




版權(quán)說明:本文檔由用戶提供并上傳,收益歸屬內(nèi)容提供方,若內(nèi)容存在侵權(quán),請進(jìn)行舉報或認(rèn)領(lǐng)
文檔簡介
1、CAPM and the Characteristic LineThe Characteristic LineTotal risk of any asset can be assessed by measuring variability of its returnsTotal risk can be divided into two partsdiversifiable risk (unsystematic risk) and non-diversifiable risk (systematic risk)The characteristic line is used to measure
2、statistically the undiversifiable risk and diversifiable risk of individual assets and portfoliosCharacteristic line for the ith asset is:ri,t = ai + birm,t + ei,t ORri,t = birm,t + ai + ei,tTake Variance of both sides of EquationVAR (ri,t) = VAR(birm,t ) +VAR(ai) + VAR(ei,t) VAR(birm,t ) = VAR (ri,
3、t) - VAR(ei,t) ORVAR(ei,t) = VAR(ri,t) - VAR(birm,t ) Beta CoefficientsAn index of riskMeasures the volatility of a stock (or portfolio) relative to the marketBeta Coefficients CombineThe variability of the assets returnThe variability of the market returnThe correlation betweenthe stocks return and
4、the market returnBeta CoefficientsBeta coefficients are the slope of the regression line relatingthe return on the market (the independent variable) to the return on the stock (the dependent variable)Beta CoefficientsInterpretation of the Numerical Value of BetaBeta = 1.0 Stocks return has same vola
5、tility as the market returnBeta 1.0 Stocks return is more volatile than the market returnInterpretation of the Numerical Value of BetaInterpretation of the Numerical Value of BetaBeta 1.0 Stocks return is less volatile than the market returnInterpretation of the Numerical Value of BetaHigh Beta Stoc
6、ksMore systematic market riskMay be appropriate for high-risk tolerant (aggressive) investorsLow Beta StocksLess systematic market riskMay be appropriate for low-risk tolerant (defensive) investorsIndividual Stock BetasMay change over time Tendency to move toward 1.0, the market betaPortfolio BetasW
7、eighted average of the individual assets betasMay be more stable than individual stock betasHow Characteristic Line leads to CAPM?The characteristic regression line of an asset explains the assets systematic variability of returns in terms of market forces that affect all assets simultaneouslyThe po
8、rtion of total risk not explained by characteristic line is called unsystematic riskAssets with high degrees systematic risk must be priced to yield high returns in order to induce investors to accept high degrees of risk that are undivesifiable in the marketCAPM illustrates positive relationship be
9、tween systematic risk and return on an assetCapital Asset Pricing Model (CAPM)For a very well-diversified portfolio, beta is the correct measure of a securitys risk. All investments and portfolios of investments must lie along a straight-line in the return-beta spaceRequired return on any asset is a
10、 linear function of the systematic risk of that assetE(ri) = rf + E(rm) rf iThe Capital Asset Pricing Model (CAPM)The CAPM hasA macro component explains risk and return in a portfolio contextA micro component explains individual stock returnsThe micro component is also used to value stocksBeta Coeff
11、icients and The Security Market LineThe return on a stock depends onthe risk free rate (rf)the return on the market (rm)the stocks betathe return on a stock:k= rf + (rm - rf)betaBeta Coefficients and The Security Market LineThe figure relating systematic risk (beta) and the return on a stockBeta Coe
12、fficients and The Security Market LineCAPM can be used to price any asset provided we know the systematic risk of that assetIn equilibrium, every asset must be priced so that its risk-adjusted required rate of return falls exactly on the straight lineIf an investment were to lie above or below that straight line, then an opportunity for riskless arbitrage would exist.Examples of CAPMStocksExpected ReturnBetaA16%1.2B19%1.3C13%0.75E(rm) = 18%rf =
溫馨提示
- 1. 本站所有資源如無特殊說明,都需要本地電腦安裝OFFICE2007和PDF閱讀器。圖紙軟件為CAD,CAXA,PROE,UG,SolidWorks等.壓縮文件請下載最新的WinRAR軟件解壓。
- 2. 本站的文檔不包含任何第三方提供的附件圖紙等,如果需要附件,請聯(lián)系上傳者。文件的所有權(quán)益歸上傳用戶所有。
- 3. 本站RAR壓縮包中若帶圖紙,網(wǎng)頁內(nèi)容里面會有圖紙預(yù)覽,若沒有圖紙預(yù)覽就沒有圖紙。
- 4. 未經(jīng)權(quán)益所有人同意不得將文件中的內(nèi)容挪作商業(yè)或盈利用途。
- 5. 人人文庫網(wǎng)僅提供信息存儲空間,僅對用戶上傳內(nèi)容的表現(xiàn)方式做保護(hù)處理,對用戶上傳分享的文檔內(nèi)容本身不做任何修改或編輯,并不能對任何下載內(nèi)容負(fù)責(zé)。
- 6. 下載文件中如有侵權(quán)或不適當(dāng)內(nèi)容,請與我們聯(lián)系,我們立即糾正。
- 7. 本站不保證下載資源的準(zhǔn)確性、安全性和完整性, 同時也不承擔(dān)用戶因使用這些下載資源對自己和他人造成任何形式的傷害或損失。
最新文檔
- 財務(wù)出納擔(dān)保責(zé)任協(xié)議(含保密協(xié)議)
- 城市排水設(shè)施拆遷補償安置協(xié)議書
- 車輛事故道路修復(fù)賠償協(xié)議書范例
- 草場承包租賃與農(nóng)業(yè)產(chǎn)業(yè)化合作協(xié)議
- 財務(wù)擔(dān)保資產(chǎn)擔(dān)保合同范本
- 文化創(chuàng)意產(chǎn)業(yè)代理記賬及知識產(chǎn)權(quán)財務(wù)保護(hù)合同
- 舊區(qū)改造拆遷安置房購置合同范本(含產(chǎn)權(quán))
- Brand KPIs for hotels:Lemon Tree in India-英文培訓(xùn)課件2025.5
- 2025年電子商務(wù)與供應(yīng)鏈管理職業(yè)考試試卷及答案
- 2025年各行業(yè)技能提升考試試卷及答案
- 愛蓮說對比閱讀(1)
- 最新消防排煙規(guī)范-消防排煙計算表
- 大理石打磨工程裝飾協(xié)議合同
- 鏈輪齒數(shù)尺寸對照表二
- 國有資產(chǎn)管理情況整改報告
- 110kV輸電線路工程冬季施工組織設(shè)計
- 模具中英文對照1
- 蘇教版一年級下冊數(shù)學(xué)易錯題、難題
- EBZ260A掘進(jìn)機(jī)拆除打運施工安全技術(shù)措施講述
- (完整word版)毛筆書法—A4紙米字格
- 介入導(dǎo)管室應(yīng)急預(yù)案及處理流程
評論
0/150
提交評論