投资金融之单一指数和多因素模型.ppt

单一指数和多因素模型Single Index and Multifactor Models;马克维茨模型的缺陷： 计算量过大.假定分析n种股票,需要计算n个预期值、n个方差以及(n2 –n)/2个协方差. 相关系数确定或者估计中的误差会导致无效结果. 指数模型的优势： 大大降低了马克维茨模型的计算量,它把精力放在了对证券的专门分析中. 指数模型以一种简单的方式来计算协方差,证券间的协方差由单个一般因素的影响生成,为市场指数收益所代表,从而为系统风险与公司特有的性质提供了重要的新视角. ;Announcements, Surprises, and Expected Returns;Announcements, Surprises, and Expected Returns;有关信息的例子Examples of relevant information;因素模型Factor Models;实际总收益的构成;风险：系统性和非系统性风险Risk: Systematic and Unsystematic;因素模型的特点;; ri = E(ri) + ?iF + ei ?i = index of a securities’ particular return to the factor F= some macro factor; in this case F is unanticipated movement; F is commonly related to security returns Assumption: a broad market index like the SP500 is the common factor.;随机误差项RANDOM ERROR TERMS;; 4% ;;;;市场模型THE MARKET MODEL;(ri - rf) = i + ?i(rm - rf) + ei ;Let: Ri = (ri - rf);证券特征线Security Characteristic Line;Jan. Feb. . . Dec Mean Std Dev;Estimated coefficient Std error of estimate Variance of residuals = 12.601 Std dev of residuals = 3.550 R-SQR = 0.575;市场风险或系统风险Market or systematic risk: risk related to the macro economic factor or market index. 非系统性风险或公司特有的风险Unsystematic or firm specific risk: risk not related to the macro factor or market index. Total risk = Systematic + Unsystematic;风险：系统性和非系统性风险Risk: Systematic and Unsystematic;风险各组成部分的衡量Measuring Components of Risk;随机误差项ei THE RANDOM ERROR TERMS ei;Total Risk = Systematic Risk + Unsystematic Risk Systematic Risk/Total Risk = R2 ?i2 ? m2 / ?2 = R2 ?i2 ?m2 / [?i2 ?m2 + ?2(ei) ]= R2 ;风险分散——国际经验 ;中国股市的分散与风险;指数模型和分散化Index Model and Diversification;分散化DIVERSIFICATION;分散化DIVERSIFICATION;风险降低和分散化Risk Reduction with Diversification;Reduces the number of inputs for diversification. Easier for security analysts to specialize.;Determining the inputs needed for locating the efficient set 1;Determining the inputs needed for locating the efficient set 2;单指数模型举例——清华同方（1）;;;单指数模型举例——美林公司;多因素模型Multifactor Models;系统性风险和? Systematic Ris