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1、McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.CHAPTER11AnAlternativeViewofRiskandReturn:TheAPT0McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.ChapterOutline11.1 FactorModels:Announcements,Surprises,a
2、ndExpectedReturns11.2 Risk:SystematicandUnsystematic11.3 SystematicRiskandBetas11.4 PortfoliosandFactorModels11.5 BetasandExpectedReturns11.6 TheCapitalAssetPricingModelandtheArbitragePricingTheory11.7 ParametricApproachestoAssetPricing11.8 SummaryandConclusions1McGraw-Hill/IrwinCorporate Finance, 7
3、/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.ArbitragePricingTheoryArbitragearisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,aninvestorcancreatelargepositionstosecurelargelevelsofprofit.Inefficientmarkets,profitablearbitrageopportunitie
4、swillquicklydisappear.2McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.ArbitragePricingTheoryTheAPTassumesthatreturnsonsecuritiesaregeneratedbyanumberofindustrywideandmarketwidefactors.3McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Comp
5、anies, Inc. All Rights Reserved.11.1FactorModels:Announcements,Surprises,andExpectedReturnsThereturnonanysecurityconsistsoftwoparts.FirsttheexpectedreturnsSecondistheunexpectedorriskyreturns.Awaytowritethereturnonastockinthecomingmonthis:returntheofpartunexpectedtheisreturntheofpartexpectedtheiswher
6、eURURR+=4McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.1FactorModels:Announcements,Surprises,andExpectedReturnsAnyannouncementcanbebrokendownintotwoparts,theanticipatedorexpectedpartandthesurpriseorinnovation:Announcement=Expectedpart+Surprise.Th
7、eexpectedpartofanyannouncementispartoftheinformationthemarketusestoformtheexpectation,Rofthereturnonthestock.Thesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U.5McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.2007年4月23日傍晚，当从4月24日起证券(
8、股票)交易印花税税率由千分之三降至千分之一的消息正式公布后，股民一致认为是实质性的特大利好政策出台，不少股民则立即拿起电话或连线QQ，连夜竞相转告，共同期盼股市一路走好。4月24日的股市果然不负众望，上证综指不但大幅高开，午后更在大盘蓝筹股的推动下展开凌厉升势，最终收市劲升9.29%，创出自1996年12月实施涨跌停制度以来的历史最大涨幅。6McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.猪流感传染猪流感传染A股股 题材炒作让医药股鸡犬升天题材炒作让
9、医药股鸡犬升天2009年4月27日措手不及的“猪流感”疫情，从墨西哥呈迅速蔓延之势，不足一周的时间已突袭了数个国家。世界卫生组织更在短短几天内把“猪流感”预警级从3级迅速升至5级(共有6级)，各国政府严阵以待。在世界经济微弱复苏萌动的大背景下，“猪流感”的暴发无疑增加了投资者对经济下行的担忧，全球股市都对上周末突然暴发的疫情打了个大“喷嚏”。对对A股影响：短期不小股影响：短期不小 长期不大长期不大东兴证券研究所所长银国宏接受红周刊记者采访时，将“猪流感”对A股的影响概括为“短期不小，长期不大。”他认为，医药股会短期飙升，而航空、旅游股会遭受打击。他这种看法也得到大多数分析师的赞同。所谓短期不小
10、，一方面“猪流感”对A股的表现已经明显的显现。4月27日，即墨西哥卫生部正式通报疫情的第二天，全球股市多数受挫，A股也未能独善其身，沪深两市一片惨淡，农业、旅游、航空、消费板块成为重灾区，海南航空牢牢钉在跌停板上；与此同时，医药板块却借机逆势大涨，莱茵生物(18.27,1.66,9.99%)更是连收四个涨停板。7McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.分析师认为，由于目前国内没有直接预防治疗“猪流感”的疫苗或药品，因此此次行情多是题材炒作。目
11、前看，只有罗氏生产的抗流感药品达菲对“猪流感”病毒在早期有较好的预防效果。据悉2005年罗氏已经将达菲生产授权给上药集团，允许其在流感大暴发时批量生产。另外，由于莱茵生物可以生产达菲的主要原料-莽草酸，因此莱茵生物股票近日持续涨停。8McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.2009年04月30日11:48中国股市午盘上涨部分项目资本金比例下调华尔街日报报道：中国股市周四（4月30日）午盘上涨，部分投资项目资本金比例下调推动大盘续升。上证综指高
12、开后震荡向下，回探20日线（现为2465.08点）后再度走高，午盘涨0.83%，报2488.69点；成交人民币723亿元，较昨日放大约38%。国信证券分析师指出，国务院刺激投资的举措及美股隔夜上扬均推动A股延续昨日反弹走势，惟猪流感疫情在节前最后一个交易日给市场平添不确定因素，不排除午后冲高回落的可能性。盘面看，个股多升：上海本地股、地产、水泥股涨幅居前，机械、发电设备、新能源、有色金属等板块大面积走高，钢铁、航空、保险等权重股多升，宝钢股份(600019)涨1.21%。医药股继续回落，银行股多疲软，华夏银行(600015)跌2.13%。深证成指涨1.79%，报9550.95点。9McGraw
13、-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.2Risk:SystematicandUnsystematicAsystematic riskisanyriskthataffectsalargenumberofassets,eachtoagreaterorlesserdegree.Anunsystematic riskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Unsyste
14、maticriskcanbediversifiedaway.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.我国07年3月份CPI为8.3%，一季度居民消费价格总水平上涨8.0%Ontheotherhand,announcementsspecifictoacompany,suchasagoldminingcompanystrikinggold,areexamplesofunsystematicrisk.10McGraw-Hill
15、/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.涌金集团董事长魏东辞世的消息今日得以证实，5月1日下午，魏东的家属提供了魏东的最后留言-“写给我最亲爱的人们”。4月29日下午4时许，魏东在北京家中辞世(41岁）。辞世前将写给亲人的最后留言留在书桌抽屉里，在这份最后留言中，魏东说自己受到失眠和抑郁的长期困扰，不愿再拖累家人，并希望亲人和朋友能够好好生活。事件发生后，由涌金集团控制的两家上市公司国金证券和九芝堂30日均临时停牌。九芝堂称公司发生重大事项，临时停牌一天。国金证券
16、当天上午发布公告称因股票交易异动，早盘停牌一小时，但该公司10点30分后亦一直未复牌。上证所此后公告，国金证券因重大事项未公告，4月30日全天停牌。11McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.2Risk:SystematicandUnsystematicSystematic Risk; m Nonsystematic Risk; n Total risk; UWecanbreakdowntherisk,U,ofholdingastock
17、intotwocomponents:systematicriskandunsystematicrisk:riskicunsystemattheisrisksystematictheiswherebecomesmmRRURR+=+= 12McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.3SystematicRiskandBetasThebetacoefficient,b,tellsustheresponseofthestocksreturntoa
18、systematicrisk.IntheCAPM,bmeasuredtheresponsivenessofasecuritysreturntoaspecificriskfactor,thereturnonthemarketportfolio.Weshallnowconsidermanytypesofsystematicrisk.)()(2,MMiiRRRCovs=13McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.3SystematicRisk
19、andBetasForexample,supposewehaveidentifiedthreesystematicrisksonwhichwewanttofocus:1.Inflation2.GDPgrowth3.Thedollar-eurospotexchangerate,S($,)Ourmodelis:riskicunsystemattheisbetarateexchangespottheisbetaGDPtheisbetainflationtheisFFFRRmRRSGDPISSGDPGDPII+=+=14McGraw-Hill/IrwinCorporate Finance, 7/e 2
20、005 The McGraw-Hill Companies, Inc. All Rights Reserved.SystematicRiskandBetas:ExampleSupposewehavemadethefollowingestimates:1.I=-2.302.GDP=1.503.S=0.50.Finally,thefirmwasabletoattracta“superstar”CEOandthisunanticipateddevelopmentcontributes1%tothereturn.FFFRRSSGDPGDPII+=%1=%150. 050. 130. 2+-=SGDPI
21、FFFRR15McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.SystematicRiskandBetas:ExampleWemustdecidewhatsurprisestookplaceinthesystematicfactors.Ifitwasthecasethattheinflationratewasexpectedtobeby3%,butinfactwas8%duringthetimeperiod,thenFI =Surpriseinthe
22、inflationrate=actualexpected=8%3%=5%150. 050. 130. 2+-=SGDPIFFFRR%150. 050. 1%530. 2+-=SGDPFFRR16McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.SystematicRiskandBetas:ExampleIfitwasthecasethattherateofGDPgrowthwasexpectedtobe4%,butinfactwas1%,thenFGD
23、P=SurpriseintherateofGDPgrowth=actualexpected=1%4%=3%150. 050. 1%530. 2+-=SGDPFFRR%150. 0%)3(50. 1%530. 2+-+-=SFRR17McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.SystematicRiskandBetas:ExampleIfitwasthecasethatdollar-eurospotexchangerate,S($,),wasex
24、pectedtoincreaseby10%,butinfactremainedstableduringthetimeperiod,thenFS=Surpriseintheexchangerate=actualexpected=0%10%=10%150. 0%)3(50. 1%530. 2+-+-=SFRR%1%)10(50. 0%)3(50. 1%530. 2+-+-+-=RR18McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.SystematicR
