投资学,9e,精要版,48772,48760,英文PPT Chap007.ppt 22页

CHAPTER7ArbitragePricingTheoryandMultifactorModelsofRiskandReturn 10-2SingleFactorModelReturnsonasecuritycomefromtwosources:Commonmacro-economicfactorFirmspecificeventsPossiblecommonmacro-economicfactorsGrossDomesticProductGrowthInterestRates 10-3SingleFactorModelEquationri=Returnonsecurityβi=FactorsensitivityorfactorloadingorfactorbetaF=Surpriseinmacro-economicfactor(Fcouldbepositiveornegativebuthasexpectedvalueofzero)ei=Firmspecificevents(zeroexpectedvalue) 10-4MultifactorModelsUsemorethanonefactorinadditiontomarketreturnExamplesincludegrossdomesticproduct,expectedinflation,interestrates,etc.Estimateabetaorfactorloadingforeachfactorusingmultipleregression. 10-5MultifactorModelEquationri=ReturnforsecurityiβGDP=FactorsensitivityforGDPβIR=FactorsensitivityforInterestRateei=Firmspecificevents 10-6MultifactorSMLModelsGDP=FactorsensitivityforGDPRPGDP=RiskpremiumforGDPIR=FactorsensitivityforInterestRateRPIR=RiskpremiumforInterestRate 10-7InterpretationTheexpectedreturnonasecurityisthesumof:Therisk-freerateThesensitivitytoGDPtimestheriskpremiumforbearingGDPriskThesensitivitytointerestraterisktimestheriskpremiumforbearinginterestraterisk 10-8ArbitragePricingTheoryArbitrageoccursifthereisazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,investorscancreatelargepositionstoobtainlargeprofits. 10-9ArbitragePricingTheoryRegardlessofwealthorriskaversion,investorswillwantaninfinitepositionintherisk-freearbitrageportfolio.Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear. 10-10APT&Well-DiversifiedPortfoliosrP=E(rP)+bPF+ePF=somefactorForawell-diversifiedportfolio,ePapproacheszeroasthenumberofsecuritiesintheportfolioincreasesandtheirassociatedweightsdecrease 10-11Figure7.1ReturnsasaFunctionoftheSystematicFactor 10-12Figure7.2ReturnsasaFunctionoftheSystematicFactor:AnArbitrageOpportunity 10-13Figure7.3AnArbitrageOpportunity 10-14Figure7.4TheSecurityMarketLine 10-15APTModelAPTappliestowelldiversifiedportfoliosandnotnecessarilytoindividualstocks.WithAPTitispossibleforsomeindividualstockstobemispriced-notlieontheSML.APTcanbeextendedtomultifactormodels. 10-16APTandCAPMAPTEquilibriummeansnoarbitrageopportunities.APTequilibriumisquicklyrestoredevenifonlyafewinvestorsrecognizeanarbitrageopportunity.Theexpectedreturn–betarelationshipcanbederivedwithoutusingthetruemarketportfolio.CAPMModelisbasedonaninherentlyunobservable“market”portfolio.Restsonmean-varianceefficiency.TheactionsofmanysmallinvestorsrestoreCAPMequilibrium.CAPMdescribesequilibriumforallassets. 10-17MultifactorAPTUseofmorethanasinglesystematicfactorRequiresformationoffactorportfoliosWhatfactors?FactorsthatareimportanttoperformanceofthegeneraleconomyWhataboutfirmcharacteristics? 10-18Two-FactorModelThemultifactorAPTissimilartotheone-factorcase. 10-19Two-FactorModelTrackwithdiversifiedfactorportfolios:beta=1foroneofthefactorsand0forallotherfactors.Thefactorportfoliostrackaparticularsourceofmacroeconomicrisk,butareuncorrelatedwithothersourcesofrisk. 10-20WhereShouldWeLookforFactors?NeedimportantsystematicriskfactorsChen,Roll,andRossusedindustrialproduction,expectedinflation,unanticipatedinflation,excessreturnoncorporatebonds,andexcessreturnongovernmentbonds.FamaandFrenchusedfirmcharacteristicsthatproxyforsystematicriskfactors. 10-21Fama-FrenchThree-FactorModelSMB=SmallMinusBig(firmsize)HML=HighMinusLow(book-to-marketratio)Arethesefirmcharacteristicscorrelatedwithactual(butcurrentlyunknown)systematicriskfactors? 10-22TheMultifactorCAPMandtheAPTAmulti-indexCAPMwillinherititsriskfactorsfromsourcesofriskthatabroadgroupofinvestorsdeemimportantenoughtohedgeTheAPTislargelysilentonwheretolookforpricedsourcesofrisk