投资公司英文提案CHT10.pptVIP

Chapter 10 Single Indexand Multifactor Models Advantages of the Single Index Model Reduces the number of inputs for diversification Easier for security analysts to specialize Single Factor Model ri = E(Ri) + ?iF + e ?i = index of a securities’ particular return to the factor F= some macro factor; in this case F is unanticipated movement; F is commonly related to security returns Assumption: a broad market index like the SP500 is the common factor Single Index Model Risk Premium Format Security Characteristic Line Using the Text Example from Table 10-1 Regression Results Components of Risk Market or systematic risk: risk related to the macro economic factor or market index Unsystematic or firm specific risk: risk not related to the macro factor or market index Total risk = Systematic + Unsystematic Measuring Components of Risk ?i2 = ?i2 ?m2 + ?2(ei) where; ?i2 = total variance ?i2 ?m2 = systematic variance ?2(ei) = unsystematic variance Examining Percentage of Variance Total Risk = Systematic Risk + Unsystematic Risk Systematic Risk/Total Risk = ?2 ?i2 ? m2 / ?2 = ?2 ?i2 ?m2 / ?i2 ?m2 + ?2(ei) = ?2 Index Model and Diversification Risk Reduction with Diversification Industry Prediction of Beta Merrill Lynch Example Use returns not risk premiums a has a different interpretation a = a + rf (1-b) Forecasting beta as a function of past beta Forecasting beta as a function of firm size, growth, leverage etc. Multifactor Models Use factors in addition to market return Examples include industrial production, expected inflation etc. Estimate a beta for each factor using multiple regression Fama and French Returns a function of size and book-to-market value as well as market returns 10-* ? The McGraw-Hill Companies, Inc., 1999 INVESTMENTS Fourth Edition Bodie Kane Marcus (ri - rf) = i + ?i(rm - rf) + ei ? Risk Prem Market Risk Prem or Index Risk Prem i = the stock’s expected return if the market’s excess return is zero ?i(rm - r