Common risk factors in the returns on stocks and bonds--Fama-French三因子模型的诞生

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Fama-French三因子计算过程说明

Fama-French三因子计算过程说明姜国华、叶昕、饶品贵、祝继高（北京大学光华管理学院会计系，1000871）一、数据来源财务数据来源于CSMAR财务年报数据库。

数据区间：资产负债表自1990年起，利润及利润分配表自1990年起，财务状况变动表自1992年起，现金流量表自1998年起，资产减值准备表自2001年起。

市场回报数据来源于CSMAR中国证券市场交易数据库。

数据区间：上海A股从1990年12月19日起，深圳A股从1991年07月03日。

市场回报数据包括月个股回报、月市场回报、综合月市场回报三个数据集。

无风险利率我们使用的是中国人民银行公布的人民币三个月整存整取利率调整后得到的，即将三个月整存整取利率除以12。

二、数据处理过程11．财务数据只保留年末数(Sgnyea='B')2，剔除年初数（Sgnyea='A'）；然后按公司和按年度将资产负债表、利润及利润分配表和现金流量表合并。

市场回报数据剔除B股数据，并将所有特殊值替换为缺失值，最后按月份将月个股回报、月市场回报和综合月市场回报进行合并。

2．以个股第t-1年12月31日的权益账面价值与市场价值的比值(Book-to-market ratio，简称BM)和第t年4月30日的市场价值(简称SIZE)为依据，对第t年5月至第t＋1年4月期间内的公司观测进行分组（每个月进行分组）。

分组方法如下：(1)按SIZE大小平均分为两组（Small组, Big组）；(2)按BM从小到大分三组，即前30%(Growth组)，中间40%(Neutral组)，后30%(Value组)，共形成六个组，即Small Growth组, Small Neutral组, Small Value组, Big Growth组, Big Neutral组, Big Value组。

个股的市场价值是指月个股总市值(Msmvttl)，。

若BM和SIZE为缺失值或负值，则予以删除。

--CFA一级Notes习题笔记

CFA一级Notes习题笔记EthicsCode of Ethics1.act with integrity, competence, diligence, respect, and in an ethical manner with the public, clients, prospective clients, employers, employees, colleagues in the investment profession, and other participants in the global capital markets2.place the integrity of the investment profession and the interests of clients above their own personal interestse reasonable care and exercise independent professional judgement when conducting investment analysis, making investment recommendations, taking investment actions, and engaging in other professional activities4.practice and encourage others to practice in a professional and ethical manner that will reflect credit on themselves and the profession5.promote the integrity of, and uphold the rules governing, capital markets6.maintain and improve their professional competence and strive to maintain and improve the competence of other ivestment professionals.Standards of Professional ConductI professionalismA.knowledge of the lawB.independence and objectivityC.MisrepresentationD.MisconductII.integrity of capital marketsA.material nonpublic informationB.market manipulationIII.duties to clientsA.Loyalty,Prudence and CareB.Fair DealingC.SuitabilityD.Performance presentationE.preservation of confidentialityIV.duties to employersA.loyaltyB.additional compensation arrangementsC.responsibilities of supervisorsV.investment analysis, reommendations,and actionsA.Diligence and reasonable basismunication with clients and prospective clientsC.record retentionVI.conflicts of interestA.Disclosure of conflictsB.priority of transactionsC.referral feesVII.responsibilities as a CFA institute member or CFA candidateA.conduct as menbers and candidates in the cfa programB.reference to CFA institute, the cfa designation, and the cfa program1.私人投资跟Code无关，但滥用举报违反personal conduct。

关于企业投资的外文参考文献

关于企业投资的外文参考文献[1] harry markowitz. portfolio selection [j]. the journal of finance, 1952，7:77-91[2] william f. sharpe. capital asset prices: a theory of market equilibrium under conditions of risk [j]. the journal of finance, 1964，19:425?442[3] j. lintner. the valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets [j]. review of economics and statistics, 1965，47:13?37[4] e. fama, k. french. the cross-section of expected stock returns [j]. journal of finance, 1992，47:427?465[5] e. fama, k. french. common risk factors in the returns on stocks and bonds [j], jounal of financial economics, 1993，33:3?56[6] e. fama，k. french. dissecting anomalies [j]. journal of finance, XX:1653?1678[7] j. berk, r. green, v. naik. optimal investment, growth options，and security returns [j]. journal offinanc，1999，54:1553?1607[8] j. gomes, l. kogan, l. zhang. equilibrium cross section of returns [j]. journal of political economy, XX:693?732[9] m. carlson, a. fisher, r. giammarino. corporate investment and asset price dynamics: implications for the cross-section of returns [j]. journal of finance, XX, 59:2577?2603[10] i. cooper. asset pricing implications of nonconvex adjustment costs and irreversibility of investment [j], journal of finance, XX，61:139?170[11] c. polk, p. sapienza. the stock market and corporate investment: a test of catering theory [j]. review of financial studies, XX, 22:187?217[12] i. cooper, r. priestley. real investment and risk dynamics [j]. journal of financial economics, XX, 101:182?205[13]辞海[m].上海：上海辞书出版社，1999:815[14]不列颠百科全书(第八卷)[m].北京：中国大百科全书出版社，XX:413[15] samuelson, nordhaus. economics [m]. 19th ed. new york: mcgraw-hill, XX[16] dougall, corrigan [m]. 10th ed. n.j.: prentice-hall, cl978[17] r. ibbotson. price performance of common stock new issues [j]. journal of financial economics, 1975，3:235?272[18] t. loughran, j. ritter. the new issues puzzle [j]. journal of finance, 1995, 50:23? 52[19] k. spiess, j. affleck-graves. the long-run performance of stock returns following debt offerings [j]. journal of financial economics, 1999. 54:45?73[20] m. billet, m. flannery, j. garfmkel. are bank loans special? evidence on the post-announcement performance of bank borrowers[j]. journal of financial and quantitative analysis，XX，41:733?752[21] j. lakonishok，a. shleifer, r. vishny. contrarian investment, extrapolation，and risk [j]. journal of finance, 1994，49:1541 ?1578[22] d. ikenberry, j. lakonishok, t. vermaelen. market underreaction to open market share repurchases [j]. journal of financial economics，1995，39:181 ?208[23] r. michaely，r. thaler, k. womack. price reactions to dividend initiations and omissions: overreaction or drift? [j].journal of finance，1995，50:573?608[24] c. anderson，l. garcia-feijoo. empirical evidence on capital investment, growth options, and security returns [j]. journal of finance, XX，61:171 ?194[25] p. m. fairfield, j. s. whisenant, t. l. yohn. accrued earnings and growth: implications for future profitability and market mispricing[j]. the accounting review, XX, 78:353?371[26] zhang. accruals，investment, and the accrual anomaly [j]. accounting review, XX， 82:1333?1363[27] m. t. bradshaw, s. a. richardson, r. g. sloan. the relation between corporate financing activities, analysts' forecasts and stock returns [j]. journal of accounting and economics, XX, 42:53?85[28] j. pontiff, a. woodgate. share issuance and cross-sectional returns [j]. journal of finance, XX, 63:921 ?945[29] m. cooper, h. gulen, m. schill. asset growth and the cross-section of stock returns [j]. journal of finance, XX, 68:1609?1651[30] p. gray, j. johnson. the relationship between asset growth and the cross-section of stock returns [j]. journal of banking & finance, XX，35:670-680。

三因子模型构造和回归详解

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因变量的描述性统计
• 从表1来看，最小分位数的组合中含有最多的股票。尽管他们有最多的股票数量，但是五个最小市值分位数的组合的市值都比25个组合的平均市值要小0.7%左右。
• 五个最大市值的组合却只有最少数量的股票。五个最大市值组合占总组合比重是74%。
• 拥有最大市值和最小账面市值比的组合（代表了大的成功的公司）单独地占有了超过全部组合的30%的市值比重。
使用市值和账面市值比划分是为了验证我们构造的SMB 和HML是否抓住了股票回报中和规模和账面市值比有关的共同因子。后面，使用收益/价格和股息/价格进行稳健性检验。
因变量的描述性统计
按账面市值比划分的五个分位
按市值规模划分的五个分位
规模的均值
市值占总组合的比重 Earning/Price
组合的每年的平均数量 Dividend/Price
• 可以看出因子的值是一个市值加权月收益率序列,因为研究了29年的数据，所以因子的长度是342(Fam a只做到了1991.10月，所以是342个月）
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二、因变量的划分标准 For the size sort. ME is measured at the end of June. For the book-to-market sort, ME is market equity at the end of December of c - 1. and BE is book comm on equity for the fiscal year ending in calendar yea r r - 1. 在Fama和French的文章中，他们用每年六月末的股票市值和每年年末的帐市比作为分类依据，因为六月末是美国股市要求披露年报的日期，而年末时间节点的选择是因为整个研究是以一个自然年为分组依据。

金融英语第十章答案

金融英语第十章答案Exercises of Chapter 10I. Answer the following questions in English.1.When is bond said to be selling at a premium and when is bond said to be selling at a discount?Ans: When a bond trades at a price above the face value,it is said to be selling at a premium. When a bond sells below face value, it is said to be selling at a discount.2.What is the most important source of risk for bonds in general? Ex plain.Ans: Interest rate risk is the number one source of risk to fixed-in come investors,because it's the major cause of price volatility in the bond market.3.What is the major advantage for municipal bonds?Ans: The major advantage to munis is that the returns are free from federal tax.4.What is the coupon?Ans: The coupon is the amount the bondholder will receive as inte rest payments.5.What are callable bonds?Ans: A bond that can be redeemed by the issuer prior to its maturit y. Usually a premium is paid to the bond owner when the bond is calle d. Also known as a "redeemable bond".6.How to classify fixed-income securities in general?Ans: In general, fixed-income securities are classified according to the length of timebefore maturity7.What are zero-coupon bonds?Ans: This is a type of bond that makes no coupon payments but instead is issued at aconsiderable discount to par value.8.What do bond brokers do for investors?Ans: A full service or discount brokerageⅡ. Fill in the each blank with an appropriate word o r expression.l. Interest Rate Risk is the number one source of risk to fixed-incom e investors,because it's the ( major )cause of price volatility in the bond market.2.In the ( case )of bonds, interest rate risk translates ( into ) marketrisk: The behavior of interest rate, in general, affects all bond s and cuts( across ) all sectors of the market-even the U.S. Treasury mar ket.3. When market interest rates rise, bond prices fall, and vice ver sa. And asinterest rates become more volatile,( so ) do bond prices.4. This is a type of bond that makes no coupon payments but( ins tead )isissued at a considerable discount to par value. For example, let's say a zero-coupon bond with a $1 000 par value and 10 years to maturity is( trading )at $ 600; you'd be paying $ 600 ( today )for a bond that wil l be worth$1 000 in 10 years.5. Bonds have a ( number )of characteristics of which youneed to be aware.All of these factors play a role in determining the value of a b ond and theextent to( which )it fits in your portfolio.6. In general, fixed-income securities are classified( according to )the length of timebefore maturity. These are the three main categories.III. Translate the following sentences into English.l.债券买卖是指交易双方以约定的价格买卖一定金额的债券并在规定的清算时间内办理债券款项交割的交易方式。

投资学课后答案APT

投资学课后答案APTChapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return Multiple Choice Questions1. ___________ a relationship between expected return and risk.A. APT stipulatesB. CAPM stipulatesC. Both CAPM and APT stipulateD. Neither CAPM nor APT stipulateE. No pricing model has found2. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 9.26%B. 3%C. 4%D. 7.75%E. 9.75%3. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. factor sensitivitiesC. idiosyncratic riskD. factor betasE. both factor sensitivities and factor betas4. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor betasE. unique risk5. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor loadingsE. unique risk6. Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?A. The CAPMB. The multifactor APTC. Both the CAPM and the multifactor APTD. Neither the CAPM nor the multifactor APTE. No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio7. An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.A. small positiveB. small negativeC. zeroD. large positiveE. large negative8. The APT was developed in 1976 by ____________.A. LintnerB. Modigliani and MillerC. RossD. SharpeE. Fama9. A _________ portfolio is a well-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor.A. factorB. marketC. indexD. factor and marketE. factor, market, and index10. The exploitation of security mispricing in such a way that risk-free economic profits may be earned is called___________.A. arbitrageB. capital asset pricingC. factoringD. fundamental analysisE. technical analysis11. In developing the APT, Ross assumed that uncertainty in asset returns was a result ofA. a common macroeconomic factor.B. firm-specific factors.C. pricing error.D. neither common macroeconomic factors nor firm-specific factors.E. both common macroeconomic factors and firm-specific factors.12. The ____________ provides an unequivocal statement on the expected return-beta relationship for all assets, whereas the _____________ implies that this relationship holds for all but perhaps a small number of securities.A. APT; CAPMB. APT; OPMC. CAPM; APTD. CAPM; OPME. APT and OPM; CAPM13. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset14. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.15. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on thewell-diversified portfolio is approximately __________.A. 3.6%B. 6.0%C. 7.3%D. 10.1%E. 8.6%16. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of thewell-diversified portfolio is approximately __________.A. 0.80B. 1.13C. 1.2517. Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 1.00C. 1.30D. 1.69E. 0.7518. Consider the multifactor APT with two factors. Stock A has an expected return of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 2%B. 3%C. 4%D. 7.75%E. 6.89%19. Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 15.0%C. 16.5%D. 23.0%E. 18.7%20. Consider the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of return is ___________.A. 6.0%B. 6.5%C. 6.8%D. 7.4%E. 7.7%21. Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. Assume that the risk-free rate is 6% and that arbitrage opportunities exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be ______________.A. ?$1,000B. $0C. $1,00022. Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, therisk-free rate of return must be ____________.A. 4.0%B. 9.0%C. 14.0%D. 16.5%E. 8.2%23. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has an expected return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.50C. 1.67D. 2.00E. 1.7324. Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of__________.A. 0.45B. 1.00C. 1.10D. 1.22E. 1.33There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of nature for economic growth in the upcoming year; economic growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B, and C for each of these states of nature are given below:25. If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.A. 3.0%D. 16.0%E. 17.0%26. If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.A. 17.0%B. 22.5%C. 30.0%D. 30.5%E. 25.6%27. If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.A. ?2.5%B. 0.5%C. 3.0%D. 11.0%E. 9.0%28. If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.A. A; B and CB. B; A and CC. C; A and BD. A and B; CE. No arbitrage opportunity exists.Consider the multifactor APT. There are two independent economic factors, F1and F2. The risk-free rate of return is 6%. The following information is available about two well-diversified portfolios:29. Assuming no arbitrage opportunities exist, the risk premium on the factor F1portfolio should be __________.A. 3%B. 4%C. 5%D. 6%E. 2%30. Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be ___________.A. 3%B. 4%C. 5%D. 6%E. 2%31. A zero-investment portfolio with a positive expected return arises when _________.A. an investor has downside risk onlyB. the law of prices is not violatedC. the opportunity set is not tangent to the capital allocation lineD. a risk-free arbitrage opportunity existsE. a risk-free arbitrage opportunity does not exist32. An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.A. a dominance argumentB. the mean-variance efficiency frontierC. a risk-free arbitrageD. the capital asset pricing modelE. the SML33. The APT differs from the CAPM because the APT _________.A. places more emphasis on market riskB. minimizes the importance of diversificationC. recognizes multiple unsystematic risk factorsD. recognizes multiple systematic risk factorsE. places more emphasis on systematic risk34. The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.A. use of several factors instead of a single market index to explain the risk-return relationshipB. identification of anticipated changes in production, inflation, and term structure as key factors in explaining the risk-return relationshipC. superior measurement of the risk-free rate of return over historical time periodsD. variability of coefficients of sensitivity to the APT factors for a given asset over timeE. superior measurement of the risk-free rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over time35. In terms of the risk/return relationship in the APTA. only factor risk commands a risk premium in market equilibrium.B. only systematic risk is related to expected returns.C. only nonsystematic risk is related to expected returns.D. only factor risk commands a risk premium in market equilibrium and only systematic risk is related to expected returns.E. only factor risk commands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.36. The following factors might affect stock returns:A. the business cycle.B. interest rate fluctuations.C. inflation rates.D. the business cycle, interest rate fluctuations, and inflation rates.E. the relationship between past FRED spreads.37. Advantage(s) of the APT is(are)A. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B. that the model does not require a specific benchmark market portfolio.C. that risk need not be considered.D. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios and that the model does not require a specific benchmark market portfolio.E. that the model does not require a specific benchmark market portfolio and that risk need not be considered.38. Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willA. borrow at the risk free rate and buy A.B. sell A short and buy B.C. sell B short and buy A.D. borrow at the risk free rate and buy B.E. lend at the risk free rate and buy B.39. An important difference between CAPM and APT isA. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition.B. CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium.C. implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.E. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition and assumes many small changes are required to bring the market back to equilibrium.40. A professional who searches for mispriced securities in specific areas such as merger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities is engaged inA. pure arbitrage.B. risk arbitrage.C. option arbitrage.D. equilibrium arbitrage.E. covered interest arbitrage.41. In the context of the Arbitrage Pricing Theory, as a well-diversified portfolio becomes larger its nonsystematic risk approachesA. one.B. infinity.C. zero.D. negative one.E. None of these is correct.42. A well-diversified portfolio is defined asA. one that is diversified over a large enough number of securities that the nonsystematic variance is essentially zero.B. one that contains securities from at least three different industry sectors.C. a portfolio whose factor beta equals 1.0.D. a portfolio that is equally weighted.E. a portfolio that is equally weighted and contains securities from at least three different industry sectors.43. The APT requires a benchmark portfolioA. that is equal to the true market portfolio.B. that contains all securities in proportion to their market values.C. that need not be well-diversified.D. that is well-diversified and lies on the SML.E. that is unobservable.44. Imposing the no-arbitrage condition on a single-factor security market implies which of the following statements?I) the expected return-beta relationship is maintained for all but a small number ofwell-diversified portfolios.II) the expected return-beta relationship is maintained for all well-diversified portfolios.III) the expected return-beta relationship is maintained for all but a small number of individual securities.IV) the expected return-beta relationship is maintained for all individual securities.A. I and III are correct.B. I and IV are correct.C. II and III are correct.D. II and IV are correct.E. Only I is correct.45. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return?A. 7.0%B. 8.0%C. 9.2%D. 13.0%E. 13.2%46. The term "arbitrage" refers toA. buying low and selling high.B. short selling high and buying low.C. earning risk-free economic profits.D. negotiating for favorable brokerage fees.E. hedging your portfolio through the use of options.47. To take advantage of an arbitrage opportunity, an investor wouldI) construct a zero investment portfolio that will yield a sure profit.II) construct a zero beta investment portfolio that will yield a sure profit.III) make simultaneous trades in two markets without any net investment.IV) short sell the asset in the low-priced market and buy it in the high-priced market.A. I and IVB. I and IIIC. II and IIID. I, III, and IVE. II, III, and IV48. The factor F in the APT model representsA. firm-specific risk.B. the sensitivity of the firm to that factor.C. a factor that affects all security returns.D. the deviation from its expected value of a factor that affects all security returns.E. a random amount of return attributable to firm events.49. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 25% and 50 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 14.59%50. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 20% and 20 securities?A. 12.5%B. 625%C. 4.47%D. 3.54%E. 14.59%51. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 20% and 40 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 3.16%52. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 18% and 250 securities?A. 1.14%B. 625%C. 0.5%D. 3.54%E. 3.16%53. Which of the following is true about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML is not relevant for the APT.54. Which of the following is false about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML has a downward slope, the SML for the APT shows expected return in relation to portfolio standard deviation, and the SML for the APT has an intercept equal to the expected return on the market portfolio are all false.55. If arbitrage opportunities are to be ruled out, each well-diversified portfolio's expected excess return must beA. inversely proportional to the risk-free rate.B. inversely proportional to its standard deviation.C. proportional to its weight in the market portfolio.D. proportional to its standard deviation.E. proportional to its beta coefficient.56. Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. The portfolios have expected returns of 15% and 6%, respectively. Based on this information, what would be the expected return on well-diversified portfolio A, if Ahas a beta of 0.80 on the first factor and 0.50 on the second factor? The risk-free rate is 3%.A. 15.2%B. 14.1%C. 13.3%D. 10.7%E. 8.4%57. Which of the following is (are) true regarding the APT?I) The Security Market Line does not apply to the APT.II) More than one factor can be important in determining returns.III) Almost all individual securities satisfy the APT relationship.IV) It doesn't rely on the market portfolio that contains all assets.A. II, III, and IVB. II and IVC. II and IIID. I, II, and IVE. I, II, III, and IV58. In a factor model, the return on a stock in a particular period will be related toA. factor risk.B. non-factor risk.C. standard deviation of returns.D. both factor risk and non-factor risk.E. There is no relationship between factor risk, risk premiums, and returns.59. Which of the following factors did Chen, Roll and Ross not include in their multifactor model?A. Change in industrial productionB. Change in expected inflationC. Change in unanticipated inflationD. Excess return of long-term government bonds over T-billsE. Neither the change in industrial production, change in expected inflation, change in unanticipated inflation, nor excess return of long-term government bonds over T-bills were included in their model.60. Which of the following factors did Chen, Roll and Ross include in their multifactor model?A. Change in industrial wasteB. Change in expected inflationC. Change in unanticipated inflationD. Change in expected inflation and Change in unanticipated inflationE. All of these factors were included in their model61. Which of the following factors were used by Fama and French in their multi-factor model?A. Return on the market index.B. Excess return of small stocks over large stocks.C. Excess return of high book-to-market stocks over low book-to-market stocks.D. All of these factors were included in their model.E. None of these factors were included in their model.62. Consider the single-factor APT. Stocks A and B have expected returns of 12% and 14%, respectively. The risk-free rate of return is 5%. Stock B has a beta of 1.2. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 0.93C. 1.30D. 1.69E. 1.2763. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 19%. The standard deviation on the factor portfolio is 12%. The beta of thewell-diversified portfolio is approximately __________.A. 1.58B. 1.13C. 1.25D. 0.76E. 1.4264. Black argues that past risk premiums on firm-characteristic variables, such as those described by Fama and French, are problematic because ________.A. they may result from data snoopingB. they are sources of systematic riskC. they can be explained by security characteristic linesD. they are more appropriate for a single-factor modelE. they are macroeconomic factors65. Multifactor models seek to improve the performance of the single-index model byA. modeling the systematic component of firm returns in greater detail.B. incorporating firm-specific components into the pricing model.C. allowing for multiple economic factors to have differential effects.D. modeling the systematic component of firm returns in greater detail, incorporatingfirm-specific components into the pricing model, and allowing for multiple economic factors to have differential effects.E. none of these statements are true.66. Multifactor models such as the one constructed by Chen, Roll, and Ross, can better describe assets' returns byA. expanding beyond one factor to represent sources of systematic risk.B. using variables that are easier to forecast ex ante.C. calculating beta coefficients by an alternative method.D. using only stocks with relatively stable returns.E. ignoring firm-specific risk.67. Consider the multifactor model APT with three factors. Portfolio A has a beta of 0.8 on factor 1, a beta of 1.1 on factor 2, and a beta of 1.25 on factor 3. The risk premiums on the factor 1, factor 2, and factor 3 are 3%, 5% and 2%, respectively. The risk-free rate of return is 3%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 13.4%C. 16.5%D. 23.0%E. 11.6%68. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The risk-free rate of return is 4%. Stock A has an expected return of 16% and a beta on factor 1 of 1.3. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.05C. 1.67D. 2.00E. .95。

混合型基金定价研究

混合型基金定价研究作者：赖秋睿李志远来源：《财讯》2019年第07期摘要：混合型基金与其他类型的基金有较大的区别，在于其能够在股票和债券之间灵活配置，因此仅用股票因子对其进行解释是不够合理的。

本文依据Fama和French的研究，对其提出的股票因子和债券因子在中国市场的样本上进行检验，发现了仅有股票因子和TERM因子显著。

本文对我国混合型基金的定价提供了参考。

关键词：资产定价；混合型基金；Fama-French因子模型一、研究背景混合型基金是一种能够对资产灵活配置的投资组合。

混合型基金独具的资产配置功能为资产规模较低，但是风险偏好中等偏上的投资者提供了投资的渠道，具有较广阔的市场。

截止2018年底，混合型基金份额共计1.65万亿份，占除货币市场基金外的总份额37.15%；规模共计1.69万亿，占除货币市场基金外的总规模34.26%，其份额和规模都仅次于债券型基金。

二、文献综述Sharpe，Linter，Treynor和Mossin（1964）提出了资产资本定价模型（Capital Asset Pricing Model，CAPM），他们认为资产价格的波动来源于市场的波动与资产本身特异的波动，因此资产的价格可以由市场指数和截距项来描述。

Fama，French（1992）发现了CAPM 在美国市场上的解释能力并不充足，他们提出了杠杆因子和市值因子。

根据这项研究，Fama，French （1993）提出了构造SMB，HML 和市场指数因子共同解释资产收益率的方法。

Fama 和French（1992）在FF三因子模型上引入了TERM和DEF因子，同时发现了市场因子能够被SMB，HML，TERM，DEF所解释。

在FF-三因子模型的基础上，Fama和French （2015）新增了投资因子和收益因子，并证明了这两个因子的模型对股票市场的解释能力更强。

赵胜民等（2016）认为，在中国市场上，五因子模型中的投资效应和收益效应并不明显，对于HML因子来说，这两个因子是冗余变量。

公司理财(双语)7Risk, Return

8- 18
Scenario Recession Normal Boom Expected return Variance Standard Deviation
squared deviation 0.0016 0.0000 0.0012
The expected rate of return on the portfolio is a weighted average of the expected returns on the securities in the portfolio.
8- 17
The rate of return on the portfolio is a weighted average of the returns on the stocks and bonds in the portfolio:
rP wB rB wS rS
5% 50% (7%) 50% (17%)
8- 7
E (rS ) 1 (7%) 1 (12%) 1 (28%) 3 3 3 E (rS ) 11%
Expected return
Expected return ：the weighted average of possible returns, with the weights being the probabilities of occurrence
9% 50% (11%) 50% (7%)
E (rP ) wB E (rB ) wS E (rS )
Portfolios
Rate of Return Stock fund Bond fund Portfolio -7% 17% 5.0% 12% 7% 9.5% 28% -3% 12.5% 11.00% 0.0205 14.31% 7.00% 0.0067 8.16% 9.0% 0.0010 3.08%

金融学推荐文献

1、戈登著、祁斌译:《伟大的博弈》，中信出版社2007.2、(美)巴顿﹒比格斯著、张桦等译：《对冲基金风云录》，中信出版社20073、凯恩斯著：《就业、利息和货币通论》4、《公司的力量》，山西教育出版社，2010.8简介：本书是由中央电视台十集大型纪录片《公司的力量》改编而成(中国网络电视台、搜狐视频上有纪录片视频)。

中央电视台分赴意大利、英国、法国、德国、美国、日本、中国、印度等八个国家，详细挖掘了公司在世界范围内诞生和发展的历史。

而在此基础上，采访了5位诺贝尔经济学奖得主，9位商学院院长，逾百位来自历史、经济、政治、社会学等领域的各国资深学者，对公司和现代社会提出了各自的不同理解和精彩阐述，交汇成一次全球顶级学者的智慧碰撞。

5、《华尔街》，中国商业出版社，2010.10简介：本书由中央电视台十集大型纪录片《华尔街》改编（纪录片视频在中国网络电视台、搜狐视频上有）。

本书以华尔街金融危机为契机，以证券市场为中心，梳理两百多年来，现代金融来龙去脉，探寻、发现资本市场兴衰与经济起伏的规律，为决策者提供依据，为资本市场的实践者提供镜鉴，为大众提供关于资本市场的启示。

同时，也为中国人全面理解华尔街，全面理解美国，甚至全面理解现代金融与一个国家崛起的关系，提供最有益的帮助。

6、《道德情操论》，(英)亚当·斯密著。

有不同版本：中央编译出版社版；商务印书馆版；上海三联书店版。

简介：斯密用同情的基本原理来阐释正义、仁慈、克己等一切道德情操产生的根源，说明道德评价的性质、原则以及各种美德的特征，并对各种道德哲学学说进行了介绍和评价，进而揭示出人类社会赖以维系、和谐发展的基础，以及人的行为应遵循的一般道德准则。

该书得到温家宝总理的多次推荐。

7、郎咸平学术文选（Ⅰ、Ⅱ）（两册）推荐理由：郎咸平教授在公司财务和公司治理领域是世界顶尖级学者，本“文选”收录了郎咸平教授学术生涯中深受国际学术界重视的著作，不仅包括公司财务、公司治理领域，而且包括投资学领域，这些论文大部分均在国际一流期刊发表过。

