公司理财原书第七版第十一章.ppt
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公司理财原书第七版第十一章.ppt
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11-0,CHAPTER,11,AnAlternativeViewofRiskandReturn:
TheAPT,11-1,ChapterOutline,11.1FactorModels:
Announcements,Surprises,andExpectedReturns11.2Risk:
SystematicandUnsystematic11.3SystematicRiskandBetas11.4PortfoliosandFactorModels11.5BetasandExpectedReturns11.6TheCapitalAssetPricingModelandtheArbitragePricingTheory11.7ParametricApproachestoAssetPricing11.8SummaryandConclusions,11-2,ArbitragePricingTheory,Arbitragearisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,aninvestorcancreatelargepositionstosecurelargelevelsofprofit.Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear.,11-3,ArbitragePricingTheory,TheAPTassumesthatreturnsonsecuritiesaregeneratedbyanumberofindustrywideandmarketwidefactors.,11-4,11.1FactorModels:
Announcements,Surprises,andExpectedReturns,Thereturnonanysecurityconsistsoftwoparts.FirsttheexpectedreturnsSecondistheunexpectedorriskyreturns.Awaytowritethereturnonastockinthecomingmonthis:
11-5,11.1FactorModels:
Announcements,Surprises,andExpectedReturns,Anyannouncementcanbebrokendownintotwoparts,theanticipatedorexpectedpartandthesurpriseorinnovation:
Announcement=Expectedpart+Surprise.Theexpectedpartofanyannouncementispartoftheinformationthemarketusestoformtheexpectation,Rofthereturnonthestock.Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U.,11-6,2007年4月23日傍晚,当从4月24日起证券(股票)交易印花税税率由千分之三降至千分之一的消息正式公布后,股民一致认为是实质性的特大利好政策出台,不少股民则立即拿起电话或连线QQ,连夜竞相转告,共同期盼股市一路走好。
4月24日的股市果然不负众望,上证综指不但大幅高开,午后更在大盘蓝筹股的推动下展开凌厉升势,最终收市劲升9.29%,创出自1996年12月实施涨跌停制度以来的历史最大涨幅。
11-7,2007年5月30日半夜鸡叫,900只个股跌停。
5月30日,财政部凌晨宣布,即日起将证券交易印花税上调至0.3%。
上午9时半,沪深股市开盘后出现了放量暴跌的态势,跌幅达6%以上,两市跌停的个股超过900只。
11-8,2009年04月30日11:
48中国股市午盘上涨部分项目资本金比例下调,华尔街日报报道:
中国股市周四(4月30日)午盘上涨,部分投资项目资本金比例下调推动大盘续升。
上证综指高开后震荡向下,回探20日线(现为2465.08点)后再度走高,午盘涨0.83%,报2488.69点;成交人民币723亿元,较昨日放大约38%。
国信证券分析师指出,国务院刺激投资的举措及美股隔夜上扬均推动A股延续昨日反弹走势,惟猪流感疫情在节前最后一个交易日给市场平添不确定因素,不排除午后冲高回落的可能性。
盘面看,个股多升:
上海本地股、地产、水泥股涨幅居前,机械、发电设备、新能源、有色金属等板块大面积走高,钢铁、航空、保险等权重股多升,宝钢股份(600019)涨1.21%。
医药股继续回落,银行股多疲软,华夏银行(600015)跌2.13%。
深证成指涨1.79%,报9550.95点。
11-9,2010年05月07日08:
19,彭博通讯社、美国国家广播公司财经频道等财经媒体报道称,已有多个消息来源证实,在美国东部时间6日下午2点47分左右,一名交易员在卖出股票时敲错了一个字母,将百万误打成十亿,导致道琼斯指数突然出现近千点的暴跌。
从下午2点42分到2点47分之间,道琼斯指数从10458点瞬间跌至986962点,与前一交易日收盘相比,下跌了9985点。
到2点58分,道指又回到1047974点。
这是道琼斯指数历史上第二大单日波幅。
彭博社的报道说,宝洁公司的股票在6日下午出现异常波动,股价突然从每股64美元跌至39美元,随后即回升至每股60美元。
另根据纽约证券交易所的消息,当天在纽交所交易的股票中,有8只股票出现了交易价为零或者1美分的异常情况。
市场交易人士认为,交易中的错误操作以及交易系统的技术问题是纽约股市6日盘中出现异常暴跌的主要原因。
目前纽约证券交易所和纳斯达克股票市场正在就当天的异常波动进行调查,11-10,11.2Risk:
SystematicandUnsystematic,Asystematicriskisanyriskthataffectsalargenumberofassets,eachtoagreaterorlesserdegree.Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Unsystematicriskcanbediversifiedaway.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.我国07年3月份CPI为8.3%,一季度居民消费价格总水平上涨8.0%Ontheotherhand,announcementsspecifictoacompany,suchasagoldminingcompanystrikinggold,areexamplesofunsystematicrisk.,11-11,11.2Risk:
