公司理财精要版原书第12版英文版最新精品课件Ross_12e_PPT_Ch13

EXAMPLE: EXPECTED RETURNS
• Suppose you have predicted the following returns for stocks C and T in three possible states of the economy. What are the expected returns?
• What is the variance?
• What is the standard deviation?
13-8
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
State Boom Normal Recession
Probability
C
0.3
0.15
0.5
0.10
???
0.02
T___ 0.25 0.20 0.01
• RC = .3(15) + .5(10) + .2(2) = 9.9% • RT = .3(25) + .5(20) + .2(1) = 17.7%
▪ $2000 of C ▪ $3000 of KO ▪ $4000 of INTC ▪ $6000 of BP
▪ C: 2/15 = .133 ▪ KO: 3/15 = .2 ▪ INTC: 4/15 = .267 ▪ BP: 6/15 = .4
13-10
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
CHAPTER OUTLINE
• Expected Returns and Variances • Portfolios • Announcements, Surprises, and Expected Returns • Risk: Systematic and Unsystematic • Diversification and Portfolio Risk • Systematic Risk and Beta • The Security Market Line • The SML and the Cost of Capital: A Preview
EXAMPLE: PORTFOLIO WEIGHTS
• Suppose you have $15,000 to invest and you have purchased securities in the following amounts. What are your portfolio weights in each security?
13-3
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
PORTFOLIOS
• A portfolio is a collection of assets.
• An asset’s risk and return are important in how they affect the risk and return of the portfolio.
PORTFOLIO EXPECTED RETURNS
• The expected return of a portfolio is the weighted average of the expected returns of the respective assets in the portfolio.
EXAMPLE: VARIAN the previous example. What are the variance and standard deviation for each stock?
• Stock C ▪ 2 = .3(0.15-0.099)2 + .5(0.10-0.099)2 + .2(0.02-0.099)2 = 0.002029 ▪ = 4.50%
13-5
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
EXPECTED RETURNS
• Expected returns are based on the probabilities of possible outcomes.
• In this context, “expected” means average if the process is repeated many times.
ANOTHER EXAMPLE
• Consider the following information:
State
Probability
ABC, Inc. Return
Boom
.25
0.15
Normal
.50
0.08
Slowdown
.15
0.04
Recession
.10
-0.03
• What is the expected return?
13-11
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
• The risk-return trade-off for a portfolio is measured by the portfolio expected return and standard deviation, just as with individual assets.
13-9
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
CHAPTER 13
RETURN, RISK, AND THE SECURITY MARKET LINE
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
risk-return trade-off
13-2
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
KEY CONCEPTS AND SKILLS
• Show how to calculate expected returns, variance, and standard deviation
• Discuss the impact of diversification • Summarize the systematic risk principle • Describe the security market line and the
VARIANCE AND STANDARD DEVIATION
• Variance and standard deviation measure the volatility of returns.
• Using unequal probabilities for the entire range of possibilities
• The “expected” return does not even have to be a possible return.
n
E ( R ) pi Ri i 1 13-4
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
EXAMPLE: EXPECTED PORTFOLIO RETURNS
• Consider the portfolio weights computed previously. If the individual stocks have the following expected returns, what is the expected return for the portfolio?
• Weighted average of squared deviations
n
σ 2 pi ( Ri E (R )) 2 i 1
13-6
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
• Stock T ▪ 2 = .3(0.25-0.177)2 + .5(0.20-0.177)2 + .2(0.01-0.177)2 = 0.007441 ▪ = 8.63%
13-7
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.
m
E ( RP ) w j E ( R j ) j 1
• You can also find the expected return by finding the portfolio return in each possible state and computing the expected value as we did with individual securities.
▪ C: 19.69% ▪ KO: 5.25% ▪ INTC: 16.65% ▪ BP: 18.24%
• E(RP) = .133(19.69%) + .2(5.25%) + .267(16.65%) + .4(18.24%) = 15.41%
13-12
Copyright © 2019 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.