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©2009 陳欣得財務管理 —03 風險 1 Part III 風險 9 資本市場理論 10 風險與報酬:資本資產定價模式 11 風險與報酬:套利定價理論 12 風險、資金成本與資本預算

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©2009 陳欣得財務管理 —03 風險 3

Text of ©2009 陳欣得財務管理 —03 風險 1 Part III 風險 9 資本市場理論 10...

2009 03 1 Part III 9 10 11 12 2009 03 2 2009 03 3 2009 03 4 9.1 9.2 9.3 9.4 2009 03 5 2009 03 6 2009 03 7 2009 03 8 2009 03 9 2009 03 10 2009 03 11 2009 03 12 2009 03 13 2009 03 14 2009 03 15 10.1 10.2 10.3 10.4 10.5 10.6 2009 03 16 2009 03 17 2009 03 18 2009 03 19 2009 03 20 2009 03 21 2009 03 22 2009 03 23 2009 03 24 2009 03 25 2009 03 26 2009 03 27 2009 03 28 2009 03 29 2009 03 30 2009 03 31 Slide 32 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Arbitrage Pricing Theory Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit. Since no investment is required, an investor can create large positions to secure large levels of profit. In efficient markets, profitable arbitrage opportunities will quickly disappear. 2009 03 33 Slide 34 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin 11.1 Factor Models: Announcements, Surprises, and Expected Returns The return on any security consists of two parts. First, the expected returns Second, the unexpected or risky returns A way to write the return on a stock in the coming month is: 2009 03 35 Slide 36 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Risk: Systematic and Unsystematic Systematic Risk: m Nonsystematic Risk: n 22 Total risk We can break down the total risk of holding a stock into two components: systematic risk and unsystematic risk: Slide 37 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas For example, suppose we have identified three systematic risks: inflation, GNP growth, and the dollar-euro spot exchange rate, S($,). Our model is: Slide 38 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example Suppose we have made the following estimates: I = GNP = 1.50 S = 0.50 Finally, the firm was able to attract a superstar CEO, and this unanticipated development contributes 1% to the return. Slide 39 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example We must decide what surprises took place in the systematic factors. If it were the case that the inflation rate was expected to be 3%, but in fact was 8% during the time period, then: F I = Surprise in the inflation rate = actual expected = 8% 3% = 5% Slide 40 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example If it were the case that the rate of GNP growth was expected to be 4%, but in fact was 1%, then: F GNP = Surprise in the rate of GNP growth = actual expected = 1% 4% = 3% Slide 41 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example If it were the case that the dollar-euro spot exchange rate, S($,), was expected to increase by 10%, but in fact remained stable during the time period, then: F S = Surprise in the exchange rate = actual expected = 0% 10% = 10% Slide 42 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example Finally, if it were the case that the expected return on the stock was 8%, then: Slide 43 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin 11.6 CAMP APT APT applies to well diversified portfolios and not necessarily to individual stocks. With APT it is possible for some individual stocks to be mispriced - not lie on the SML. APT is more general in that it gets to an expected return and beta relationship without the assumption of the market portfolio. APT can be extended to multifactor models. Slide 44 Copyright 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin 11.7 Empirical Approaches to Asset Pricing Both the CAPM and APT are risk-based models. Empirical methods are based less on theory and more on looking for some regularities in the historical record. Be aware that correlation does not imply causality. Related to empirical methods is the practice of classifying portfolios by style, e.g., Value portfolio Growth portfolio 2009 03 45 12.1 12.2 Beta 12.3 Beta 12.4 12.5 2009 03 46 2009 03 47 2009 03 48 2009 03 49 2009 03 50 2009 03 51 2009 03 52 2009 03 53 2009 03 54 2009 03 55 2009 03 56 2009 03 57 2009 03 58 2009 03 59 2009 03 60 2009 03 61 2009 03 62

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