财务管理基础ch02.pptx
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财务管理基础ch02.pptx
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CHAPTER2RiskandRatesofReturn,Stand-aloneriskPortfolioriskRisk&return:
CAPM/SML,Investmentreturns,Therateofreturnonaninvestmentcanbecalculatedasfollows:
(AmountreceivedAmountinvested)Return=_AmountinvestedForexample,if$1,000isinvestedand$1,100isreturnedafteroneyear,therateofreturnforthisinvestmentis:
($1,100-$1,000)/$1,000=10%.,Whatisinvestmentrisk?
TwotypesofinvestmentriskStand-aloneriskPortfolioriskInvestmentriskisrelatedtotheprobabilityofearningalowornegativeactualreturn.Thegreaterthechanceoflowerthanexpectedornegativereturns,theriskiertheinvestment.,ProbabilityDistributions,Iteitherwillrain,oritwillnotonlytwopossibleoutcomes,ProbabilityDistributions,MartinProductsandU.S.Electric,Probabilitydistributions,Alistingofallpossibleoutcomes,andtheprobabilityofeachoccurrence.Canbeshowngraphically.,Investmentalternatives,Return:
Calculatingtheexpectedreturnforeachalternative,HowdothereturnsofHTandColl.behaveinrelationtothemarket?
HTMoveswiththeeconomy,andhasapositivecorrelation.Thisistypical.Coll.Iscountercyclicalwiththeeconomy,andhasanegativecorrelation.Thisisunusual.,ExpectedRateofReturn,Summaryofexpectedreturnsforallalternatives,ExpreturnHT17.4%Market15.0%USR13.8%T-bill8.0%Coll.1.7%HThasthehighestexpectedreturn,andappearstobethebestinvestmentalternative,butisitreally?
Havewefailedtoaccountforrisk?
DiscreteProbabilityDistributions,-60-45-30-15015223045607590110,RateofReturn(%),ExpectedRateofReturn(15%),a.MartinProducts,ProbabilityofOccurrence,-10-50510162025,RateofReturn(%),ExpectedRateofReturn(15%),b.U.S.Electric,ProbabilityofOccurrence,0.5-0.4-0.3-0.2-0.1-,0.5-0.4-0.3-0.2-0.1-,ContinuousProbabilityDistributions,-60015110,RateofReturn(%),ExpectedRateofReturn,MartinProducts,ProbabilityDensity,U.S.Electric,MeasuringRisk:
TheStandardDeviation,MeasuringRisk:
TheStandardDeviation,CalculatingMartinProductsStandardDeviation,Standarddeviationcalculation,Comparingstandarddeviations,Comparingriskandreturn,MeasuringRisk:
CoefficientofVariation,StandardizedmeasureofriskperunitofreturnCalculatedasthestandarddeviationdividedbytheexpectedreturnUsefulwhereinvestmentsdifferinriskandexpectedreturns,Riskrankings,bycoefficientofvariation,CVT-bill0.000HT1.149Coll.7.882USR1.362Market1.020,Collectionshasthehighestdegreeofriskperunitofreturn.HT,despitehavingthehigheststandarddeviationofreturns,hasarelativelyaverageCV.,Investorattitudetowardsrisk,Riskaversionassumesinvestorsdislikeriskandrequirehigherratesofreturntoencouragethemtoholdriskiersecurities.Riskpremiumthedifferencebetweenthereturnonariskyassetandlessriskyasset,whichservesascompensationforinvestorstoholdriskiersecurities.,Portfolioconstruction:
Riskandreturn,Assumeatwo-stockportfolioiscreatedwith$50,000investedinbothHTandCollections.,Expectedreturnofaportfolioisaweightedaverageofeachofthecomponentassetsoftheportfolio.Standarddeviationisalittlemoretrickyandrequiresthatanewprobabilitydistributionfortheportfolioreturnsbedevised.,Calculatingportfolioexpectedreturn,Analternativemethodfordeterminingportfolioexpectedreturn,CalculatingportfoliostandarddeviationandCV,Commentsonportfolioriskmeasures,p=3.3%ismuchlowerthantheiofeitherstock(HT=20.0%;Coll.=13.4%).p=3.3%islowerthantheweightedaverageofHTandColl.s(16.7%).Portfolioprovidesaveragereturnofcomponentstocks,butlowerthanaveragerisk.Why?
