章套利定价理论风险与收益多因素模型lecture9 chap010lesson9.pptx

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章套利定价理论风险与收益多因素模型lecture9 chap010lesson9.pptx

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CHAPTER10ArbitragePricingTheoryandMultifactorModelsofRiskandReturn

10-2SingleFactorModelReturnsonasecuritycomefromtwosources:Commonmacro-economicfactorFirmspecificeventsPossiblecommonmacro-economicfactorsGrossDomesticProductGrowthInterestRates

10-3SingleFactorModelEquationri=Returnonsecurityβi=FactorsensitivityorfactorloadingorfactorbetaF=Surpriseinmacro-economicfactor (Fcouldbepositiveornegativebuthasexpectedvalueofzero)ei=Firmspecificevents(zeroexpectedvalue)

10-4MultifactorModelsUsemorethanonefactorinadditiontomarketreturnExamplesincludegrossdomesticproduct,expectedinflation,interestrates,etc.Estimateabetaorfactorloadingforeachfactorusingmultipleregression.

10-5MultifactorModelEquationri=ReturnforsecurityiβGDP=FactorsensitivityforGDPβIR=FactorsensitivityforInterestRateei=Firmspecificevents

10-6MultifactorSMLModelsGDP=FactorsensitivityforGDPRPGDP=RiskpremiumforGDPIR=FactorsensitivityforInterestRateRPIR=RiskpremiumforInterestRate

10-7InterpretationTheexpectedreturnonasecurityisthesumof:Therisk-freerateThesensitivitytoGDPtimestheriskpremiumforbearingGDPriskThesensitivitytointerestraterisktimestheriskpremiumforbearinginterestraterisk

10-8ArbitragePricingTheoryArbitrageoccursifthereisazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,investorscancreatelargepositionstoobtainlargeprofits.

10-9ArbitragePricingTheoryRegardlessofwealthorriskaversion,investorswillwantaninfinitepositionintherisk-freearbitrageportfolio.Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear.

10-10APTWell-DiversifiedPortfoliosrP=E(rP)+bPF+ePF=somefactorForawell-diversifiedportfolio,ePapproacheszeroasthenumberofsecuritiesintheportfolioincreasesandtheirassociatedweightsdecre