6第六章单一指数和多因素模型.pptVIP

单一指数和多因素模型Single Index and Multifactor Models 第六章 马克维茨模型的缺陷： 计算量过大.假定分析n种股票,需要计算n个预期值、n个方差以及(n2 –n)/2个协方差. 相关系数确定或者估计中的误差会导致无效结果. 指数模型的优势： 大大降低了马克维茨模型的计算量,它把精力放在了对证券的专门分析中. 指数模型以一种简单的方式来计算协方差,证券间的协方差由单个一般因素的影响生成,为市场指数收益所代表,从而为系统风险与公司特有的性质提供了重要的新视角. 指数模型的优势 Announcements, Surprises, and Expected Returns 任一证券的收益由两部分组成（The return on any security consists of two parts）. 1) 预期或一般收益（the expected or normal return）: the return that shareholders in the market predict or expect 2) 非预期或风险收益（the unexpected or risky return）: the portion that comes from information that will be revealed . Announcements, Surprises, and Expected Returns 任何信息的公布可以被分成两个部分，预期到的部分和异常部分（Any announcement can be broken down into two parts, the anticipated or expected part and the surprise or innovation）: Announcement = Expected part + Surprise. 任何公布的信息中预期部分是市场用来形成股票预期收益（ E(ri). ）的信息（The expected part of any announcement is part of the information the market uses to form the expectation of the return on the stock , E(ri).） 异常部分是那些影响股票非预期收益（ U. ）的信息（The surprise is the news that influences the unanticipated return on the stock, U.） 有关信息的例子Examples of relevant information Statistics China figures (e.g., GNP) A sudden drop in interest rates News that the company’s sales figures are higher than expected 因素模型Factor Models A way to write the return on a stock in the coming month is: 实际总收益的构成 ri = E(ri) +U = E(ri) +m+ei ri ：下个月的实际总收益 E（ ri ）：实际总收益中的期望收益部分 U：实际总收益中的非期望收益部分 m：系统性风险 ei：非系统性风险 公布信息=期望部分+异动部分 市场风险或系统风险Market or systematic risk: risk related to the macro economic factor or market index. 非系统性风险或公司特有的风险Unsystematic or firm specific risk: risk not related to the macro factor or market index. Total risk = Systematic + Unsystematic 风险构成Components of Risk 风险：系统性和非系统性风险Risk: Systematic and Unsystematic 系统性风险会影响到大部分资产A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree. 非系统性风险只会影响到单一资产或某一小类的资产。非系统性风险可以被分散掉。An unsystematic risk is a risk that sp