指数模型[精选].pptVIP

资本资产定价模型与指数模型The CAPM and the index model 资本资产定价模型是关于预期收益的论断，然而实际上，任何人都可以直接观察到已实现的收益。为了使期望收益变成已实现收益，我们可以运用指数模型。我们把超额收益写成下列形式: The CAPM is a statement about expected returns, whereas in practice all anyone can observe directly are ex post or realized returns. To make the leap from expected to realized returns, we can employ the index model, which we will use in excess return form as: 资本资产定价模型与指数模型The CAPM and the index model 从股票 i的收益与市场指数收益之间的协方差开始我们的分析。通过定义，公司特有的或非系统的成分独立于整个市场的或系统的成分，即 Cov(R M，ei)＝0，从这一关系导出证券 i的超额收益率与市场指数的协方差为 Deriving the covariance between the returns on stock i and the market index. By definition, the firm-specific or nonsystematic component is independent of the market wide or systematic component, that is, Cov(R M，ei)＝0. From this relationship, it follows that the covariance of the excess rate of return on security i with that of the market index is 资本资产定价模型与指数模型The CAPM and the index model 因为 Cov(Ri，RM)＝ βi σM2，等式 10-9中的敏感度系数 i代表指数模型的回归线的斜率，它等于 Because Cov(Ri，RM)＝ βi σM2, the sensitivity coefficient, i, in equation 10.9, which is the slope of the regression line representing the index model, equals 资本资产定价模型与指数模型The CAPM and the index model 指数模型贝塔系数的结果与资本资产定价模型期望收益 - 贝塔关系的贝塔相同， 除非我们重新安排带有特定的可观测市场指数（理论的）的 CAPM市场资产组合。 The index model beta coefficient turns out to be the same beta as that of the CAPM expected return–beta relationship, except that we replace the (theoretical) market portfolio of the CAPM with the well-specified and observable market index. 指数模型与期望收益 - 贝塔关系 The index model and the expected return - beta relationship 对任意资产i和（理论的）市场资产组合，有 for any asset i and the (theoretical) market portfolio, 这里βi ＝Cov(R i ，RM)/σM2 。这显示了相对于（理论的）市场资产组合平均超额收益的资产平均期望超额收益的情况。 where βi ＝Cov(R i ，RM)/σM2 . This is a statement about the mean of expected excess returns of assets relative to the mean excess return of the (theoretical) market portfolio. 指数模型与期望收益 - 贝塔关系 The index model and the expected return - bet