财务管理第十三章课件.ppt

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1、Chapter13Return,Risk,andtheSecurityMarketLineMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.KeyConceptsandSkillsKnowhowtocalculateexpectedreturnsUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUn

2、derstandthesecuritymarketlineUnderstandtherisk-returntrade-offBeabletousetheCapitalAssetPricingModel13-2ChapterOutlineExpectedReturnsandVariancesPortfoliosAnnouncements,Surprises,andExpectedReturnsRisk:SystematicandUnsystematicDiversificationandPortfo

3、lioRiskSystematicRiskandBetaTheSecurityMarketLineTheSMLandtheCostofCapital:APreview13-3ExpectedReturnsExpectedreturnsarebasedontheprobabilitiesofpossibleoutcomesInthiscontext,“expected”meansaverageiftheprocessisrepeatedmanytimesThe“expected”returndoes

4、notevenhavetobeapossiblereturn13-4Example:ExpectedReturnsStateProbabilityCTBoom0.31525Normal0.51020Recession???21RC=.3(15)+.5(10)+.2(2)=9.9%RT=.3(25)+.5(20)+.2(1)=17.7%13-5SupposeyouhavepredictedthefollowingreturnsforstocksCandTinthreepossiblestatesof

5、theeconomy.Whataretheexpectedreturns?VarianceandStandardDeviationVarianceandstandarddeviationmeasurethevolatilityofreturnsUsingunequalprobabilitiesfortheentirerangeofpossibilitiesWeightedaverageofsquareddeviations13-6Example:VarianceandStandardDeviati

6、onConsiderthepreviousexample.Whatarethevarianceandstandarddeviationforeachstock?StockC2=.3(15-9.9)2+.5(10-9.9)2+.2(2-9.9)2=20.29=4.50%StockT2=.3(25-17.7)2+.5(20-17.7)2+.2(1-17.7)2=74.41=8.63%13-7AnotherExampleConsiderthefollowinginformation:StateP

7、robabilityABC,Inc.(%)Boom.2515Normal.508Slowdown.154Recession.10-3Whatistheexpectedreturn?Whatisthevariance?Whatisthestandarddeviation?13-8PortfoliosAportfolioisacollectionofassetsAnasset’sriskandreturnareimportantinhowtheyaffecttheriskandreturnofthep

8、ortfolioTherisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassets13-9Example:PortfolioWeightsSupposeyouhave$15,000toinvestandyouhavepurchasedsecuritiesinthefollowingamounts.Whatar