Stephen Ross公司理财ch11.ppt
![资源得分’ title=](/images/score_1.gif)
![资源得分’ title=](/images/score_1.gif)
![资源得分’ title=](/images/score_1.gif)
![资源得分’ title=](/images/score_1.gif)
![资源得分’ title=](/images/score_05.gif)
《Stephen Ross公司理财ch11.ppt》由会员分享,可在线阅读,更多相关《Stephen Ross公司理财ch11.ppt(29页珍藏版)》请在得力文库 - 分享文档赚钱的网站上搜索。
1、11-0McGraw-Hill Ryerson 2003 McGrawHill Ryerson Limited Corporate Finance Ross Westerfield JaffeSixth Edition11Chapter Eleven An Alternative View of Risk and Return:The APTPrepared byGady JacobyUniversity of Manitobaand Sebouh AintablianAmerican University of Beirut11-1McGraw-Hill Ryerson 2003 McGra
2、wHill Ryerson Limited Chapter Outline11.1 Factor Models:Announcements,Surprises,and Expected Returns11.2 Risk:Systematic and Unsystematic11.3 Systematic Risk and Betas11.4 Portfolios and Factor Models11.5 Betas and Expected Returns11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory
3、11.7 Parametric Approaches to Asset Pricing11.8 Summary and Conclusions11-2McGraw-Hill Ryerson 2003 McGrawHill Ryerson Limited 11.1 Factor Models:Announcements,Surprises,and Expected ReturnsThe return on any security consists of two parts.1)the expected or normal return:the return that shareholders
4、in the market predict or expect2)the unexpected or risky return:the portion that comes from information that will be revealed.Examples of relevant information:Statistics Canada figures(e.g.,GNP)A sudden drop in interest ratesNews that the companys sales figures are higher than expected11-3McGraw-Hil
5、l Ryerson 2003 McGrawHill Ryerson Limited 11.1 Factor Models:Announcements,Surprises,and Expected ReturnsA way to write the return on a stock in the coming month is:11-4McGraw-Hill Ryerson 2003 McGrawHill Ryerson Limited 11.1 Factor Models:Announcements,Surprises,and Expected ReturnsAny announcement
6、 can be broken down into two parts,the anticipated or expected part and the surprise or innovation:Announcement=Expected part+Surprise.The expected part of any announcement is part of the information the market uses to form the expectation,R of the return on the stock.The surprise is the news that i
7、nfluences the unanticipated return on the stock,U.11-5McGraw-Hill Ryerson 2003 McGrawHill Ryerson Limited 11.2 Risk:Systematic and UnsystematicA systematic risk is any risk that affects a large number of assets,each to a greater or lesser degree.An unsystematic risk is a risk that specifically affec
8、ts a single asset or small group of assets.Unsystematic risk can be diversified away.Examples of systematic risk include uncertainty about general economic conditions,such as GNP,interest rates,or inflation.On the other hand,announcements specific to a company,such as a gold mining company striking
9、gold,are examples of unsystematic risk.11-6McGraw-Hill Ryerson 2003 McGrawHill Ryerson Limited 11.2 Risk:Systematic and UnsystematicSystematic Risk;m Nonsystematic Risk;n Total risk;UWe can break down the risk,U,of holding a stock into two components:systematic risk and unsystematic risk:11-7McGraw-
10、Hill Ryerson 2003 McGrawHill Ryerson Limited 11.2 Risk:Systematic and UnsystematicSystematic risk is referred to as market risk.m influences all assets in the market to some extent.Is specific to the company and unrelated to the specific risk of most other companies.11-8McGraw-Hill Ryerson 2003 McGr
11、awHill Ryerson Limited 11.3 Systematic Risk and BetasThe beta coefficient,b,tells us the response of the stocks return to a systematic risk.In the CAPM,b measured the responsiveness of a securitys return to a specific risk factor,the return on the market portfolio.We shall now consider many types of
12、 systematic risk.11-9McGraw-Hill Ryerson 2003 McGrawHill Ryerson Limited 11.3 Systematic Risk and BetasFor example,suppose we have identified three systematic risks on which we want to focus:1.Inflation2.GDP growth3.The dollar-pound spot exchange rate,S($,)Our model is:11-10McGraw-Hill Ryerson 2003
13、McGrawHill Ryerson Limited Systematic Risk and Betas:ExampleSuppose we have made the following estimates:1.bI=-2.302.bGDP=1.503.bS=0.50.Finally,the firm was able to attract a“superstar”CEO and this unanticipated development contributes 1%to the return.11-11McGraw-Hill Ryerson 2003 McGrawHill Ryerson
14、 Limited Systematic Risk and Betas:ExampleWe must decide what surprises took place in the systematic factors.If it was the case that the inflation rate was expected to be 3%,but in fact was 8%during the time period,then FI =Surprise in the inflation rate=actual expected=8%-3%=5%11-12McGraw-Hill Ryer
15、son 2003 McGrawHill Ryerson Limited Systematic Risk and Betas:ExampleIf it was the case that the rate of GDP growth was expected to be 4%,but in fact was 1%,then FGDP=Surprise in the rate of GDP growth =actual expected =1%-4%=-3%11-13McGraw-Hill Ryerson 2003 McGrawHill Ryerson Limited Systematic Ris
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- Stephen Ross公司理财ch11 Ross 公司 理财 ch11
![提示](https://www.deliwenku.com/images/bang_tan.gif)
限制150内