Negativecorrelationbetweenstocks.,Returnsdistributionfortwoperfectlynegativelycorrelatedstocks(r=-1.0),-10,15,15,25,25,Returnsdistributionfortwoperfectlypositivelycorrelatedstocks(r=1.0),RiskReductionCombiningstocksthatarenotperfectlycorrelatedwillreducetheportfolioriskbydiversificationTheriskinessofaportfolioisreducedasthenumberofstocksintheportfolioincreasesThesmallerthepositivecorrelation,thelowertherisk,PortfolioRisk,Generalcommentsaboutrisk,Moststocksarepositivelycorrelatedwiththemarket(rk,m0.65).35%foranaveragestock.Combiningstocksinaportfoliogenerallylowersrisk.,Creatingaportfolio:
Beginningwithonestockandaddingrandomlyselectedstockstoportfolio,pdecreasesasstocksadded,becausetheywouldnotbeperfectlycorrelatedwiththeexistingportfolio.Eventuallythediversificationbenefitsofaddingmorestocksdissipates(afterabout10stocks),andforlargestockportfolios,ptendstoconvergeto20%.,Illustratingdiversificationeffectsofastockportfolio,Breakingdownsourcesofrisk,Stand-alonerisk=Marketrisk+Firm-specificriskMarketriskportionofasecuritysstand-aloneriskthatcannotbeeliminatedthroughdiversification.Measuredbybeta.Firm-specificriskportionofasecuritysstand-aloneriskthatcanbeeliminatedthroughproperdiversification.,CapitalAssetPricingModel(CAPM),Modelbaseduponconceptthatastocksrequiredrateofreturnisequaltotherisk-freerateofreturnplusariskpremiumthatreflectstheriskinessofthestockafterdiversification.Primaryconclusion:
Therelevantriskinessofastockisitscontributiontotheriskinessofawell-diversifiedportfolio.,Beta,Measuresastocksmarketrisk,andshowsastocksvolatilityrelativetothemarket.Indicateshowriskyastockisifthestockisheldinawell-diversifiedportfolio.,TheConceptofBeta,BetaCoefficient,bAmeasureoftheextenttowhichthereturnsonagivenstockmovewiththestockmarketb=0.5:
stockisonlyhalfasvolatile,orrisky,astheaveragestockb=1.0:
stockisofaverageriskb=2.0:
stockistwiceasriskyastheaveragestock,PortfolioBetaCoefficients,Thebetaofanysetofsecuritiesistheweightedaverageoftheindividualsecuritiesbetas,Commentsonbeta,Ifbeta=1.0,thesecurityisjustasriskyastheaveragestock.Ifbeta1.0,thesecurityisriskierthanaverage.Ifbeta1.0,thesecurityislessriskythanaverage.Moststockshavebetasintherangeof0.5to1.5.,Canthebetaofasecuritybenegative?
