外文翻译股票期望收益和未期望收益Word文档下载推荐.docx

1、To begin, for concreteness, we consider the return on the stock of a company called Flyers. What will determine this stocks return in, say, the coming year?The return on any stock traded in a financial market is composed of two parts. First, the normal, or expected, return from the stock is the part

2、 of the return that shareholders in the market predict or expect. This return depends on the information shareholders have that bears on the stock, and it is based on the markets understanding today of the important factors that will influence the stock in the coming year.The second part of the retu

3、rn on the stock is the uncertain, or risky, part. This is the portion that comes from unexpected information revealed within the year. A list of all possible sources of such information would be endless, bet here are a few examples:News about Flyers researchGovernment figures released on gross domes

4、tic product （GDP）The results from the latest arms control talksThe news that Flyerss sales figures are higher tan expectedA sudden, unexpected drop in interest ratesBased on this discussion, one way to express the return on Flyers stock in the coming year would be:Total return = expected return + un

5、expected returnR = E （R） + UWhere R stands for the actual total return in the year, E（R） stands for the expected part of the return, and U stands for the unexpected part of the return. What this says is that the actual return, R, differs from the expected return, E（R）, because of surprises that occu

6、r during the year. In any given year, the unexpected return will be positive or negative, but, through time, the average value of U will be zero. This simply means that on average, the actual return equals the expected return.Risk: systematic and unsystematicThe unanticipated part of the return, tha

7、t portion resulting from surprises, is the true risk of any investment. After all, if we always receive exactly what we expect, then the investment is perfectly predictable and by definition, risk-free. In other words, the risk of owning an asset comes from surprises-unanticipated events.There are i

8、mportant differences, though, among various sources of risk. Look back at our previous list of news stories. Some of these stories are directed specifically at Flyers, and some are more general. Which of the news items are of specific importance to Flyers?Announcements about interest rates or GDP ar

9、e clearly important for nearly all companies, whereas the news about Flyerss president, its research, or its sales is of specific interest to Flyers. We will distinguish between these two types of events, because, as we shall see, they have very different implications.Systematic and unsystematic ris

10、kThe first type of surprise, the one that affects a large number of assets, we will label systematic risk. A systematic risk is one that influences a large number of assets, each to a greater of lesser extent. Because systematic risks have marketwide effects, they are sometimes called market risks.T

11、he second type of surprise we will call unsystematic risk. An unsystematic risk is one that affects a single asset or a small group of assets. Because these risks are unique to individual companies or assets, they are sometimes called unique or asset specific risks. We will use these terms interchan

12、geably.As we have seen, uncertainties about general economic conditions, such as GDP, interest rates, or inflation, are examples of systematic risks. These conditions affect nearly all companies to some degree. An unanticipated increase, or surprise, in inflation, for example, affects wages and the

13、costs of supplies that companies buy, it affects the value of the assets that companies own, and it affects the prices at which companies sell their products. Forces such as these, to which all companies are susceptible, are the essence of systematic risk.In contrast, the announcement of an oil stri

14、ke by a company will primarily affect that company and, perhaps, a few others （such as primary competitors and suppliers）. It is unlikely to have much of an effect on the world oil market, however, or on the affairs of companies not in the oil business, so this is an unsystematic event.Systematic an

15、d unsystematic components of returnThe distinction between a systematic risk and an unsystematic risk is never really as exact as we make it out to be. Even the most narrow and peculiar bit of news about a company ripples through the economy. This is true because every enterprise, no matter how tiny

16、, is a part of economy. Its like the tale of a kingdom that was lost because one horse lost a shoe. This is mostly hairsplitting, however. Some risks are clearly much more general than others. Well see some evidence on this point in just a moment.The distinction between the types of risk allows us t

17、o break down the surprise portion, U, of the return on the Flyers stock into two parts. Earlier, we had the actual return broken down into its expected and surprise components:We now recognize that the total surprise component for Flyers, U, has a systematic and an unsystematic component, so:R = E （