25、iskandBetas:ExampleFinally,ifitwasthecasethattheexpectedreturnonthestockwas8%,then%150. 0%)3(50. 1%530. 2+-+-=SFRR%8=R19McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.4PortfoliosandFactorModelsNowletusconsiderwhathappenstoportfoliosofstockswheneac
26、hofthestocksfollowsaone-factormodel.WewillcreateportfoliosfromalistofNstocksandwillcapturethesystematicriskwitha1-factormodel.Theithstockinthelisthavereturns:iiiiFRR+=20McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.RelationshipBetweentheReturnontheC
27、ommonFactor&ExcessReturnExcessreturnThe return on the factor FieIfweassumethatthereisnounsystematicrisk,thenei=021McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.RelationshipBetweentheReturnontheCommonFactor&ExcessReturnExcessreturnThe return on the f
28、actor FIfweassumethatthereisnounsystematicrisk,thenei=022McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.RelationshipBetweentheReturnontheCommonFactor&ExcessReturnExcessreturnThe return on the factor FDifferentsecuritieswillhavedifferentbetas50. 0=C5
29、. 1=A23McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.PortfoliosandDiversificationWeknowthattheportfolioreturnistheweightedaverageofthereturnsontheindividualassetsintheportfolio:NNiiPRXRXRXRXR+=LL2211)()()(22221111NNNNPFRXFRXFRXR+=LNNNNNNPXFXRXXFXRXX
30、FXRXR+=L222222111111iiiiFRR+=24McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.PortfoliosandDiversificationThereturnonanyportfolioisdeterminedbythreesetsofparameters:Inalargeportfolio,thethirdrowofthisequationdisappearsastheunsystematicriskisdiversifi
31、edaway.NNPRXRXRXR+=L22111.Theweighedaverageofexpectedreturns.FXXXNN)(2211+L2.Theweightedaverageofthebetastimesthefactor.NNXXX+L22113.Theweightedaverageoftheunsystematicrisks.25McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.PortfoliosandDiversificatio
32、nSothereturnonadiversifiedportfolioisdeterminedbytwosetsofparameters:1.Theweighedaverageofexpectedreturns.2.TheweightedaverageofthebetastimesthefactorF.FXXXRXRXRXRNNNNP)(22112211+=LLInalargeportfolio,theonlysourceofuncertaintyistheportfoliossensitivitytothefactor.26McGraw-Hill/IrwinCorporate Finance
33、, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.5BetasandExpectedReturnsThereturnonadiversifiedportfolioisthesumoftheexpectedreturnplusthesensitivityoftheportfoliotothefactor.FXXRXRXRNNNNP)(1111+=LLFRRPPP+=NNPRXRXR+=L11thatRecallNNPXX+=L11andPRP27McGraw-Hill/IrwinCorporate Finance,
34、 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.RelationshipBetweenb&ExpectedReturnIfshareholdersareignoringunsystematicrisk,onlythesystematicriskofastockcanberelatedtoitsexpectedreturn.FRRPPP+=28McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Re
35、served.RelationshipBetweenb&ExpectedReturnExpectedreturnb bFRABCDSML)(FPFRRRR-+=29McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.6TheCapitalAssetPricingModelandtheArbitragePricingTheoryAPTappliestowelldiversifiedportfoliosandnotnecessarilytoindivi
36、dualstocks.WithAPTitispossibleforsomeindividualstockstobemispriced-notlieontheSML.APTismoregeneralinthatitgetstoanexpectedreturnandbetarelationshipwithouttheassumptionofthemarketportfolio.APTcanbeextendedtomultifactormodels.30McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, In
