投资回报率_股本价值_财务报表.ppt

Investment Returns, Equity Value, and Financial Statements Chapter 3 Investment Returns Investment Returns What you will learn in this chapter How investment returns are calculated The difference between normal and abnormal returns What an efficient market price means What an arbitrage opportunity is The difference between active and passive investment The difference between an alpha and a beta How asset pricing models work (in outline) How screening strategies work (and don’t work) What a contrarian strategy is How fundamental analysis differs from screening and contrarian analysis How various stock selection strategies have worked in the past The Structure of Investment Returns For a terminal investment: For an investment in equity: For a one-year equity investment Payoff: Return: Rate-of-Return: Expected Return: Expected Rate-of-Return: Required Payoff per dollar: Required Rate-of-Return: The required return is also called the normal return or the cost of capital Hewlett-Packard: Returns for 1991 The No Arbitrage Condition (NA) If the price paid for a stock is (expected payoff discounted at the required payoff per dollar, r), the stock is appropriately priced: the market price is efficient Or, price is efficient if it equals the expected return capitalized at the required rate-of-return: Or, today’s price (P0) must be such that the required rate-of-return, r-1, will equal the (expected) rate-of-return : Arbitrage Trading Strategies If NA holds, the market is efficient in that stock: there is no arbitrage opportunity Any discrepancy between expected and required rate-of-return, is an arbitrage opportunity that, if exploited, will profit the arbitrage trader An arbitrage opportunity arises if If then BUY If SELL The difference is called the expected abnormal return and the rule can be restated as: BUY if t