[经济学]CAPM-theory-and-evidence高级公司财务-资本资产定价模型-英文版课件PPT文件格式下载.ppt

[经济学]CAPM-theory-and-evidence高级公司财务-资本资产定价模型-英文版课件PPT文件格式下载.ppt

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1,Econ906CorporateFinance,TheCapitalAssetPricingModel（CAPM）Readings:

@#@Copeland/WestonCh7,BMCh9,GTCh5-6Roll,RichardW.“ACritiqueoftheAssetPricingTheorysTests;@#@PartI:

@#@OnPastandPotentialTestabilityoftheTheory”,JournalofFinancialEconomics4,no.2（1977）,pp129-176Kothari,S.P.,etal.,“AnotherLookattheCross-SectionofExpectedStockReturns”,JournalofFinance,50,no.1（1995）,pp185-224.,2,Learningoutcomes,MakedistinctionbetweenCMLandSMLIdentifyingtheefficiencyfrontierandminimumvarianceportfolioAnalysingtherelationshipbetweenriskandreturnAssessingempiricaltestsoftheCAPMandthelimitationsofthemodel,3,Introduction,TheCAPMshowthattheequilibriumratesofreturnonallriskyassetsareafunctionoftheircovariancewiththemarketportfolioTheAPTontheotherhandconsidersthatthereturnonanyriskyassetisalinearcombinationofvariousfactorsthataffectassetreturns.TheAPTismoregeneralthantheCAPMsinceitallowsnumerousfactorstoexplaintheequilibriumreturnonariskyasset.,4,CAPMAssumptions,Investorsbasetheirinvestmentdecisiononasingle-periodanalysis.Marketsarefrictionless（borrowingrateequalslendingrate）andinformationiscostlessandsimultaneouslyavailabletoallinvestors.Therearenomarketimperfectionssuchastaxes,regulations,orrestrictionsonshort-selling.Investorsarerisk-averse,andtheycareonlyaboutmeanandvarianceoftheirportfolioreturns.Investorshavehomogeneousexpectationwhichmeansthatallinvestorsreachthesameconclusionsaboutthemeanandstandarddeviationsofallfeasibleportfolios.Risk-lessrateofinterestexistssuchthatinvestorsmayborroworlendunlimitedamountsattherisk-freerate.,5,CapitalMarketLine,Return,Risk,EfficientPortfolio,RiskFreeReturn=,MarketReturn=rm,6,SecurityMarketLine,EfficientPortfolio,BETA,Return,MarketReturn=rm,RiskFreeReturn=,1.0,SecurityMarketLine（SML）,7,TheEfficientFrontier,Thetophalfofthemean-varianceplotformean-varianceefficientportfolioisknownastheefficientfrontierofriskystocks.Theefficientfrontieristhemostefficienttrade-offbetweenmeanandvariance.Amoreefficientportfolioweightingschemecanearnahighermeanreturnandhasthesamevariancetoagivenportfoliooralternativelythesamemeanandalowervariance.Theefficientfrontiercanbegeneratedbyholdingrisk-freeassetandone“key”portfolio（knownastangencyportfolio）.,8,TheEfficiencyoftheMarketPortfolio,Solongasinvestorshavehomogeneousexpectations,theywillallperceivethesameminimumvarianceopportunityset.Hence,evenintheabsenceofrisk-freeasset,theywillallselectefficientportfoliosregardlessoftheirindividualrisktolerance.Giventhatallindividualsholdpositiveproportionsoftheirwealthinefficientportfolios,thenthemarketportfoliomustbeefficientbecause:

@#@

（1）Themarketissimplythesumofallindividualholdingsand,

（2）TheindividualholdingsareefficientTherefore,intheory,whenallinvestorshavehomogeneousexpectations,themarketportfoliomustbeefficient.,9,TheFeasibleSet,10,TheRelationBetweentheMean-StandardDeviationDiagramandaMean-BetaDiagram,11,CapitalAssetPricingModel,AssumptionsoftheCAPM:

@#@1.Investorscareonlyaboutthemeanandvarianceoftheirportfoliosreturns.2.Marketsarefrictionless:

@#@notaxes,notransactionscostsetc3.Investorshavehomogeneousbeliefs,whichmeansthatallinvestorsreachthesameconclusionsaboutthemeansandstandarddeviationsofallfeasibleportfolios-investorswillnotbetryingtooutsmartoneanotherand“beatthemarket”byactivelymanagingtheirportfolios,12,MarketPortfolio,Themarketportfolioistheportfoliothatprovidesthehighestpossibleriskpremiumperunitofrisk,orthegreatestpossiblegainfromdiversification.InpracticeamarketindexsuchasFTSEAllShareIndexmayserveasaproxyforthemarketportfolio.Graphically,themarketportfolioistheportfolioforwhichthelinethatistangentialtotheefficientfrontierandpassesthroughtherisk-lessassetsreturnpointrepresentingthesteepestslope.ThislineisknownastheCapitalMarketLine（CML）.,13,CapitalMarketLine,Thetangencyportfoliorepresentstheuniqueoptimalportfoliothatcontainsnoinvestmentintheriskfreeasset.Thelineconnectingthereturnofrisk-freeassetwiththetangencyportfolioisknownastheCapitalMarketLine（CML）.TheCMLisrepresentedbythefollowingequation:

@#@,14,CapitalMarketLinecntd.,Whereandarethemeanandstandarddeviationofthetangencyportfoliosreturnrespectivelyandisthereturnontherisk-freeasset.AstheCMListhesteepestslopedlineavailablefromcombiningarisk-freeinvestmentwithanyriskyinvestment,itplotsthesetofmean-varianceefficientportfoliosthatcanbeachievedbycombiningtheriskystockswitharisk-freeinvestment.,15,RelationBetweenRiskandReturn,Theratioofth