taiwan财务管理_lecture9(ch9)

©TheMcGraw-HillCompanies,Inc.,20019-1Irwin/McGraw-HillIrwin/McGraw-HillChapter9FundamentalsofCorporateFinanceThirdEditionIntroductiontoRisk,Return,andtheOpportunityCostofCapitalBrealeyMyersMarcusslidesbyMatthewWillIrwin/McGraw-Hill©TheMcGraw-HillCompanies,Inc.,2001©TheMcGraw-HillCompanies,Inc.,20019-2Irwin/McGraw-HillTopicsCoveredRatesofReturn73YearsofCapitalMarketHistoryMeasuringRiskRisk&DiversificationThinkingAboutRisk©TheMcGraw-HillCompanies,Inc.,20019-3Irwin/McGraw-HillRatesofReturn39.5%or.395==ReturnPercentage741.25+28PercentageReturn=CapitalGain+DividendInitialSharePrice©TheMcGraw-HillCompanies,Inc.,20019-4Irwin/McGraw-HillRatesofReturnDividendYield=DividendInitialSharePriceCapitalGainYield=CapitalGainInitialSharePrice©TheMcGraw-HillCompanies,Inc.,20019-5Irwin/McGraw-HillRatesofReturn%01.7or017.741.25=YieldDividend%37.8or378.7428=YieldGainCapital©TheMcGraw-HillCompanies,Inc.,20019-6Irwin/McGraw-HillRatesofReturnNominalvs.Real1+realror=1+nominalror1+inflationrate37.3%rorreal373.1=rorreal+1.016+1.395+1©TheMcGraw-HillCompanies,Inc.,20019-7Irwin/McGraw-HillMarketIndexesDowJonesIndustrialAverage(TheDow)Valueofaportfolioholdingoneshareineachof30largeindustrialfirms.Standard&Poor’sCompositeIndex(TheS&P500)Valueofaportfolioholdingsharesin500firms.Holdingsareproportionaltothenumberofsharesintheissues.©TheMcGraw-HillCompanies,Inc.,20019-8Irwin/McGraw-HillTheValueofanInvestmentof$1in1926Source:IbbotsonAssociates0.110100019301940195019601970198019901998CommonStocksLongT-BondsT-BillsIndexYearEnd©TheMcGraw-HillCompanies,Inc.,20019-9Irwin/McGraw-HillRatesofReturn1926-1998Source:IbbotsonAssociates-60-40-200204060263035404550556065707580859095CommonStocksLongT-BondsT-BillsYearPercentageReturn©TheMcGraw-HillCompanies,Inc.,20019-10Irwin/McGraw-HillExpectedReturn9.3+4.8=14.1%(1999)9.3+14=23.3%(1981)premiumrisknormal+billsTreasuryonrateinterest=returnmarketExpected©TheMcGraw-HillCompanies,Inc.,20019-11Irwin/McGraw-HillMeasuringRiskVariance-Averagevalueofsquareddeviationsfrommean.Ameasureofvolatility.StandardDeviation-Averagevalueofsquareddeviationsfrommean.Ameasureofvolatility.©TheMcGraw-HillCompanies,Inc.,20019-12Irwin/McGraw-HillMeasuringRiskCoinTossGame-calculatingvarianceandstandarddeviation(1)(2)(3)PercentRateofReturnDeviationfromMeanSquaredDeviation+40+30900+1000+1000-20-30900Variance=averageofsquareddeviations=1800/4=450Standarddeviation=squareofrootvariance=450=21.2%©TheMcGraw-HillCompanies,Inc.,20019-13Irwin/McGraw-HillRiskandDiversificationDiversification-Strategydesignedtoreduceriskbyspreadingtheportfolioacrossmanyinvestments.UniqueRisk-Riskfactorsaffectingonlythatfirm.Alsocalled“diversifiablerisk.”MarketRisk-Economy-widesourcesofriskthataffecttheoverallstockmarket.Alsocalled“systematicrisk.”©TheMcGraw-HillCompanies,Inc.,20019-14Irwin/McGraw-HillRiskandDiversificationDeviationfromSquaredYearRateofReturnAverageReturnDeviation19941.31-23.44549.43199537.4312.68160.78199623.07-1.62.82199733.368.6174.13199825.583.8314.67Total123.75801.84Averagerateofreturn=123.75/5=24.75Variance=averageofsquareddeviations=801.84/5=160.37Standarddeviation=squaredrootofvariance=12.66%©TheMcGraw-HillCompanies,Inc.,20019-15Irwin/McGraw-HillRiskandDiversificationPortfoliorateofreturn=fractionofportfolioinfirstassetxrateofreturnonfirstasset+fractionofportfolioinsecondassetxrateofreturnonsecondasset(((())))©TheMcGraw-HillCompanies,Inc.,20019-16Irwin/McGraw-HillStockMarketVolatility1926-19980102030405060192619351940194519501955196019651970197519801985199019951998StdDev©TheMcGraw-HillCompanies,Inc.,20019-17Irwin/McGraw-HillRiskandDiversification051015NumberofSecuritiesPortfoliostandarddeviation©TheMcGraw-HillCompanies,Inc.,20019-18Irwin/McGraw-HillRiskandDiversification051015NumberofSecuritiesPortfoliostandarddeviationMarketriskUniquerisk