博迪投资学Chap008章节.pptVIP

CHAPTER 8 Index Models 8-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Reduces the number of inputs for diversification Easier for security analysts to specialize Advantages of the Single Index Model ?i = index of a securities’ particular return to the factor m = Unanticipated movement related to security returns ei = Assumption: a broad market index like the SP 500 is the common factor. Single Factor Model Single-Index Model Regression Equation: Expected return-beta relationship: Single-Index Model Continued Risk and covariance: Total risk = Systematic risk + Firm-specific risk: Covariance = product of betas x market index risk: Correlation = product of correlations with the market index Index Model and Diversification Portfolio’s variance: Variance of the equally weighted portfolio of firm-specific components: When n gets large, becomes negligible Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient βp in the Single-Factor Economy Figure 8.2 Excess Returns on HP and SP 500 April 2001 – March 2006 Figure 8.3 Scatter Diagram of HP, the SP 500, and the Security Characteristic Line (SCL) for HP Table 8.1 Excel Output: Regression Statistics for the SCL of Hewlett-Packard Figure 8.4 Excess Returns on Portfolio Assets Alpha and Security Analysis Macroeconomic analysis is used to estimate the risk premium and risk of the market index Statistical analysis is used to estimate the beta coefficients of all securities and their residual variances, σ2 ( e i ) Developed from security analysis Alpha and Security Analysis Continued The market-driven expected return is conditional on information common to all securities Security-specific expected return forecasts are derived from various security-valuation models The alpha value distills the incremental risk premium attributable to private information Helps determine whether security