《Chap008指数模型》-课件.ppt

INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 8 Index Models 指数模型 8-* Reduces the number of inputs for diversification减少分散化所需要的证券数量 Easier for security analysts to specialize使得证券分析更容易 Advantages of the Single Index Model单指数模型的优势 8-* βi = response of an individual security’s return to the common factor, m. Beta measures systematic risk.单个证券对市场因子的反应，衡量的是系统风险 m = a common macroeconomic factor that affects all security returns. The SP 500 is often used as a proxy for m.共同的宏观市场因子，影响所有证券收益，标普500指数通常可以作为它的的替代 ei = firm-specific surprises单个证券的误差 Single Factor Model单因子模型 8-* Single-Index Model单因子模型 Regression Equation: Expected return-beta relationship: 上式两端取期望 8-* Single-Index Model单因子模型 Risk and covariance:风险与协方差 Variance = Systematic risk and Firm-specific risk:方差：系统风险与个体风险 Covariance = product of betas x market index risk:协方差意味着Beta与市场风险 的乘积 8-* Single-Index Model单因子模型 Correlation = product of correlations with the market index相关系数是与市场相关系数之间的乘积 8-* Index Model and Diversification指数模型与分散化 Variance of the equally weighted portfolio of firm-specific components: 等权重组合方差中非系统风险会减少1/n When n gets large, σ2(ep) becomes negligible and firm specific risk is diversified away.当n趋于无穷时，非系统性风险会被分散至零。 8-* Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient βp等权重组合的方差与风险系数Beta 8-* Figure 8.2 Excess Returns on HP and SP 500惠普公司和标普500的超额收益 8-* Figure 8.3 Scatter Diagram of HP, the SP 500, and HP’s Security Characteristic Line (SCL) 超额收益的散点图与惠普的证券特征线 8-* Table 8.1 Excel Output: Regression Statistics for the SCL of Hewlett-PackardExcel输出：HP证券特征线的回归统计 8-* Table 8.3 Interpretation书上表8.3的解释 Correlation of HP with the SP 500 is 0.7238.相关系数是0.7238 The model explains about 52% of the variation in HP.解释了52%的收益来源于市场 HP’s alpha is 0.86% per month(10.32% annually) but it is not statistically significant. Alpha收益是10.32%每年，但是统计不显