风险回报与资本成本论述.ppt

Return, Risk, and the Security Market Line Types of Returns Expected Returns and Variances Portfolios Announcements, Surprises, and Expected Returns Risk: Systematic and Unsystematic Diversification and Portfolio Risk Systematic Risk and Beta The Security Market Line The SML and the Cost of Capital Summary and Conclusions第一页，共七十五页。 Types of ReturnsTotal Monetary return = Dividend Income + Capital GainEg an investment of ￡1000 rises in value to ￡1500 providing a capital gain of ￡500. Over the same period the dividend income is 5% = ￡50. Total return is then ￡500 +￡50 = ￡550.Total monetary return is an absolute measure of returns. It tells you how much money you have made in ￡’s. It is often more useful to know the Percentage Return.The Percentage Return is the total monetary return divided by the amount of capital invested.Percentage Return = Dividends + Capital Gains amount investedOr Rit = Dit + (Pit – Pit-1) = Div. Yield + % capital gain Pit-1第二页，共七十五页。 Expected Returns and Variances: Basic IdeasThe quantification of risk and return is a crucial aspect of modern finance. It is not possible to make “good” (i.e., value-maximizing) financial decisions unless one understands the relationship between risk and return. Rational investors like returns and dislike risk.Consider the following proxies for return and risk: Expected return - weighted average of the distribution of possible returns in the future. Variance of returns - a measure of the dispersion of the distribution of possible returns in the future. How do we calculate these measures?. 第三页，共七十五页。 Calculating the Expected Return.Example 1 sE(R) = (pi x Ri) i =1 pi Ri Probability Return in i pi x Ri State of Economy of state i state i +1% change in GNP .25 -5% i=1 -1.25%+2% change in GNP .50