投资公司英文提案CHT11.pptVIP

Chapter 11 ArbitragePricing Theory Arbitrage Pricing Theory Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit Since no investment is required, an investor can create large positions to secure large levels of profit In efficient markets, profitable arbitrage opportunities will quickly disappear Arbitrage Example from Text pp. 308-310 Current Expected Standard Stock Price$ Return% Dev.% A 10 25.0 29.58 B 10 20.0 33.91 C 10 32.5 48.15 D 10 22.5 8.58 Arbitrage Portfolio Mean S.D. Correlation Portfolio A,B,C 25.83 6.40 0.94 D 22.25 8.58 Arbitrage Action and Returns APT Well-Diversified Portfolios rP = E (rP) + bPF + eP F = some factor For a well-diversified portfolio eP approaches zero Similar to CAPM Disequilibrium Example Short Portfolio C Use funds to construct an equivalent risk higher return Portfolio D D is comprised of A Risk-Free Asset Arbitrage profit of 1% APT and CAPM Compared APT applies to well diversified portfolios and not necessarily to individual stocks With APT it is possible for some individual stocks to be mispriced - not lie on the SML APT is more general in that it gets to an expected return and beta relationship without the assumption of the market portfolio APT can be extended to multifactor models 11-* ? The McGraw-Hill Companies, Inc., 1999 INVESTMENTS Fourth Edition Bodie Kane Marcus E. Ret. St.Dev. * P * D Short 3 shares of D and buy 1 of A, B C to form P You earn a higher rate on the investment than you pay on the short sale Portfolio Individual Security Comparison F E(r)% Portfolio F E(r)% Individual Security E(r)% Beta for F 10 7 6 Risk Free 4 A D C .5 1.0 Disequilibrium Example E(r)% Beta (Market Index) Risk Free M 1.0 [E(rM) - rf] Market Risk Premium APT with Market Index Portfolio