财务管理基础ch02

5-1CHAPTER2RiskandRatesofReturnStand-aloneriskPortfolioriskRisk&return:CAPM/SML5-2InvestmentreturnsTherateofreturnonaninvestmentcanbecalculatedasfollows:(Amountreceived–Amountinvested)Return=________________________AmountinvestedForexample,if$1,000isinvestedand$1,100isreturnedafteroneyear,therateofreturnforthisinvestmentis:($1,100-$1,000)/$1,000=10%.5-3Whatisinvestmentrisk?TwotypesofinvestmentriskStand-aloneriskPortfolioriskInvestmentriskisrelatedtotheprobabilityofearningalowornegativeactualreturn.Thegreaterthechanceoflowerthanexpectedornegativereturns,theriskiertheinvestment.5-4Outcome(1)Probability(2)Rain0.40=40%NoRain0.60=60%1.00100%ProbabilityDistributionsIteitherwillrain,oritwillnot–onlytwopossibleoutcomes5-5ProbabilityDistributionsMartinProductsandU.S.ElectricMartinProductsU.S.ElectricBoom0.2110%20%Normal0.522%16%Recession0.3-60%10%1.0ProbabilityofThisStateOccurringStateoftheEconomyRateofReturnonStockifThisStateOccurs5-6ProbabilitydistributionsAlistingofallpossibleoutcomes,andtheprobabilityofeachoccurrence.Canbeshowngraphically.ExpectedRateofReturnRateofReturn(%)100150-70FirmXFirmY5-7InvestmentalternativesEconomyProb.T-BillHTCollUSRMPRecession0.18.0%-22.0%28.0%10.0%-13.0%Belowavg0.28.0%-2.0%14.7%-10.0%1.0%Average0.48.0%20.0%0.0%7.0%15.0%Aboveavg0.28.0%35.0%-10.0%45.0%29.0%Boom0.18.0%50.0%-20.0%30.0%43.0%5-8Return:Calculatingtheexpectedreturnforeachalternative17.4%(0.1)(50%)(0.2)(35%)(0.4)(20%)(0.2)(-2%)(0.1)(-22.%)kPkkreturnofrateexpectedkHT^n1iii^^5-9HowdothereturnsofHTandColl.behaveinrelationtothemarket?HT–Moveswiththeeconomy,andhasapositivecorrelation.Thisistypical.Coll.–Iscountercyclicalwiththeeconomy,andhasanegativecorrelation.Thisisunusual.5-10ExpectedRateofReturn(1)(2)(3)=(4)(5)=(6)Boom0.2110%22%20%4%Normal0.522%11%16%8%Recession0.3-60%-18%10%3%1.0km=15%km=15%StateoftheEconomyMartinProductsU.S.ElectricReturnifThisStateOccurs(ki)Product:(2)x(5)ProbabilityofThisStateOccurring(Pri)ReturnifThisStateOccurs(ki)Product:(2)x(3)^^5-11SummaryofexpectedreturnsforallalternativesExpreturnHT17.4%Market15.0%USR13.8%T-bill8.0%Coll.1.7%HThasthehighestexpectedreturn,andappearstobethebestinvestmentalternative,butisitreally?Havewefailedtoaccountforrisk?5-12DiscreteProbabilityDistributions-60-45-30-15015223045607590110RateofReturn(%)ExpectedRateofReturn(15%)a.MartinProductsProbabilityofOccurrence-10-50510162025RateofReturn(%)ExpectedRateofReturn(15%)b.U.S.ElectricProbabilityofOccurrence0.5-0.4-0.3-0.2-0.1-0.5-0.4-0.3-0.2-0.1-5-13ContinuousProbabilityDistributions-60015110RateofReturn(%)ExpectedRateofReturnMartinProductsProbabilityDensityU.S.Electric5-14MeasuringRisk:TheStandardDeviationn1iiikkˆreturnofrateExpectedPrn1ii2i2kˆ-kVariancePrn1ii2i2kˆ-kdeviationStandardPr5-15MeasuringRisk:TheStandardDeviationCalculatingMartinProducts’StandardDeviation(1)(2)(1)-(2)=(3)(4)(5)(4)x(5)=(6)110%15%959,0250.21,805.022%15%7490.524.5-60%15%-755,6250.31,687.5Payoffki(ki-k)2PriProbabilityExpectedReturnkki-k(ki-k)2^^^^%3.59517,3DeviationStandard0.517,3Variance2mm25-16Standarddeviationcalculation15.3%18.8%20.0%13.4%0.0%(0.1)8.0)-(8.0(0.2)8.0)-(8.0(0.4)8.0)-(8.0(0.2)8.0)-(8.0(0.1)8.0)-(8.0P)k(kMUSRHTCollbillsT22222billsTn1ii2^i215-17ComparingstandarddeviationsUSRProb.T-billHT0813.817.4RateofReturn(%)5-18ComparingriskandreturnSecurityExpectedreturnRisk,σT-bills8.0%0.0%HT17.4%20.0%Coll*1.7%13.4%USR*13.8%18.8%Market15.0%15.3%5-19MeasuringRisk:CoefficientofVariationkˆReturnRiskCVCoefficientofvariationStandardizedmeasureofriskperunitofreturnCalculatedasthestandarddeviationdividedbytheexpectedreturnUsefulwhereinvestmentsdifferinriskandexpectedreturns5-20Riskrankings,bycoefficientofvariationCVT-bill0.000HT1.149Coll.7.882USR1.362Market1.020Collectionshasthehighestdegreeofriskperunitofreturn.HT,despitehavingthehigheststandarddeviationofreturns,hasarelativelyaverageCV.5-21InvestorattitudetowardsriskRiskaversion–assumesinvestorsdislikeriskandrequirehigherratesofreturntoencouragethemtoholdriskiersecurities.Riskpremium–thedifferencebetweenthereturnonariskyassetandlessriskyasset,whichservesascompensationforinvestorstoholdriskiersecurities.5-22Portfolioconstruction:RiskandreturnAssumeatwo-stockportfolioiscreatedwith$50,000investedinbothHTandCollections.Expectedreturnofaportfolioisaweightedaverageofeachofthecomponentassetsoftheportfolio.Standarddeviationisalittlemoretrickyandrequiresthatanewprobabilitydistributionfortheportfolioreturnsbedevised.5-23Calculatingportfolioexpectedreturn9.6%(1.7%)0.5(17.4%)0.5kkwk:averageweightedaiskp^n1ii^ip^p^5-24AnalternativemethodfordeterminingportfolioexpectedreturnEconomyProb.HTCollPort.Recession0.1-22.0%28.0%3.0%Belowavg0.2-2.0%14.7%6.4%Average0.420.0%0.0%10.0%Aboveavg0.235.0%-10.0%12.5%Boom0.150.0%-20.0%15.0%9.6%(15.0%)0.10(12.5%)0.20(10.0%)0.40(6.4%)0.20(3.0%)0.10kp^5-25CalculatingportfoliostandarddeviationandCV0.349.6%3.3%CV3.3%9.6)-(15.00.109.6)-(12.50.209.6)-(10.00.409.6)-(6.40.209.6)-(3.00.10p2122222p