投资学,9e,精要版,48772,48760,英文PPT Chap006.ppt

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1、CHAPTER6TheCapitalAssetPricingModel9-2ItistheequilibriummodelthatunderliesallmodernfinancialtheoryDerivedusingprinciplesofdiversificationwithsimplifiedassumptionsMarkowitz,Sharpe,LintnerandMossinareresearcherscreditedwithitsdevelopmentCapitalAssetPricingModel(CAPM)9-3AssumptionsIndividualinvesto

2、rsarepricetakersSingle-periodinvestmenthorizonInvestmentsarelimitedtotradedfinancialassetsNotaxesandtransactioncostsInformationiscostlessandavailabletoallinvestorsInvestorsarerationalmean-varianceoptimizersTherearehomogeneousexpectations9-4Allinvestorswillholdthesameportfolioforriskyassets–marke

3、tportfolioMarketportfoliocontainsallsecuritiesandtheproportionofeachsecurityisitsmarketvalueasapercentageoftotalmarketvalueResultingEquilibriumConditions9-5RiskpremiumonthemarketdependsontheaverageriskaversionofallmarketparticipantsRiskpremiumonanindividualsecurityisafunctionofitscovariancewitht

4、hemarketResultingEquilibriumConditions9-6Figure6.1TheEfficientFrontierandtheCapitalMarketLine9-7MarketRiskPremiumTheriskpremiumonthemarketportfoliowillbeproportionaltoitsriskandthedegreeofriskaversionoftheinvestor:9-8Theriskpremiumonindividualsecuritiesisafunctionoftheindividualsecurity’scontrib

5、utiontotheriskofthemarketportfolio.Anindividualsecurity’sriskpremiumisafunctionofthecovarianceofreturnswiththeassetsthatmakeupthemarketportfolio.ReturnandRiskForIndividualSecurities9-9GEExampleCovarianceofGEreturnwiththemarketportfolio:Therefore,thereward-to-riskratioforinvestmentsinGEwouldbe:9-

6、10GEExampleReward-to-riskratioforinvestmentinmarketportfolio:Reward-to-riskratiosofGEandthemarketportfolioshouldbeequal:9-11GEExampleTheriskpremiumforGE:Restating,weobtain:9-12ExpectedReturn-BetaRelationshipCAPMholdsfortheoverallportfoliobecause:Thisalsoholdsforthemarketportfolio:9-13Figure6.2Th

7、eSecurityMarketLine9-14Figure6.3TheSMLandaPositive-AlphaStock9-15TheIndexModelandRealizedReturnsTomovefromexpectedtorealizedreturns,usetheindexmodelinexcessreturnform:TheindexmodelbetacoefficientisthesameasthebetaoftheCAPMex