Chap010套利定价定理.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套利定价定理与风险收益多因子模型 10-* Single Factor Model单因子模型 Returns on a security come from two sources:证券的收益来自两个方面 Common macro-economic factor共有的宏观经济因素 Firm specific events公司特有因素 Possible common macro-economic factors可能的共有宏观经济因素 Gross Domestic Product Growth国民GDP的增长 Interest Rates 利率 10-* Single Factor Model Equation单因子模型 ri = Return on security 证券收益 βi= Factor sensitivity