财务管理第十三章课件.pptx
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财务管理第十三章课件.pptx
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Chapter13Return,Risk,andtheSecurityMarketLine,McGraw-Hill/Irwin,Copyright2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.,KeyConceptsandSkills,KnowhowtocalculateexpectedreturnsUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntrade-offBeabletousetheCapitalAssetPricingModel,13-2,ChapterOutline,ExpectedReturnsandVariancesPortfoliosAnnouncements,Surprises,andExpectedReturnsRisk:
SystematicandUnsystematicDiversificationandPortfolioRiskSystematicRiskandBetaTheSecurityMarketLineTheSMLandtheCostofCapital:
APreview,13-3,ExpectedReturns,ExpectedreturnsarebasedontheprobabilitiesofpossibleoutcomesInthiscontext,“expected”meansaverageiftheprocessisrepeatedmanytimesThe“expected”returndoesnotevenhavetobeapossiblereturn,13-4,Example:
ExpectedReturns,StateProbabilityCTBoom0.31525Normal0.51020Recession?
21RC=.3(15)+.5(10)+.2
(2)=9.9%RT=.3(25)+.5(20)+.2
(1)=17.7%,13-5,SupposeyouhavepredictedthefollowingreturnsforstocksCandTinthreepossiblestatesoftheeconomy.Whataretheexpectedreturns?
VarianceandStandardDeviation,VarianceandstandarddeviationmeasurethevolatilityofreturnsUsingunequalprobabilitiesfortheentirerangeofpossibilitiesWeightedaverageofsquareddeviations,13-6,Example:
VarianceandStandardDeviation,Considerthepreviousexample.Whatarethevarianceandstandarddeviationforeachstock?
StockC2=.3(15-9.9)2+.5(10-9.9)2+.2(2-9.9)2=20.29=4.50%StockT2=.3(25-17.7)2+.5(20-17.7)2+.2(1-17.7)2=74.41=8.63%,13-7,AnotherExample,Considerthefollowinginformation:
StateProbabilityABC,Inc.(%)Boom.2515Normal.508Slowdown.154Recession.10-3Whatistheexpectedreturn?
Whatisthevariance?
Whatisthestandarddeviation?
13-8,Portfolios,AportfolioisacollectionofassetsAnassetsriskandreturnareimportantinhowtheyaffecttheriskandreturnoftheportfolioTherisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassets,13-9,Example:
PortfolioWeights,Supposeyouhave$15,000toinvestandyouhavepurchasedsecuritiesinthefollowingamounts.Whatareyourportfolioweightsineachsecurity?
$2000ofC$3000ofKO$4000ofINTC$6000ofBP,C:
2/15=.133KO:
3/15=.2INTC:
4/15=.267BP:
6/15=.4,13-10,PortfolioExpectedReturns,TheexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsoftherespectiveassetsintheportfolioYoucanalsofindtheexpectedreturnbyfindingtheportfolioreturnineachpossiblestateandcomputingtheexpectedvalueaswedidwithindividualsecurities,13-11,Example:
ExpectedPortfolioReturns,Considertheportfolioweightscomputedpreviously.Iftheindividualstockshavethefollowingexpectedreturns,whatistheexpectedreturnfortheportfolio?
C:
19.69%KO:
5.25%INTC:
16.65%BP:
18.24%E(RP)=.133(19.69)+.2(5.25)+.267(16.65)+.4(18.24)=15.41%,13-12,PortfolioVariance,Computetheportfolioreturnforeachstate:
RP=w1R1+w2R2+wmRmComputetheexpectedportfolioreturnusingthesameformulaasforanindividualassetComputetheportfoliovarianceandstandarddeviationusingthesameformulasasforanindividualasset,13-13,Example:
PortfolioVariance,ConsiderthefollowinginformationInvest50%ofyourmoneyinAssetAStateProbabilityABBoom.430%-5%Bust.6-10%25%Whataretheexpectedreturnandstandarddeviationforeachasset?
Whataretheexpectedreturnandstandarddeviationfortheportfolio?
Portfolio12.5%7.5%,13-14,AnotherExample,ConsiderthefollowinginformationStateProbabilityXZBoom.2515%10%Normal.6010%9%Recession.155%10%Whataretheexpectedreturnandstandarddeviationforaportfoliowithaninvestmentof$6,000inassetXand$4,000inassetZ?
