外文翻译股票期望收益和未期望收益Word文档下载推荐.docx

外文翻译股票期望收益和未期望收益Word文档下载推荐.docx

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Tobegin,forconcreteness,weconsiderthereturnonthestockofacompanycalledFlyers.Whatwilldeterminethisstock’sreturnin,say,thecomingyear?

Thereturnonanystocktradedinafinancialmarketiscomposedoftwoparts.First,thenormal,orexpected,returnfromthestockisthepartofthereturnthatshareholdersinthemarketpredictorexpect.Thisreturndependsontheinformationshareholdershavethatbearsonthestock,anditisbasedonthemarket’sunderstandingtodayoftheimportantfactorsthatwillinfluencethestockinthecomingyear.

Thesecondpartofthereturnonthestockistheuncertain,orrisky,part.Thisistheportionthatcomesfromunexpectedinformationrevealedwithintheyear.Alistofallpossiblesourcesofsuchinformationwouldbeendless,bethereareafewexamples:

NewsaboutFlyersresearch

Governmentfiguresreleasedongrossdomesticproduct（GDP）

Theresultsfromthelatestarmscontroltalks

ThenewsthatFlyers’ssalesfiguresarehighertanexpected

Asudden,unexpecteddropininterestrates

Basedonthisdiscussion,onewaytoexpressthereturnonFlyersstockinthecomingyearwouldbe:

Totalreturn=expectedreturn+unexpectedreturn

R=E（R）+U

WhereRstandsfortheactualtotalreturnintheyear,E（R）standsfortheexpectedpartofthereturn,andUstandsfortheunexpectedpartofthereturn.Whatthissaysisthattheactualreturn,R,differsfromtheexpectedreturn,E（R）,becauseofsurprisesthatoccurduringtheyear.Inanygivenyear,theunexpectedreturnwillbepositiveornegative,but,throughtime,theaveragevalueofUwillbezero.Thissimplymeansthatonaverage,theactualreturnequalstheexpectedreturn.

Risk:

systematicandunsystematic

Theunanticipatedpartofthereturn,thatportionresultingfromsurprises,isthetrueriskofanyinvestment.Afterall,ifwealwaysreceiveexactlywhatweexpect,thentheinvestmentisperfectlypredictableandbydefinition,risk-free.Inotherwords,theriskofowninganassetcomesfromsurprises-unanticipatedevents.

Thereareimportantdifferences,though,amongvarioussourcesofrisk.Lookbackatourpreviouslistofnewsstories.SomeofthesestoriesaredirectedspecificallyatFlyers,andsomearemoregeneral.WhichofthenewsitemsareofspecificimportancetoFlyers?

AnnouncementsaboutinterestratesorGDPareclearlyimportantfornearlyallcompanies,whereasthenewsaboutFlyers’spresident,itsresearch,oritssalesisofspecificinteresttoFlyers.Wewilldistinguishbetweenthesetwotypesofevents,because,asweshallsee,theyhaveverydifferentimplications.

Systematicandunsystematicrisk

Thefirsttypeofsurprise,theonethataffectsalargenumberofassets,wewilllabelsystematicrisk.Asystematicriskisonethatinfluencesalargenumberofassets,eachtoagreateroflesserextent.Becausesystematicriskshavemarketwideeffects,theyaresometimescalledmarketrisks.

Thesecondtypeofsurprisewewillcallunsystematicrisk.Anunsystematicriskisonethataffectsasingleassetorasmallgroupofassets.Becausetheserisksareuniquetoindividualcompaniesorassets,theyaresometimescalleduniqueorassetspecificrisks.Wewillusethesetermsinterchangeably.

Aswehaveseen,uncertaintiesaboutgeneraleconomicconditions,suchasGDP,interestrates,orinflation,areexamplesofsystematicrisks.Theseconditionsaffectnearlyallcompaniestosomedegree.Anunanticipatedincrease,orsurprise,ininflation,forexample,affectswagesandthecostsofsuppliesthatcompaniesbuy,itaffectsthevalueoftheassetsthatcompaniesown,anditaffectsthepricesatwhichcompaniesselltheirproducts.Forcessuchasthese,towhichallcompaniesaresusceptible,aretheessenceofsystematicrisk.

Incontrast,theannouncementofanoilstrikebyacompanywillprimarilyaffectthatcompanyand,perhaps,afewothers（suchasprimarycompetitorsandsuppliers）.Itisunlikelytohavemuchofaneffectontheworldoilmarket,however,orontheaffairsofcompaniesnotintheoilbusiness,sothisisanunsystematicevent.

Systematicandunsystematiccomponentsofreturn

Thedistinctionbetweenasystematicriskandanunsystematicriskisneverreallyasexactaswemakeitouttobe.Eventhemostnarrowandpeculiarbitofnewsaboutacompanyripplesthroughtheeconomy.Thisistruebecauseeveryenterprise,nomatterhowtiny,isapartofeconomy.It’slikethetaleofakingdomthatwaslostbecauseonehorselostashoe.Thisismostlyhairsplitting,however.Somerisksareclearlymuchmoregeneralthanothers.We’llseesomeevidenceonthispointinjustamoment.

