博迪投资学Chap010章节.pptVIP

CHAPTER 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return 10-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. Single Factor Model Returns on a security come from two sources Common macro-economic factor Firm specific events Possible common macro-economic factors Gross Domestic Product Growth Interest Rates Single Factor Model Equation ri = Return for security I = Factor sensitivity or factor loading or factor beta F = Surprise in macro-economic factor (F could be positive, negative or zero) ei = Firm specific events Multifactor Models Use more than one factor in addition to market return Examples include gross domestic product, expected inflation, interest rates etc. Estimate a beta or factor loading for each factor using multiple regression. Multifactor Model Equation ri = E(ri) + GDP GDP + IR IR + ei ri = Return for security i GDP= Factor sensitivity for GDP IR = Factor sensitivity for Interest Rate ei = Firm specific events Multifactor SML Models E(r) = rf + GDPRPGDP + IRRPIR GDP = Factor sensitivity for GDP RPGDP = Risk premium for GDP IR = Factor sensitivity for Interest Rate RPIR = Risk premium for Interest Rate 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 APT Well-Diversified Portfolios rP = E (rP) + bPF + eP F = some factor For a well-diversified portfolio: eP approaches zero Similar to CAPM, Figure 10.1 Returns as a Function of the Systematic Factor Figure 10.2 Returns as a Function of the Systematic Factor: An Arbitrage Opportunity Figure 10.3 An Arbitrage Opportunity Figure 10.4 The Security Market Line APT ap