复件ReturnandRiskTheCapitalAssetPricingModelCAPM.pptVIP

Return and Risk: The Capital Asset Pricing Model (CAPM) Key Concepts and Skills Know how to calculate the return on an investment and the standard deviation of an investment’s returns Know how to calculate expected returns Know how to calculate covariances, correlations, and betas Understand the impact of diversification Understand the systematic risk principle Understand the risk-return tradeoff Be able to use the Capital Asset Pricing Model 10.1 Returns Returns the sum of the cash received and the change in value of the asset, in dollars. Returns Total dollar return= Dividend income+ Capital gain (or loss) Percentage return=(Dividends paid at the end of period + Change in market value over period)/ Beginning market value=Dividend yield + Capital gain yield Rt+1 =Divt+1 /pt +(pt+1 – pt )/ pt Returns: Example Suppose you bought 100 shares of Wal-Mart (WMT) one year ago today at $25. Over the last year, you received $20 in dividends (20 cents per share × 100 shares). At the end of the year, the stock sells for $30. How did you do? Quite well. You invested $25 × 100 = $2,500. At the end of the year, you have stock worth $3,000 and cash dividends of $20. Your dollar gain was $520 = $20 + ($3,000 – $2,500). Your percentage gain for the year is: Returns: Example Dollar Return: $520 gain Holding-Period Returns(持有期间收益率) The holding period return is the return that an investor would get when holding an investment over a period of n years, when the return during year i is given as ri: Holding-Period Return: Example Suppose your investment provides the following returns over a four-year period: Return Statistics The history of capital market returns can be summarized by describing the: average return the standard deviation of those returns the frequency distribution of the returns Historical Returns, 1926-2004 Risk Statistics There is no universally agreed-upon definition of risk. The spread, or dispersion, of a distribution is a measure of how much a part