医学英语阅读：阑尾炎

医学英语阅读：阑尾炎导读：本文医学英语阅读：阑尾炎，仅供参考，如果觉得很不错，欢迎点评和分享。

appendicitisdefinitionappendicitis is a sudden inflammation of the appendix, a small, finger-shaped tube that branches off the large intestine.causes, incidence, and risk factorsappendicitis is one of the most common causes of emergency abdominal surgery in children. approximately 4 appendectomies per 1,000 children are done annually in the united states.appendicitis is more common in males than in females, and incidence peaks in the late teens and early 20s. the condition is uncommon among children younger than 2, but it can occur.appendicitis generally follows obstruction of the appendix by feces (fecalith), a foreign body, or rarely, a tumor. typically, the first symptom is crampy or "colicky" pain around the navel (periumbilical). there is usually a marked reduction in or total absence of appetite, often associated with nausea, and occasionally, vomiting and low grade fever.as the inflammation in the appendix increases, the pain tends to move downward and to the right (right lower quadrant) and localizes directly above the position of the appendix at a point called "mcburney's point." if a line is drawn from the navel to theprominence on the right pelvic bone (right superior iliac crest) and divided into thirds, mcburney's point is two-thirds of the line from the navel.pressing the abdomen at mcburney's point causes tenderness in a patient with appendicitis. when the abdomen is pressed, held momentarily, and then rapidly released, the patient may experience a momentary increase in pain. this "rebound tenderness" suggests inflammation has spread to the peritoneum.if the appendix ruptures, the pain may disappear for a short period and the patient may feel suddenly better. however, once peritonitis sets in, the pain returns and the patient becomes progressively more ill. at this time the abdomen may become rigid and extremely tender.symptoms of appendicitis in young children are seldom typical, so diagnosis is commonly delayed and perforation more likely. older children, adolescents, and adults are more easily diagnosed.symptoms·abdominal paino pain may begin in the upper-middle abdomen (epigastric), then develop to sharp localized paino pain may shift from the epigastric area to become most intense in the lower right side of the abdomen ("typical" case), tenderness of this area is common o pain initially may be vague, but becomes increasingly more severe·point tenderness, especially over the right lower quadrant of the abdomen·nausea and vomiting·fever usually occurs within several hoursabdominal pain may be worse when walking or coughing. the patient may prefer to lie still; sudden jarring motions or bumping can cause ter symptoms:·fever·loss of appetite·nausea·vomiting·constipation·rectal tenderness·chills and shakingadditional symptoms that may be associated with this disease include bloody urine (microscopic hematuria).signs and testswith appendicitis, pain increases when the abdomen is gently pressed and then the pressure is suddenly released. touching the abdomen may cause a spasm of the abdominal muscles if peritonitis is present. rectal examination may also cause pain, localized on the right side.the health care provider may perform other tests, including having the patient lie on his or her back with the following:·the right leg is extended straight up.·the knee and hip are flexed, and then the leg is rotated inward and outward.·the lower left portion of the abdomen is palpated.each of these actions will cause pain in the lower right quadrant of the abdomen of a person with appendicitis.appendicitis may be strongly suspected based on the following tests:·cbc, often shows an increased white blood cell count·abdominal sonography·abdominal ct scanthe surgeon may confirm the diagnosis during an exploratory laparotomy. the operation may be done as an open procedure or through a laparoscopic approach that uses a small camera and requires a smaller incision.。

