投资学讲义ch10 套利定价理论与多因素模型.pptx

投资学 第10章套利定价理论与风险收益多因素模型1

本章主要内容多因素模型（MultifactorModels）套利定价理论（ArbitragePricingTheory）多因素套利定价理论（MultifactorAPT）多因素资本资产定价模型（MultifactorCAPM）2Copyright?HuXinming2008,SchoolofFinance,GuangdongUniversityofBusinessStudies

单因素模型（SingleFactorModel）ReturnsonasecuritycomefromtwosourcesCommonmacro-economicfactorFirmspecificeventsPossiblecommonmacro-economicfactorsGrossDomesticProductGrowthInterestRates3Copyright?HuXinming2008,SchoolofFinance,GuangdongUniversityofBusinessStudies

SingleFactorModelEquationRi=E(ri)+Betai(F)+eiRi=ReturnforsecurityiBetai=Factorsensitivity（因素敏感度）orfactorloading（因素承载）orfactorbeta（因素贝塔）F=Surpriseinmacro-economicfactor(Fcouldbepositive,negativeorzero)ei=Firmspecificevents4Copyright?HuXinming2008,SchoolofFinance,GuangdongUniversityofBusinessStudies

举例假定F为GDP的意外的百分比变化，预期今年增长4%，某股票或组合的b为???。如果GDP只增长了3%，则F为-1%，根据给定的b值可将其转化一项表示比先前预测低????的收益。这项意外加上特定的扰动ei，便可得出该股票的收益对其原始预期值的全部偏离程度。5Copyright?HuXinming2008,SchoolofFinance,GuangdongUniversityofBusinessStudies

多因素模型（MultifactorModels）UsemorethanonefactorinadditiontomarketreturnExamplesincludegrossdomesticproduct,expectedinflation,interestratesetc.Estimateabetaorfactorloading（因素承载）foreachfactorusingmultipleregression.6Copyright?HuXinming2008,SchoolofFinance,GuangdongUniversityofBusinessStudies

MultifactorModelEquationRi=E(ri)+BetaGDP(GDP)+BetaIR(IR)+eiRi=ReturnforsecurityiBetaGDP=FactorsensitivityforGDPBetaIR=FactorsensitivityforInterestRateei=Firmspecificevents7Copyright?HuXinming2008,SchoolofFinance,GuangdongUniversityofBusinessStudies

MultifactorSMLModelsE(r)=rf+BGDPRPGDP+BIRRPIRBGDP=FactorsensitivityforGDPRPGDP=RiskpremiumforGDP（与GDP变动相关的一个单位的风险溢价）BIR=FactorsensitivityforInterestRateRPIR=RiskpremiumforIR（与IR变动相关的一个单位的风险溢价）8Copyright?HuXinming2008,Scho