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1、CHAPTER9CapitalMarketTheory:AnOverview0ChapterOutline9.1Returns9.2Holding-PeriodReturns9.3ReturnStatistics9.4AverageStockReturnsandRisk-FreeReturns9.5RiskStatistics9.6SummaryandConclusions9.1ReturnsDollarReturnsthesumofthecashreceivedandthechangeinva
2、lueoftheasset,indollars.Time01InitialinvestmentEndingmarketvalueDividendsPercentageReturnsthesumofthecashreceivedandthechangeinvalueoftheassetdividedbytheoriginalinvestment.2DollarReturn=Dividend+ChangeinMarketValue9.1Returnsyieldgainscapitalyielddiv
3、idend+=uemarketvalbeginninguemarketvalinchangedividend+=uemarketvalbeginningreturndollarreturnpercentage=9.1Returns:ExampleSupposeyoubought100sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(=20centspershare×100shar
4、es).Attheendoftheyear,thestocksellsfor$30.Howdidyoudo?Quitewell.Youinvested$25×100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,000–$2,500).Yourpercentagegainfortheyearis20.8%=$2,500$52049.1Retur
5、ns:ExampleDollarReturn:$520gainTime01-$2,500$3,000$20PercentageReturn:20.8%=$2,500$52059.2Holding-PeriodReturnsTheholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnyears,whenthereturnduringyeariisgivenasri:Endin
6、gMarketvalue=BeginningMarketValue×(1+Holding-PeriodReturn)6GeometricMeanReturnversusArithmeticMeanReturn7HoldingPeriodReturn:ExampleSupposeyourinvestmentprovidesthefollowingreturnsoverafour-yearperiod:8So,ourinvestormade9.58%onhismoneyforfouryears,re
7、alizingaholdingperiodreturnof44.21%HoldingPeriodReturn:ExampleAninvestorwhoheldthisinvestmentwouldhaveactuallyrealizedanannualreturnof9.58%:9HoldingPeriodReturn:ExampleNotethatthegeometricaverageisnotthesamethingasthearithmeticaverage:10HoldingPeriod
8、ReturnsAfamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks,bonds,andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield.Theypresentyear-by-yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrument
