台湾大学课件—财务管理—lecture9(ch9)

Capital Gain Initial Share Price
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©The McGraw-Hill Companies, Inc.,2001
9- 5
Rates of Return
Dividend Yield = 1.25 74
.017 or 01.7%
Capital Gain Yield = 28 74
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
9- 12
Measuring Risk
Coin Toss Game-calculating variance and standard deviation
(1) Percent Rate of Return
slides by Matthew Will
©The McGraw-Hill Companies, Inc.,2001Return 73 Years of Capital Market History Measuring Risk Risk & Diversification Thinking About Risk
Common Stocks Long T-Bonds T-Bills
1950
1960
1970
1980
1990 1998
Year End
©The McGraw-Hill Companies, Inc.,2001
9- 9
Rates of Return 1926-1998
60
Percentage Return
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
9- 8
The Value of an Investment of $1 in 1926
1000
Index
10
0.1
1930
1940
Source: Ibbotson Associates
Irwin/McGraw-Hill
Value of a portfolio holding one share in each of 30 large industrial firms.
Standard & Poor’s Composite Index (The S&P 500)
Value of a portfolio holding shares in 500 firms. Holdings are proportional to the number of shares in the issues.
40
20
0
-20
Common Stocks
-40
Long T-Bonds
T-Bills
-60 26 30 35 40 45 50 55 60 65 70 75 80 85 90 95
Source: Ibbotson Associates
Year
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
9- 10
Expected Return
Expected market interest rate on normalrisk
=
+
return
Treasury bills
premium
(1981)23.3% =
14
+
9.3
(1999)14.1% =
4.8
+
9.3
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
.378 or 37.8%
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
9- 6
Rates of Return
Nominal vs. Real
1+
real
ror
=
1 + nominal ror 1 + inflation rate
1+
9- 11
Measuring Risk
Variance - Average value of squared deviations from mean. A measure of volatility.
Standard Deviation - Average value of squared deviations from mean. A measure of volatility.
9-F1 undamentals of Corporate Finance
Third Edition
Chapter 9
Introduction to Risk, Return, and the Opportunity Cost of Capital
Irwin/McGraw-Hill
Brealey Myers Marcus
28 +1.25 74
= .395 or 39.5%
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
9- 4
Rates of Return
Dividend Yield =
Dividend Initial Share Price
Capital Gain Yield =
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
9- 3
Rates of Return
Percentage Return =
Capital Gain + Dividend Initial Share Price
Perc entage Return =
real
ror
=
1 + .395 1 + .016
1.373
real ror 37.3%
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
9- 7
Market Indexes
Dow Jones Industrial Average (The Dow)
+ 40 + 10 + 10 - 20
(2) Deviation from Mean
+ 30 0 0
- 30
(3) Squared Deviation
900 0 0
900
Variance = average of squared deviations = 1800 / 4 = 450