18、R） + systematic portion + unsystematic portionSystematic risks are often called market risks because they affect most assets in the market to some degree.The important thing about the way we have broken down the total surprise, U, is that the unsystematic portion is more or less unique to Flyers. Fo

19、r this reason, it is unrelated to the unsystematic portion of return on most other assets. To see why this is important, we need to return to the subject of portfolio risk.Diversification and portfolio riskWeve seen earlier that portfolio risks can, in principle, be quite different from the risks of

20、 the assets that make up the portfolio. We now look more closely at the riskiness of an individual asset versus the risk of a portfolio of many different assets. We will once again examine some market history to get an idea of what happens with actual investments in U.S capital markets.The effect of

21、 diversification: another lesson from market historyIn our previous chapter, we saw that the standard deviation of the annual return on a portfolio of 500 large common stocks has historically been about 20 percent per year. Does this mean that the standard deviation of the annual return on a typical

22、 stock in that group of 500 is about 20 percent? As you might suspect by now, the answer is no. this in an extremely important observation.To allow examination of the relationship between portfolio size and portfolio risk, Table11.4 illustrates typical average annual standard deviation for equally w

23、eighted portfolio that contain different numbers of randomly selected NYSE securities,In column 2 of table11.4, we see that the standard deviation for a “portfolio” of one security is about 49 percent. What this means is that if you randomly selected a single NYSE stock and put all your money into i

24、t, your standard deviation of return would typically be a substantial 49 percent per year. If you were to randomly select two stocks and invest half your money in each, your standard deviation would be about 37 percent on average, and so on.The important thing to notice in table11.4 is that the stan

25、dard deviation declines as the number of securities is increased. By the time we have 100 randomly chosen stocks, the portfolios standard deviation has declined by about 60 percent, from 49 percent to about 20 percent. With 500 securities, the standard deviation is 19.27 percent, similar to the 20 p

26、ercent we saw in our previous chapter for the large common stock portfolio. The small difference exists because the portfolio securities and time periods examined are not identical.The principle of diversificationFigure 11.9 illustrates the point weve been discussing. What we have plotted is the sta

27、ndard deviation of return versus the number of stocks in the portfolio. Notice in figure 11.9 that the benefit in terms of risk reduction from adding securities drops off as we add more. By the time we have 10 securities, most of the effect is already realized, and by the time we get to 30 or so, th

28、ere is very little remaining benefit.Figure11.9 illustrates two key points. First, some of the riskiness associated with individual assets can be eliminated by forming portfolio. The process of spreading an investment across assets（and thereby forming a portfolio） is called diversification. The prin

29、ciple of diversification tells us that spreading an investment across many assets will eliminate some of the risk. The blue shaded area in figure11.9, labeled “diversifiable risk” is the part that can be eliminated by diversification.The second point is equally important. There is a minimum level of

30、 risk that cannot be eliminated simply by diversifying. This minimum level is labeled “nondiversifiable risk” in figure 11.9. Taken together, these two points are another important lesson from capital market history: diversification reduces risk, but only up to a point. Put another way, some risk is

31、 diversifiable and some is not.To give a recent example of the impact of diversification, the Dow Jones Industrial Average （DJIA）, which is a widely followed stock market index of 30 large, well-known U.S stocks, was up about 25 percent in 2003. As we saw in our previous chapter, this represents a p

32、retty good year for a portfolio of large-cap stocks. The biggest individual gainers for the year were Intel （up 107 percent）, Caterpillar （up 86 percent）, and Alcoa （up 71 percent）. But not all 30 stocks were up: the losers included Eastman Kodak （down 24 percent.） AT&T （down 19 percent）, and Merck （down 11 percent）.In contrast to 2003, consider 2002 when the DJIA was down about 17 percent, a fairly bad year. The big losers in this year were Home Depot （down 52 percent）, and Intel （down 50 percent）. Working to offset these l