公司理财罗斯英文原书第九版第十二课时.ppt

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1、AnAlternativeViewofRiskandReturn:TheArbitragePricingTheoryChapter12Copyright©2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinKeyConceptsandSkillsDiscusstherelativeimportanceofsystematicandunsystematicriskindeterminingaportfolio’s

2、returnCompareandcontrasttheCAPMandArbitragePricingTheoryChapterOutline12.1Introduction12.2SystematicRiskandBetas12.3PortfoliosandFactorModels12.4BetasandExpectedReturns12.5TheCapitalAssetPricingModelandtheArbitragePricingTheory12.6EmpiricalApproaches

3、toAssetPricing12.1IntroductionArbitragePricingTheoryArbitragearisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,aninvestorcancreatelargepositionstosecurelargelevelsofprofit.Inefficientmarkets,profitablea

4、rbitrageopportunitieswillquicklydisappear.TotalRiskTotalrisk=systematicrisk+unsystematicriskThestandarddeviationofreturnsisameasureoftotalrisk.Forwell-diversifiedportfolios,unsystematicriskisverysmall.Consequently,thetotalriskforadiversifiedportfolio

5、isessentiallyequivalenttothesystematicrisk.Risk:SystematicandUnsystematicSystematicRisk:mNonsystematicRisk:n2TotalriskWecanbreakdownthetotalriskofholdingastockintotwocomponents:systematicriskandunsystematicrisk:12.2SystematicRiskandBetasThebetacoe

6、fficient,b,tellsustheresponseofthestock’sreturntoasystematicrisk.IntheCAPM,bmeasurestheresponsivenessofasecurity’sreturntoaspecificriskfactor,thereturnonthemarketportfolio.Weshallnowconsiderothertypesofsystematicrisk.SystematicRiskandBetasForexample,

7、supposewehaveidentifiedthreesystematicrisks:inflation,GNPgrowth,andthedollar-eurospotexchangerate,S($,€).Ourmodelis:SystematicRiskandBetas:ExampleSupposewehavemadethefollowingestimates:bI=-2.30bGNP=1.50bS=0.50Finally,thefirmwasabletoattracta“supersta

8、r”CEO,andthisunanticipateddevelopmentcontributes1%tothereturn.SystematicRiskandBetas:ExampleWemustdecidewhatsurprisestookplaceinthesystematicfactors.Ifitwerethecasethattheinflationratewasexpectedtobe3%,butinfactwas8%duringthetimeperiod,then:FI=Surpri