Chapter_007.pptVIP

CHAPTER 7 Capital Asset Pricing and Arbitrage Pricing Theory Capital Asset Pricing Model (CAPM) It is the equilibrium model that underlies all modern financial theory. Derived using principles of diversification with simplified assumptions. Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development. Assumptions Individual investors are price takers. Single-period investment Investments are limited to traded financial assets. No taxes and transaction costs.培正围墙民房 Assumptions (cont’d) Information is costless and available to all investors. Investors are rational mean-variance optimizers. There are homogeneous expectations. Resulting Equilibrium Conditions All investors will hold the same portfolio for risky assets – market portfolio. Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value. 设第i种风险证券的投资比重为Wi，则： Wi＝第i种证券流通价值/所有证券流通总值 市场组合M的资金分配 设第i种风险证券的投资比重为Wi，则： Wi＝第i种证券流通价值/所有证券流通总值 例： 假设流通在市场上只有甲、乙、丙、丁四种股票，流通股分别为100、300、400、200股，均衡股价分别为50、12、18、21元，求市场组合。 解：各证券流通市值分别为： 甲：100×50＝5000（元） 乙：300×12＝3600（元） 丙：400×18＝7200（元） 丁：200×21＝4200（元） 所有证券流通总值为： 5000＋3600＋7200＋4200＝20000（元） 各证券流通市值占总值的比重分别为： 甲：5000/20000＝25% 乙：3600/20000＝18% 丙：7200/20000＝36% 丁：4200/20000＝21% 故市场组合由25%的甲、18%的乙、36%的丙、 21%的丁组成。无论用多少资金购买风险证券，甲、乙、丙、丁的资金分配比例不变 Resulting Equilibrium Conditions (cont’d) Risk premium on the the market depends on the average risk aversion of all market participants.市场组合的风险溢价与所有市场参与者的平均风险厌恶程度成比例 Resulting Equilibrium Conditions (cont’d) Risk premium on an individual security is a function of its covariance with the market.单个证券的风险溢价是其与市场的协方差的函数 Example Suppose the risk premium of the market portfolio is 9%, and we estimate the beta of Dell as ,If the T-bill rate were 5%, what is the expected rate of return of stock Dell? Example Suppose the risk premium of the market portfolio i