Chapter_10ReturnandRisk(公司理财-四川大学,战松)

[e-mail]10ReturnandRisk:TheCapital-Asset-PricingModel(CAPM)PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnExpectedReturns•Expectedreturnsarebasedontheprobabilitiesofpossibleoutcomes•Inthiscontext,“expected”meansaverageiftheprocessisrepeatedmanytimes•The“expected”returndoesnotevenhavetobeapossiblereturn∑==niiiRpRE1)(PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnExample:ExpectedReturns•SupposeyouhavepredictedthefollowingreturnsforstocksCandTinthreepossiblestatesofnature.Whataretheexpectedreturns?•StateProbabilityCT•Boom0.31525•Normal0.51020•Recession0.221•RC=0.3(15)+0.5(10)+0.2(2)=9.99%•RT=0.3(25)+0.5(20)+0.2(1)=17.7%PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnVarianceandStandardDeviation•Varianceandstandarddeviationstillmeasurethevolatilityofreturns•Usingunequalprobabilitiesfortheentirerangeofpossibilities•Weightedaverageofsquareddeviations∑=-=niiiRERp122))((σPDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnExample•Considerthepreviousexample.Whatarethevarianceandstandarddeviationforeachstock?•StockC•σ2=0.3(15-9.9)2+0.5(10-9.9)2+0.2(2-9.9)2=20.29•σ=4.5•StockT•σ2=0.3(25-17.7)2+0.5(20-17.7)2+0.2(1-17.7)2=74.41•σ=8.63PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnPortfolios•Aportfolioisacollectionofassets•Anasset’sriskandreturnareimportantinhowtheyaffecttheriskandreturnoftheportfolio•Therisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassetsPDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnExample:PortfolioWeights•Supposeyouhave$15,000toinvestandyouhavepurchasedsecuritiesinthefollowingamounts.Whatareyourportfolioweightsineachsecurity?•$2000ofA•$3000ofB•$4000ofC•$6000ofD•A:2/15=0.133•B:3/15=0.2•C:4/15=0.267•D:6/15=0.4PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnPortfolioExpectedReturns•Theexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsforeachassetintheportfolio•Youcanalsofindtheexpectedreturnbyfindingtheportfolioreturnineachpossiblestateandcomputingtheexpectedvalueaswedidwithindividualsecurities∑==mjjjPREwRE1)()(PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnExample:ExpectedPortfolioReturns•Considertheportfolioweightscomputedpreviously.Iftheindividualstockshavethefollowingexpectedreturns,whatistheexpectedreturnfortheportfolio?•A:19.69%•B:5.25%•C:16.65%•D:18.24%•E(RP)=0.133(19.69)+0.2(5.25)+0.167(16.65)+0.4(18.24)=13.75%PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnPortfolioVariance•Computetheportfolioreturnforeachstate:RP=w1R1+w2R2+…+wmRm•Computetheexpectedportfolioreturnusingthesameformulaasforanindividualasset•ComputetheportfoliovarianceandstandarddeviationusingthesameformulasasforanindividualassetPDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnExample:PortfolioVariance•Considerthefollowinginformation•Invest50%ofyourmoneyinAssetA•StateProbabilityAB•Boom0.430%-5%•Bust0.6-10%25%•Whataretheexpectedreturnandstandarddeviationforeachasset?•Whataretheexpectedreturnandstandarddeviationfortheportfolio?PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnAnotherExample•Considerthefollowinginformation•StateProbabilityXZ•Boom0.2515%10%•Normal0.6010%9%•Recession0.155%10%•Whataretheexpectedreturnandstandarddeviationforaportfoliowithaninvestmentof$6000inassetXand$4000inassetZ?PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnExpectedVS.UnexpectedReturns•Realizedreturnsaregenerallynotequaltoexpectedreturns•Thereistheexpectedcomponentandtheunexpectedcomponent•Atanypointintime,theunexpectedreturncanbeeitherpositiveornegative•Overtime,theaverageoftheunexpectedcomponentiszeroPDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnAnnouncementsandNews•Announcementsandnewscontainbothanexpectedcomponentandasurprisecomponent•Itisthesurprisecomponentthataffectsastock’spriceandthereforeitsreturn•ThisisveryobviouswhenwewatchhowstockpricesmovewhenanunexpectedannouncementismadeorearningsaredifferentthananticipatedPDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnEfficientMarkets•Efficientmarketsarearesultofinvestorstradingontheunexpectedportionofannouncements•Theeasieritistotradeonsurprises,themoreefficientmarketsshouldbe•EfficientmarketsinvolverandompricechangesbecausewecannotpredictsurprisesPDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnSystematicRisk•Riskfactorsthataffectalargenumberofassets•Alsoknownasnon-diversifiableriskormarketrisk•IncludessuchthingsaschangesinGDP,inflation,interestrates,etc.PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnUnsystematicRisk•Riskfactorsthataffectalimitednumberofassets•Alsoknownasuniqueriskandasset-specificrisk•Includessuchthingsaslaborstrikes,partshortages,etc.PDF文件使用pdfFactoryPro试用版本创建洀|@scu.edu.cnReturns•TotalReturn=expectedreturn+unexpectedreturn•Unexpect