公司理财罗斯英文原书第九版第十二章

We can break down the total risk of holding a stock into
two components: systematic risk and unsystematic risk:
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Total risk
R RU becomes

R Rmε
Nonsystematic Risk:
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.
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Systematic Risk and Betas: Example
R R 2.30 FI 1.50 FGNP 0.50 FS 1% We must decide what surprises took place in the
Pricing Theory 12.6 Empirical Approaches to Asset Pricing
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12-2
12.1 Introduction
Arbitrage Pricing Theory
Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit.
risk is very small. Consequently, the total risk for a diversified
portfolio is essentially equivalent to the systematic risk.
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Risk: Systematic and Unsystematic
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Total Risk
Total risk = systematic risk + unsystematic risk The standard deviation of returns is a measure
of total risk. For well-diversified portfolios, unsystematic
Compare and contrast the CAPM and Arbitrage Pricing Theory
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12-1
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
Chapter 12
An Alternative View of Risk and Return: ቤተ መጻሕፍቲ ባይዱhe Arbitrage Pricing Theory
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Key Concepts and Skills
Discuss the relative importance of systematic and unsystematic risk in determining a portfolio’s return
Our model is:
R Rmε
R R βI FI βGNP FGNP βS FS ε
βI is the inflation beta
βGNP is the GNP beta
βS is the spot exchange rate beta 7
ε is the unsystemat ic risk
)
• We shall now consider other types of systematic risk.
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Systematic Risk and Betas
For example, suppose we have identified three systematic risks: inflation, GNP growth, and the dollar-euro spot exchange rate, S($,€).
Finally, the firm was able to attract a “superstar” CEO, and this unanticipated development contributes 1% to the return. ε 1%
R R 2.30 FI 1.50 FGNP 0.50 FS 1%
Systematic Risk: m
where m is the systematic risk ε is the unsystemat ic risk
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n
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12.2 Systematic Risk and Betas
The beta coefficient, b, tells us 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.
bi

Cov( Ri , RM
2 (RM )
12-7
Systematic Risk and Betas: Example
R R βI FI βGNPFGNP βS FS ε
Suppose we have made the following estimates:
1. bI = -2.30 2. bGNP = 1.50 3. bS = 0.50