公司理财chap011PPT格式课件下载.ppt
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SystematicandUnsystematic11.3SystematicRiskandBetas11.4PortfoliosandFactorModels11.5BetasandExpectedReturns11.6TheCapitalAssetPricingModelandtheArbitragePricingTheory11.7EmpiricalApproachestoAssetPricingSlide4Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinArbitragePricingTheoryArbitragearisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,aninvestorcancreatelargepositionstosecurelargelevelsofprofit.Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear.Slide5Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/Irwin11.1FactorModels:
Announcements,Surprises,andExpectedReturnsThereturnonanysecurityconsistsoftwoparts.First,theexpectedreturnsSecond,theunexpectedorriskyreturnsAwaytowritethereturnonastockinthecomingmonthis:
Slide6Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinFactorModels:
Announcements,Surprises,andExpectedReturnsAnyannouncementcanbebrokendownintotwoparts,theanticipated(orexpected)partandthesurprise(orinnovation):
Announcement=Expectedpart+Surprise.Theexpectedpartofanyannouncementisthepartoftheinformationthemarketusestoformtheexpectation,R,ofthereturnonthestock.Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U.Slide7Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/Irwin11.2Risk:
SystematicandUnsystematicAsystematicriskisanyriskthataffectsalargenumberofassets,eachtoagreaterorlesserdegree.Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Unsystematicriskcanbediversifiedaway.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.Ontheotherhand,announcementsspecifictoasinglecompanyareexamplesofunsystematicrisk.Slide8Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinRisk:
SystematicandUnsystematicSystematicRisk:
mNonsystematicRisk:
n2TotalriskWecanbreakdownthetotalriskofholdingastockintotwocomponents:
systematicriskandunsystematicrisk:
Slide9Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/Irwin11.3SystematicRiskandBetasThebetacoefficient,b,tellsustheresponseofthestocksreturntoasystematicrisk.IntheCAPM,bmeasurestheresponsivenessofasecuritysreturntoaspecificriskfactor,thereturnonthemarketportfolio.Weshallnowconsiderothertypesofsystematicrisk.Slide10Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinSystematicRiskandBetasForexample,supposewehaveidentifiedthreesystematicrisks:
inflation,GNPgrowth,andthedollar-eurospotexchangerate,S($,).Ourmodelis:
Slide11Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinSystematicRiskandBetas:
ExampleSupposewehavemadethefollowingestimates:
1.bI=-2.302.bGNP=1.503.bS=0.50Finally,thefirmwasabletoattracta“superstar”CEO,andthisunanticipateddevelopmentcontributes1%tothereturn.Slide12Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinSystematicRiskandBetas:
ExampleWemustdecidewhatsurprisestookplaceinthesystematicfactors.Ifitwerethecasethattheinflationratewasexpectedtobe3%,butinfactwas8%duringthetimeperiod,then:
FI=Surpriseintheinflationrate=actualexpected=8%3%=5%Slide13Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinSystematicRiskandBetas:
ExampleIfitwerethecasethattherateofGNPgrowthwasexpectedtobe4%,butinfactwas1%,then:
FGNP=SurpriseintherateofGNPgrowth=actualexpected=1%4%=3%Slide14Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinSystematicRiskandBetas:
ExampleIfitwerethecasethatthedollar-eurospotexchangerate,S($,),wasexpectedtoincreaseby10%,butinfactremainedstableduringthetimeperiod,then:
FS=Surpriseintheexchangerate=actualexpected=0%10%=10%S