现代企业资本市场理论分析.ppt

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1、ChapterOutline9.1Returns9.2Holding-PeriodReturns9.3ReturnStatistics9.4AverageStockReturnsandRisk-FreeReturns9.5RiskStatistics9.6SummaryandConclusions9.1Returns:VeryImportantDollarReturnsthesumofthecashreceivedandthechangeinvalueoftheasset,indollars.Time01InitialinvestmentEndingmarketvalueDivid

2、endsPercentageReturns:thesumofthecashreceivedandthechangeinvalueoftheassetdividedbytheoriginalinvestment.Frequently:rt=ln(1+(pt-pt-1+dt)/pt-1)isbetterformodeling.Fechner’sLaw:responseisproportionaltostimulusDollarReturn=Dividend+ChangeinMarketValue9.1Returns9.1Returns:ExampleSupposeyoubought10

3、0sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(=20centspershare×100shares).Attheendoftheyear,thestocksellsfor$30.Howdidyoudo?Quitewell.Youinvested$25*100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,00

4、0–$2,500).Yourpercentagegainfortheyearis9.1Returns:ExampleDollarReturns$520gainTime01-$2,500$3,000$20PercentageReturns9.2Holding-PeriodReturnsTheholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnperiods,whenthereturnduringperiodiisgivenasri:HoldingPeriodR

5、eturn:ExampleSupposeyourinvestmentprovidesthefollowingreturnsoverafour-yearperiod.[NotethatthisisaPV,NOTNPVHoldingPeriodReturn:ExampleAninvestorwhoheldthisinvestmentwouldhaveactuallyrealizedanannualreturnof9.58%:So,ourinvestormade9.58%onhismoneyforfouryears,realizingaholdingperiodreturnof44.21

6、%HoldingPeriodReturn:ExampleNotethatthegeometricaverageisnotthesamethingasthearithmeticaverage.Infinanceweusethegeometricaverage.Forsmallchanges,thearithmeticaverageisapproximatelythesameasthegeometric.HoldingPeriodReturnsAfamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks,bonds,andT

7、reasurybillswasconductedbyRogerIbbotsonandRexSinquefield.Theypresentyear-by-yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates:Large-CompanyCommonStocksSmall-companyCommonSt