第十一章套利定价理论.pptx
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11-0
Chapter Outline
11.1 Factor Models: Announcements, Surprises, and Expected Returns
11.2 Risk: Systematic and Unsystematic 11.3 Systematic Risk and Betas 11.4 Portfolios and Factor Models 11.5 Betas and Expected Returns 11.6 The Capital Asset Pricing Model and the Arbitrage Pricing
11-2 11.1 Factor Models: Announcements, Surprises, and Expected Returns
• The return on any security consists of two parts. – First the expected returns – Second is the unexpected or risky returns.
The surprise is the news that influences the unanticipated return on the stock, U.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-1
Arbitrage Pricing Theory
Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit.
• Since no investment is required, an investor can create large positions to secure large levels of profit.
Theory 11.7 Parametric Approaches to Asset Pricing 11.8 Summary and Conclusions
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
• A way to write the return on a stock in the coming month is:
R RU where
R is the expected part of the return U is the unexpected part of the return
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-3 11.1 Factor Models: Announcements, Surprises, and Expected Returns
• Any announcement can be broken down into two parts, the anticipated or expected part and the surprise or innovation:
• Unsystematic risk can be diversified away. • Examples of systematic risk include uncertainty about
general economic conditions, such as GNP, interest rates or inflation. • On the other hand, announcements specific to a company, such as a gold mining company striking gold, are examples of unsystematic risk.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-5
11.2 Risk: Systematic and Unsystematic
• Announcement = Expected part + Surprise. • The expected part of any announcement is part of
the information the market uses to form the expectation, R of the return on the stock.
11-4
11.2 Risk: Systematic and Unsystematic
• A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree.
• An unsystematic risk is a risk that specifically affects a single asset or small group of assets.
• In efficient markets, profitable arbitrageHale Waihona Puke Baiduopportunities will quickly disappear.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
Chapter Outline
11.1 Factor Models: Announcements, Surprises, and Expected Returns
11.2 Risk: Systematic and Unsystematic 11.3 Systematic Risk and Betas 11.4 Portfolios and Factor Models 11.5 Betas and Expected Returns 11.6 The Capital Asset Pricing Model and the Arbitrage Pricing
11-2 11.1 Factor Models: Announcements, Surprises, and Expected Returns
• The return on any security consists of two parts. – First the expected returns – Second is the unexpected or risky returns.
The surprise is the news that influences the unanticipated return on the stock, U.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-1
Arbitrage Pricing Theory
Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit.
• Since no investment is required, an investor can create large positions to secure large levels of profit.
Theory 11.7 Parametric Approaches to Asset Pricing 11.8 Summary and Conclusions
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
• A way to write the return on a stock in the coming month is:
R RU where
R is the expected part of the return U is the unexpected part of the return
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-3 11.1 Factor Models: Announcements, Surprises, and Expected Returns
• Any announcement can be broken down into two parts, the anticipated or expected part and the surprise or innovation:
• Unsystematic risk can be diversified away. • Examples of systematic risk include uncertainty about
general economic conditions, such as GNP, interest rates or inflation. • On the other hand, announcements specific to a company, such as a gold mining company striking gold, are examples of unsystematic risk.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-5
11.2 Risk: Systematic and Unsystematic
• Announcement = Expected part + Surprise. • The expected part of any announcement is part of
the information the market uses to form the expectation, R of the return on the stock.
11-4
11.2 Risk: Systematic and Unsystematic
• A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree.
• An unsystematic risk is a risk that specifically affects a single asset or small group of assets.
• In efficient markets, profitable arbitrageHale Waihona Puke Baiduopportunities will quickly disappear.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.