Thedistinctionbetweenthetypesofriskallowsustobreakdownthesurpriseportion,U,ofthereturnontheFlyersstockintotwoparts.Earlier,wehadtheactualreturnbrokendownintoitsexpectedandsurprisecomponents:

WenowrecognizethatthetotalsurprisecomponentforFlyers,U,hasasystematicandanunsystematiccomponent,so:

R=E（R）+systematicportion+unsystematicportion

Systematicrisksareoftencalledmarketrisksbecausetheyaffectmostassetsinthemarkettosomedegree.

Theimportantthingaboutthewaywehavebrokendownthetotalsurprise,U,isthattheunsystematicportionismoreorlessuniquetoFlyers.Forthisreason,itisunrelatedtotheunsystematicportionofreturnonmostotherassets.Toseewhythisisimportant,weneedtoreturntothesubjectofportfoliorisk.

Diversificationandportfoliorisk

We’veseenearlierthatportfolioriskscan,inprinciple,bequitedifferentfromtherisksoftheassetsthatmakeuptheportfolio.Wenowlookmorecloselyattheriskinessofanindividualassetversustheriskofaportfolioofmanydifferentassets.WewillonceagainexaminesomemarkethistorytogetanideaofwhathappenswithactualinvestmentsinU.Scapitalmarkets.

Theeffectofdiversification:

anotherlessonfrommarkethistory

Inourpreviouschapter,wesawthatthestandarddeviationoftheannualreturnonaportfolioof500largecommonstockshashistoricallybeenabout20percentperyear.Doesthismeanthatthestandarddeviationoftheannualreturnonatypicalstockinthatgroupof500isabout20percent?

Asyoumightsuspectbynow,theanswerisno.thisinanextremelyimportantobservation.

Toallowexaminationoftherelationshipbetweenportfoliosizeandportfoliorisk,Table11.4illustratestypicalaverageannualstandarddeviationforequallyweightedportfoliothatcontaindifferentnumbersofrandomlyselectedNYSEsecurities,

Incolumn2oftable11.4,weseethatthestandarddeviationfora“portfolio”ofonesecurityisabout49percent.WhatthismeansisthatifyourandomlyselectedasingleNYSEstockandputallyourmoneyintoit,yourstandarddeviationofreturnwouldtypicallybeasubstantial49percentperyear.Ifyouweretorandomlyselecttwostocksandinvesthalfyourmoneyineach,yourstandarddeviationwouldbeabout37percentonaverage,andsoon.

Theimportantthingtonoticeintable11.4isthatthestandarddeviationdeclinesasthenumberofsecuritiesisincreased.Bythetimewehave100randomlychosenstocks,theportfolio’sstandarddeviationhasdeclinedbyabout60percent,from49percenttoabout20percent.With500securities,thestandarddeviationis19.27percent,similartothe20percentwesawinourpreviouschapterforthelargecommonstockportfolio.Thesmalldifferenceexistsbecausetheportfoliosecuritiesandtimeperiodsexaminedarenotidentical.

Theprincipleofdiversification

Figure11.9illustratesthepointwe’vebeendiscussing.Whatwehaveplottedisthestandarddeviationofreturnversusthenumberofstocksintheportfolio.Noticeinfigure11.9thatthebenefitintermsofriskreductionfromaddingsecuritiesdropsoffasweaddmore.Bythetimewehave10securities,mostoftheeffectisalreadyrealized,andbythetimewegetto30orso,thereisverylittleremainingbenefit.

Figure11.9illustratestwokeypoints.First,someoftheriskinessassociatedwithindividualassetscanbeeliminatedbyformingportfolio.Theprocessofspreadinganinvestmentacrossassets（andtherebyformingaportfolio）iscalleddiversification.Theprincipleofdiversificationtellsusthatspreadinganinvestmentacrossmanyassetswilleliminatesomeoftherisk.Theblueshadedareainfigure11.9,labeled“diversifiablerisk”isthepartthatcanbeeliminatedbydiversification.

Thesecondpointisequallyimportant.Thereisaminimumlevelofriskthatcannotbeeliminatedsimplybydiversifying.Thisminimumlevelislabeled“nondiversifiablerisk”infigure11.9.Takentogether,thesetwopointsareanotherimportantlessonfromcapitalmarkethistory:

diversificationreducesrisk,butonlyuptoapoint.Putanotherway,someriskisdiversifiableandsomeisnot.

Togivearecentexampleoftheimpactofdiversification,theDowJonesIndustrialAverage（DJIA）,whichisawidelyfollowedstockmarketindexof30large,well-knownU.Sstocks,wasupabout25percentin2003.Aswesawinourpreviouschapter,thisrepresentsaprettygoodyearforaportfoliooflarge-capstocks.ThebiggestindividualgainersfortheyearwereIntel（up107percent）,Caterpillar（up86percent）,andAlcoa（up71percent）.Butnotall30stockswereup:

thelosersincludedEastmanKodak（down24percent.）AT&

T（down19percent）,andMerck（down11percent）.

Incontrastto2003,consider2002whentheDJIAwasdownabout17percent,afairlybadyear.ThebiglosersinthisyearwereHomeDepot（down52percent）,andIntel（down50percent）.Workingtooffsetthesel