第九章资本市场理论综述.pptVIP

Chapter Outline9.1 Returns9.2 Holding-Period Returns9.3 Return Statistics9.4 Average Stock Returns and Risk-Free Returns9.5 Risk Statistics9.6 Summary and Conclusions第一页，共二十六页。 9.1 Returns: Very ImportantDollar Returnsthe sum of the cash received and the change in value of the asset, in dollars.Time01Initial investmentEnding market valueDividendsPercentage Returns: the sum of the cash received and the change in value of the asset divided by the original investment. Frequently: rt = ln(1 + (pt - pt-1+dt)/pt-1) is better for modeling. Fechner’s Law: response is proportional to stimulus第二页，共二十六页。 Dollar Return = Dividend + Change in Market Value9.1 Returns第三页，共二十六页。 9.1 Returns: ExampleSuppose you bought 100 shares of Wal-Mart (WMT) one year ago today at $25. Over the last year, you received $20 in dividends (= 20 cents per share × 100 shares). At the end of the year, the stock sells for $30. How did you do?Quite well. You invested $25 * 100 = $2,500. At the end of the year, you have stock worth $3,000 and cash dividends of $20. Your dollar gain was $520 = $20 + ($3,000 – $2,500).Your percentage gain for the year is第四页，共二十六页。 9.1 Returns: ExampleDollar Returns$520 gainTime01-$2,500$3,000$20Percentage Returns第五页，共二十六页。 9.2 Holding-Period ReturnsThe holding period return is the return that an investor would get when holding an investment over a period of n periods, when the return during period i is given as ri:第六页，共二十六页。 Holding Period Return: ExampleSuppose your investment provides the following returns over a four-year period. [Note that this is a PV, NOT NPV第七页，共二十六页。 Holding Period Return: ExampleAn investor who held this investment would have actually realized an annual return of 9.58%:So, our investor made 9.58% on his money for four years, realizing a holding period return of 44.21%第八页，共二十六页。 Holding Period Return: ExampleNote that the geometric average is not the same thing as the arithmetic average. In finance we use the geometric average. For small change