财务报表分析(英文版)答案

Chapter 8Return On Invested Capital And Profitability AnalysisReturn on invested capital is important in our analysis of financial statements. Financial statement analysis involves our assessing both risk and return. The prior three chapters focused primarily on risk, whereas this chapter extends our analysis to return. Return on invested capital refers to a company's earnings relative to both the level and source of financing. It is a measure of a company's success in using financing to generate profits, and is an excellent measure of operating performance. This chapter describes return on invested capital and its relevance to financial statement analysis. We also explain variations in measurement of return on invested capital and their interpretation. We also disaggregate return on invested capital into important components for additional insights into company performance. The role of financial leverage and its importance for returns analysis is examined. This chapter demonstrates each of these analysis techniques using financial statement data.•Importance of Return on Invested CapitalMeasuring Managerial EffectivenessMeasuring ProfitabilityMeasuring for Planning and Control •Components of Return on Invested CapitalDefining Invested CapitalAdjustments to Invested Capital and IncomeComputing Return on Invested Capital•Analyzing Return on Net Operating AssetsDisaggregating Return on Net Operating AssetsRelation between Profit Margin and Asset TurnoverProfit Margin AnalysisAsset Turnover Analysis•Analyzing Return on Common EquityDisaggregating Return on Common EquityFinancial Leverage and Return on Common EquityAssessing Growth in Common Equity•Describe the usefulness of return measures in financial statement analysis. •Explain return on invested capital and variations in its computation.•Analyze return on net operating assets and its relevance in our analysis. •Describe disaggregation of return on net operating assets and the importance of its components.•Describe the relation between profit margin and turnover.•Analyze return on common shareholders' equity and its role in our analysis. •Describe disaggregation of return on common shareholders' equity and the relevance of its components.•Explain financial leverage and how to assess a company's success in trading on the equity across financing sources.1. The return that is achieved in any one period on the invested capital of a companyconsists of the returns (and losses) realized by its various segments and divisions. In turn, these returns are made up of the results achieved by individual product lines and projects. A well-managed company exercises rigorous control over the returns achieved by each of its profit centers, and it rewards the managers on the basis of such results. Specifically, when evaluating new investments in assets or projects, management will compute the estimated returns it expects to achieve and use these estimates as a basis for its decision to invest or not.2. Profit generation is the first and foremost purpose of a company. The effectiveness ofoperating performance determines the ability of the company to survive financially, to attract suppliers of funds, and to reward them adequately. Return on invested capital is the prime measure of company performance. The analyst uses it as an indicator of managerial effectiveness, and/or a measure of the company's ability to earn a satisfactory return on investment.3. If the investment base is defined as comprising net operating assets, then netoperating profit (e.g., before interest) after tax (NOPAT) is the relevant income figure to use. The exclusion of interest from income deductions is due to its being regarded asa payment for the use of money from the suppliers of debt capital (in the same waythat dividends are regarded as a payment to suppliers of equity capital). NOPAT is the appropriate amount to measure against net operating assets as both are considered to be operating.4. First, the motivation for excluding nonproductive assets from invested capital isbased on the idea that management is not responsible for earning a return on non-operating invested capital. Second, the exclusion of intangible assets from the investment base is often due to skepticism regarding their value or their contribution to the earning power of the company. Under GAAP, intangibles are carried at cost.However, if their cost exceeds their future utility, they are written down (or there will be an uncertainty exception regarding their carrying value in the auditor's opinion).The exclusion of intangible assets from the asset base must be based on more substantial evidence than a mere lack of understanding of what these assets represent or an unsupported suspicion regarding their value. This implies that intangible assets should generally not be excluded from invested capital.5. The basic formula for computing the return on investment is net income divided bytotal invested capital. Whenever we modify the definition of the investment base by, say, omitting certain items (liabilities, idle assets, intangibles, etc.) we must also adjust the corresponding income figure to make it consistent with the modified asset base.6. The relation of net income to sales is a measure of operating performance (profitmargin). The relation of sales to total assets is a measure of asset utilization or turnover—a means of determining how effectively (in terms of sales generation) the assets are utilized. Both of these measures, profit margin as well as asset utilization,determine the return realized on a given investment base. Sales are an important factor in both of these performance measures.7. Profit margin, although important, is only one aspect of the return on invested capital.The other is asset turnover. Consequently, while Company B's profit margin is high, its asset turnover may have been sufficiently depressed so as to drag down the overall return on invested capital, leading to the shareholder's complaint.8. The asset turnover of Company X is 3. The profit margin of Company Y is 0.5%. Sinceboth companies are in the same industry, it is clear that Company X must concentrate on improving its asset turnover. On the other hand, Company Y must concentrate on improving its profit margin. More specific strategies depend on the product and industry.9. The sales to total assets (asset turnover) component of the return on invested capitalmeasure reflects the overall rate of asset utilization. It does not reflect the rate of utilization of individual asset categories that enter into the overall asset turnover. To better evaluate the reasons for the level of asset turnover or the reasons for changes in that level, it is helpful to compute the rate of individual asset turnovers that make up the overall turnover rate.10. The evaluation of return on invested capital involves many factors. Theinclusion/exclusion of extraordinary gains and losses, the use/nonuse of trends, the effect of acquisitions accounted for as poolings and their chance of recurrence, the effect of discontinued operations, and the possibility of averaging net income are justa few of many such factors. Moreover, the analyst must take into account the effectsof price-level changes on return calculations. It also is important that the analyst bear in mind that return on invested capital is most commonly based on book values from financial statements rather than on market values. And finally, many assets either do not appear in the financial statements or are significantly understated. Examples of such assets are intangibles such as patents, trademarks, research and development activities, advertising and training, and intellectual capital.11. The equity growth rate is calculated as follows:[Net income – Preferred dividends – Common dividend payout] / Average common equity.This is the growth rate due to the retention of earnings and assumes a constant dividend payout over time. It indicates the possibilities of earnings growth without resort to external financing. The resulting increase in equity can be expected to earn the rate of return that the company earns on its assets and, thus, further contribute to growth in earnings.12. a. The return on net operating assets and the return on common stockholders' equitydiffer by the capital investment base (and its corresponding effects on net income).RNOA reflects the return on the net operating assets of the company whereas ROCE reflects the perspective of common shareholders.b. ROCE can be disaggregated into the following components to facilitate analysis:ROCE = RNOA + Leverage x Spread. RNOA measures the return on net operating assets, a measure of operating performance. The second component (Leverage x Spread) measures the effects of financial leverage. ROCE is increased by adding financial leverage so long as RNOA>weighted average cost of capital. That is, if the firm can earn a return on operating assets that is greater than the cost of the capital used to finance the purchase of those assets, then shareholders are better off adding debt to increase operating assets.13. a. ROCE can be disaggregated as follows:equitycommon Av erage Sales Sales div idends Preferred - income Net ⨯ This shows that “equity turnover” (sales to average common equity) is one of the two components of the return on common shareholders' equity. Assuming a stable profit margin, the equity turnover can be used to determine the level and trend of ROCE. Specifically, an increase in equity turnover will produce an increase in ROCE if the profit margin is stable or declines less than the increase in equity turnover. For example, a common objective of discount stores is to lower prices by lowering profit margins, but to offset this by increasing equity turnover by more than the decrease in profit margin.b. Equity turnover can be rewritten as follows:equitycommon Av erage assets operating Net assets operating Net Sales ⨯ The first factor reflects how well net operating assets are being utilized. If the ratio is increasing, this can signal either a technological advantage or under-capacity and the need for expansion. The second factor reflects the use of leverage. Leverage will be higher for those firms that have financed more of their assets through debt. By considering these factors that comprise equity turnover, it is apparent that EPS cannot grow indefinitely from an increase in these factors. This is because these factors cannot grow indefinitely. Even if there is a technological advantage in production, the sales to net operating assets ratio cannot increase indefinitely. This is because sooner or later the firm must expand its net operating asset base to meet rising sales or else not meet sales and lose a share of the market. Also, financing new assets with debt can increase the net operating assets to common equity ratio. However, this can only be pursued to a point —at which time the equity base must expand (which decreases the ratio).14. When convertible debt sells at a substantial premium above par and is clearly held byinvestors for its conversion feature, there is justification for treating it as the equivalent of equity capital. This is particularly true when the company can choose at any time to force conversion of the debt by calling it in.Exercise 8-1 (35 minutes)a. First alternative:NOPAT = $6,000,000 * 10% = $600,000Net income = $600,000 – [$1,000,000*12%](1-.40) = $528,000Second alternative:NOPAT = $6,000,000 * 10% = $600,000Net income = $600,000 – [$2,000,000*12%](1-.40) = $456,000b. First alternative:ROCE = $528,000 / $5,000,000 = 10.56%Second alternative:ROCE = $456,000 / $4,000,000 = 11.40%c. First alternative:Assets-to-Equity = $6,000,000 / $5,000,000 = 1.2Second alternative:Assets-to-Equity = $6,000,000 / $4,000,000 = 1.5d. First, let’s compute return on assets (R NOA):First alternative: $600,000 / $6,000,000 = 10%Second alternative: $600,000 / $6,000,000 = 10%Second, notice that the interest rate is 12% on the debt (bonds). More importantly, the after-tax interest rate is 7.2% (12% x (1-0.40)), which is less than RNOA. Hence, the company earns more on its assets than it pays for debt on an after-tax basis. That is, it can successfully trade on the equity—use bondholders’ funds to earn additional profits.Finally, since the second alternative uses more debt, as reflected in the assets-to-equity ratio in c, the second alternative is probably preferred. The shareholders would take on additional risk with the second alternative, but the expected returns are greater as evidenced from computations in b.Exercise 8-2 (40 minutes)a. NOPAT = Net income = $10,000,000 x 10% = $1,000,000b. First alternative:NOPAT = $1,000,000 + $6,000,000*10% = $1,600,000Net income = $1,600,000 – ($2,000,000 ⨯ 5% x [1-.40]) = $1,540,000Second alternative:NOPAT = $1,000,000 + $6,000,000*10% = $1,600,000Net income = $1,600,000 – ($6,000,000 ⨯ 6% x [1-.40]) = $1,384,000c. First alternative: ROCE = $1,540,000 / ($10,000,000 + $4,000,000) = 11%Second alternative: ROCE = $1,384,000 / ($10,000,000 + $0) = 13.84%d. ROCE is higher under the second alternative due to successful use ofleverage—that is, successfully trading on the equity. [Note: Asset-to-Equity is1.14=$16 mil./$14 mil. (1.60=$16 mil./$10 mil.) under the first (second)alternative.] The company should pursue the second alternative in the interest of shareholders (assuming projected returns are consistent with current performance levels).a. RNOA = 2 x 5% = 10%b. ROCE = 10% + 1.786 x 4.4% = 17.86%c. RNOA 10.00%Leverage advantage 7.86%Return on equity 17.86%Exercise 8-4 (30 minutes)a. Computation and Interpretation of ROCE:Year 5 Year 9Pre-tax profit margin .......................................................... 0.112 0.109 Asset turnover .................................................................... 0.46 0.44 Assets-to-equity ................................................................. 3.25 3.40 After-tax income retention * .............................................. 