37、c. All Rights Reserved.11.7EmpiricalApproachestoAssetPricingBoththeCAPMandAPTarerisk-basedmodels.Therearealternatives.Empiricalmethodsarebasedlessontheoryandmoreonlookingforsomeregularitiesinthehistoricalrecord.Beawarethatcorrelationdoesnotimplycausality.Relatedtoempiricalmethodsisthepracticeofclass
38、ifyingportfoliosbystylee.g.ValueportfolioGrowthportfolio31McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.11.8SummaryandConclusionsTheAPTassumesthatstockreturnsaregeneratedaccordingtofactormodelssuchas:Assecuritiesareaddedtotheportfolio,theunsystemati
39、crisksoftheindividualsecuritiesoffseteachother.Afullydiversifiedportfoliohasnounsystematicrisk.TheCAPMcanbeviewedasaspecialcaseoftheAPT.Empiricalmodelstrytocapturetherelationsbetweenreturnsandstockattributesthatcanbemeasureddirectlyfromthedatawithoutappealtotheory.FFFRRSSGDPGDPII+=32McGraw-Hill/Irwi
40、nCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.Multiple Choice Questions1.BoththeAPTandtheCAPMimplyapositiverelationshipbetweenexpectedreturnandrisk.TheAPTviewsriskA)verysimilarlytotheCAPMviathebetaofthesecurity.B)intermsofindividualintersecuritycorrelationversusthe
41、betaoftheCAPM.C)viatheindustrywideormarketwidefactorscreatingcorrelationbetweensecurities.D)thestandardizeddeviationofthecovariance.E)Noneoftheabove.33McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.Answer:C34McGraw-Hill/IrwinCorporate Finance, 7/e 20
42、05 The McGraw-Hill Companies, Inc. All Rights Reserved.2.IntheequationR=+U,thethreesymbolsstandfor:A)averagereturn,expectedreturn,andunexpectedreturn.B)requiredreturn,expectedreturn,andunbiasedreturn.C)actualtotalreturn,expectedreturn,andunexpectedreturn.D)requiredreturn,expectedreturn,andunbiasedri
43、sk.E)risk,expectedreturn,andunsystematicrisk.35McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.Answer:C36McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.3.Whichofthefollowingistrueabouttheimpactonmarket
44、priceofasecuritywhenacompanymakesanannouncementandthemarkethasdiscountedthenews?A)Thepricewillchangeagreatdeal;eventhoughtheimpactisprimarilyinthefuture,thefuturevalueisdiscountedtothepresent.B)Thepricewillchangelittle,ifatall,sincetheimpactisprimarilyinthefuture.C)Thepricewillchangelittle,ifatall,s
45、incethemarketconsidersthisinformationunimportant.D)Thepricewillchangelittle,ifatall,sincethemarketconsidersthisinformationuntrue.E)Thepricewillchangelittle,ifatall,sincethemarkethasalreadyincludedthisinformationinthesecuritysprice.37McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Compan
46、ies, Inc. All Rights Reserved.Answer:E38McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.4.SystematicriskisdefinedasA)ariskthatspecificallyaffectsanassetorsmallgroupofassets.B)anyriskthataffectsalargenumberofassets.C)anyriskthathasahugeimpactontheretur
47、nofasecurity.D)therandomcomponentofreturn.E)Noneoftheabove.39McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.Answer:B40McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.Thesystematicresponsecoefficientfor
48、productivity,P,wouldproduceanunexpectedchangeinanysecurityreturnof_Piftheexpectedrateofproductivitywas1.5%andtheactualratewas2.25%.A)0.75%B)-0.75%C)2.25%D)-2.25%E)1.5%41McGraw-Hill/IrwinCorporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.Answer:ARationale:Ri=PFP=P(2.25-1.5)=0.75P42
