财务管理讲解答题.pptx

西方财务管理 Financial Management Chapter 4 5: Brief Introduction 2 Review Questions What is efficient market hypothesis? What are stages of market efficiency? How to calculate the expected return and the risk (standard deviation) of a portfolio? What is CAPM? How to explain β? 3 Outline – Chapter 4 A. Extended CAPM B. Arbitrage Pricing Theory (APT) 4 Recall: Assumptions of CAPM? Capital market is highly efficient No taxes, no transaction costs No Inflation No investor is big enough to affect the market All investors have the same estimates 5 A. Extended CAPM 1. Tax Effect 2. Inflation （通货膨胀） 3. Market Capitalization (市值) Size 4. Price/Earnings and Market-to-book Value Effects 6 A.1 Tax Effect Return to stock investors Dividends: Higher tax rate Capital Gain : Lower tax rate See example on P. 86 When risk is constant, investors will require higher returns for stock that pays higher dividends Extension Formula: P86 (4-2) Two dimension (维度)– three dimension However, for tax-exempt (免税的) investors, there is an exception. 7 A.2 Inflation (通货膨胀) Inflation – Decrease of the nominal (名义的) return Real Return = Nominal Return – Inflation (P. 88, 4-3) If inflation is anticipated, it is not a risk, CAPM will not change. If inflation is unanticipated, the covariance of the uncertainty with stock return matters. The covariance is high, investors will require a relatively low nominal return. Covariance is low, investors will require a relatively high nominal return 8 A.3 Market Capitalization Size (市值大小) Market Capitalization Size: Number of Shares Outstanding * Share Price “Small Stock Effect” The smaller the market capitalization, the higher the return. 9 A.4 P/E and M/B effect P/E ratio (市盈率）: Price per share/ Earnings per share The lower the P/E, the higher the return M/B ratio – ratio of market-to-book value (市值对账面价值比率） Market Capitalization/Book Value of Net Assets The effect of M/B to security return is very similar to that of P/E Why? 10 B. Arbitrage Pricing Theory (