SystematicandUnsystematic,SystematicRisk;m,NonsystematicRisk;,n,Totalrisk;U,Wecanbreakdowntherisk,U,ofholdingastockintotwocomponents:
systematicriskandunsystematicrisk:
11-12,11.3SystematicRiskandBetas,Thebetacoefficient,b,tellsustheresponseofthestocksreturntoasystematicrisk.IntheCAPM,bmeasuredtheresponsivenessofasecuritysreturntoaspecificriskfactor,thereturnonthemarketportfolio.Weshallnowconsidermanytypesofsystematicrisk.,11-13,11.3SystematicRiskandBetas,Forexample,supposewehaveidentifiedthreesystematicrisksonwhichwewanttofocus:
InflationGDPgrowthThedollar-eurospotexchangerate,S($,)Ourmodelis:
11-14,SystematicRiskandBetas:
Example,Supposewehavemadethefollowingestimates:
bI=-2.30bGDP=1.50bS=0.50.Finally,thefirmwasabletoattracta“superstar”CEOandthisunanticipateddevelopmentcontributes1%tothereturn.,11-15,SystematicRiskandBetas:
Example,Wemustdecidewhatsurprisestookplaceinthesystematicfactors.Ifitwasthecasethattheinflationratewasexpectedtobeby3%,butinfactwas8%duringthetimeperiod,thenFI=Surpriseintheinflationrate=actualexpected=8%3%=5%,11-16,SystematicRiskandBetas:
Example,IfitwasthecasethattherateofGDPgrowthwasexpectedtobe4%,butinfactwas1%,thenFGDP=SurpriseintherateofGDPgrowth=actualexpected=1%4%=3%,11-17,SystematicRiskandBetas:
Example,Ifitwasthecasethatdollar-eurospotexchangerate,S($,),wasexpectedtoincreaseby10%,butinfactremainedstableduringthetimeperiod,thenFS=Surpriseintheexchangerate=actualexpected=0%10%=10%,11-18,SystematicRiskandBetas:
Example,Finally,ifitwasthecasethattheexpectedreturnonthestockwas8%,then,11-19,11.4PortfoliosandFactorModels,Nowletusconsiderwhathappenstoportfoliosofstockswheneachofthestocksfollowsaone-factormodel.WewillcreateportfoliosfromalistofNstocksandwillcapturethesystematicriskwitha1-factormodel.Theithstockinthelisthavereturns:
11-20,RelationshipBetweentheReturnontheCommonFactor&ExcessReturn,Excessreturn,ThereturnonthefactorF,Ifweassumethatthereisnounsystematicrisk,thenei=0,11-21,RelationshipBetweentheReturnontheCommonFactor&ExcessReturn,Excessreturn,ThereturnonthefactorF,Ifweassumethatthereisnounsystematicrisk,thenei=0,11-22,RelationshipBetweentheReturnontheCommonFactor&ExcessReturn,Excessreturn,ThereturnonthefactorF,Differentsecuritieswillhavedifferentbetas,11-23,PortfoliosandDiversification,Weknowthattheportfolioreturnistheweightedaverageofthereturnsontheindividualassetsintheportfolio:
11-24,PortfoliosandDiversification,Thereturnonanyportfolioisdeterminedbythreesetsofparameters:
Inalargeportfolio,thethirdrowofthisequationdisappearsastheunsystematicriskisdiversifiedaway.,11-25,PortfoliosandDiversification,Sothereturnonadiversifiedportfolioisdeterminedbytwosetsofparameters:
