耶鲁开放课程金融市场.ppt

《耶鲁开放课程金融市场.ppt》由会员上传分享，免费在线阅读，更多相关内容在PPT专区-天天文库。

1、Lecture5:PortfolioDiversificationandSupportingFinancialInstitutionsPortfolioDiversificationAllthatshouldmattertoaninvestoristheperformanceoftheentireportfolio.MeanandvarianceofportfoliomatterLawoflargenumbersmeansthatspreadingovermanyindependentassetsreducesrisk,hasnoeffectonexpectedr

2、eturn.Equally-WeightedPortfolioWhenAssetReturnsareIndependent&SameVarianceSamedollarvalueineachassetRebalancingeachperiodPortfolioexpectedreturnequalsaverageofassetexpectedreturnsPortfoliostandarddeviationequalsassetstandarddeviationdividedbySquarerootruleInvestmentCompaniesasProvider

3、sofDiversificationInvestmenttrusts(before1940s)Mutualfunds(especiallyindexfunds)ClosedendinvestmentcompaniesUnitinvestmenttrustsAlltheseinstitutionscanenablesmallinvestorstoovercometransactionscostandlumpinessproblemsinachievingdiversifiedportfoliosDoubtsaboutDiversificationCompletedi

4、versificationwouldimplyholdingmuchinfixedincomes,realestate,etc.Buthasn’tstockmarketoutperformedthese?EquityPremiumPuzzleGeometricaveragerealstockmarketreturn1871-1997:7.0%(SiegelTable1-1).Geometricaveragerealfixed-incomereturn1871-1997:1.7%(SiegelTable1-2)Equitypremium=7.0%-1.7%=5.3%

5、Puzzle:Whyhasequitypremiumbeensohigh?DominanceofStocksoverFixedIncomes?Nothirty-yearperiodsince1831-1861whenthereturnoneitherlong-termorshort-termbondsexceededthatonequities.(Siegelp.15)SurveyofInstitutionalInvestors,Shiller,1993“Thereisnothirty-yearperiodsince1860inwhichUSgovernmentb

6、ondshaveoutperformedstocks.”Haveyouheardroughlythisclaim(evenifdetails,suchastheuseof30years)aredifferent?1.Yes,often52%2.Yes,onceortwice22%3.No26%ButisEquityPremiumRobust?GeometricaverageUSrealstockmarketreturn1802-1997:7.0%(SiegelTable1-1)Geometricaveragerealfixedincomereturn1802-18

7、70:5.1%(Siegel,Table1-2)Equitypremium=7.0%-5.1%=1.9%Equitypremiumwasmuchsmallerthen.InternationalEvidenceMedianrealstockmarketappreciationratefor39countries1926-96:0.8%peryear.RealstockmarketappreciationrateforUS1926-96:4.3%peryear.(PhilippeJorionandWilliamGoetzmann,JournalofFinance54

8、:953-