财务管理Chapter_08

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,8-,*,McGraw Hill/Irwin,Copyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved,Principles of Corporate Finance,Seventh Edition,Richard A.Brealey,Stewart C.Myers,Chapter 8,McGraw Hill/Irwin,Copyright 2003 by The McGraw-Hill Companies,Inc.All rights reserved,Risk and Return,Topics Covered,Markowitz Portfolio Theory,Risk and Return Relationship,Testing the CAPM,CAPM Alternatives,Markowitz Portfolio Theory,Combining stocks into portfolios can reduce standard deviation,below the level obtained from a simple weighted average calculation.,Correlation coefficients make this possible.,The various weighted combinations of stocks that create this standard deviations constitute the set of,efficient portfolios,.,Markowitz Portfolio Theory,Price changes vs.Normal distribution,Microsoft-Daily%change,Proportion of Days,Daily%Change,Markowitz Portfolio Theory,Standard Deviation VS.Expected Return,Investment A,%probability,%return,Markowitz Portfolio Theory,Standard Deviation VS.Expected Return,Investment B,%probability,%return,Markowitz Portfolio Theory,Standard Deviation VS.Expected Return,Investment C,%probability,%return,Markowitz Portfolio Theory,Standard Deviation VS.Expected Return,Investment D,%probability,%return,Markowitz Portfolio Theory,Coca Cola,Reebok,Standard Deviation,Expected Return(%),35%in Reebok,Expected Returns and Standard Deviations vary given different weighted combinations of the stocks,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,Efficient Frontier,Standard Deviation,Expected Return(%),Lending or Borrowing at the risk free rate(,r,f,)allows us to exist outside the efficient frontier.,r,f,Lending Borrowing,T,S,Efficient Frontier,Example,Correlation Coefficient=.4,Stocks,s,%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%,Efficient Frontier,Example,Correlation Coefficient=.4,Stocks,s,%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 New Corp to the portfolio,Efficient Frontier,Example,Correlation Coefficient=.3,Stocks,s,%of PortfolioAvg Return,Portfolio28.150%17.4%,New Corp30 50%19%,NEW Standard Deviation=weighted avg=31.80,NEW Standard Deviation=Portfolio =,23.43,NEW Return=weighted avg=Portfolio=,18.20%,Efficient Frontier,Example,Correlation Coefficient=.3,Stocks,s,%of PortfolioAvg Return,Portfolio28.150%17.4%,New Corp30 50%19%,NEW Standard 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,Efficient Frontier,A,B,Return,Risk(measured as,s,),Efficient Frontier,A,B,Return,Risk,AB,Efficient Frontier,A,B,N,Return,Risk,AB,Efficient Frontier,A,B,N,Return,Risk,AB,ABN,Efficient Frontier,A,B,N,Return,Risk,AB,Goal is to move up and left.,WHY?,ABN,Efficient Frontier,Return,Risk,Low Risk,High Return,High Risk,High Return,Low Risk,Low Return,High Risk,Low Return,Efficient Frontier,Return,Risk,Low Risk,High Return,High Risk,High Return,Low Risk,Low Return,High Risk,Low Return,Efficient Frontier,Return,Risk,A,B,N,AB,ABN,Security Market Line,Return,Risk,.,r,f,Risk Free,Return =,Efficient Portfolio,Market Return=,r,m,Security Market Line,Return,.,r,f,Risk Free,Return =,Efficient Portfolio,Market Return=,r,m,BETA,1.0,Security Market Line,Return,.,r,f,Risk Free,Return =,BETA,Security Market Line (SML),Security Market Line,Return,BETA,r,f,1.0,SML,SML Equation=r,f,+B(r,m,-r,f,),Capital Asset Pricing Model,R=r,f,+B(r,m,-r,f,),CAPM,Arbitrage Pricing Theory,Alternative to CAPM,Expected Risk,Premium=,r-r,f,=B,factor1,(r,factor1,-r,f,)+B,f2,(r,f2,-r,f,)+,Return=a +b,factor1,(r,factor1,)+b,f2,(r,f2,)+,Arbitrage Pricing Theory,Estimated risk premiums for taking on risk factors,(1978-1990),