博迪投资学第八版课件Chap013.pptVIP

CHAPTER 13 Empirical Evidence on Security Returns Figure 13.6 Implied Versus Estimated Volatility Equity Premium Puzzle Rewards for bearing risk appear to be excessive Possible Causes CAPM doesn’t consider the impact of consumption Predicting returns from realized returns Survivorship bias also creates the appearance of abnormal returns in market efficiency studies Table 13.9 Annual Consumption Growth, 1954-2003 (%) Table 13.10 Annual Excess Returns and Consumption Betas Figure 13.7 Cross-Section of Stock Returns: Fama-French 25 Portfolios, 1954-2003 13-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Overview of Investigation Tests of the single factor CAPM or APT Model Tests of the Multifactor APT Model Results are difficult to interpret Studies on volatility of returns over time The Index Model and the Single-Factor APT Expected Return-Beta Relationship Estimating the SCL Tests of the CAPM Tests of the expected return beta relationship: First Pass Regression Estimate beta, average risk premiums and unsystematic risk Second Pass: Using estimates from the first pass to determine if model is supported by the data Most tests do not generally support the single factor model Single Factor Test Results Return % Beta Predicted Actual Roll’s Criticism The only testable hypothesis is on the efficiency of the market portfolio In any sample of observations of individual returns Infinite number of ex post mean-variance efficient portfolios using the sample-period returns and covariances CAPM is not testable unless we know the exact composition of the true market portfolio and use it in the tests Benchmark error Measurement Error in Beta Statistical property If beta is measured with error in the first stage, second stage results will be biased in the direction the tests have supported Test results could result from measurement error Table 13.1 Summary of Fama and MacBeth (1973)