- 490.50 KB
- 2022-05-26 16:47:37 发布
- 1、本文档共5页,可阅读全部内容。
- 2、本文档内容版权归属内容提供方,所产生的收益全部归内容提供方所有。如果您对本文有版权争议,可选择认领,认领后既往收益都归您。
- 3、本文档由用户上传,本站不保证质量和数量令人满意,可能有诸多瑕疵,付费之前,请仔细先通过免费阅读内容等途径辨别内容交易风险。如存在严重挂羊头卖狗肉之情形,可联系本站下载客服投诉处理。
- 文档侵权举报电话:19940600175。
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
您可能关注的文档
- 商业银行管理全套配套课件英文PPT教师手册习题习题答案 Chap011.ppt
- 商业银行管理全套配套课件英文PPT教师手册习题习题答案 Chap009.ppt
- 商业银行管理全套配套课件英文PPT教师手册习题习题答案 Chap007.ppt
- 投资学,9e,精要版,48772,48760,英文PPT Chap006.ppt
- 投资学,9e,精要版,48772,48760,英文PPT Chap002.ppt
- 投资学,9e,精要版,48772,48760,英文PPT Chap015.ppt
- 投资学,9e,精要版,48772,48760,英文PPT Chap010.ppt
- 投资学,9e,精要版,48772,48760,英文PPT Chap013.ppt