An Alternative View of Risk and Return The Arbitrage Pricing Theory推荐.pdfVIP

C H A P T E R 11 An Alternative View of Risk and Return The Arbitrage Pricing Theory In January 2006, Yahoo!, Apple Computer, and Dutch Not exactly: The stock price fell by 2 percent. Finally, semiconductor company ASML joined a host of other ASML announced its earnings were less than half of the companies in announcing operating results. As you might earnings from the same quarter in the previous year, on expect, news such as this tends to move stock prices. a sales decline of 30 percent. Even with this apparently Yahoo!, for example, reported a profit increase of troubling news, the company’s stock jumped over 83 percent and a revenue increase of 39 percent. But 6 percent. investors didn’t say “Yahoo!” Instead, the stock price Two of these announcements seem positive, yet dropped by 12 percent when the market opened. Apple the stock price fell. The third announcement seems announced revenues for the most recent quarter of $5.75 negative, yet the stock price jumped. So when is good billion, an increase of 65 percent over the same quarter news really good news? The answer is fundamental to in the previous year, and the company’s net income understanding risk and return, and the good news is this nearly doubled to $565 million. So, did investors cheer? chapter explores it in some detail. 11.1 Factor Models: Announcements, Surprises, and Expected Returns We learned in the previous chapter how to construct portfolios and how to evaluate their returns. We now step back and examine the returns on individual securities more closely. By doing this we will