1、Part III 風(fēng)險 9 資本市場理論10 風(fēng)險與報酬：資本資產(chǎn)定價模式11 風(fēng)險與報酬：套利定價理論12 風(fēng)險、資金成本與資本預(yù)算2009 陳欣得1*第1頁，共62頁。2009 陳欣得2*第2頁，共62頁。2009 陳欣得3*第3頁，共62頁。第九章資本市場理論9.1報酬9.2持有期間的報酬9.3報酬率的統(tǒng)計數(shù)字9.4平均報酬與無風(fēng)險報酬 2009 陳欣得4*第4頁，共62頁。2009 陳欣得5*第5頁，共62頁。2009 陳欣得6*第6頁，共62頁。2009 陳欣得7*第7頁，共62頁。2009 陳欣得8*第8頁，共62頁。2009 陳欣得9*第9頁，共62頁。2009 陳欣得10*第1

2、0頁，共62頁。2009 陳欣得11*第11頁，共62頁。2009 陳欣得12*第12頁，共62頁。2009 陳欣得13*第13頁，共62頁。2009 陳欣得14*第14頁，共62頁。第十章風(fēng)險與報酬：資本資產(chǎn)定價模式10.1報酬的期望值、變異數(shù)與共變數(shù)10.2兩資產(chǎn)組合的效率前緣10.3多項(xiàng)資產(chǎn)組合的風(fēng)險 10.4無風(fēng)險借貸10.5決定資產(chǎn)風(fēng)險 10.6報酬與風(fēng)險的關(guān)係2009 陳欣得15*第15頁，共62頁。2009 陳欣得16*第16頁，共62頁。2009 陳欣得17*第17頁，共62頁。2009 陳欣得18*第18頁，共62頁。2009 陳欣得19*第19頁，共62頁。2009 陳欣得

3、20*第20頁，共62頁。2009 陳欣得21*第21頁，共62頁?？缙诮栀J觀念2009 陳欣得22*第22頁，共62頁。2009 陳欣得23*第23頁，共62頁。2009 陳欣得24*第24頁，共62頁。2009 陳欣得25*第25頁，共62頁。2009 陳欣得26*第26頁，共62頁。2009 陳欣得27*第27頁，共62頁。2009 陳欣得28*第28頁，共62頁。2009 陳欣得29*第29頁，共62頁。2009 陳欣得30*第30頁，共62頁。第十一章風(fēng)險與報酬：套利定價理論2009 陳欣得31*第31頁，共62頁。Arbitrage Pricing TheoryArbitrage

4、arises if an investor can construct a zero investment portfolio with a sure profit.Since no investment is required, an investor can create large positions to secure large levels of profit.In efficient markets, profitable arbitrage opportunities will quickly disappear.第32頁，共62頁。2009 陳欣得33*第33頁，共62頁。1

5、1.1 Factor Models: Announcements, Surprises, and Expected ReturnsThe return on any security consists of two parts. First, the expected returnsSecond, the unexpected or risky returnsA way to write the return on a stock in the coming month is:第34頁，共62頁。2009 陳欣得35*第35頁，共62頁。Risk: Systematic and Unsyste

6、maticSystematic Risk: m Nonsystematic Risk: n2Total risk We can break down the total risk of holding a stock into two components: systematic risk and unsystematic risk:第36頁，共62頁。Systematic Risk and BetasFor example, suppose we have identified three systematic risks: inflation, GNP growth, and the do

7、llar-euro spot exchange rate, S($,).Our model is:第37頁，共62頁。Systematic Risk and Betas: ExampleSuppose we have made the following estimates:bI = -2.30bGNP = 1.50bS = 0.50Finally, the firm was able to attract a “superstar” CEO, and this unanticipated development contributes 1% to the return.第38頁，共62頁。S

8、ystematic Risk and Betas: ExampleWe must decide what surprises took place in the systematic factors. If it were the case that the inflation rate was expected to be 3%, but in fact was 8% during the time period, then: FI = Surprise in the inflation rate = actual expected= 8% 3% = 5%第39頁，共62頁。Systemat

9、ic Risk and Betas: ExampleIf it were the case that the rate of GNP growth was expected to be 4%, but in fact was 1%, then: FGNP = Surprise in the rate of GNP growth = actual expected = 1% 4% = 3%第40頁，共62頁。Systematic Risk and Betas: ExampleIf it were the case that the dollar-euro spot exchange rate,

10、S($,), was expected to increase by 10%, but in fact remained stable during the time period, then: FS = Surprise in the exchange rate= actual expected = 0% 10% = 10%第41頁，共62頁。Systematic Risk and Betas: ExampleFinally, if it were the case that the expected return on the stock was 8%, then:第42頁，共62頁。11

11、.6 CAMP 與 APTAPT applies to well diversified portfolios and not necessarily to individual stocks.With APT it is possible for some individual stocks to be mispriced - not lie on the SML.APT is more general in that it gets to an expected return and beta relationship without the assumption of the marke

12、t portfolio.APT can be extended to multifactor models.第43頁，共62頁。11.7 Empirical Approaches to Asset PricingBoth the CAPM and APT are risk-based models. Empirical methods are based less on theory and more on looking for some regularities in the historical record.Be aware that correlation does not impl

13、y causality.Related to empirical methods is the practice of classifying portfolios by style, e.g.,Value portfolioGrowth portfolio第44頁，共62頁。第十二章風(fēng)險、資金成本與資本預(yù)算 12.1權(quán)益成本12.2估計Beta值12.3影響B(tài)eta值的因素12.4基本權(quán)益成本估計模型之延伸12.5降低資金成本2009 陳欣得45*第45頁，共62頁。2009 陳欣得46*第46頁，共62頁。2009 陳欣得47*第47頁，共62頁。2009 陳欣得48*第48頁，共62頁。2009 陳欣得49*第49頁，共62頁。2009 陳欣得50*第50頁，共62頁。2009 陳欣得51*第51頁，共62頁。2009 陳欣得52*第52頁，共62頁。2