公司理财9资本市场理论综述.pptVIP

第9章 资本市场理论综述;9.1 收益 Returns;Dollar Return = Dividend + Change in Market Value;例:;Dollar Returns $520 gain;9.2 持有期间收益率Holding-Period Returns;例：;An investor who held this investment would have actually realized an annual return of 9.58%:;Note that the geometric average is not the same thing as the arithmetic average:;A famous set of studies dealing with the rates of returns on common stocks, bonds, and Treasury bills was conducted by Roger Ibbotson and Rex Sinquefield. They present year-by-year historical rates of return starting in 1926 for the following five important types of financial instruments in the United States: 大公司的普通股。 500家市值最大 Large-Company Common Stocks 小公司的普通股。市值排在最后5%的公司。 Small-company Common Stocks 长期公司债。20年。 Long-Term Corporate Bonds 长期国债 。 20年。Long-Term U.S. Government Bonds 短期国库券 。 3个月。U.S. Treasury Bills;The Future Value of an Investment of $1 in 1926;9.3 收益统计 Return Statistics;Historical Returns, 1926-1999 ;9.4 股票平均收益和无风险收益Average Stock Returns and Risk-Free Returns;Suppose that The Wall Street Journal（华尔街日报） announced that the current rate for on-year Treasury bills is 5%. What is the expected return on the market of small-company stocks? Recall that the average excess return from small company common stocks for the period 1926 through 1999 was 13.9% Given a risk-free rate of 5%, we have an expected return on the market of small-company stocks of 18.9% = 13.9% + 5%;风险与收益的权衡The Risk-Return Tradeoff;1926-1999的收益率Rates of Return 1926-1999;风险溢价Risk Premiums;股票市场变化无常 Stock Market Volatility;9.5 风险统计 Risk Statistics;正态分布 Normal Distribution;The 20.1-percent standard deviation we found for stock returns from 1926 through 1999 can now be interpreted in the following way: if stock returns are approximately normally distributed, the probability（概率） that a yearly return will fall within 20.1 percent of the mean（中间值） of 13.3 percent will be approximately 2/3.;Source: ? Stocks, Bonds, Bills, and Inflation 2000 Yearbook?, Ibbotson Associates, Inc., C