Chapter_08RiskandReturn(公司理財(cái)原理,Brealey_My

1、Principles of Corporate Finance Seventh Edition Richard A. Brealey Stewart C. Myers Slides by Matthew Will Chapter 8 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Risk and Return 8- 2 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All righ

2、ts reserved Topics Covered w Markowitz Portfolio Theory w Risk and Return Relationship w Testing the CAPM w CAPM Alternatives 8- 3 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Markowitz Portfolio Theory w Combining stocks into portfolios can reduce standard

3、deviation, below the level obtained from a simple weighted average calculation. w Correlation coefficients make this possible. w The various weighted combinations of stocks that create this standard deviations constitute the set of . 8- 4 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,

4、 Inc. All rights reserved Markowitz Portfolio Theory Price changes vs. Normal distribution Microsoft - Daily % change 1990-2001 0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 -9-8-7-6-5-4-3-2-10123456789 Proportion of Days Daily % Change 8- 5 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. A

5、ll rights reserved Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment A 0 2 4 6 8 10 12 14 16 18 20 -50050 % probability % return 8- 6 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Markowitz Portfolio Theory Standard Deviation VS. Ex

6、pected Return Investment B 0 2 4 6 8 10 12 14 16 18 20 -50050 % probability % return 8- 7 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment C 0 2 4 6 8 10 12 14 16 18 20 -50050 % probabi

7、lity % return 8- 8 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Markowitz Portfolio Theory Standard Deviation VS. Expected Return Investment D 0 2 4 6 8 10 12 14 16 18 20 -50050 % probability % return 8- 9 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill C

8、ompanies, Inc. All rights reserved Markowitz Portfolio Theory Coca Cola Reebok Standard Deviation Expected Return (%) 35% in Reebok u Expected Returns and Standard Deviations vary given different weighted combinations of the stocks 8- 10 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,

9、Inc. All rights reserved Efficient Frontier Standard Deviation Expected Return (%) Each half egg shell represents the possible weighted combinations for two stocks. The composite of all stock sets constitutes the efficient frontier 8- 11 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies,

10、Inc. All rights reserved Efficient Frontier Standard Deviation Expected Return (%) Lending or Borrowing at the risk free rate (rf) allows us to exist outside the efficient frontier. rf Lending Borrowing T S 8- 12 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved

11、Efficient Frontier Example Correlation Coefficient = .4 Stockss% of PortfolioAvg Return ABC Corp2860% 15% Big Corp42 40% 21% Standard Deviation = weighted avg = 33.6 Standard Deviation = Portfolio = 28.1 Return = weighted avg = Portfolio = 17.4% 8- 13 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hi

12、ll Companies, Inc. All rights reserved Efficient Frontier Example Correlation Coefficient = .4 Stockss% of PortfolioAvg Return ABC Corp2860% 15% Big Corp42 40% 21% Standard Deviation = weighted avg = 33.6 Standard Deviation = Portfolio = 28.1 Return = weighted avg = Portfolio = 17.4% Lets Add stock

13、New Corp to the portfolio 8- 14 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier Example Correlation Coefficient = .3 Stockss% of PortfolioAvg Return Portfolio28.150% 17.4% NEW Standard Deviation = weighted avg = 31.80 NEW Standard Deviation =

14、 Portfolio = 23.43 NEW Return = weighted avg = Portfolio = 18.20% 8- 15 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier Example Correlation Coefficient = .3 Stockss% of PortfolioAvg Return Portfolio28.150% 17.4% New Corp30 50% 19% NEW Standar

15、d Deviation = weighted avg = 31.80 NEW Standard Deviation = Portfolio = 23.43 NEW Return = weighted avg = Portfolio = 18.20% NOTE: Higher return & Lower risk How did we do that? DIVERSIFICATION 8- 16 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Fro

16、ntier A B Return Risk (measured as s s) 8- 17 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier A B Return Risk AB 8- 18 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier A B N Return Risk

17、 AB 8- 19 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier A B N Return Risk AB ABN 8- 20 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier A B N Return Risk AB Goal is to move up and lef

18、t. WHY? ABN 8- 21 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier Return Risk Low Risk High Return High Risk High Return Low Risk Low Return High Risk Low Return 8- 22 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rig

19、hts reserved Efficient Frontier Return Risk Low Risk High Return High Risk High Return Low Risk Low Return High Risk Low Return 8- 23 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Efficient Frontier Return Risk A B N AB ABN 8- 24 McGraw Hill/IrwinCopyright 20

20、03 by The McGraw-Hill Companies, Inc. All rights reserved Security Market Line Return Risk . rf Risk Free Return = Efficient Portfolio Market Return = rm 8- 25 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Security Market Line Return . rf Risk Free Return = E

21、fficient Portfolio Market Return = rm BETA1.0 8- 26 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Security Market Line Return . rf Risk Free Return = BETA Security Market Line (SML) 8- 27 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All

22、rights reserved Security Market Line Return BETA rf 1.0 SML SML Equation = rf + B ( rm - rf ) 8- 28 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Capital Asset Pricing Model R = rf + B ( rm - rf ) CAPM 8- 29 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill

23、Companies, Inc. All rights reserved Testing the CAPM Avg Risk Premium 1931-65 Portfolio Beta 1.0 SML 30 20 10 0 Investors Market Portfolio Beta vs. Average Risk Premium 8- 30 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Testing the CAPM Avg Risk Premium 1966

24、-91 Portfolio Beta 1.0 SML 30 20 10 0 Investors Market Portfolio Beta vs. Average Risk Premium 8- 31 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. All rights reserved Testing the CAPM 0 5 10 15 20 25 1928 1933 1938 1943 1948 1953 1958 1963 1968 1973 1978 1983 1988 1993 1998 High-minus low book-to- market Return vs. Book-to-Market Dollars Low minus big /pages/faculty/ken.french/data_library.html 8- 32 McGraw Hill/IrwinCopyright 2003 by The McGraw-Hill Companies, Inc. Al