? Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.HowDoWeMeasureTheRateOfReturnOnAnInvestment? Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.HowDoWeMeasureTheRateOfReturnOnAnInvestment?DefininganInvestment Acurrentcommitmentof$foraperiodoftimeinordertoderivefuturepaymentsthatwillcompensatefor:thetimethefundsarecommittedtheexpectedrateofinflationuncertaintyoffutureflowoffunds.Measuresof
HistoricalRatesofReturnHoldingPeriodReturn1.1Measuresof
HistoricalRatesofReturnHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%1.2AnnualHoldingPeriodReturnAnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYieldAnnualHPY=AnnualHPR-1Measuresof
HistoricalRatesofReturnMeasuresof
HistoricalRatesofReturnArithmeticMean1.4Measuresof
HistoricalRatesofReturnGeometricMean1.5APortfolioofInvestments ThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio.ComputationofHolding
PeriodYieldforaPortfolioExhibit1.1ExpectedRatesofReturnRiskisuncertaintythataninvestmentwillearnitsexpectedrateofreturnProbabilityisthelikelihoodofanoutcomeExpectedRatesofReturn1.6RiskAversion Theassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedintheformofhigherreturnProbabilityDistributionsRisk-freeInvestmentExhibit1.2ProbabilityDistributionsRiskyInvestmentwith3PossibleReturnsExhibit1.3ProbabilityDistributionsRiskyinvestmentwithtenpossibleratesofreturnExhibit1.4MeasuringtheRiskof
ExpectedRatesofReturn1.7MeasuringtheRiskof
ExpectedRatesofReturnStandardDeviationisthesquarerootofthevariance1.8MeasuringtheRiskof
ExpectedRatesofReturn Coefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturn StandardDeviationofReturnsExpectedRateofReturns1.9MeasuringtheRiskof
HistoricalRatesofReturnvarianceoftheseriesholdingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations1.10Determinantsof
RequiredRatesofReturnTimevalueofmoneyExpectedrateofinflationRiskinvolvedTheRealRiskFreeRate(RRFR)Assumesnoinflation.Assumesnouncertaintyaboutfuturecashflows.InfluencedbytimepreferenceforconsumptionofincomeandinvestmentopportunitiesintheeconomyAdjustingForInflationRealRFR=1.12NominalRisk-FreeRate DependentuponConditionsintheCapitalMarketsExpectedRateofInflationAdjustingForInflationNominalRFR=(1+RealRFR)x(1+ExpectedRateofInflation)-11.11FacetsofFundamentalRiskBusinessriskFinancialriskLiquidityriskExchangerateriskCountryriskBusinessRiskUncertaintyofincomeflowscausedbythenatureofafirm’sbusinessSalesvolatilityandoperatingleveragedeterminethelevelofbusinessrisk.FinancialRiskUncertaintycausedbytheuseofdebtfinancing.Borrowingrequiresfixedpaymentswhichmustbepaidaheadofpaymentstostockholders.Theuseofdebtincreasesuncertaintyofstockholderincomeandcausesanincreaseinthestock’sriskpremium.LiquidityRiskUncertaintyisintroducedbythesecondarymarketforaninvestment.Howlongwillittaketoconvertaninvestmentintocash?Howcertainisthepricethatwillbereceived?ExchangeRateRiskUncertaintyofreturnisintroducedbyacquiringsecuritiesdenominatedinacurrencydifferentfromthatoftheinvestor.Changesinexchangeratesaffecttheinvestorsreturnwhenconvertinganinvestmentbackintothe“home〞currency.CountryRiskPoliticalriskistheuncertaintyofreturnscausedbythepossibilityofamajorchangeinthepoliticaloreconomicenvironmentinacountry.Individualswhoinvestincountriesthathaveunstablepolitical-economicsystemsmustincludeacountryrisk-premiumwhendeterminingtheirrequiredrateofreturnRiskPremiumf(BusinessRisk,FinancialRisk,LiquidityRisk,ExchangeRateRisk,CountryRisk)orf(SystematicMarketRisk)RiskPremium
andPortfolioTheoryTherelevantriskmeasureforanindividualassetisitsco-movementwiththemarketportfolioSystematicriskrelatesthevarianceoftheinvestmenttothevarianceofthemarketBetameasuresthissystematicriskofanassetFundamentalRisk
versusSystematicRiskFundamentalriskcomprisesbusiness risk,financialrisk,liquidityrisk,exchangeraterisk,andcountryriskSystematicriskreferstotheportionofanindividualasset’stotalvarianceattributabletothevariabilityofthetotalmarketportfolioRelationshipBetween
RiskandReturnExhibit1.7(Expected)ChangesintheRequiredRateofReturnDuetoMovementsAlongtheSMLExhibit1.8ChangesintheSlopeoftheSMLRPi=E(Ri)-NRFR where:RPi=riskpremiumforassetiE(Ri)=theexpectedreturnforassetiNRFR=thenominalreturnonarisk-freeasset1.1
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