公司理财chap011.ppt

公司理财chap011.ppt

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McGraw-Hill/IrwinCopyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedCHAPTER11AnAlternativeViewofRiskandReturnTheArbitragePricingTheorySlide2Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinKeyConceptsandSkillsUnderstandthedecompositionofasecuritysreturnintoexpectedandunexpectedcomponentsDiscusstherelativeimportanceofsystematicandunsystematicriskindeterminingaportfoliosreturnCompareandcontrasttheCAPMandArbitragePricingTheorySlide3Copyright2008byTheMcGraw-HillCompanies,Inc.AllrightsreservedMcGraw-Hill/IrwinChapterOutline11.1FactorModels:

Announcements,Surprises,andExpectedReturns11.2Risk:

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