兹维 博迪投资学英文 Chap013.ppt

CHAPTER 13;Overview of Investigation;The Index Model and the Single-Factor APT;Tests of the CAPM;Single Factor Test Results;Roll’s Criticism;Measurement Error in Beta;Table 13.1 Summary of Fama and MacBeth (1973) Study (All Rates in Basis Points per Month);Jaganathan and Wang Study;Table 13.2 Evaluation of Various CAPM Specifications;Table 13.3 Portfolio Shares Relative to Total Assets by Age and Net Worth;Table 13.4 Determinants of Stockholdings;Tests of the Multifactor Model;Study Structure Results;Table 13.5 Economic Variables and Pricing (Percent per Month x 10), Multivariate Approach;Fama-French Three Factor Model;Table 13.6 Three Factor Regressions for Portfolios Formed from Sorts on Size and Book-to-Market Ratios (B/M);Interpretation of Three-Factor Model;Risk-Based Interpretations;Figure 13.1 Difference in Return to Factor Portfolios in Year Prior to Above-Average versus Below-Average GDP Growth;Figure 13.2 HML Beta in Different Economic States;Behavioral Explanations;Figure 13.3 The Book-to-Market Ratio Reflects Past Growth, but Not Future Growth Prospects;Figure 13.4 Value minus Glamour Returns Surrounding Earnings Announcements, 1971-1992;Liquidity and Asset Pricing;Table 13.7 Properties of Liquidity Portfolios;Table 13.8 Estimates of the CAPM With and Without Liquidity Factors;Time-Varying Volatility;Stock Volatility Studies and Techniques;Figure 13.5 Estimates of the Monthly Stock Return Variance 1835 - 1987;Figure 13.6 Implied Versus Estimated Volatility;Equity Premium Puzzle;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