财务管理(英文第十三版)ch 5_shen

5-1Chapter5RiskandReturn5-2RiskandReturnDefiningRiskandReturnUsingProbabilityDistributionstoMeasureRiskAttitudesTowardRiskRiskandReturninaPortfolioContextDiversificationTheCapitalAssetPricingModel(CAPM)5-3DefiningReturnIncomereceivedonaninvestmentplusanychangeinmarketprice,usuallyexpressedasapercentofthebeginningmarketpriceoftheinvestment.Dt+(Pt-Pt-1)Pt-1R=5-4ReturnExampleThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershare,andshareholdersjustreceiveda$1dividend.Whatreturnwasearnedoverthepastyear?5-5ReturnExampleThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershare,andshareholdersjustreceiveda$1dividend.Whatreturnwasearnedoverthepastyear?$1.00+($9.50-$10.00)$10.00R==5%5-6DefiningRiskWhatrateofreturndoyouexpectonyourinvestment(savings)thisyear?Whatratewillyouactuallyearn?DoesitmatterifitisabankCDorashareofstock?Thevariabilityofreturnsfromthosethatareexpected.5-7DeterminingExpectedReturn(DiscreteDist.)R=S(Ri)(Pi)Ristheexpectedreturnfortheasset,Riisthereturnfortheithpossibility,Piistheprobabilityofthatreturnoccurring,nisthetotalnumberofpossibilities.ni=15-8HowtoDeterminetheExpectedReturnandStandardDeviationStockBWRiPi(Ri)(Pi)-.15.10-.015-.03.20-.006.09.40.036.21.20.042.33.10.033Sum1.00.090Theexpectedreturn,R,forStockBWis.09or9%5-9DeterminingStandardDeviation(RiskMeasure)s=S(Ri-R)2(Pi)StandardDeviation,s,isastatisticalmeasureofthevariabilityofadistributionarounditsmean.Itisthesquarerootofvariance.Note,thisisforadiscretedistribution.ni=15-10HowtoDeterminetheExpectedReturnandStandardDeviationStockBWRiPi(Ri)(Pi)(Ri-R)2(Pi)-.15.10-.015.00576-.03.20-.006.00288.09.40.036.00000.21.20.042.00288.33.10.033.00576Sum1.00.090.017285-11DeterminingStandardDeviation(RiskMeasure)s=S(Ri-R)2(Pi)s=.01728s=.1315or13.15%ni=15-12CoefficientofVariation（CV）Theratioofthestandarddeviationofadistributiontothemeanofthatdistribution.ItisameasureofRELATIVErisk.CV=s/RCVofBW=.1315/.09=1.465-13Discretevs.ContinuousDistributions00.050.10.150.20.250.30.350.4-15%-3%9%21%33%DiscreteContinuous00.0050.010.0150.020.0250.030.035-50%-41%-32%-23%-14%-5%4%13%22%31%40%49%58%67%5-14DeterminingExpectedReturn(ContinuousDist.)R=S(Ri)/(n)Ristheexpectedreturnfortheasset,Riisthereturnfortheithobservation,nisthetotalnumberofobservations.ni=15-15DeterminingStandardDeviation(RiskMeasure)ni=1s=S(Ri-R)2(n)Note,thisisforacontinuousdistributionwherethedistributionisforapopulation.Rrepresentsthepopulationmeaninthisexample.5-16NormalProbabilityDistribution5-17Z-scoreIttellsushowmanystandarddeviationsRisfromthemean.AppendixTableVIfZ=(0-0.09)/0.1315=-0.68,whatittellsus?Thereis25%probabilitythattheactualreturnwillbezeroorless.Z=(R–R)/б5-18CertaintyEquivalent(CE)istheamountofcashsomeonewouldrequirewithcertaintyatapointintimetomaketheindividualindifferentbetweenthatcertainamountandanamountexpectedtobereceivedwithriskatthesamepointintime.RiskAttitudes5-19CertaintyequivalentExpectedvalueRiskPreferenceCertaintyequivalent=ExpectedvalueRiskIndifferenceCertaintyequivalentExpectedvalueRiskAversionMostindividualsareRiskAverse.RiskAttitudes5-20RiskAttitudeExampleYouhavethechoicebetween(1)aguaranteeddollarrewardor(2)acoin-flipgambleof$100,000(50%chance)or$0(50%chance).Theexpectedvalueofthegambleis$50,000.Maryrequiresaguaranteed$25,000,ormore,tocalloffthegamble.Raleighisjustashappytotake$50,000ortaketheriskygamble.Shannonrequiresatleast$52,000tocalloffthegamble.5-21WhataretheRiskAttitudetendenciesofeach?RiskAttitudeExampleMaryshows“riskaversion”becauseher“certaintyequivalent”theexpectedvalueofthegamble.Raleighexhibits“riskindifference”becauseher“certaintyequivalent”equalstheexpectedvalueofthegamble.Shannonrevealsa“riskpreference”becauseher“certaintyequivalent”theexpectedvalueofthegamble.5-22Wheaton,Inc.paysaconstantannualdividend.Lastyear,thedividendyieldwas3.6percentwhenthestockwassellingfor$28ashare.Whatisthecurrentpriceofthestockifthecurrentdividendyieldis3.2percent?$31.5D=3.6%*$28=1.008P0=D/DY=1.008/3.2%=$31.55-23Oneyearago,Mikepurchased100sharesofPJstockfor$3,100.Thestockdoesnotpayanyregulardividendsbutitdidpayaspecialdividendof$2.40asharelastweek.Thismorning,hesoldhissharesfor$29.80ashare.Whatwashistotalreturnonthisinvestment?3.87%=($29.8+$2.4-$31)/$315-24Youownaportfoliothatconsistsof$8,000instockA,$4,600instockB,$13,000instockC,and$5,500instockD.WhatistheportfolioweightofstockD?17.68percent5-25ThestockofHobbyTownhasanexpectedreturnof8.8percent.Giventheinformationbelow,whatistheexpectedreturnonthisstockiftheeconomyisnormal?6.43%5-26Giventhefollowinginformation,whatisthevarianceforthisstock?5-27(1)StateofEconomy(2)Probabilityofstateofeconomy(3)Returndeviation(4)Squaredreturndeviation(2)*(4)VarianceBoom0.150.26-0.08750.0297560.004463Normal0.650.13-0.08750.0018060.001174Recession0.20-0.18-0.08750.0715560.0143110.019949E(R)=0.15*0.26+0.65*0.13+0.20*(-0.18)=0.08755-28Section25-2929PortfoliosAportfolioisacollectionofassetsAnasset’sriskandreturnareimportantinhowtheyaffecttheriskandreturnofthep