原创力文档- 1、本文档共27页，可阅读全部内容。
- 2、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。
- 3、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击 这里二次下载。
- 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
CHAPTER8IndexModels
8-2ReducesthenumberofinputsfordiversificationEasierforsecurityanalyststospecializeAdvantagesoftheSingleIndexModel
8-3βi=responseofanindividualsecurity’sreturntothecommonfactor,m.Betameasuressystematicrisk.m=acommonmacroeconomicfactorthataffectsallsecurityreturns.TheSP500isoftenusedasaproxyform.ei=firm-specificsurprisesSingleFactorModel
8-4Single-IndexModelRegressionEquation:Expectedreturn-betarelationship:
8-5Single-IndexModelRiskandcovariance:Variance=SystematicriskandFirm-specificrisk:Covariance=productofbetasxmarketindexrisk:
8-6Single-IndexModelCorrelation=productofcorrelationswiththemarketindex
8-7IndexModelandDiversificationVarianceoftheequallyweightedportfoliooffirm-specificcomponents:Whenngetslarge,σ2(ep)becomesnegligibleandfirmspecificriskisdiversifiedaway.
8-8Figure8.1TheVarianceofanEquallyWeightedPortfoliowithRiskCoefficientβp
8-9Figure8.2ExcessReturnsonHPand
SP500
8-10Figure8.3ScatterDiagramofHP,theSP500,andHP’sSecurityCharacteristicLine(SCL)
8-11Table8.1ExcelOutput:RegressionStatisticsfortheSCLofHewlett-Packard
8-12Table8.1InterpretationCorrelationofHPwiththeSP500is0.7238.Themodelexplainsabout52%ofthevariationinHP.HP’salphais0.86%permonth(10.32%annually)butitisnotstatisticallysignificant.HP’sbetais2.0348,butthe95%confidenceintervalis1.43to2.53.
8-13Figure8.4ExcessReturnsonPortfolioAssets
8-14AlphaandSecurityAnalysisUsemacroeconomicanalysistoestimatetheriskpremiumandriskofthemarketindex.Usestatisticalanalysistoestimatethebetacoefficientsofallsecuritiesandtheirresidualvariances,σ2(ei).
8-15AlphaandSecurityAnalysisEstablishtheexpectedreturnofeachsecurityabsentanycontributionfromsecurityanalysis.Usesecurityanalysistodevelopprivateforecastsoftheexpectedreturnsforeac
文档评论（0）