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多因素模型和套利定价理论,1,1 多因素模型 2 套利定价理论,2,1. 多因素模型,市场证券组合收益概括了宏观因素的重要影响。（单因素模型） 单因素模型认为每一种股票对每种风险因素都有相同的敏感度。,3,多因素模型可以描述和量化任何时期影响证券收益率的因素。 多因素模型允许每个股票对于不同的宏观因素的具有不同的敏感度，即不同的值。 多因素模型还可以应用于风险管理。它提供了一个衡量宏观经济风险的简单方法，并且构造证券组合来规避那些风险。,4,多因素模型 ri = E(ri) + iGDP GDP + iIR IR + ei ri = Return for security i iGDP= Factor sensitivity for GDP iIR = Factor sensitivity for Interest Rate ei = Firm specific events,5,电力公司 公共事业对GDP的值较小，而对于利率却有较高的敏感度。 航空公司 对经济活动敏感，对利率不敏感。 消息表明经济将持续扩张，预期GDP和利率都将上升，对于两个公司的影响？,6,证券的收益率可以分为： 无风险收益率 对GDP风险的敏感度（GDP的值）乘以GDP风险的风险溢价 对利率风险的敏感度（利率的值）乘以利率风险的风险溢价,7,2. 套利定价理论,基本假设 证券收益可以用单因素模型表示 市场上有足够多的证券来分散不同的风险 功能完善的证券市场消灭持续的套利机会,8,套利 当投资者可以得到无风险利润，而不必做净投资时，就出现了套利机会。 无风险套利资产组合的重要性质：任何投资者不考虑风险厌恶或财富状况，都愿意尽可能地拥有该资产组合的头寸。,9,市场价格会变动至套利机会消除。证券价格应该满足“无套利”条件，即要满足不存在套利机会的价格水平。 在特定领域比如并购目标股票的搜寻中，寻找定价出现偏差的证券的专业行为。（风险套利）,10,衍生证券 市场价值完全由其他证券的价格来决定，因此，无套利条件可以导致准确的定价。 股票 不是由其他资产的价格决定的，无套利条件须从分散化投资中导出。,11,APT 充分分散化的资产组合,rP = E (rP) + bPF + eP F = some factor For a well-diversified portfolio: eP approaches zero Similar to CAPM,12,Figure 10.1 Returns as a Function of the Systematic Factor,13,Figure 10.2 值相等,14,Figure 10.3 值不相等,15,当所有充分分散投资组合的期望收益率位于图中通过无风险资产点的直线上。这条直线的方程给出了所有充分分散化投资组合的期望收益值。,16,APT与CAPM APT不要求证券市场线关系的基准资产组合是真实市场的投资组合。 APT为证券市场线关系的实际实现中利用指数模型提供了进一步理由。（只要指数组合是充分分散化的，证券市场线关系仍然可以真实地与APT保持一致。,17,单项资产与APT 如果所有充分分散化的投资组合均满足该关系，那么所有的单个证券也将几乎肯定地满足这个关系。,18,Figure 10.4 The Security Market Line,19,4. 多因素套利定价理论,20,多因素资本资产定价模型,因素的来源 劳动收入的不确定性 重要消费品价格的不确定性（如能源价格） 未来投资机会的变化（如各种资产风险等级的变化）,21,Two-Factor Model,The multifactor APR is similar to the one-factor case But need to think in terms of a factor portfolio Well-diversified Beta of 1 for one factor Beta of 0 for any other,22,Multifactor Model Equation,ri = E(ri) + iGDP GDP + iIR IR + ei ri = Return for security i iGDP= Factor sensitivity for GDP iIR = Factor sensitivity for Interest Rate ei = Firm specific events,23,Multifactor SML Models,E(r) = rf + GDPRPGDP + IRRPIR GDP = Factor sensitivity for GDP RPGDP = Risk premium for GDP IR = Factor sensitivity for Interest Rate RPIR = Risk premium for Interest Rate,24,Arbitrage Pricing Theory,Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit Since no investment is required, an investor can create large positions to secure large levels of profit In efficient markets, profitable arbitrage opportunities will quickly disappear,25,APT & Well-Diversified Portfolios,rP = E (rP) + bPF + eP F = some factor For a well-diversified portfolio: eP approaches zero Similar to CAPM,26,APT applies to well diversified portfolios and not necessarily to individual stocks With APT it is possible for some individual stocks to be mispriced - not lie on the SML APT is more general in that it gets to an expected return and beta relationship without the assumption of the market portfolio APT can be extended to multifactor models,APT and CAPM Compared,27,Multifactor APT,Use of more than a single factor Requires formation of factor portfolios What factors? Factors that are important to performance of the general economy Fama-French Three Factor Model,28,Two-Factor Model,The multifactor APR is similar to the one-factor case But need to think in terms of a factor portfolio Well-diversified Beta of 1 for one factor Beta of 0 for any other,29,Example of the Multifactor Approach,Work of Chen, Roll, and Ross Chose a set of factors based on the ability of the factors to paint a broad picture of the macro-economy,30,Another Example: Fama-French Three-Factor Model,The factors chosen are variables that on past evidence seem to predict average returns well and may capture the risk premiums Where: SMB = Small Minus Big, i.e., the return of a portfolio of small stocks in excess of the return on a portfolio of large stocks HML = High Minus Low, i.e., the return of a portfolio of stocks with a high book to-market ratio in excess of the return on a portfolio of stocks with a low book-to-market ratio,31,The Multifactor CAPM and the APM,A multi-index CAPM will inherit its risk factors from sources of risk that a broad group of investors deem important enough to hedge The APT is largely silent on where to look for priced sources of risk,32,
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