Chap005 Learning About Return and Risk from the Historical Record 博迪投资学教材.pptVIP

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Chap005 Learning About Return and Risk from the Historical Record 博迪投资学教材.ppt

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Chap005 Learning About Return and Risk from the Historical Record 博迪投资学教材.ppt

5-* Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright ? 2009 by The McGraw-Hill Companies, Inc. All rights reserved. CHAPTER 5 Learning About Return and Risk from the Historical Record Factors Influencing Rates Supply Households Demand Businesses Government’s Net Supply and/or Demand Federal Reserve Actions Real and Nominal Rates of Interest Nominal interest rate Growth rate of your money Real interest rate Growth rate of your purchasing power If R is the nominal rate and r the real rate and i is the inflation rate: Equilibrium Real Rate of Interest Determined by: Supply Demand Government actions Expected rate of inflation Figure 5.1 Determination of the Equilibrium Real Rate of Interest Comparing Rates of Return for Different Holding Periods Zero Coupon Bond Example 5.2 Annualized Rates of Return Formula for EARs and APRs Table 5.1 Annual Percentage Rates (APR) and Effective Annual Rates (EAR) Bills and Inflation, 1926-2005 Entire post-1926 history of annual rates: /bkm Average real rate of return on T-bills for the entire period was 0.72 percent Real rates are larger in late periods Table 5.2 History of T-bill Rates, Inflation and Real Rates for Generations, 1926-2005 Figure 5.2 Interest Rates and Inflation, 1926-2005 Figure 5.3 Nominal and Real Wealth Indexes for Investment in Treasury Bills, 1966-2005 Risk and Risk Premiums HPR = Holding Period Return P0 = Beginning price P1 = Ending price D1 = Dividend during period one Rates of Return: Single Period Ending Price = 48 Beginning Price = 40 Dividend = 2 HPR = (48 - 40 + 2 )/ (40) = 25% Rates of Return: Single Period Example Expected returns p(s) = probability of a state r(s) = return if a state occurs s = state Expected Return and Standard Deviation State Prob. of State r in State 1 .1 -.05 2 .2 .05 3 .4 .15 4 .2 .25 5 .1 .35 E(r) = (.1)(-.05) + (.2)(.05)… + (.1)(.35) E(r) = .15 Scenario Returns: Example Standard deviation = [variance]1/2 Variance: Var =[(.1)(-.05-