财务管理培训课件lecture10(ch10).pptx
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1、The McGraw-Hill Companies, Inc.,200110- 1Irwin/McGraw-HillIrwin/McGraw-HillChapter 10Fundamentals of Corporate FinanceThird EditionRisk, Return, and Capital BudgetingBrealey Myers Marcusslides by Matthew WillIrwin/McGraw-HillThe McGraw-Hill Companies, Inc.,2001The McGraw-Hill Companies, Inc.,200110-
2、 2Irwin/McGraw-HillTopics CoveredMeasuring BetaPortfolio BetasCAPM and Expected ReturnSecurity Market LineCapital Budgeting and Project RiskThe McGraw-Hill Companies, Inc.,200110- 3Irwin/McGraw-HillMeasuring Market RiskMarket Portfolio - Portfolio of all assets in the economy. In practice a broad st
3、ock market index, such as the S&P Composite, is used to represent the market.Beta - Sensitivity of a stocks return to the return on the market portfolio.The McGraw-Hill Companies, Inc.,200110- 4Irwin/McGraw-HillMeasuring Market RiskExample - Turbo Charged Seafood has the following % returns on its s
4、tock, relative to the listed changes in the % return on the market portfolio. The beta of Turbo Charged Seafood can be derived from this information.The McGraw-Hill Companies, Inc.,200110- 5Irwin/McGraw-HillMeasuring Market RiskMonthMarket Return %Turbo Return %1+ 1+ 0.82+ 1+ 1.83+ 1- 0.24- 1- 1.85-
5、 1+ 0.26- 1- 0.8Example - continuedThe McGraw-Hill Companies, Inc.,200110- 6Irwin/McGraw-HillMeasuring Market RiskWhen the market was up 1%, Turbo average % change was +0.8%When the market was down 1%, Turbo average % change was -0.8% The average change of 1.6 % (-0.8 to 0.8) divided by the 2% (-1.0
6、 to 1.0) change in the market produces a beta of 0.8.Example - continuedThe McGraw-Hill Companies, Inc.,200110- 7Irwin/McGraw-HillMeasuring Market RiskB = 0.81.62When the market was up 1%, Turbo average % change was +0.8%When the market was down 1%, Turbo average % change was -0.8% The average chang
7、e of 1.6 % (-0.8 to 0.8) divided by the 2% (-1.0 to 1.0) change in the market produces a beta of 0.8.Example - continuedThe McGraw-Hill Companies, Inc.,200110- 8Irwin/McGraw-HillMeasuring Market RiskExample - continued-0.8-0.6-0.4-0.200.20.40.60.81-0.8 -0.6 -0.4 -0.200.20.40.60.81Market Return %Turb
8、o return %The McGraw-Hill Companies, Inc.,200110- 9Irwin/McGraw-HillPortfolio BetasDiversification decreases variability from unique risk, but not from market risk.The beta of your portfolio will be an average of the betas of the securities in the portfolio.If you owned all of the S&P Composite Inde
9、x stocks, you would have an average beta of 1.0 The McGraw-Hill Companies, Inc.,200110- 10Irwin/McGraw-HillMeasuring Market RiskMarket Risk Premium - Risk premium of market portfolio. Difference between market return and return on risk-free Treasury bills. 0246810121400.20.40.60.81BetaExpected Retur
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