博迪投资学第九版-Investment-Chap013-习题答案.doc

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1、CHAPTER13:EMPIRICALEVIDENCEONSECURITYRETURNSCHAPTER13:EMPIRICALEVIDENCEONSECURITYRETURNSPROBLEMSETS1.Evenifthesingle-factorCCAPM(withaconsumption-trackingportfoliousedastheindex)performsbetterthantheCAPM,itisstillquitepossiblethattheconsumptionportfoliodoesnotcapturethesizeandgrowthcharacteristicsc

2、apturedbytheSMB(i.e.,smallminusbigcapitalization)andHML(i.e.,highminuslowbook-to-marketratio)factorsoftheFama-Frenchthree-factormodel.Therefore,itisexpectedthattheFama-Frenchmodelwithconsumptionprovidesabetterexplanationofreturnsthandoesthemodelwithconsumptionalone.2.Wealthandconsumptionshouldbepos

3、itivelycorrelatedand,therefore,marketvolatilityandconsumptionvolatilityshouldalsobepositivelycorrelated.Periodsofhighmarketvolatilitymightcoincidewithperiodsofhighconsumptionvolatility.The‘conventional’CAPMfocusesonthecovarianceofsecurityreturnswithreturnsforthemarketportfolio(whichinturntracksaggr

4、egatewealth)whiletheconsumption-basedCAPMfocusesonthecovarianceofsecurityreturnswithreturnsforaportfoliothattracksconsumptiongrowth.However,totheextentthatwealthandconsumptionarecorrelated,bothversionsoftheCAPMmightrepresentpatternsinactualreturnsreasonablywell.Toseethisformally,supposethattheCAPMa

5、ndtheconsumption-basedmodelareapproximatelytrue.AccordingtotheconventionalCAPM,themarketpriceofriskequalsexpectedexcessmarketreturndividedbythevarianceofthatexcessreturn.Accordingtotheconsumption-betamodel,thepriceofriskequalsexpectedexcessmarketreturndividedbythecovarianceofRMwithg,wheregistherate

6、ofconsumptiongrowth.ThiscovarianceequalsthecorrelationofRMwithgtimestheproductofthestandarddeviationsofthevariables.Combiningthetwomodels,thecorrelationbetweenRMandgequalsthestandarddeviationofRMdividedbythestandarddeviationofg.Accordingly,ifthecorrelationbetweenRMandgisrelativelystable,thenanincre

7、aseinmarketvolatilitywillbeaccompaniedbyanincreaseinthevolatilityofconsumptiongrowth.13-10CHAPTER13:EMPIRICALEVIDENCEONSECURITYRETURNSNote:Forthefollowingproblems,thefocusisontheestimationprocedure.Tokeepth