证券 博迪Chpt09-51.pptVIP

CAPM的应用：风险资产合理预期收益率与α The difference between the fair and actually expected rates of return on a stock is called the stock’s alpha. CAPM的应用：项目选择 已知一项资产的买价为p，而以后的售价为q，q为随机的，则 某项目基于β应有的必要的收益率；考虑风险程度后可以接受的收益率（风险调整下的利率） Hurdle rate:In discounted cashflow analysis, the rate of return below which an investment is not worth making. 例：某项目未来期望收益为1000万美元，由于项目与市场相关性较小，β=0.6，若当时短期国债的平均收益为10％，市场组合的期望收益为17％，则该项目最大可接受的投资成本是多少？ CML vs SML CML和SML都描述了风险资产均衡期望收益率与风险之间的关系，但明显两者明显存在区别。 度量风险的指标不同 SML用协方差或β值测度风险 CML用标准差测度风险 CML本质为有效前沿，描述了有效投资组合如何均衡地被定价，而SML描述了所有风险资产（包括无效组合与有效组合）如何均衡地被定价 有效投资组合既位于资本市场线上，同时也位于证券市场线上；而单个证券与无效投资组合只位于证券市场线上。 总结 1.The CAL(capital allocation line) provided by T-bills and the market portfolio is CML(capital market line). CAPM implies each individual arrive at the same risky portfolio,with weights on each asset equal to those of the market portfolio. The optimal risky portfolio of all investors is simply a share of the market portfolio. The passive strategy of investing in a market index portfolio is efficient——mutual fund theorem. 总结 2. An individual security’s risk premium is a function of the risk premium on the market portfolio and the beta coefficient. β衡量的风险是系统风险，由于证券的期望收益是关于β的线性函数，这表明市场仅仅对系统风险进行补偿，而对非系统风险不补偿。 * * * * * * * * * * * * 99-* Equilibrium In Capital Markets： 1、The Capital Asset Pricing Model Chapter 9 Equilibrium in Capital Market 1.The Capital Asset Pricing Model 2.Single-index and Multifactor Models 3.Arbitrage Pricing Model Portfolio Theory and CAPM Portfolio theory: how to select a portfolio, given that we know what the expected returns and return covariances are. However, we dont yet know where to get estimates of these data. Particularly since expected returns are very hard to measure, one thing that would be useful, but which we dont yet have, is a model of what returns should be. The CAPM is an equilibrium model of the relation between the expected rate of return and the return covariance for assets. In t