第12章-系统风险与资本资产定价模型

系统风险与资本资产定价模型系统风险SystematicRisk系统风险SystematicRisk•RiskfactorsthataffectalargenumberofassetsAlsoknownasnondiversifiableriskormarket•Alsoknownasnon-diversifiableriskormarketriskG•IncludessuchthingsaschangesinGDP,inflation,interestrates,etc.非系统风险UttiRik非系统风险UnsystematicRisk•Riskfactorsthataffectalimitednumberofassets•Alsoknownasuniqueriskandasset-specificrisk•Includessuchthingsaslaborstrikes,partshortages,etc.shortages,etc.ReturnsReturns•TotalReturn=expectedreturn+unexpectedreturn•Unexpectedreturn=systematicportion+unsystematicportiony•Therefore,totalreturncanbeexpressedasfollows:follows:•TotalReturn=expectedreturn+systematicportion+unsystematicportionportion+unsystematicportionDiversificationDiversification•Portfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectors•Diversificationisnotjustholdingalotofassets•Forexample,ifyouown50internetstocks,youForexample,ifyouown50internetstocks,youarenotdiversified•Howeverifyouown50stocksthatspan20•However,ifyouown50stocksthatspan20differentindustries,thenyouarediversifiedThPiilfDiifitiThePrincipleofDiversificationDiifitibttilldth•Diversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturnsreductioninexpectedreturns•Thisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbyexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanother•Howeverthereisaminimumlevelofriskthat•However,thereisaminimumlevelofriskthatcannotbediversifiedawayandthatisthesystematicportionsystematicportionDiversifiableRiskDiversifiableRisk•Theriskthatcanbeeliminatedbycombiningassetsintoaportfolio•Oftenconsideredthesameasunsystematic,uniqueorasset-specificrisk•Ifweholdonlyoneasset,orassetsinthesameindustry,thenweareexposingourselvestoriskindustry,thenweareexposingourselvestoriskthatwecoulddiversifyawayTotalRiskTotalRisk•Totalrisk=systematicrisk+unsystematicrisk•Thestandarddeviationofreturnsisameasureoftotalrisk•Forwelldiversifiedportfolios,unsystematicriskForwelldiversifiedportfolios,unsystematicriskisverysmall•Consequentlythetotalriskforadiversified•Consequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisksystematicriskSystematicRiskPrincipleSystematicRiskPrinciple•Thereisarewardforbearingrisk•Thereisnotarewardforbearingriskgunnecessarily•TheexpectedreturnonariskyassetdependsTheexpectedreturnonariskyassetdependsonlyonthatasset’ssystematicrisksinceunsystematicriskcanbediversifiedawayunsystematicriskcanbediversifiedawayMeasuringSystematicRiskMeasuringSystematicRisk•Howdowemeasuresystematicrisk?•Weusethebetacoefficienttomeasuresystematicrisk•Whatdoesbetatellus?Whatdoesbetatellus?–Abetaof1impliestheassethasthesamesystematicriskastheoverallmarket–Abeta1impliestheassethaslesssystematicriskthantheoverallmarket–Abeta1impliestheassethasmoresystematicriskthantheoverallmarket•如何找到Beta?历史收益率–历史收益率–某证券与市场组合报酬率的协方差/市场组合收益的方差。差。邹海峰TotalversusSystematicRiskTotalversusSystematicRisk•Considerthefollowinginformation:StandardDeviationBeta–SecurityC20%1.25–SecurityK30%0.95•Whichsecurityhasmoretotalrisk?•Whichsecurityhasmoresystematicrisk?Whichsecurityhasmoresystematicrisk?•Whichsecurityshouldhavethehigherexpectedreturn?return?WorktheWebExampleWorktheWebExample•Manysitesprovidebetasforcompanies•YahooFinanceprovidesbeta,plusalotofotherppinformationunderitsprofilelink•ClickonthewebsurfertogotoYahooFinanceClickonthewebsurfertogotoYahooFinance–Enteratickersymbolandgetabasicquote–ClickonprofileClickonprofileIBMGoogleHPIBM,Google,HP邹海峰举例举例Cidthilithth•ConsiderthepreviousexamplewiththefollowingfoursecuritiesSitWihtBt–SecurityWeightBeta–DCLK.1333.69–KO.20.64–INTC167164INTC.1671.64–KEI.41.79Whatistheportfoliobeta?•Whatistheportfoliobeta?•.133(3.69)+.2(.64)+.167(1.64)+.4(1.79)=1611.61BetaandtheRiskPremiumBetaandtheRiskPremium•Rememberthattheriskpremium=expectedreturn–risk-freerate•Thehigherthebeta,thegreatertheriskpremiumshouldbe•Canwedefinetherelationshipbetweentheriskpremiumandbetasothatwecanestimatethepremiumandbetasothatwecanestimatetheexpectedreturn?–YES!YES!•AssetA:–E(RA)=20%βA=1.6•Risk-freeasset:Riskfreeasset:–Rf=8%β=0•AssetB:–E(RB)=16%βB=1.2Reward-to-RiskRatio:DfiitidElDefinitionandExampleThdtiktiithlfthli•Thereward-to-riskratioistheslopeofthelineillustratedinthepreviousexampleSl(E(R)R)/(β0)–Slope=(E(RA)–Rf)/(βA–0)–Reward-to-riskratioforpreviousexample=(20–8)/(16–0)=75(208)/(1.60)7.5•Whatifanassethasareward-to-riskratioof8(implyingthattheassetplotsabovetheline)?(implyingthattheassetplotsabovetheline)?•Whatifanassethasareward-to-riskratioof7(implyingthattheassetplotsbelowtheline)?(implyingthattheassetplotsbelowtheline)?MarketEquilibriumMarketEquilibrium•Inequilibrium,allassetsandportfoliosmusthavethesamereward-to-riskratioandtheyallmustequalthereward-to-riskratioforthemarketfMfARRERRE)()(−−MfMAfARRERREββ)()(=MAββSecurityMarketLineSecurityMarketLine•Thesecuritymarketline(SML)istherepresentationofmarketequilibrium•TheslopeoftheSMListhereward-to-riskratio:(E(RM)–Rf)/βM((M)f)βM•Butsincethebetafort