公司理财课件第九章Chpt009.ppt
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公司理财课件第九章Chpt009.ppt
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McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-0CorporateFinanceRossWesterfieldJaffeSixthEditionSixthEdition9ChapterNineCapitalMarketTheory:
AnOverviewMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-1ChapterOutline9.1Returns9.2Holding-PeriodReturns9.3ReturnStatistics9.4AverageStockReturnsandRisk-FreeReturns9.5RiskStatistics9.6SummaryandConclusionsMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-29.1ReturnsDollarReturnsthesumofthecashreceivedandthechangeinvalueoftheasset,indollars.Time01InitialinvestmentEndingmarketvalueDividendsPercentageReturnsthesumofthecashreceivedandthechangeinvalueoftheassetdividedbytheoriginalinvestment.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-3DollarReturn=Dividend+ChangeinMarketValue9.1ReturnsMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-49.1Returns:
ExampleSupposeyoubought100sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(=20centspershare100shares).Attheendoftheyear,thestocksellsfor$30.Howdidyoudo?
Quitewell.Youinvested$25100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,000$2,500).YourpercentagegainfortheyearisMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-59.1Returns:
ExampleDollarReturns$520gainTime01-$2,500$3,000$20PercentageReturnsMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-69.2Holding-PeriodReturnsTheholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnyears,whenthereturnduringyeariisgivenasri:
McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-7HoldingPeriodReturn:
ExampleSupposeyourinvestmentprovidesthefollowingreturnsoverafour-yearperiod:
McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-8HoldingPeriodReturn:
ExampleAninvestorwhoheldthisinvestmentwouldhaveactuallyrealizedanannualreturnof9.58%:
So,ourinvestormade9.58%onhismoneyforfouryears,realizingaholdingperiodreturnof44.21%McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-9HoldingPeriodReturn:
ExampleNotethatthegeometricaverageisnotthesamethingasthearithmeticaverage:
McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-10HoldingPeriodReturnsAfamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks,bonds,andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield.Theypresentyear-by-yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates:
Large-CompanyCommonStocksSmall-companyCommonStocksLong-TermCorporateBondsLong-TermU.S.GovernmentBondsU.S.TreasuryBillsMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-11TheFutureValueofanInvestmentof$1in1926$40.22$15.64Source:
Stocks,Bonds,Bills,andInflation2000Yearbook,IbbotsonAssociates,Inc.,Chicago(annuallyupdatesworkbyRogerG.IbbotsonandRexA.Sinquefield).Allrightsreserved.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-129.3ReturnStatisticsThehistoryofcapitalmarketreturnscanbesummarizedbydescribingtheaveragereturnthestandarddeviationofthosereturnsthefrequencydistributionofthereturns.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-13HistoricalReturns,1926-1999Source:
Stocks,Bonds,Bills,andInflation2000Yearbook,IbbotsonAssociates,Inc.,Chicago(annuallyupdatesworkbyRogerG.IbbotsonandRexA.Sinquefield).Allrightsreserved.90%+90%0%AverageStandardSeriesAnnualReturnDeviationDistributionLargeCompanyStocks13.0%20.3%SmallCompanyStocks17.733.9Long-TermCorporateBonds6.18.7Long-TermGovernmentBonds5.69.2U.S.TreasuryBills3.83.2Inflation3.24.5McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-149.4AverageStockReturnsandRisk-FreeReturnsTheRiskPremiumistheadditionalreturn(overandabovetherisk-freerate)resultingfrombearingrisk.Oneofthemostsignificantobservationsofstockmarketdataisthislong-runexcessofstockreturnovertherisk-freereturn.Theaverageexcessreturnfromlargecompanycommonstocksfortheperiod1926through1999was9.2%=13.0%3.8%Theaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through1999was13.9%=17.7%3.8%Theaverageexcessreturnfromlong-termcorporatebondsfortheperiod1926through1999was2.3%=6.1%3.8%McGraw-Hill/IrwinCopyright
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