__第九章资本市场理论综述.ppt

Chapter Outline 9.1 Returns 9.2 Holding-Period Returns 9.3 Return Statistics 9.4 Average Stock Returns and Risk-Free Returns 9.5 Risk Statistics 9.6 Summary and Conclusions 9.1 Returns: Very Important Dollar Returns the sum of the cash received and the change in value of the asset, in dollars. 9.1 Returns Dollar Return = Dividend + Change in Market Value 9.1 Returns: Example Suppose you bought 100 shares of Wal-Mart (WMT) one year ago today at $25. Over the last year, you received $20 in dividends (= 20 cents per share × 100 shares). At the end of the year, the stock sells for $30. How did you do? Quite well. You invested $25 * 100 = $2,500. At the end of the year, you have stock worth $3,000 and cash dividends of $20. Your dollar gain was $520 = $20 + ($3,000 – $2,500). Your percentage gain for the year is 9.1 Returns: Example Dollar Returns $520 gain 9.2 Holding-Period Returns The holding period return is the return that an investor would get when holding an investment over a period of n periods, when the return during period i is given as ri: Holding Period Return: Example Suppose your investment provides the following returns over a four-year period. [Note that this is a PV, NOT NPV Holding Period Return: Example An investor who held this investment would have actually realized an annual return of 9.58%: Holding Period Return: Example Note that the geometric average is not the same thing as the arithmetic average. In finance we use the geometric average. For small changes, the arithmetic average is approximately the same as the geometric. Holding Period Returns A famous set of studies dealing with the rates of returns on common stocks, bonds, and Treasury bills was conducted by Roger Ibbotson and Rex Sinquefield. They present year-by-year historical rates of return starting in 1926 for the following five important types of financial instruments in the United States: Large-Company Common Stocks Small-company Common Stocks Long-Term Corporate Bonds Long-Term U.