0.570 0.556 ROCE (product of above) .................................................. 9.54% 9.07% * 1-Tax rate.ROCE declines from Year 5 to Year 9 because: (1) pre-tax margin decreases by approximately 3%, (2) asset turnover declines by roughly 4.3%, and (3) the tax rate increases by about 3.8%. The combination of these factors drives the decline in ROCE—this is despite the slight improvement in the assets-to-equity ratio.b. The main reason EPS increases is that shareholders had a large amount ofassets and equity working for them. Namely, the company grew while return on assets and return on equity remained fairly stable. In addition, the amount of preferred stock declined, as did the amount of preferred dividends. With this decline in the cost of carrying preferred stock, earnings available to common stock increased.(CFA Adapted)a. RNOA = 3 x 7% = 21%b. ROCE = RNOA + LEV x Spread = 21% + (1.667 x 8.4%) = 35%c. Net leverage advantage to common equityReturn on net operating assets .................................. 21%Leverage advantage .................................................... 14%Return on common equity (rounding difference) ..... 35%Exercise 8-6 (30 minutes)a. At the present level of debt, ROCE = $157,500 / $1,125,000 = 14%.In the absence of leverage, the noncurrent liabilities would be substituted with equity. Accordingly, there would be no interest expense with all-equityROCE without leverage = $184,500 / $1,800,000 = 10.25%.14% with leverage but only 10.25% without leverage.b. NOPAT = $157,500 + [$675,000 x 8% x (1-.50)] = $184,500RNOA = $184,500 / ($2,000,000-$200,000) = 10.25%c. The company is utilizing borrowed funds in its capital structure. Since theROCE is greater than RNOA, the use of financial leverage is beneficial to stockholders. Specifically, the after cost of debt is 4% and the financial leverage (NFO/Equity) is $675,000 / $1,125,000 = 60%. Therefore,ROCE = RNOA + LEV x Spread = 10.25% + 0.60 x (10.25% - 4%) = 14%, as before. The favorable effect of financial leverage is given by the term [0.60 x (10.25% - 4%)] = 3.75%.1. c2. a3. cExercise 8-8 (20 minutes)(Assessments of profit margin and asset turnover are relative to industry norms.)a. Higher profit margin and lower asset turnover.b. Higher asset turnover and lower profit margin.c. Higher profit margin and similar/lower asset turnover.d. Higher asset turnover and similar/lower profit margin.e. Higher asset turnover and lower/similar profit margin.f. Higher asset turnover and similar/higher profit margin.g. Higher asset turnover and lower profit margin.Exercise 8-9 (20 minutes)The memorandum to Reliable Auto Sales President would include the following points:•Both Reliable and Legend Auto Sales are perpetually investing $100,000 in automobile inventory.•Legend Auto Sales is able to generate more profit than Reliable because it is turning over its inventory (10 cars) more often. Specifically, Legend is turning its inventory over 10 times per year while Reliable is turning its inventory over only 5 times per year. Hence, given the same investment in automobile inventory, Legend is twice as profitable as Reliable.•Encourage Reliable to sacrifice some return on each sale to increase the inventory turnover. By slightly reducing price, relative to that charged by Legend, Reliable predictably will find that overall profitability increases. This is because while profit per sale declines, the number of units sold and, therefore, inventory turnover will increase. These factors predictably yield increased return on assets.Computation of Asset (PP&E) Turnover [computed as Sales / PP&E (net)]: Northern: $12,000 / $20,000 = 0.60Southern: $6,000 / $20,000 = 0.30This implies that Northern generates $0.60 in sales per year for each $1 investment in PP&E. In contrast, Southern generates $0.30 in sales per year for each $1 investment in PP&E. This shows that Northern is able to generate twice the return for each $1 invested in PP&E. Assuming equal profit margins, Northern will report a higher return on assets because of the volume of sales that the company is able to generate with its investment in PP&E (at least in the short run).Exercise 8-11 (15 minutes)Low volume operations mean that fixed costs, which in the case of automakers are substantial, must be absorbed by a low number of units produced. Since the lower of cost or market rule implies that inventory cannot be priced higher than expected sales price less costs of disposal plus a normal profit margin, much of that excess cost must be charged to the period incurred. In this case, that means the fourth quarter financial statements absorb much of this cost. This is probably the most likely accounting-based reason for the fourth quarter losses described in the news release.Problem 8-1 (30 minutes)a. 1. Quaker Oats does not reveal its computation of this return. Accordingly, wemake some simple computations and assumptions: (i) For simplicity, focus on one share, (ii) The dividend is $1.56 for Year 11, (iii) The average stock price is $55 and the price increase for Year 11 is $14—based on the beginning price of $48 and the ending price of $62. Using this information, we compute return to a share of stock as follows:= [Dividend per share + Price increase per share] / Average price per share = [$1.56 + $14] / $55= 28.3%However, if we use the beginning price of $48 per share, we get closer to the company's 34% return:= [$1.56 + $14] / $48= 32.4%2. The return on common equity is based on the relation between net incomeand the book value of the equity capital. In contrast, Quaker Oats’ “return t o shareholders” uses dividends plus market value change in relation to the market price per share (cost of investment to shareholders.)b. The company must have derived the 3.6% from price, market, and otherfactors that are not disclosed. Conceptually, this 3.6% should reflect the added risk of an investment in Quaker Oats’ stock vis-à-vis a risk-free security such as a U.S. Treasury bond.c. Quaker does not reveal its computations. It may disclose a variety of interestrates on long-term debt that it carries in the notes to financial statements.Based on data available to it, but not to the financial statement reader, it probably computed a weighted-average interest rate from which it deducted the tax benefit in arriving at the 6.4% cost of debt.a. Computation of Return on Invested Capital Measures:As a first step, we construct the company’s income statement.Sales (500,000 units @ $10). ................................................ $5,000,000 Fixed costs ....................................................................... 1,500,000 Variable costs (500,000 units @ $4). ............................. 2,000,000 Labor costs (20 employees x $35,000). ......................... 700,000 Income before taxes .......................................................... 800,000 Taxes (50% rate) ................................................................. 400,000 Net income .......................................................................... $ 400,000(1) RNOA = [$400,000 + ($2,000,000 x 7.5%)(1-0.50)] / ($8,000,000-$2,00,000)= $475,000 / $6,000,000 = 7.92%(2) ROCE = [$400,000 - ($1,000,000 x 6%)] / $3,000,000 = 11.33%Fixed costs ($1,500,000 x 1.06) ......................................................... 1,590,000 Variable costs ($550,000 units @ $4) .............................................. 2,200,000 Income before labor costs and taxes ............................................. $1,710,000 To obtain a 10% return on long-term debt and equity capital, Zear will need a numerator of $600,000 given an invested capital base of $6,000,000. The required operating income to yield this $600,000 amount is computed as: Net income + Interest expense x (1 - 0.50) = $600,000Net income + ($2,000,000 x 7.5%) x (1-0.50) = $600,000Net income = $525,000Assuming taxes at a 50% rate, Zear needs pre-tax income of $1,050,000, computed as:Income before labor and taxes ............ $1,710,000Labor costs ........................................... ?Pre-tax income ...................................... $1,050,000This implies:Labor costs = $660,000 orAverage wage per worker = $660,000 / 22 employees = $30,000 per employee Since the current salary level is $35,000, Zear cannot achieve its target return level and give a salary raise to its employees.(CFA Adapted)a. ROCE = $1,650 / $3,860 = 42.7%b. NOPAT = ($2,550 + $10) x (1-0.35) = $1,664NOA = $7,250-$3,290 = $3,960RNOA (using year-end NOA balance) = $1,664 / $3,960 = 42%The effect of financial leverage, thus, is only 0.7% as NFO/NFE are insignificant. Most of Merck’s ROCE in this year is derived from operating results.Pre-tax income to sales 0.36Net income to sales 0.23Sales/current assets 1.47Sales / fixed assets 2.97Sales / total assets 0.98Total liabilities / equity 0.88L-T liabilities / equity 0.03a. 1. RNOA = NOPATAvg. NOANOPAT = [$186,000 + $2,000 - $120,000 - $37,000 + $1,000] x 50% = $16,000 Note: we include income from equity investments under the assumptions that these are operating rather than financial investments. We also include the cumulative effect as operating in the absence of information to the contrary. Minority interest and discontinued operations are nonoperating (minority interest is therefore, treated as equity in the ROCE computation).NOA Year 6 = $138,000 - $29,000 - $7000 - $3,600 = $98,400 NOA Year 5 = $105,000 - $23,000 - $2,000 - $2,000 = $78,000RNOA = $16,000 / ([$98,400 + $78,000]/2) = 18.14%2. ROCE = Net income - Preferred dividendsAverage common equityROCE = ($10,000 –$0) /[($55,400* + $47,800*)/2] = 19.38% *Note: minority interest is treated as equity. If Minority interest is ignored, the ROCE is 19.8%b. NFO = NOA - EquityYear 6: $43,000; Year 5: $30,200LEV = Avg. NFO / Ave Equity = ([$43,000 + $30,200] / 2) / ([$55,400* + $47,800*] /2)= 0.71NFE = NOPAT – Net incomeYear 6: $6,000NFR = NFE / Avg. NFO = $6,000 / ([$43,000 + $30,200] / 2) = 16.4%Spread = RNOA – NFR = 18.14% - 16.4% = 1.74%ROCE = RNOA + LEV x Spread = 18.14 + 0.71 x 1.74% = 19.38%94% (18.14%/19.38%) of Zeta’s ROCE is derived for m operating activities. The company is effectively using leverage, however, as indicated by the positive spread, but the leverage does not contribute significantly to Zeta’s return on equity and may not be worth the added risk.a. ROCE = [Net income –preferred dividends] / stockholders’ equity**end of year in this problemROCE Year 5: [$14 – $0] / $125 = 11.2%ROCE Year 9: [$34 - $0] / $220 = 15.5%RNOA Year 5 = ($35 x 0.50) / ($52 + $123) = 10.0%RNOA Year 9 = ($68 x 0.50) / ($63 + $157) = 15.5%ROCE = RNOA + Leverage x SpreadYear 5: 10.0% + 1.2% = 11.2%Year 9: 15.5% + 0 = 15.5%b. Texas Talcom’s ROCE has increased form years 5 to 9. The source is thisincrease, however, has been an increase in RNOA as the leverage effect is zero in Year 9 since its long-term debt has been retired. Given the RNOA increase, additional leverage might be explored as a way to increase shareholder returns.Selling price per unit ...................... $6.00 $5.00 $50.00 $50.00 Unit cost ........................................... $5.00 $4.00 $32.50 $30.00Analysis of Variation in Product A SalesIncreased quantity at Yr 6 prices (3,000 x $5) ........................ $ 15,000 Price increase at Yr 6 quantity (7,000 x $1) ........................... 7,000 Quantity increase x price increase (3,000 x $1) .................... 3,000 Analysis of Variation in Product A Cost of SalesIncreased quantity at Yr 6 cost (3,000 x $4) ........................... (12,000) Increased cost at Yr 6 quantity (7,000 x $1) ........................... (7,000) Cost increase x quantity increase (3,000 x $1) ...................... (3,000) Net Variation (Increase) in Gross Margin for Product A ............. $ 3,000Analysis of Variation in Product B SalesDecreased quantity at Yr 6 prices (300 x $50) ....................... $ (15,000) Analysis of Variation in Product B Cost of Sales:Decreased quantity at Yr 6 cost (300 x $30) .......................... 9,000 Increased cost at Yr 6 quantity (900 x $2.50) ......................... (2,250) Cost increase x quantity decrease (300 x $2.50) . (750)Net Variation (Decrease) in Gross Margin for Product B ............ $ (7,500)Summary of Net Variation in Margins for Products A and BNet increase from product A ......................................................... $ 3,000 Net decrease from product B ........................................................ (7,500) Net Decrease in Gross Margin ...................................................... $ (4,500)a.SPYRES MANUFACTURING COMPANYComparative Common-Size Income StatementsYear Ended December 31 IncreaseYear 9 Year 8(Decrease)Net sales ............................. 100.0% 100.0% 20.0% Cost of goods sold ............ 81.7 86.0 14.0 Gross margin on sales ...... 18.3 14.0 57.1 Operating expenses .......... 16.8 10.2 98.0 Income before taxes .......... 1.5 3.8 (52.6) Income taxes ...................... 0.4 1.0 (52.0) Net income ......................... 1.1 2.8 (52.9)b. Performance in Year 9 is poor when compared with Year 8. One bright spot isthe percentage of Cost of Goods Sold to Sales, which decreased in Year 9.However, Operating Expenses climbed sharply. This sharp climb in operating expenses is unexpected since there is usually a larger fixed cost component comprising these costs compared with that for Cost of Goods Sold.Management should further check operating expenses. If operating expenses had remained at the Year 8 level of 10.2%, income would have been up favorably for Year 9. Operating expenses may have included a future-directed component such as advertising or training costs. Also, management would want to follow up on the change in gross margin. The sharp improvement in gross margin may have been due to factors such as the liquidation LIFO inventory layers or, alternatively, to something more fundamental with the activities of the firm.。

