第六章因子模型和套利定价理论(APT)(证券投资学.docxVIP

第六章因子模型和套利定价理论(APT)(证券投资学 因子模型和套利定价 理论(APT) 系统风险与非系统风险 单因子模型 多因子模型 套利和套利定价 1. 系统风险与非系统风险 经济系统中的某些共同因素影响几乎所 有的公司 商业周期、利率、GDP增长率、技术进步、 劳动和原材料的成本、通货膨胀率 这些变量不可预期的变化将导致整个证券市 场回报率的不可预期变化 Therefore, the risk of asset returns can be broken down into two sources: A small number of common factors which proxy for economic events that affect almost all assets. A risk component that is unique to the asset. changes in interest rates, inflation, and productivity. These represent Systematic risk, which cannot be diversified away. new product innovations, changes in