公司理财罗斯英文原书九版十二.pptVIP

An Alternative View of Risk and Return: The Arbitrage Pricing Theory Key Concepts and Skills Discuss the relative importance of systematic and unsystematic risk in determining a portfolio’s return Compare and contrast the CAPM and Arbitrage Pricing Theory Chapter Outline 12.1 Introduction 12.2 Systematic Risk and Betas 12.3 Portfolios and Factor Models 12.4 Betas and Expected Returns 12.5 The Capital Asset Pricing Model and the Arbitrage Pricing Theory 12.6 Empirical Approaches to Asset Pricing 12.1 IntroductionArbitrage 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. Total Risk Total risk = systematic risk + unsystematic risk The standard deviation of returns is a measure of total risk. For well-diversified portfolios, unsystematic risk is very small. Consequently, the total risk for a diversified portfolio is essentially equivalent to the systematic risk. Risk: Systematic and Unsystematic 12.2 Systematic Risk and Betas The beta coefficient, b, tells us the response of the stock’s return to a systematic risk. In the CAPM, b measures the responsiveness of a security’s return to a specific risk factor, the return on the market portfolio. Systematic Risk and Betas For example, suppose we have identified three systematic risks: inflation, GNP growth, and the dollar-euro spot exchange rate, S($,€). Our model is: Systematic Risk and Betas: Example Suppose we have made the following estimates: bI = -2.30 bGNP = 1.50 bS = 0.50 Finally, the firm was able to attract a “superstar” CEO, and this unanticipated development contributes 1% to the return. Systematic Risk and Betas: Example We must decide what surprises took place in the systematic factors. If it were the case that the inflation rate was expected to be 3%, but in f