2 Common risk factors in the returns on stocks and bonds

研究目的-檢測5-factor model是否能捕捉 “元月效應”?

股票報酬在元月時特別高，尤其是小型股
國立東華大學財務金融學系 6
12/29/2016
1. Breaking point (BM)

Data available: At the end of December of year t-1 Break NYSE, Amex, and NASDAQ stocks into three BM groups based on the breakpoints for the bottom 30%(Low), 40% (Median) and top 30%(High) of the ranked values of BM for NYSE stocks. Not use negative-BE firms. Reasons to sort firms into 3 groups on BM and only 2 groups on SZ. Survivorship Bias

如何判斷共同風險因子能捕捉報酬的共同變異?
Regression
slope and R2
12/29/2016
國立東華大學財務金融學系
3
前言

如何判斷資產定價模式是否設定良好?

截距項（ a ）是否顯著異於0？當截距項顯著異於0時，表示報酬的變異中，該資產定價模式有無法解釋的部分
R(t) – {Rf(t) + b．[RM(t) – Rf (t)] + s．SMB(t) + h．HML(t)} = a + e(t)
12/29/2016
國立東華大學財務金融學系

投资学10版习题答案11

CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS PROBLEM SETS1. The correlation coefficient between stock returns for two nonoverlapping periodsshould be zero. If not, returns from one period could be used to predict returns in later periods and make abnormal profits.2. No. Microsoft’s continuing profitability does not imply that stock market investorswho purchased Microsoft shares after its success was already evident would have earned an exceptionally high return on their investments. It simply means thatMicrosoft has made risky investments over the years that have paid off in the form of increased cash flows and profitability. Microsoft shareholders have benefitedfrom the risk-expected return tradeoff, which is consistent with the EMH.3. Expected rates of return differ because of differential risk premiums across allsecurities.4. No. The value of dividend predictability would be already reflected in thestock price.5. No, markets can be efficient even if some investors earn returns above the marketaverage. Consider the Lucky Event issue: Ignoring transaction costs, about 50% of professional investors, by definition, will “beat” the market in any given year. The probability of beating it three years in a row, though small, is not insignificant.Beating the market in the past does not predict future success as three years ofreturns make up too small a sample on which to base correlation let alone causation.6. Volatile stock prices could reflect volatile underlying economic conditions as largeamounts of information being incorporated into the price will cause variability in stock price. The efficient market hypothesis suggests that investors cannot earnexcess risk-adjusted rewards. The variability of the stock price is thus reflected in the expected returns as returns and risk are positively correlated.7. The following effects seem to suggest predictability within equity markets and thusdisprove the efficient market hypothesis. However, consider the following:a. Multiple studie s suggest that “value” stocks (measured often by low P/Emultiples) earn higher returns over time than “growth” stocks (high P/E multiples).This could suggest a strategy for earning higher returns over time. However, another rational argument may be that traditional forms of CAPM (such as Sharpe’s model) do not fully account for all risk factors that affect a firm’s price level. A firm viewed as riskier may have a lower price and thus P/E multiple.b. The book-to-market effect suggests that an investor can earn excess returns byinvesting in companies with high book value (the value of a firm’s assets minus its liabilities divided by the number of shares outstanding) to market value. A study by Fama and French1 suggests that book-to-market value reflects a risk factor that isnot accounted for by traditional one variable CAPM. For example, companiesexperiencing financial distress see the ratio of book to market value increase. Thus a more complex CAPM that includes book-to-market value as an explanatory variable should be used to test market anomalies.c. Stock price momentum can be positively correlated with past performance (shortto intermediate horizon) or negatively correlated (long horizon). Historical dataseem to imply statistical significance to these patterns. Explanations for this includea bandwagon effect or the behaviorists’ (see Chapter 12) explanation that there is atendency for investors to underreact to new information, thus producing a positive serial correlation. However, statistical significance does not imply economicsignificance. Several studies that included transaction costs in the momentummodels discovered that momentum traders tended to not outperform the efficientmarket hypothesis strategy of buy and hold.d. The small-firm effect states that smaller firms produce better returns than largerfirms. Since 1926, returns from small firms outpace large firm stock returns byabout 1% per year. Do small cap investors earn excess risk-adjusted returns?The measure of systemati c risk according to Sharpe’s CAPM is the stock’s beta (or sensitivity of returns of the stock to market returns). If the stock’s beta is the bestexplanation of risk, then the small-firm effect does indicate an inefficient market.Dividing the market into deciles based on their betas shows an increasingrelationship between betas and returns. Fama and French2 show that the empirical relationship between beta and stock returns is flat over a fairly long horizon (1963–1990). Breaking the market into deciles based on sizes and then examining therelationship between beta and stock returns within each size decile exhibits this flat relationship. This implies that firm size may be a better measure of risk than betaand the size-effect should not be viewed as an indicator that markets are inefficient.Heuristically this makes sense, as smaller firms are generally viewed as riskycompared to larger firms and perceived risk and return are positively correlated.1Fama, Eugene and Kenneth French, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Finance 33:1, pp. 3-56.2 IbidIn addition this effect seems to be endpoint and data sensitive. For example, smaller stocks did not outperform larger stocks from the mid-1980s through the 1990s. In addition, databases contain stock returns from companies that have survived and do not include returns of those that went bankrupt. Thus small-firm data may exhibit survivorship bias.8. Over the long haul, there is an expected upward drift in stock prices based on theirfair expected rates of return. The fair expected return over any single day is verysmall (e.g., 12% per year is only about 0.03% per day), so that on any day the price is virtually equally likely to rise or fall. Over longer periods, the small expecteddaily returns accumulate, and upward moves are more likely than downward ones.Remember that economies tend to grow over time and stock prices tend to follow economic growth, so it is only natural that there is an upward drift in equity prices.9. c. This is a predictable pattern in returns that should not occur if the weak-formEMH is valid.10. a. Acute market inefficiencies are temporary in nature and are more easilyexploited than chronic inefficiencies. A temporary drop in a stock price due toa large sale would be more easily exploited than the chronic inefficienciesmentioned in the other responses.11. c. This is a classic filter rule that should not produce superior returns in anefficient market.12. b. This is the definition of an efficient market.13. a. Though stock prices follow a random walk and intraday price changes doappear to be a random walk, over the long run there is compensation forbearing market risk and for the time value of money. Investing differs from acasino in that in the long-run, an investor is compensated for these risks, whilea player at a casino faces less than fair-game odds.b. In an efficient market, any predictable future prospects of a company havealready been priced into the current value of the stock. Thus, a stock shareprice can still follow a random walk.c. While the random nature of dart board selection seems to follow naturallyfrom efficient markets, the role of rational portfolio management still exists. Itexists to ensure a well-diversified portfolio, to assess the risk-tolerance of theinvestor, and to take into account tax code issues.14. d. In a semistrong-form efficient market, it is not possible to earn abnormallyhigh profits by trading on publicly available information. Information aboutP/E ratios and recent price changes is publicly known. On the other hand, aninvestor who has advance knowledge of management improvements couldearn abnormally high trading profits (unless the market is also strong-formefficient).15. Market efficiency implies investors cannot earn excess risk-adjusted profits. If thestock price run-up occurs when only insiders know of the coming dividend increase, then it is a violation of strong-form efficiency. If the public also knows of theincrease, then this violates semistrong-form efficiency.16. While positive beta stocks respond well to favorable new information about theeconomy’s progress through the business cycle, they should not show abnormalreturns around already anticipated events. If a recovery, for example, is alreadyanticipated, the actual recovery is not news. The stock price should already reflect the coming recovery.17. a. Consistent. Based on pure luck, half of all managers should beat the marketin any year.b. Inconsistent. This would be the basis of an “easy money” rule: simply investwith last year's best managers.c. Consistent. In contrast to predictable returns, predictable volatility does notconvey a means to earn abnormal returns.d. Inconsistent. The abnormal performance ought to occur in January whenearnings are announced.e. Inconsistent. Reversals offer a means to earn easy money: just buy lastweek’s losers.18. The return on the market is 8%. Therefore, the forecast monthly return for Ford is:0.10% + (1.1 × 8%) = 8.9%Ford’s actual return was 7%, s o the abnormal return was –1.9%.19. a. Based on broad market trends, the CAPM indicates that AmbChaser stockshould have increased by: 1.0% + 2.0 × (1.5% – 1.0%) = 2.0%Its firm-specific (nonsystematic) return due to the lawsuit is $1 million per$100 million initial equity, or 1%. Therefore, the total return should be 3%. (Itis assumed here that the outcome of the lawsuit had a zero expected value.)b. If the settlement was expected to be $2 million, then the actual settlement wasa “$1 million disappointment,” and so the firm-specific return would be –1%,for a total return of 2% – 1% = 1%.20. Given market performance, predicted returns on the two stocks would be:Apex: 0.2% + (1.4 × 3%) = 4.4%Bpex: –0.1% + (0.6 × 3%) = 1.7%Apex underperformed this prediction; Bpex outperformed the prediction. Weconclude that Bpex won the lawsuit.21. a. E(r M) = 12%, r f = 4% and β = 0.5Therefore, the expected rate of return is:4% + 0.5 × (12% – 4%) = 8%If the stock is fairly priced, then E(r) = 8%.b.If r M falls short of your expectation by 2% (that is, 10% – 12%) then youwould expect the return for Changing Fortunes Industries to fall short of youroriginal expectation by: β× 2% = 1%Therefore, you would forecast a revised expectation for Changing Fortunes of:8% – 1% = 7%c. Given a market return of 10%, you would forecast a return for ChangingFortunes of 7%. The actual return is 10%. Therefore, the surprise due to firm-specific factors is 10% – 7% = 3%, which we attribute to the settlement.Because the firm is initially worth $100 million, the surprise amount of thesettlement is 3% of $100 million, or $3 million, implying that the priorexpectation for the settlement was only $2 million.22. Implicit in the dollar-cost averaging strategy is the notion that stock pricesfluctuate around a “normal” level. Otherwise, there is no meaning to statementssuch as: “when the price is high.” How do we know, for example, whether a price of $25 today will turn out to be viewed as high or low compared to the stock price six months from now?23. The market responds positively to new news. If the eventual recovery is anticipated,then the recovery is already reflected in stock prices. Only a better-than-expected recovery should affect stock prices.24. Buy. In your view, the firm is not as bad as everyone else believes it to be.Therefore, you view the firm as undervalued by the market. You are less pessimistic about the firm’s prospects than the beliefs built into the stock price.25. Here we need a two-factor model relating Ford’s return to those of both the broadmarket and the auto industry. If we call r I the industry return, then we would first estimate parameters α,β,βM INDin the following regression:FORD αββεM M IND INDr r r=+++Given these estimates we would calculate Ford’s firm-specific return as:FORD [αββε] M M IND INDr r r-+++This estimate of firm-specific n ews would measure the market’s assessment of the potential profitability of Ford’s new model.26. The market may have anticipated even greater earnings. Compared to priorexpectations, the announcement was a disappointment.27. Thinly traded stocks will not have a considerable amount of market researchperformed on the companies they represent. This neglected-firm effect implies agreater degree of uncertainty with respect to smaller companies. Thus positiveCAPM alphas among thinly traded stocks do not necessarily violate the efficientmarket hypothesis since these higher alphas are actually risk premiums, not market inefficiencies.28. The negative abnormal returns (downward drift in CAR) just prior to stockpurchases suggest that insiders deferred their purchases until after bad news wasreleased to the public. This is evidence of valuable inside information. The positive abnormal returns after purchase suggest insider purchases in anticipation of good news. The analysis is symmetric for insider sales.29. a. The market risk premium moves countercyclical to the economy, peaking inrecessions. A violation of the efficient market hypothesis would imply that investors could take advantage of this predictability and earn excess risk adjusted returns.However, several studies, including Siegel,3 show that successfully timing the3 Jeremy Siegel, Stocks for the Long Run: The Definitive Guide to Financial Market Returns and Long-Term Investment Strategies, 2002, New York: McGraw-Hill.changes have eluded professional investors thus far. Moreover a changing riskpremium implies changing required rates of return for stocks rather than aninefficiency with the market.b. As the market risk premium increases during a recession, stocks prices tend to fall.As the economy recovers, the market risk premium falls, and stock prices tend to rise. These changes could give investors the impression that markets overreact,especially if the underlying changes in the market risk premium are small butcumulative. For example, the October Crash of 1987 is commonly viewed as anexample of market overreaction. However, in the weeks running up to mid-October, several underlying changes to the market risk premium occurred (in addition tochanges in the yields on long-term Treasury Bonds). Congress threatened investors with a “merger tax” that would have truncated the booming merger industry andloosened the discipline that the threat of mergers provides to a firm’s management.In addition, the Secretary of Treasury threatened further depreciation in the value of the dollar, frightening foreign investors. These events may have increased themarket risk premium and lowered stock prices in a seeming overreaction.CFA PROBLEMS1. b. Semistrong form efficiency implies that market prices reflect all publiclyavailable information concerning past trading history as well as fundamentalaspects of the firm.2. a. The full price adjustment should occur just as the news about the dividendbecomes publicly available.3. d. If low P/E stocks tend to have positive abnormal returns, this would representan unexploited profit opportunity that would provide evidence that investorsare not using all available information to make profitable investments.4. c. In an efficient market, no securities are consistently overpriced or underpriced.While some securities will turn out after any investment period to haveprovided positive alphas (i.e., risk-adjusted abnormal returns) and somenegative alphas, these past returns are not predictive of future returns.5. c. A random walk implies that stock price changes are unpredictable, using pastprice changes or any other data.6. d. A gradual adjustment to fundamental values would allow for the use ofstrategies based on past price movements in order to generate abnormal profits.7. a.8. a. Some empirical evidence that supports the EMH:(i)Professional money managers do not typically earn higher returns thancomparable risk, passive index strategies.(ii)Event studies typically show that stocks respond immediately to thepublic release of relevant news.(iii)Most tests of technical analysis find that it is difficult to identify price trends that can be exploited to earn superior risk-adjusted investmentreturns.b.Some evidence that is difficult to reconcile with the EMH concerns simpleportfolio strategies that apparently would have provided high risk-adjustedreturns in the past. Some examples of portfolios with attractive historical returns:(i)Low P/E stocks.(ii)High book-to-market ratio stocks.(iii)Small firms in January.(iv)Firms with very poor stock price performance in the last few months.Other evidence concerns post-earnings-announcement stock price drift andintermediate-term price momentum.c. An investor might choose not to index even if markets are efficient because heor she may want to tailor a portfolio to specific tax considerations or to specificrisk management issues, for example, the need to hedge (or at least not add to)exposure to a particular source of risk (e.g., industry exposure).9. a. The efficient market hypothesis (EMH) states that a market is efficient ifsecurity prices immediately and fully reflect all available relevant information.If the market fully reflects information, the knowledge of that informationwould not allow an investor to profit from the information because stockprices already incorporate the information.i. The weak form of the EMH asserts that stock prices reflect all the informationthat can be derived by examining market trading data such as the history of pastprices and trading volume.A strong body of evidence supports weak-form efficiency in the major U.S.securities markets. For example, test results suggest that technical trading rulesdo not produce superior returns after adjusting for transaction costs and taxes.ii.The semistrong form states that a firm’s stock price reflects all publiclyavailable information about a firm’s prospects. Examples of publicly availableinformation are company annual reports and investment advisory data.Evidence strongly supports the notion of semistrong efficiency, but occasionalstudies (e.g., identifying market anomalies such as the small-firm-in-January orbook-to-market effects) and events (e.g. stock market crash of October 19, 1987) are inconsistent with this form of market efficiency. There is a questionconcerning the extent to which these “anomalies” result from data mining.iii. The strong form of the EMH holds that current market prices reflect allinformation (whether publicly available or privately held) that can be relevantto the valuation of the firm.Empirical evidence suggests that strong-form efficiency does not hold. If thisform were correct, prices would fully reflect all information. Therefore eveninsiders could not earn excess returns. But the evidence is that corporateofficers do have access to pertinent information long enough before publicrelease to enable them to profit from trading on this information.b. i. Technical analysis involves the search for recurrent and predictable patterns instock prices in order to enhance returns. The EMH implies that technical analysis is without value. If past prices contain no useful information for predicting futureprices, there is no point in following any technical trading rule.ii. Fundamental analysis uses earnings and dividend prospects of the firm,expectations of future interest rates, and risk evaluation of the firm to determineproper stock prices. The EMH predicts that most fundamental analysis is doomed to failure. According to semistrong-form efficiency, no investor can earn excessreturns from trading rules based on publicly available information. Only analysts with unique insight achieve superior returns.In summary, the EMH holds that the market appears to adjust so quickly toinformation about both individual stocks and the economy as a whole that notechnique of selecting a portfolio using either technical or fundamental analysis can consistently outperform a strategy of simply buying and holding a diversifiedportfolio of securities, such as those comprising the popular market indexes.c. Portfolio managers have several roles and responsibilities even in perfectlyefficient markets. The most important responsibility is to identify the risk/returnobjectives for a portfolio given the investor’s constraints. In an efficient market,portfolio managers are responsible for tailoring the portfolio to meet the investor’s needs, rather than to beat the mark et, which requires identifying the client’s return requirements and risk tolerance. Rational portfolio management also requiresexamining the investor’s constraints, including liquidity, time horizon, laws andregulations, taxes, and unique preferences and circumstances such as age andemployment.10. a. The earnings (and dividend) growth rate of growth stocks may be consistentlyoverestimated by investors. Investors may extrapolate recent growth too far intothe future and thereby downplay the inevitable slowdown. At any given time,growth stocks are likely to revert to (lower) mean returns and value stocks arelikely to revert to (higher) mean returns, often over an extended future timehorizon.b.In efficient markets, the current prices of stocks already reflect all known relevantinformation. In this situation, growth stocks and value stocks provide the samerisk-adjusted expected return.。