Theweighedaverageofexpectedreturns.TheweightedaverageofthebetastimesthefactorF.,Inalargeportfolio,theonlysourceofuncertaintyistheportfoliossensitivitytothefactor.,11-26,11.5BetasandExpectedReturns,Thereturnonadiversifiedportfolioisthesumoftheexpectedreturnplusthesensitivityoftheportfoliotothefactor.,11-27,RelationshipBetweenb&ExpectedReturn,Ifshareholdersareignoringunsystematicrisk,onlythesystematicriskofastockcanberelatedtoitsexpectedreturn.,11-28,RelationshipBetweenb&ExpectedReturn,Expectedreturn,b,A,B,C,D,SML,11-29,11.6TheCapitalAssetPricingModelandtheArbitragePricingTheory,APTappliestowelldiversifiedportfoliosandnotnecessarilytoindividualstocks.WithAPTitispossibleforsomeindividualstockstobemispriced-notlieontheSML.APTismoregeneralinthatitgetstoanexpectedreturnandbetarelationshipwithouttheassumptionofthemarketportfolio.APTcanbeextendedtomultifactormodels.,11-30,11.7EmpiricalApproachestoAssetPricing,BoththeCAPMandAPTarerisk-basedmodels.Therearealternatives.Empiricalmethodsarebasedlessontheoryandmoreonlookingforsomeregularitiesinthehistoricalrecord.Beawarethatcorrelationdoesnotimplycausality.Relatedtoempiricalmethodsisthepracticeofclassifyingportfoliosbystylee.g.ValueportfolioGrowthportfolio,11-31,11.8SummaryandConclusions,TheAPTassumesthatstockreturnsaregeneratedaccordingtofactormodelssuchas:
Assecuritiesareaddedtotheportfolio,theunsystematicrisksoftheindividualsecuritiesoffseteachother.Afullydiversifiedportfoliohasnounsystematicrisk.TheCAPMcanbeviewedasaspecialcaseoftheAPT.Empiricalmodelstrytocapturetherelationsbetweenreturnsandstockattributesthatcanbemeasureddirectlyfromthedatawithoutappealtotheory.,11-32,MultipleChoiceQuestions,1.BoththeAPTandtheCAPMimplyapositiverelationshipbetweenexpectedreturnandrisk.TheAPTviewsriskA)verysimilarlytotheCAPMviathebetaofthesecurity.B)intermsofindividualintersecuritycorrelationversusthebetaoftheCAPM.C)viatheindustrywideormarketwidefactorscreatingcorrelationbetweensecurities.D)thestandardizeddeviationofthecovariance.E)Noneoftheabove.,11-33,Answer:
C,11-34,2.IntheequationR=+U,thethreesymbolsstandfor:
A)averagereturn,expectedreturn,andunexpectedreturn.B)requiredreturn,expectedreturn,andunbiasedreturn.C)actualtotalreturn,expectedreturn,andunexpectedreturn.D)requiredreturn,expectedreturn,andunbiasedrisk.E)risk,expectedreturn,andunsystematicrisk.,11-35,Answer:
C,11-36,3.Whichofthefollowingistrueabouttheimpactonmarketpriceofasecuritywhenacompanymakesanannouncementandthemarkethasdiscountedthenews?
A)Thepricewillchangeagreatdeal;eventhoughtheimpactisprimarilyinthefuture,thefuturevalueisdiscountedtothepresent.B)Thepricewillchangelittle,ifatall,sincetheimpactisprimarilyinthefuture.C)Thepricewillchangelittle,ifatall,sincethemarketconsidersthisinformationunimportant.D)Thepricewillchangelittle,ifatall,sincethemarketconsidersthisinformationuntrue.E)Thepricewillchangelittle,ifatall,sincethemarkethasalreadyincludedthisinformationinthesecuritysprice.,11-37,Answer:
E,11-38,4.SystematicriskisdefinedasA)ariskthatspecificallyaffectsanassetorsmallgroupofassets.B)anyriskthataffectsalargenumberofassets.C)anyriskthathasahugeimpactonthereturnofasecurity.D)therandomcomponentofreturn.E)Noneoftheabove.,11-39,Answer:
B,11-40,Thesystematicrespo
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