风险与报酬

无风险报酬率
市场平均风险报酬率
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Security Market Line
Return
Market Return = Rm Risk Free
.
Return
= R f
1.0 BETA
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*风险衡量Measuring Risk
历史上的方差和标准差计算(calculating variance and standard deviation)---假定一投资在过去4年带来报酬如下:
(1) 回报率 Percent Ra te of Return + 40 + 10 + 10 - 20 方差 Variance 偏差 Deviation from Mean + 30 0 0 - 30 == 1800/(4 - 1) = 600 计分母减 1) = 方差的平方根 square of root varia nce
Neth
Den
Can
Ger
Spa
Country
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Jap
Bel
Fra
It
二、风险的衡量Measuring Risk
1、方差Variance –随机变量变动性的一种衡量。 A measure of volatility. 2、标准差Standard Deviation -方差的平方根 **3、计算方法：历史的；未来的
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本章概要与总结
1、风险可由方差和标准差衡量。 2、风险分为系统性风险和非系统性风险。 3、非系统性风险通过多样化投资分散掉。 4、系统性风险用贝塔系数衡量。市场组合 的贝塔系数为1。 5、系统性风险与期望报酬率的关系可用 CAPM概括，图形描述叫证券市场线。
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2、非系统性风险（或可分散风险） Unique Risk - Risk factors affecting only that firm. Also called “diversifiable risk.” 投资的分散化原则
Diversification - Strategy designed to reduce risk by spreading the portfolio across many investments.
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(2)
(3) 偏差平方 Squared Deviation 900 0 0 900
( 为了产生样本的无偏估 标准差 Standard deviation =
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600 = 24.9%
**风险衡量Measuring Risk
The Value of an Investment of $1 in 1926
S&P Small Cap Corp Bonds Long Bond T Bill
6402 2587
1000
64.1 48.9
Index
10
16.6
1
0.1 1925
1940
1955
1970
1985
2000
Source: Ibbotson Associates
面向未来的方差和标准差计算 面向未来的方差计算中什么作为投资报酬 的平均数—“mean”? “mean”----投资报酬的预期值（期望报酬 率或数学期望）
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**风险衡量Measuring Risk
面向未来的方差和 标准差计算 期望报酬率=？ 方差=？ 标准差=？ 南 宁 糖 业 糖生产的正常 年份 异常 年份
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Measuring Risk
Portfolio standard deviation
0 5 10 15 Number of Securities
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研究风险与报酬之目的
1、风险是什么，市场怎样给予回报； 2、公司的资本预算决策中什么因素决定未来现 金流量的贴现率？ 系统风险决定未来现金流量的贴现率 什么是适用的贴现率？ 金融市场上具有相同系统风险的投资的期望报酬 率。 什么是有吸引力的投资方案？ 期望报酬率高于金融市场上具有相同系统风险的 投资的期望报酬率。一项投资要吸引人所必须提 供的最低期望报酬率(或最低必要报酬率)称为这 个项目的资本成本（或机会成本）。
Measuring Risk
Portfolio standard deviation
Unique risk Market risk
0 5 10 15 Number of Securities
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第二节风险和报酬的关系
一、系统风险和贝塔系数 期望报酬率=无风险报酬率+风险报酬率 风险报酬率=f（风险程度） 系统性风险是紧要的。 Beta用来计量特定资产 （或资产组合）的系统性风险。它表明相对于平 均资产而言,特定资产的系统性风险是多少。平 均资产相对于自己的Beta为1。 整体风险和Beta 标准差 Beta Coefficient 证券（或组合）A 40% 0.5
证券（或组合） B
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20%
1.5
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二、市场投资组合与贝塔
假设：考虑一个由市场上所有资产组成的投 资组合，取名市场投资组合。通常由包含较 多股票的市场指数代表，如标准普尔股价指 数。 Market Portfolio - Portfolio of all assets in the economy. In practice a broad stock market index, such as the S&P Composite, is used to represent the market. 市场投资组合代表市场，必定拥有平均的系 统风险。因此贝塔是1。
20
00
-60
Average Market Risk Premia (1999-2000)
Risk premium, %
11 10 9 8 7 6 5 4 3 2 1 0
4.3
5.1
6
7.1 7.5 6.1 6.1 6.5 6.7
8
11 9.9 9.9 10 8.5
Ire
USA
Swe
Swi
Aus
UK
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市场投资组合与贝塔
1. Total risk = diversifiable risk + market risk 2. Market risk is measured by beta, the sensitivity to market changes Expected stock return beta +10% -10%
40 20 0 -20 -40
Common Stocks Long T-Bonds T-Bills
26
30
35
40
45
50
55
60
65
70
75
80
85
90
95
Year
Source: Ibbotson Associates
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Chapter 8
风险与报酬
RISK AND RETURN
Slides by zengqingfen
swun
Copyright © 2005 by zengqf in swun
本章主要内容Topics Covered
1、资本市场历史 75 Years of Capital Market History 2、**风险衡量Measuring Risk 3、 投资分散原则 Diversification 4、系统性风险 and Beta 5、CAPM
Index
10
6.6 5.0
1
0.1 1925
1.7
1940
1955
1970
1985
2000
Source: Ibbotson Associates
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Year End
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Rates of Return 1926-2000
60
Percentage Return
股市 的牛 市 0.5
股市的 糖的 熊市 生产 危机 0.3
10
概 率
0.2
-25
收 25 益 率 (%)
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三、风险的类别
1、市场风险（或系统性风险） Market Risk - Economy-wide sources of risk that affect the overall stock market. Also called “systematic risk.”
- 10%
-10%
+10%
Expected market return
Copyright 1996 by The McGraw-Hill Companies, Inc Corporate Finance
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三、资本资产定价模型（CAPM）
Capital Asset Pricing Model：系统风险与期望报酬率关系 证券市场平均报酬率
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Year End
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The Value of an Investment of $1 in 1926
S&P Small Cap Corp Bonds Long Bond T Bill
Real returns
660 267
1000
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How Are You With People?
The best financial professionals are good with people. According to Fortune, (11/18/95): “Their biggest weakness is a lack of people skills,” says John Dasburg, CEO of Northwest Airlines. “Finance types are often curt and colorless. By contrast, the best CFOs are master(高明的) persuaders with a streak(飞跑) of the sales person. They read people as surely as balance sheets."
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市场投资组合与贝塔
特定股票（或组合）的贝塔0.5，表明该股 票拥有市场一半的系统性风险； 特定股票（或组合）的贝塔1.5，表明该股 票拥有市场1.5倍的系统性风险（如利率上 调市场平均损失10%，而该股票损失15%） 。 Beta - Sensitivity of a stock’s return to the return on the market portfolio.
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第一节 风险
一、风险与风险溢酬 什么是风险-----收益的不确定性 美国资本市场75年历史的考察 75 Years of Capital Market History
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