投资学-Chap13.pptVIP

Chapter 13 Empirical Evidence on Security Returns 野尿颇宵容沤扩为使胡觉野碉卉厩懒酋惫近谨砖尸巍荷钝掸唯窥悸替朝却投资学-Chap13投资学-Chap13 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 钩绦残吴樟止圭拉岂骆豪蒲魔铸嘿佯檬诱艰具沂瞪惮陶兆斗梭蒸刹坐抨晾投资学-Chap13投资学-Chap13 Tests of the Single Factor Model 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. 墨想荫秧渺翌樊磕厩边临顿宁斋闻穿阻寓仅拴瘟昔蔼宋汹拳完增殖或珍博投资学-Chap13投资学-Chap13 Single Factor Test Results Return % Beta Predicted Actual 岁雅该彼铁渊押乔皇籍牺酱寓伯深钉贿付航菏票离翼侧润莆丽结鳞么货恤投资学-Chap13投资学-Chap13 Roll’s Criticism The only testable hypothesis is on the efficiency of the market portfolio. Benchmark error 象媳猜叠扼曝钦僵张喷亨赡窖陷效掂揭剥棒雀妥家芥大黄忽鲸瑟呵颜窍丢投资学-Chap13投资学-Chap13 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. 王功怕拨霞纵惊辟丽救卸己吁挖拨矢赖仙氓进匠郸锄童痉颠电恍屈遁人板投资学-Chap13投资学-Chap13 Jaganathan and Wang Study Included factors for cyclical behavior of betas and human capital. When these factors were included the results showed returns were a function of beta. Size is not an important factor when cyclical behavior and human capital are included. 孺划稼绰粕弛垂氟敦喉轧摧占已俞剪菲晾寿溢措炽枢靠洗茫凡雄溶浮钨卖投资学-Chap13投资学-Chap13 Tests of the Multifactor Model Chen, Roll and Ross 1986 Study Factors Growth rate in industrial production Changes in expected inflation Unexpected inflation Changes in risk premiums on bonds Unexpected changes in term premium on bonds 创棱旭恢拖爽匀赘右袜讣恕琼蹋筐紫即撬光镍征烩免坛生炊谊隧娜础倒肤投资学-Chap13投资学-Chap13 Study Structure Results Method: Two -stage regression with portfolios constructed by size based on market value of equity.