企业财务管理11.pdfVIP

11-0 CHAPTER An Alternative View of Risk and Return: The APT 11-1 Chapter Outline 11.1 Factor Models: Announcements, Surprises, and 11.1 Factor Models: Announcements, Surprises, and Expected Returns Expected Returns 11.2 Risk: Systematic and Unsystematic 11.2 Risk: Systematic and Unsystematic 11.3 Systematic Risk and Betas 11.3 Systematic Risk and Betas 11.4 Portfolios and Factor Models 11.4 Portfolios and Factor Models 11.5 Betas and Expected Returns 11.5 Betas and Expected Returns 11.6 The Capital Asset Pricing Model and the 11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory Arbitrage Pricing Theory 11.7 Parametric Approaches to Asset Pricing 11.7 Parametric Approaches to Asset Pricing 11.8 Summary and Conclusions 11.8 Summary and Conclusions 11-2 Arbitrage Pricing Theory Arbitrage arises if an investor can construct a Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit. zero investment portfolio with a sure profit. Since no investment is required, an investor Since no investment is required, an investor can create large positions to secure large can create large positions to secure large levels of profit. levels of profit. In efficient markets, profitable arbitrage In efficient markets, profitable arbitrage opportunities will quickly disappear. opportunities will quickly disappear. 11-3 11.1 Factor Models: Announcements, Surprises, and Expected Returns The return on any security consists of two parts. The return on any security consists of two parts. First the expected returns First the expected returns Sec