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1、第9章资本资产定价模型TheCapitalAssetPricingModel9.1股票的需求与均衡价格9.2资本资产定价模型9.3资本资产定价模型的扩展形式9.4资本资产定价模型与流动性资本资产定价模型CapitalAssetPricingModel(CAPM)Thesupplyanddemandforsharesdetermineequilibriumpricesandexpectedratesofreturn.Imagineasimpleworldwithonlytwocorporations:BottomUpInc.(BU)andTopDownInc.(TD).Stockpricesa
2、ndmarketvaluesareshowninTable9.1.Investorscanalsoinvestinamoneymarketfund(MMF)whichyieldsarisk-freeinterestrateof5%.股票的需求与均衡价格DEMANDFORSTOCKSANDEQUILIBRIUMPRICESSigmaFundisanewactivelymanagedmutualfundthathasraised$220milliontoinvestinthestockmarket.ThesecurityanalysisstaffofSigmabelievesthatneithe
3、rBUnorTDwillgrowinthefutureandtherefore,thateachfirmwillpaylevelannualdividendsfortheforeseeablefuture.Thisisausefulsimplifyingassumptionbecause,ifastockisexpectedtopayastreamofleveldividends,theincomederivedfromeachshareisaperpetuity.Therefore,thepresentvalueofeachshareoftencalledtheintrinsicvalue
4、oftheshareequalsthedividenddividedbytheappropriatediscountrate.AsummaryofthereportofthesecurityanalystsappearsinTable9.2.股票的需求与均衡价格DEMANDFORSTOCKSANDEQUILIBRIUMPRICES股票的需求与均衡价格DEMANDFORSTOCKSANDEQUILIBRIUMPRICESUsingthesedataandassumptionsSigmaeasilygeneratestheefficientfrontiershowninFigure9.1andc
5、omputestheoptimalportfolioproportionscorrespondingtothetangencyportfolio.Theseproportions,combinedwiththetotalinvestmentbudget,yieldthefund’sbuyorders.Withabudgetof$220million,SigmawantsapositioninBUof$220,000,000X0.8070=$177,540,000,or$177,540,000/39=4,552,308shares,andapositioninTDof$220,000,000X
6、0.1930=$42,460,000,whichcorrespondsto1,088,718shares.股票的需求与均衡价格DEMANDFORSTOCKSANDEQUILIBRIUMPRICES股票的需求与均衡价格DEMANDFORSTOCKSANDEQUILIBRIUMPRICESTheexpectedratesofreturnthatSigmausedtoderiveitsdemandforsharesofBUandTDwerecomputedfromtheforecastofyear-endstockpricesandthecurrentprices.If,say,ashareofB
7、Ucouldbepurchasedatalowerprice,Sigma’sforecastoftherateofreturnonBUwouldbehigher.Conversely,ifBUsharesweresellingatahigherprice,expectedreturnswouldbelower.Anewexpectedreturnwouldresultinadifferentoptimalpo