Yes,ifthecorrelationbetweenStockiandthemarketisnegative(i.e.,ri,m0).Ifthecorrelationisnegative,theregressionlinewouldslopedownward,andthebetawouldbenegative.However,anegativebetaishighlyunlikely.,BetacoefficientsforHT,Coll,andT-Bills,Comparingexpectedreturnandbetacoefficients,SecurityExp.Ret.BetaHT17.4%1.30Market15.01.00USR13.80.89T-Bills8.00.00Coll.1.7-0.87Riskiersecuritieshavehigherreturns,TheRelationshipBetweenRiskandRatesofReturn,MarketRiskPremium,RPMistheadditionalreturnovertherisk-freerateneededtocompensateinvestorsforassuminganaverageamountofriskAssuming:
Treasurybondsyield=6%Averagestockrequiredreturn=14%Thenthemarketriskpremiumis8percent:
RPM=kM-kRF=14%-6%=8%,RiskPremiumforaStock,RiskPremiumforStockj=RPj=RPMxbj,TheRequiredRateofReturnforaStock,SecurityMarketLine(SML)Thelinethatshowstherelationshipbetweenriskasmeasuredbybetaandtherequiredrateofreturnforindividualsecurities,SecurityMarketLine,RequiredRateofReturn(%),Risk-FreeRate:
6%,00.51.01.52.0,Risk,bj,khigh=22kM=kA=14kLOW=10kRF=6,SafeStockRiskPremium:
4%,Market(AverageStock)RiskPremium:
8%,RelativelyRiskyStocksRiskPremium:
16%,TheSecurityMarketLine(SML):
Calculatingrequiredratesofreturn,SML:
ki=kRF+(kMkRF)iAssumekRF=8%andkM=15%.Themarket(orequity)riskpremiumisRPM=kMkRF=15%8%=7%.,Calculatingrequiredratesofreturn,kHT=8.0%+(15.0%-8.0%)(1.30)=8.0%+(7.0%)(1.30)=8.0%+9.1%=17.10%kM=8.0%+(7.0%)(1.00)=15.00%kUSR=8.0%+(7.0%)(0.89)=14.23%kT-bill=8.0%+(7.0%)(0.00)=8.00%kColl=8.0%+(7.0%)(-0.87)=1.91%,Expectedvs.Requiredreturns,Anexample:
Equally-weightedtwo-stockportfolio,Createaportfoliowith50%investedinHTand50%investedinCollections.Thebetaofaportfolioistheweightedaverageofeachofthestocksbetas.P=wHTHT+wCollCollP=0.5(1.30)+0.5(-0.87)P=0.215,Calculatingportfoliorequiredreturns,Therequiredreturnofaportfolioistheweightedaverageofeachofthestocksrequiredreturns.kP=wHTkHT+wCollkCollkP=0.5(17.1%)+0.5(1.9%)kP=9.5%Or,usingtheportfoliosbeta,CAPMcanbeusedtosolveforexpectedreturn.kP=kRF+(kMkRF)PkP=8.0%+(15.0%8.0%)(0.215)kP=9.5%,FactorsthatchangetheSML,Whatifinvestorsraiseinflationexpectationsby3%,whatwouldhappentotheSML?
SML1,ki(%),SML2,00.51.01.5,1815118,DI=3%,Risk,i,FactorsthatchangetheSML,Whatifinvestorsriskaversionincreased,causingthemarketriskpremiumtoincreaseby3%,whatwouldhappentotheSML?
SML1,ki(%),SML2,00.51.01.5,1815118,DRPM=3%,Risk,i,Whatismarketequilibrium?
Inequilibrium,stockpricesarestableandthereisnogeneraltendencyforpeopletobuyversustosell.Inequilibrium,expectedreturnsmustequalrequiredreturns.,Marketequilibrium,Expectedreturnsareobtainedbyestimatingdividendsandexpectedcapitalgains.RequiredreturnsareobtainedbyestimatingriskandapplyingtheCAPM.,Howismarketequilibriumestablished?
IfexpectedreturnexceedsrequiredreturnThecurrentprice(P0)is“toolow”andoffersabargain.Buyorderswillbegreaterthansellorders.P0willbebidupuntilexpectedreturnequalsrequiredreturn,Factorsthataffectstockprice,Requiredreturn(ks)couldchangeChanginginflationcouldcausekRFtochangeMarketriskpremiumorexposuretomarketrisk()couldchangeGrowthrate(g)couldchangeDuetoeconomic(market)conditionsDuetofirmconditions,WhatistheEfficientMarketHypothesis(EMH)?
Securitiesarenormallyinequilibriumandare“fairlypriced.”Investorscannot“beatthemarket”exceptthroughgoodluckorbetterinformation.LevelsofmarketefficiencyWeak-formefficiencySemistrong-formefficiencyStrong-formefficiency,Weak-formeffic
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