博迪金融学简板chpt13.pptVIP

Chapter 13: The Capital Asset Pricing Model Chapter 13 Contents 13.1 The Capital Asset Pricing Model in Brief 13.2 Determining the Risk Premium on the Market Portfolio 13.3 Beta and Risk Premiums on Individual Securities 13.4 Using the CAPM in Portfolio Selection 13.5 Valuation Regulating Rates of Return Introduction CAPM is a theory about equilibrium prices in the markets for risky assets It is important because it provides a justification for the widespread practice of passive investing called indexing a way to estimate expected rates of return for use in evaluating stocks and projects Specifying the Model We also observed that in the limit as the number of securities becomes large, we obtained the formula This formula tells us that the correlations are of crucial importance in the relationship between a portfolio risk and the stock risk CAPM Formula 13.2 Determining the Risk Premium on the Market Portfolio CAPM states that the equilibrium risk premium on the market portfolio is the product of variance of the market, s2M weighted average of the degree of risk aversion of holders of risk, A Example: To Determine ‘A’ CAPM Risk Premium on any Asset According the the CAPM, in equilibrium, the risk premium on any asset is equal the product of b (or ‘Beta’) the risk premium on the market portfolio Table of Prices Model and Measured Values of Statistical Parameters The Beta of a Portfolio When determining the risk of a portfolio using standard deviation results in a formula that’s quite complex using beta, the formula is linear Computing Beta Here are some useful formulae for computing beta Valuation and Regulating Rates of Return Assume the market rate is 15%, and the risk-free rate is 5% Compute the beta of betaful’s operations Valuation and Regulating Rates of Return Beta of betaful’s operations is equal to the beta of our new operation To find the required return on the new project, apply the CAPM Valuation and Regulating Rates of Return Assume that your c