投资学,9e,精要版,48772,48760,英文PPT Chap006.ppt 24页

CHAPTER6TheCapitalAssetPricingModel 9-2ItistheequilibriummodelthatunderliesallmodernfinancialtheoryDerivedusingprinciplesofdiversificationwithsimplifiedassumptionsMarkowitz,Sharpe,LintnerandMossinareresearcherscreditedwithitsdevelopmentCapitalAssetPricingModel(CAPM) 9-3AssumptionsIndividualinvestorsarepricetakersSingle-periodinvestmenthorizonInvestmentsarelimitedtotradedfinancialassetsNotaxesandtransactioncostsInformationiscostlessandavailabletoallinvestorsInvestorsarerationalmean-varianceoptimizersTherearehomogeneousexpectations 9-4Allinvestorswillholdthesameportfolioforriskyassets–marketportfolioMarketportfoliocontainsallsecuritiesandtheproportionofeachsecurityisitsmarketvalueasapercentageoftotalmarketvalueResultingEquilibriumConditions 9-5RiskpremiumonthemarketdependsontheaverageriskaversionofallmarketparticipantsRiskpremiumonanindividualsecurityisafunctionofitscovariancewiththemarketResultingEquilibriumConditions 9-6Figure6.1TheEfficientFrontierandtheCapitalMarketLine 9-7MarketRiskPremiumTheriskpremiumonthemarketportfoliowillbeproportionaltoitsriskandthedegreeofriskaversionoftheinvestor: 9-8Theriskpremiumonindividualsecuritiesisafunctionoftheindividualsecurity’scontributiontotheriskofthemarketportfolio.Anindividualsecurity’sriskpremiumisafunctionofthecovarianceofreturnswiththeassetsthatmakeupthemarketportfolio.ReturnandRiskForIndividualSecurities 9-9GEExampleCovarianceofGEreturnwiththemarketportfolio:Therefore,thereward-to-riskratioforinvestmentsinGEwouldbe: 9-10GEExampleReward-to-riskratioforinvestmentinmarketportfolio:Reward-to-riskratiosofGEandthemarketportfolioshouldbeequal: 9-11GEExampleTheriskpremiumforGE:Restating,weobtain: 9-12ExpectedReturn-BetaRelationshipCAPMholdsfortheoverallportfoliobecause:Thisalsoholdsforthemarketportfolio: 9-13Figure6.2TheSecurityMarketLine 9-14Figure6.3TheSMLandaPositive-AlphaStock 9-15TheIndexModelandRealizedReturnsTomovefromexpectedtorealizedreturns,usetheindexmodelinexcessreturnform:TheindexmodelbetacoefficientisthesameasthebetaoftheCAPMexpectedreturn-betarelationship. 9-16Figure6.4EstimatesofIndividualMutualFundAlphas,1972-1991 9-17IstheCAPMPractical?CAPMisthebestmodeltoexplainreturnsonriskyassets.Thismeans:Withoutsecurityanalysis,αisassumedtobezero.Positiveandnegativealphasarerevealedonlybysuperiorsecurityanalysis. 9-18IstheCAPMPractical?Wemustuseaproxyforthemarketportfolio.CAPMisstillconsideredthebestavailabledescriptionofsecuritypricingandiswidelyaccepted. 9-19EconometricsandtheExpectedReturn-BetaRelationshipStatisticalbiasiseasilyintroduced.MillerandScholespaperdemonstratedhoweconometricproblemscouldleadonetorejecttheCAPMevenifitwereperfectlyvalid. 9-20ExtensionsoftheCAPMZero-BetaModelHelpstoexplainpositivealphasonlowbetastocksandnegativealphasonhighbetastocksConsiderationoflaborincomeandnon-tradedassets 9-21ExtensionsoftheCAPMMerton’sMultiperiodModelandhedgeportfoliosIncorporationoftheeffectsofchangesintherealrateofinterestandinflationConsumption-basedCAPMRubinstein,Lucas,andBreedenInvestorsallocatewealthbetweenconsumptiontodayandinvestmentforthefuture 9-22LiquidityandtheCAPMLiquidity:TheeaseandspeedwithwhichanassetcanbesoldatfairmarketvalueIlliquidityPremium:Discountfromfairmarketvaluethesellermustaccepttoobtainaquicksale.Measuredpartlybybid-askedspreadAstradingcostsarehigher,theilliquiditydiscountwillbegreater. 9-23Figure6.5TheRelationshipBetweenIlliquidityandAverageReturns 9-24LiquidityRiskInafinancialcrisis,liquiditycanunexpectedlydryup.Whenliquidityinonestockdecreases,ittendstodecreaseinotherstocksatthesametime.InvestorsdemandcompensationforliquidityriskLiquiditybetas