公司理财(罗斯)第11章节(英文).pptVIP

Chapter Outline 11.1 Factor Models: Announcements, Surprises, and Expected Returns 11.2 Risk: Systematic and Unsystematic 11.3 Systematic Risk and Betas 11.4 Portfolios and Factor Models 11.5 Betas and Expected Returns 11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory 11.7 Parametric Approaches to Asset Pricing 11.8 Summary and Conclusions Arbitrage Pricing Theory Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit. Since no investment is required, an investor can create large positions to secure large levels of profit. In efficient markets, profitable arbitrage opportunities will quickly disappear. Arbitrage Pricing Theory The APT assumes that returns on securities are generated by a number of industrywide and marketwide factors. 11.1 Factor Models: Announcements, Surprises, and Expected Returns The return on any security consists of two parts. First the expected returns Second is the unexpected or risky returns. A way to write the return on a stock in the coming month is: 11.1 Factor Models: Announcements, Surprises, and Expected Returns Any announcement can be broken down into two parts, the anticipated or expected part and the surprise or innovation: Announcement = Expected part + Surprise. The expected part of any announcement is part of the information the market uses to form the expectation, R of the return on the stock. The surprise is the news that influences the unanticipated return on the stock, U. 2007年4月23日傍晚，当从4月24日起证券(股票)交易印花税税率由千分之三降至千分之一的消息正式公布后，股民一致认为是实质性的特大利好政策出台，不少股民则立即拿起电话或连线QQ，连夜竞相转告，共同期盼股市一路走好。???? 4月24日的股市果然不负众望，上证综指不但大幅高开，午后更在大盘蓝筹股的推动下展开凌厉升势，最终收市劲升9.29%，创出自1996年12月实施涨跌停制度以来的历史最大涨幅。 猪流感传染A股 题材炒作让医药股鸡犬升天?2009年4月27日 措手不及的“猪流感”疫情，从墨西哥呈迅速蔓延之势，不足一周的时间已突袭了数个国家。世界卫生组织更在短短几天内把“猪流感”预警级从3级迅速升至5级(共有6级)，各国政府严阵以待。在世界经济微弱复苏萌动的大背景下，“猪流感”的暴发无疑增加了投资者对经济下行的担忧，全球股市都对上周末突然暴发的疫情打了个大“喷嚏”。 　　对A股影响：短期不小 长期不大 　　东兴证券研究所所长银国宏接受《红周刊》记者采访时，将“猪流感”对A股的影响概括为“短期不小，长期不大。”他认为，医药股会短期飙升，而航空、旅游股会遭受打击。他这种看