第九章资本市场理论综述

Your holding period return (1 r1) (1 r2 ) (1 r3) (1 r4 ) 1 (1.10) (.95) (1.20) (1.15) 1 .4421 44.21%
9-5
9.2 Holding-Period Returns
• The holding period return is the return that an investor would get when holding an investment over a period of n periods, when the return during period i is given as ri:
9-3
9.1 Returns: Example
• Suppose you bought 100 shares of Wal-Mart (WMT) one year ago today at $25. Over the last year, you received $20 in dividends (= 20 cents per share × 100 shares). At the end of the year, the stock sells for $30. How did you do?
Dividends
Ending market value
Time
0
1
•Percentage Returns: the sum of the cash
received and the change in value of the asset
divided by the original investment. Frequently:
• Dollar Returns
– $520 gain
$20 $3,000
Time 0 -$2,500
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1 •Percentage Returns
Hale Waihona Puke Baidu20.8% $520 $2,500
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
dividend yield capital gains yield This is not statutory (tax law) capital gains
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Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
9-1
9.1 Returns: Very Important
• Dollar Returns
– the sum of the cash received and the change in value of the asset, in dollars.
holding period return (1 r1) (1 r2) (1 rn ) 1 sometimes called "buy and hold" return for the 4 year period
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
9-0
Chapter Outline
9.1 Returns 9.2 Holding-Period Returns 9.3 Return Statistics 9.4 Average Stock Returns and Risk-Free Returns 9.5 Risk Statistics 9.6 Summary and Conclusions
• Quite well. You invested $25 * 100 = $2,500. At the end of the year, you have stock worth $3,000 and cash dividends of $20. Your dollar gain was $520 = $20 + ($3,000 – $2,500).
9-2
9.1 Returns
Dollar Return = Dividend + Change in Market Value
percentage return
dollar return
beginning market value
dividend change in market value beginning market value
• Your percentage gain for the year is 20.8% $520
$2,500
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Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
9-4
9.1 Returns: Example
9-6
Holding Period Return: Example
• Suppose your investment provides the following returns over a four-year period. [Note that this is a PV, NOT NPV
Year Return 1 10% 2 -5% 3 20% 4 15%
Initial rt = ln(1 + (pt - pt-1+dt)/pt-1) is better for modeling. investment Fechner’s Law: response is proportional to
stimulus
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Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.