13-15,Expectedvs.UnexpectedReturns,RealizedreturnsaregenerallynotequaltoexpectedreturnsThereistheexpectedcomponentandtheunexpectedcomponentAtanypointintime,theunexpectedreturncanbeeitherpositiveornegativeOvertime,theaverageoftheunexpectedcomponentiszero,13-16,AnnouncementsandNews,AnnouncementsandnewscontainbothanexpectedcomponentandasurprisecomponentItisthesurprisecomponentthataffectsastockspriceandthereforeitsreturnThisisveryobviouswhenwewatchhowstockpricesmovewhenanunexpectedannouncementismadeorearningsaredifferentthananticipated,13-17,EfficientMarkets,EfficientmarketsarearesultofinvestorstradingontheunexpectedportionofannouncementsTheeasieritistotradeonsurprises,themoreefficientmarketsshouldbeEfficientmarketsinvolverandompricechangesbecausewecannotpredictsurprises,13-18,SystematicRisk,RiskfactorsthataffectalargenumberofassetsAlsoknownasnon-diversifiableriskormarketriskIncludessuchthingsaschangesinGDP,inflation,interestrates,etc.,13-19,UnsystematicRisk,RiskfactorsthataffectalimitednumberofassetsAlsoknownasuniqueriskandasset-specificriskIncludessuchthingsaslaborstrikes,partshortages,etc.,13-20,Returns,TotalReturn=expectedreturn+unexpectedreturnUnexpectedreturn=systematicportion+unsystematicportionTherefore,totalreturncanbeexpressedasfollows:
TotalReturn=expectedreturn+systematicportion+unsystematicportion,13-21,Diversification,PortfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectorsDiversificationisnotjustholdingalotofassetsForexample,ifyouown50Internetstocks,youarenotdiversifiedHowever,ifyouown50stocksthatspan20differentindustries,thenyouarediversified,13-22,Table13.7,13-23,ThePrincipleofDiversification,DiversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturnsThisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanotherHowever,thereisaminimumlevelofriskthatcannotbediversifiedawayandthatisthesystematicportion,13-24,Figure13.1,13-25,DiversifiableRisk,TheriskthatcanbeeliminatedbycombiningassetsintoaportfolioOftenconsideredthesameasunsystematic,uniqueorasset-specificriskIfweholdonlyoneasset,orassetsinthesameindustry,thenweareexposingourselvestoriskthatwecoulddiversifyaway,13-26,TotalRisk,Totalrisk=systematicrisk+unsystematicriskThestandarddeviationofreturnsisameasureoftotalriskForwell-diversifiedportfolios,unsystematicriskisverysmallConsequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk,13-27,SystematicRiskPrinciple,ThereisarewardforbearingriskThereisnotarewardforbearingriskunnecessarilyTheexpectedreturnonariskyassetdependsonlyonthatassetssystematicrisksinceunsystematicriskcanbediversifiedaway,13-28,MeasuringSystematicRisk,Howdowemeasuresystematicrisk?
WeusethebetacoefficientWhatdoesbetatellus?
Abetaof1impliestheassethasthesamesystematicriskastheoverallmarketAbeta1impliestheassethasmoresystematicriskthantheoverallmarket,13-29,Table13.8SelectedBetas,InsertTable13.8here,13-30,Totalvs.SystematicRisk,Considerthefollowinginformation:
StandardDeviationBetaSecurityC20%1.25SecurityK30%0.95Whichsecurityhasmoretotalrisk?
Whichsecurityhasmoresystematicrisk?
Whichsecurityshouldhavethehigherexpectedreturn?
13-31,WorktheWebExample,ManysitesprovidebetasforcompaniesYahooFinanceprovidesbeta,plusalotofotherinformationunderitsKeyStatisticslinkClickonthewebsurfertogotoYahooFinanceEnteratickersymbolandgetabasicquoteClickonKeyStatistics,13-32,Example:
PortfolioBetas,ConsiderthepreviousexamplewiththefollowingfoursecuritiesSecurityWeightBetaC.1332.685KO.20.195INTC.2672.161BP.42.434Whatistheportfoliobeta?
.133(2.685)+.2(.195)+.267(2.161)+.4(2.434)=1.947,13-33,BetaandtheRiskPremium,Rememberthattheriskpremium=expectedreturnrisk-freerateThehigherthebeta,thegreatertheriskpremiumshouldbeCanwedefinetherelationshipbetweentheriskpremiumandbetasothatwecanestimatetheexpectedreturn?
YES!
13-34,Example:
PortfolioExpectedReturnsandBetas,Rf,E(RA),A,13-35,Reward-to-RiskRatio:
DefinitionandExample,Thereward-to-riskratioistheslopeofthelineillustratedinthepreviousexampleSlope=(E(RA)Rf)/(A0)Reward-to-riskratioforpreviousexample=(208)/(1.60)=7.5Whatifanassethasareward-to-riskratioof8(implyingthattheassetplotsabovetheline)?
Whatifanassethasareward-to-riskratioof7(implyingthattheassetplotsbelowtheline)?
13-36,MarketEquilibrium,Inequilibrium,allassetsandportfoliosmusthavethesamereward-to-riskratio,andtheyallmustequalthereward-to-riskratioforthemarket,13-37,SecurityMarketLine,Thesecuritymarketline(SML)istherepresentationofmarketequilibriumTheslopeoftheSMListhereward-to-riskratio:
(E(RM)Rf)/MButsincethebetaforthemarketisalwaysequaltoone,theslopecanberewrittenSlope=E(RM)Rf=marketriskpremium,13-38,TheCapitalAssetPricingModel(CAPM),ThecapitalassetpricingmodeldefinestherelationshipbetweenriskandreturnE(RA)=Rf+A(E(RM)Rf)Ifweknowanassetssystematicrisk,wecanusetheCAPMtodetermineitsexpectedreturnThisistruewhetherwearetalkingaboutfinancialassetsorphysicalassets,13-39,FactorsAffectingExpectedReturn,Puretimevalueofmoney:
measuredbytherisk-freerateRewardforbearingsystematicrisk:
measuredbythemarketriskpremiumAmountofsystematicrisk:
measuredbybeta,13-40,Example-CAPM,Considerthebetasforeachoftheassetsgivenearlier.Iftherisk-freerateis4.15%andthemarketriskpremiumis8.5%,whatistheexpectedreturnforeach?
13-41,Figure13.4,13-42,QuickQuiz,Howdoyoucomputetheexpectedreturnandstandarddeviationforanindividualasset?
Foraportfolio
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