Chap008 Index Models 《投资学》第九版教材.pptVIP

CHAPTER 8;Reduces the number of inputs for diversification Easier for security analysts to specialize; βi = response of an individual security’s return to the common factor, m. Beta measures systematic risk. m = a common macroeconomic factor that affects all security returns. The SP 500 is often used as a proxy for m. ei = firm-specific surprises ;Single-Index Model;Single-Index Model ;Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient βp;Figure 8.2 Excess Returns on HP and SP 500;Figure 8.3 Scatter Diagram of HP, the SP 500, and HP’s Security Characteristic Line (SCL) ;Table 8.1 Excel Output: Regression Statistics for the SCL of Hewlett-Packard;Table 8.1 Interpretation;Figure 8.4 Excess Returns on Portfolio Assets;Alpha and Security Analysis;Alpha and Security Analysis;Single-Index Model Input List;Optimal Risky Portfolio of the Single-Index Model;Optimal Risky Portfolio of the Single-Index Model;Optimal Risky Portfolio of the Single-Index Model;The Information Ratio;The Information Ratio;Figure 8.5 Efficient Frontiers with the Index Model and Full-Covariance Matrix;Table 8.2 Portfolios from the Single-Index and Full-Covariance Models;Is the Index Model Inferior to the Full-Covariance Model?;Beta Book: Industry Version of the Index Model;Beta Book: Industry Version of the Index Model;Table 8.4 Industry Betas and Adjustment Factors