罗斯公司理财第十版第十二章

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Stephen Ross Franco Modigliani Professor of Financial Economics Professor of Finance at the MIT Sloan School of Management.
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Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit.
Ri R i βi F εi
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Relationship Between the Return on the Common Factor & Excess Return
Excess return
Ri R i βi F ε i
If we assume that there is no unsystematic risk, then i = 0. The return on the factor F
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Arbitrage Pricing Theory
Stephen Ross Franco Modigliani Professor of Financial Economics Professor of Finance at the MIT Sloan School of Management.
Chapter Outline
12.1 Introduction 12.2 Systematic Risk and Betas 12.3 Portfolios and Factor Models 12.4 Betas and Expected Returns 12.5 The Capital Asset Pricing Model and the Arbitrage Pricing Theory 12.6 Empirical Approaches to Asset Pricing
R R 2 .30 5 % 1 .50 FGNP 0 .50 FS 1 %
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Systematic Risk and Betas: Example
R R 2 .30 5 % 1 .50 FGNP 0 .50 FS 1 %
If the rate of GNP growth was expected to be 4%, but in fact was 1%, then:
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Key Concepts and Skills
Discuss the relative importance of systematic and unsystematic risk in determining a portfolio’s return Compare and contrast the CAPM and Arbitrage Pricing Theory
FGNP = Surprise in the rate of GNP growth = actual – expected = 1% – 4% = – 3%
R R 2 .30 5 % 1 .50 ( 3 %) 0 .50 FS 1 %
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Systematic Risk and Betas: Example
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market is at equilibrium;
Arbitrage is the best examiner!
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Total Risk
Total risk = systematic risk + unsystematic risk
For well-diversified portfolios, unsystematic risk is very small. the total risk for a diversified portfolio is essentially equivalent to the systematic risk.
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Risk: Systematic and Unsystematic
b, the response of the
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stock’s return to a systematic risk.
Total risk
R R U becomes R Rmε where m is the systematic risk ε is the unsystemat ic risk
R R 2.30 5% 1.50 ( 3%) 0.50 ( 10%) 1%
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Systematic Risk and Betas: Example
R R 2.30 5% 1.50 ( 3%) 0.50 ( 10%) 1%
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Systematic Risk and Betas: Example
R R β I FI βGNP FGNP β S FS ε
Suppose we have made the following estimates:
1. bI = -2.30 2. bGNP = 1.50 3. bS = 0.50
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R Rmε R R β I FI βGNP FGNP βS FS ε β I is the inflation beta βGNP is the GNP beta βS is the spot exchange rate beta ε is the unsystemat ic risk
n
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Nonsystematic Risk: Systematic Riss
B: the response of the stock’s return to a systematic risk.
In the CAPM, b measures the responsiveness of a security’s return to a specific risk factor, the return on the market portfolio.
Finally, if it were the case that the expected return on the stock was 8%, then:
R 8%
R 8% 2.30 5% 1.50 ( 3%) 0.50 ( 10%) 1% R 12%
i
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Relationship Between the Return on the Common Factor & Excess Return
Excess return If we assume that there is no unsystematic risk, then i = 0.
Cov ( Ri , RM ) bi 2 ( RM )
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Systematic Risk and Betas
three systematic risks: inflation, GNP growth, and the dollar-euro spot exchange rate, S($,€).
Ri R i βi F
The return on the factor F
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Relationship Between the Return on the Common Factor & Excess Return
Excess return
β A 1 .5 β B 1 . 0
R R 2 .30 5 % 1 .50 ( 3 %) 0 .50 FS 1 %
If it were the case that the dollar-euro spot exchange rate, S($,€), was expected to increase by 10%, but in fact remained stable during the time period, then: FS = Surprise in the exchange rate = actual – expected = 0% – 10% = – 10%
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Chapter 12
An Alternative View of Risk and Return: The Arbitrage Pricing Theory
McGraw-Hill/Irwin
Copyright © 2010 by the McGraw-Hill Companies, Inc. All rights reserved. 12-1
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Arbitrage Pricing Theory
Since no investment is required, an investor can create large positions to secure large levels of profit. In efficient markets, profitable arbitrage opportunities will quickly disappear.
Different securities will β C 0 .50 have different betas. The return on the factor F