Chap010 Arbitrage Pricing Theory and Multifactor Models of Risk and Return 《投资学》第九版教材.pptVIP

INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return 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 on security βi= Factor sensitivity or factor loading or factor beta F = Surprise in macro-economic factor (F could be positive or negative but has expected value of zero) ei = Firm specific events (zero expected value) 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 = Return for security i βGDP = Factor sensitivity for GDP βIR = Factor sensitivity for Interest Rate ei = Firm specific events Arbitrage Pricing Theory Arbitrage occurs if there is a zero investment portfolio with a sure profit. Since no investment is required, investors can create large positions to obtain large profits. Arbitrage Pricing Theory Regardless of wealth or risk aversion, investors will want an infinite position in the risk-free arbitrage portfolio. 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 as the number of securities in the portfolio increases and their associated weights decrease 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 Model APT applies to well diversifie