CAPM

FF三因素模型的在中国验证
吴世农、许年行（2004）邓长荣(2005) 刘维奇、牛晋霞、张信东（2010）经过实证研究，他们发现：中国股市存在显著的账面市值比效应和规模效应；三因子模型比型能更好地描述股票横截面收益的变化。
其他国家对于CAPM模型的研究
•George Leledakis and Lan Davidson(2001)利用英国的数据对两因素模型（即本文中提到的FF三因素模型，作者注）进行了检验，作者通过对伦敦股票交易所1986
与 Sharpe-Lintner-Black(SLB)模型相矛盾的实证研究：
研究目标：
• 衡量β、规模、E/P、财务杠杆、及账面对市价比在解释NYSE、AMEX、NASDAQ 股票横断面平均收益的联合解释能力。
Β估计的细节：
• 1.数据来源
利用1963-1990年间纽约证券交易所和美国证券交易所上市的单个股票的日收益，加上1973-1990年在纳斯达克上市的所有股票的相关数据。
其中，、、分别表示股票收益率、市场收益率和无风险收益率。SMB表示由于公司规模不同造成的风险溢价，HML表示由于账面市值比不同所造成的风险溢价。
BM=期末每股权益与期末收盘价的比值将所有股票分为小规模(S) 股票组合和大规模股票组合(B) , 根据各年年末上市公司的BM 值将股票分为低(L) 、中(M) 和高( H) 三个组合, 比例分别是30 %、40 %和30 % , 从而将股票按照流通市值和BM 值独立分组, 交叉形成六个组合, 即S/ L 、S/ M、S/ H、B/ L 、B/ M、B/ H 组合, 分别计算t 年每周每个投资组合价值加权的周度收益率
CAPM的实证检验
The Cross-Section of Expedted Stock Returns

fama三因子模型构造和回归详解教学内容

• 可以看出因子的值是一个市值加权月收益率序列,因为研究了29年的数据，所以因子的长度是342(Fam a只做到了1991.10月，所以是342个月）
5
二、因变量的划分标准 For the size sort. ME is measured at the end of June. For the book-to-market sort, ME is market equity at the end of December of c - 1. and BE is book comm on equity for the fiscal year ending in calendar yea r r - 1. 在Fama和French的文章中，他们用每年六月末的股票市值和每年年末的帐市比作为分类依据，因为六月末是美国股市要求披露年报的日期，而年末时间节点的选择是因为整个研究是以一个自然年为分组依据。
12
因变量的描述性统计
• 从表1来看，最小分位数的组合中含有最多的股票。尽管他们有最多的股票数量，但是五个最小市值分位数的组合的市值都比25个组合的平均市值要小0.7%左右。
• 五个最大市值的组合却只有最少数量的股票。五个最大市值组合占总组合比重是74%。
• 拥有最大市值和最小账面市值比的组合（代表了大的成功的公司）单独地占有了超过全部组合的30%的市值比重。
它分得更细。
• 下面要计算每个投资组合的月收益率，计算投资组合的月收益率时，要算市值加权的收益率，这是为
了最小化方差（风险）
Big
Small
Low
High
3
3、计算规模因子和账面市值比因子 Big
Small Low
High
4
• 市值因子：表示的是由于公司规模不同造成的风险溢价

厦大郑振龙金融市场学课件参考书目

参考书目1.贝多广，1995，《证券经济理论》，上海人民出版社。

2.陈共，1994，《证券学》，中国人民大学出版社。

3.黄亚钧,1996,《现代投资银行的业务和经营》，立信会计出版社。

4.江其务，1990,《中国金融改革与发展》，福建人民出版社。

5.林海，2001，“中国股票市场价格波动率的实证研究”，厦门大学硕士论文。

6.马克思，1975,《资本论》，人民出版社。

7.斯蒂格利茨，1997,《经济学》，中国人民大学出版社。

8.屠光绍主编，2000,《交易体制：原理与变革》，上海人民出版社。

9.郑振龙，1992,“纽约证交所的特种会员制度及其借鉴”，《国际金融研究》，第2期，17-19。

10.郑振龙，1996,《各国股票市场比较研究》，中国发展出版社。

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