RiskandReturn(投资分析与投资组合管理)

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter9Chapter9–MultifactorModelsofRiskandReturnQuestionstobeanswered:•Whatisthearbitragepricingtheory(APT)andwhatareitssimilaritiesanddifferencesrelativetotheCAPM?•WhatarethemajorassumptionsnotrequiredbytheAPTmodelcomparedtotheCAPM?•HowdoyoutesttheAPTbyexamininganomaliesfoundwiththeCAPM?Chapter9-MultifactorModelsofRiskandReturn•WhataretheempiricaltestresultsrelatedtotheAPT?•WhydosomeauthorscontendthattheAPTmodelisuntestable?•WhataretheconcernsrelatedtothemultiplefactorsoftheAPTmodel?Chapter9-MultifactorModelsofRiskandReturn•WhataremultifactormodelsandhowarerelatedtotheAPT?•Whatarethestepsnecessaryindevelopingausablemultifactormodel?•Whatarethemultifactormodelsinpractice?•Howisriskestimatedinamultifactorsetting?ArbitragePricingTheory(APT)•CAPMiscriticizedbecauseofthedifficultiesinselectingaproxyforthemarketportfolioasabenchmark•Analternativepricingtheorywithfewerassumptionswasdeveloped:•ArbitragePricingTheoryArbitragePricingTheory-APTThreemajorassumptions:1.Capitalmarketsareperfectlycompetitive2.Investorsalwaysprefermorewealthtolesswealthwithcertainty3.ThestochasticprocessgeneratingassetreturnscanbeexpressedasalinearfunctionofasetofKfactorsorindexesAssumptionsofCAPMThatWereNotRequiredbyAPTAPTdoesnotassume•Amarketportfoliothatcontainsallriskyassets,andismean-varianceefficient•Normallydistributedsecurityreturns•QuadraticutilityfunctionArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiodikikiiiittbbbER...21RiArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiod=expectedreturnforassetiikikiiiittbbbER...21RiEiArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiod=expectedreturnforasseti=reactioninasseti’sreturnstomovementsinacommonfactorikikiiiittbbbER...21RiEibikArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiod=expectedreturnforasseti=reactioninasseti’sreturnstomovementsinacommonfactor=acommonfactorwithazeromeanthatinfluencesthereturnsonallassetsikikiiiittbbbER...21RiEibikkArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiod=expectedreturnforasseti=reactioninasseti’sreturnstomovementsinacommonfactor=acommonfactorwithazeromeanthatinfluencesthereturnsonallassets=auniqueeffectonasseti’sreturnthat,byassumption,iscompletelydiversifiableinlargeportfoliosandhasameanofzeroikikiiiittbbbER...21RiEibikkiArbitragePricingTheory(APT)Fori=1toNwhere:=returnonassetiduringaspecifiedtimeperiod=expectedreturnforasseti=reactioninasseti’sreturnstomovementsinacommonfactor=acommonfactorwithazeromeanthatinfluencesthereturnsonallassets=auniqueeffectonasseti’sreturnthat,byassumption,iscompletelydiversifiableinlargeportfoliosandhasameanofzero=numberofassetsikikiiiittbbbER...21RiEibikkiNArbitragePricingTheory(APT)Multiplefactorsexpectedtohaveanimpactonallassets:kArbitragePricingTheory(APT)Multiplefactorsexpectedtohaveanimpactonallassets:–InflationArbitragePricingTheory(APT)Multiplefactorsexpectedtohaveanimpactonallassets:–Inflation–GrowthinGNPArbitragePricingTheory(APT)Multiplefactorsexpectedtohaveanimpactonallassets:–Inflation–GrowthinGNP–MajorpoliticalupheavalsArbitragePricingTheory(APT)Multiplefactorsexpectedtohaveanimpactonallassets:–Inflation–GrowthinGNP–Majorpoliticalupheavals–ChangesininterestratesArbitragePricingTheory(APT)Multiplefactorsexpectedtohaveanimpactonallassets:–Inflation–GrowthinGNP–Majorpoliticalupheavals–Changesininterestrates–Andmanymore….ArbitragePricingTheory(APT)Multiplefactorsexpectedtohaveanimpactonallassets:–Inflation–GrowthinGNP–Majorpoliticalupheavals–Changesininterestrates–Andmanymore….ContrastwithCAPMinsistencethatonlybetaisrelevantArbitragePricingTheory(APT)BikdeterminehoweachassetreactstothiscommonfactorEachassetmaybeaffectedbygrowthinGNP,buttheeffectswilldifferInapplicationofthetheory,thefactorsarenotidentifiedSimilartotheCAPM,theuniqueeffectsareindependentandwillbediversifiedawayinalargeportfolioArbitragePricingTheory(APT)•APTassumesthat,inequilibrium,thereturnonazero-investment,zero-systematic-riskportfolioiszerowhentheuniqueeffectsarediversifiedaway•Theexpectedreturnonanyasseti(Ei)canbeexpressedas:ArbitragePricingTheory(APT)where:=theexpectedreturnonanassetwithzerosystematicriskwhereikkiiibbbE...22110001EEi00E1=theriskpremiumrelatedtoeachofthecommonfactors-forexampletheriskpremiumrelatedtointerestrateriskbi=thepricingrelationshipbetweentheriskpremiumandasseti-thatishowresponsiveassetiistothiscommonfactorKExampleofTwoStocksandaTwo-FactorModel=changesintherateofinflation.Theriskpremiumrelatedtothisfactoris1percentforevery1percentchangeintherate1)01.(1=percentgrowthinrealGNP.Theaverageriskpremiumrelatedtothisfactoris2percentforevery1percentchangeintherate=therateofreturnonazero-systematic-riskasset(zerobeta:boj=0)is3percent2)02.(2)03.(33Exampleo