risk return and cost of capital风险回报和资本成本.ppt

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1、Return,Risk,andtheSecurityMarketLineTypesofReturnsExpectedReturnsandVariancesPortfoliosAnnouncements,Surprises,andExpectedReturnsRisk:SystematicandUnsystematicDiversificationandPortfolioRiskSystematicRiskandBetaTheSecurityMarketLineTheSMLandtheCostofCapitalSummaryandConclusionsTypesofReturnsT

2、otalMonetaryreturn=DividendIncome+CapitalGainEganinvestmentof£1000risesinvalueto£1500providingacapitalgainof£500.Overthesameperiodthedividendincomeis5%=£50.Totalreturnisthen£500+£50=£550.Totalmonetaryreturnisanabsolutemeasureofreturns.Ittellsyouhowmuchmoneyyouhavemadein£’s.Itisoftenmoreuseful

3、toknowthePercentageReturn.ThePercentageReturnisthetotalmonetaryreturndividedbytheamountofcapitalinvested.PercentageReturn=Dividends+CapitalGainsamountinvestedOrRit=Dit+(Pit–Pit-1)=Div.Yield+%capitalgainPit-1ExpectedReturnsandVariances:BasicIdeasThequantificationofriskandreturnisacrucialaspect

4、ofmodernfinance.Itisnotpossibletomake“good”(i.e.,value-maximizing)financialdecisionsunlessoneunderstandstherelationshipbetweenriskandreturn.Rationalinvestorslikereturnsanddislikerisk.Considerthefollowingproxiesforreturnandrisk:Expectedreturn-weightedaverageofthedistributionofpossiblereturnsin

5、thefuture.Varianceofreturns-ameasureofthedispersionofthedistributionofpossiblereturnsinthefuture.Howdowecalculatethesemeasures?.CalculatingtheExpectedReturn.Example1sE(R)=(pixRi)i=1piRiProbabilityReturninipixRiStateofEconomyofstateistatei+1%changeinGNP.25-5%i=1-1.25%+2%changeinGNP.5015%i=27.

6、5%+3%changeinGNP.2535%i=38.75%Expectedreturn=(-1.25+7.50+8.75)=15%CalculatingtheVariance(Example1ofCalculatingtheexpectedreturn)Var(R)i(Ri–E(R))2pix(Ri–E(R))2i=1(-0.05-0.15)2=0.040.25*0.04=0.01i=2(0.15-0.15)2=00.5*0=0i=3(0.35-0.15)2=0.040.25*0.04=0.01Var(R)=.02Whatisthestandarddeviation?Exp

7、ectedReturnsandVariancesExample2StateoftheProbabilityReturnonReturnoneconomyofstateassetAassetBBoom0.4030%-5%Bust0.60-10%25%1.00A.ExpectedreturnsE(RA)=0.40x(.30)+0.60x(-.10)=.06=6%E(RB)=0.40x(-.05)+0.60x(.25)=.13=13%Example:ExpectedReturnsa