le01TheInvestmentSetting(资产定价-上海交大,蔡明超)

Lec1TheInvestmentSetting为了弥补50%的退步，我们往往需要付出100%的努力---股票市场启示录2TheInvestmentSettinga)explaintheconceptofrequiredrateofreturnanddiscussthecomponentsofit.•b)differentiatebetweentherealandthenominalrisk-freerateofreturn•c)explaintheriskpremiumandtheassociatedfundamentalsourcesofrisk;•d)definethesecuritymarketlineanddiscussthefactorsthatcausemovementsalong,changesintheslopeof,andshiftsofthesecuritymarketline.3WhyDoIndividualsInvest?Bysavingmoney(insteadofspendingit),individualstradeoffpresentconsumptionforalargerfutureconsumption.4LOSa:conceptofrequiredrateofreturnandcomponentsofaninvestor'srequiredrateofreturn.•Therealriskfreerateofinterest:Therealriskfreerateofinterestisdeterminedbythesupplyanddemandforfundsintheeconomy.•Theinflationpremiumisanadjustmenttotherealriskfreeratetocompensateinvestorsforexpectedchangesinthepriceindexesandmoneymarketconditionsbeingtightenedoreasedduetoinflationaryexpectations.•Theriskpremiumiswhatinvestorsdemandfortheuncertaintyassociatedwithaninvestment.504.1$%400.1$HowDoWeMeasureTheRateOfReturnOnAnInvestment?Thepurerateofinterestistheexchangeratebetweenfutureconsumptionandpresentconsumption.Marketforcesdeterminethisrate.6People’swillingnesstopaythedifferenceforborrowingtodayandtheirdesiretoreceiveasurplusontheirsavingsgiverisetoaninterestratereferredtoasthepuretimevalueofmoney.HowDoWeMeasureTheRateOfReturnOnAnInvestment?7Ifthefuturepaymentwillbediminishedinvaluebecauseofinflation,thentheinvestorwilldemandaninterestratehigherthanthepuretimevalueofmoneytoalsocovertheexpectedinflationexpense.HowDoWeMeasureTheRateOfReturnOnAnInvestment?8Ifthefuturepaymentfromtheinvestmentisnotcertain,theinvestorwilldemandaninterestratethatexceedsthepuretimevalueofmoneyplustheinflationratetoprovideariskpremiumtocovertheinvestmentrisk.HowDoWeMeasureTheRateOfReturnOnAnInvestment?9MeasuresofHistoricalRatesofReturnHoldingPeriodReturn10.1$200$220InvestmentofValueBeginningInvestmentofValueEndingHPRHoldingPeriodYieldHPY=HPR-11.10-1=0.10=10%10AnnualHoldingPeriodReturn–AnnualHPR=HPR1/nwheren=numberofyearsinvestmentisheldAnnualHoldingPeriodYield–AnnualHPY=AnnualHPR-1MeasuresofHistoricalRatesofReturn11MeasuresofHistoricalRatesofReturnArithmeticMean1.4yieldsperiodholdingannualofsumtheHPY:whereHPY/AMn12MeasuresofHistoricalRatesofReturnGeometricMean1.5nnHPRHPRHPR:followsasreturnsperiodholdingannualtheofproductthe:where1HPRGM21113APortfolioofInvestmentsThemeanhistoricalrateofreturnforaportfolioofinvestmentsismeasuredastheweightedaverageoftheHPYsfortheindividualinvestmentsintheportfolio.14ComputationofHoldingPeriodYieldforaPortfolio#BeginBeginningEndingEndingMarketWtd.StockSharesPriceMkt.ValuePriceMkt.ValueHPRHPYWt.HPYA100,00010$1,000,000$12$1,200,000$1.2020%0.050.010B200,00020$4,000,000$21$4,200,000$1.055%0.200.010C500,00030$15,000,000$33$16,500,000$1.1010%0.750.075Total20,000,000$21,900,000$0.09521,900,000$20,000,000$HPY=1.095-1=0.095=9.5%HPR==1.095tab1.115ExpectedRatesofReturn•Riskisuncertaintythataninvestmentwillearnitsexpectedrateofreturn•Probabilityisthelikelihoodofanoutcome16ExpectedRatesofReturnni1iReturn)(PossibleReturn)ofyProbabilit()E(RReturnExpected)R(P....))(R(P))(R[(Pnn2211))(RP(1iini1.617RiskAversionTheassumptionthatmostinvestorswillchoosetheleastriskyalternative,allelsebeingequalandthattheywillnotacceptadditionalriskunlesstheyarecompensatedintheformofhigherreturn18ProbabilityDistributionsRisk-freeInvestment0.000.200.400.600.801.00-5%0%5%10%15%Exhibit1.119ProbabilityDistributionsRiskyInvestmentwith3PossibleReturns0.000.200.400.600.801.00-30%-10%10%30%Exhibit1.220ProbabilityDistributionsRiskyinvestmentwithtenpossibleratesofreturn0.000.200.400.600.801.00-40%-20%0%20%40%Exhibit1.321MeasuringtheRiskofExpectedRatesofReturn2n1iReturn)Expected-Return(Possibley)Probabilit()(Variance2iii1)]E(R)[RP(ni1.722MeasuringtheRiskofExpectedRatesofReturnStandardDeviationisthesquarerootofthevariance1.823MeasuringtheRiskofExpectedRatesofReturnCoefficientofvariation(CV)ameasureofrelativevariabilitythatindicatesriskperunitofreturnStandardDeviationofReturnsExpectedRateofReturnsE(R)i1.924MeasuringtheRiskofHistoricalRatesofReturnvarianceoftheseriesholdingperiodyieldduringperiodIexpectedvalueoftheHPYthatisequaltothearithmeticmeanoftheseriesthenumberofobservations2/nn1ii2HPY)(EHPY[nE(HPY)HPYi21.1025LOSb:real,nominalrisk-freerateofreturnandcomputationofbothreturnmeasures•realrisk-freerateofinterestisthepricechargedfortheexchangebetweencurrentgoodsandfuturegoodsbyinvestorsintheeconomy.•Theinflationpremiumisanadjustmenttotherealrisk-freeratetocompensateinvestorsforexpectedchangesinthepriceindexesandmoneymarketconditionsbeingtightenedoreasedduetoinflationaryexpectations.26LOSb:real,nominalrisk-freerateofreturnandcomputationofbothreturnmeasures•Theadjustmentis:nominalriskfreerate=(1+realriskfreerate)(1+inflationrate)•Fortheexam,youwillwanttoknow:1.Thenominalriskfreerateisapproximatedby:Realriskfreerate+Inflationrate.2.Therealriskfreerate=[(1+nominalriskfreerate)/(1+inflationrate)]-127LO