CAPM(資本資產(chǎn)定價模型英文教程)

1、CAPM and the Characteristic LineThe Characteristic LineTotal risk of any asset can be assessed by measuring variability of its returnsTotal risk can be divided into two partsdiversifiable risk (unsystematic risk) and non-diversifiable risk (systematic risk)The characteristic line is used to measure

2、statistically the undiversifiable risk and diversifiable risk of individual assets and portfoliosCharacteristic line for the ith asset is:ri,t = ai + birm,t + ei,t ORri,t = birm,t + ai + ei,tTake Variance of both sides of EquationVAR (ri,t) = VAR(birm,t ) +VAR(ai) + VAR(ei,t) VAR(birm,t ) = VAR (ri,

3、t) - VAR(ei,t) ORVAR(ei,t) = VAR(ri,t) - VAR(birm,t ) Beta CoefficientsAn index of riskMeasures the volatility of a stock (or portfolio) relative to the marketBeta Coefficients CombineThe variability of the assets returnThe variability of the market returnThe correlation betweenthe stocks return and

4、the market returnBeta CoefficientsBeta coefficients are the slope of the regression line relatingthe return on the market (the independent variable) to the return on the stock (the dependent variable)Beta CoefficientsInterpretation of the Numerical Value of BetaBeta = 1.0 Stocks return has same vola

5、tility as the market returnBeta 1.0 Stocks return is more volatile than the market returnInterpretation of the Numerical Value of BetaInterpretation of the Numerical Value of BetaBeta 1.0 Stocks return is less volatile than the market returnInterpretation of the Numerical Value of BetaHigh Beta Stoc

6、ksMore systematic market riskMay be appropriate for high-risk tolerant (aggressive) investorsLow Beta StocksLess systematic market riskMay be appropriate for low-risk tolerant (defensive) investorsIndividual Stock BetasMay change over time Tendency to move toward 1.0, the market betaPortfolio BetasW

7、eighted average of the individual assets betasMay be more stable than individual stock betasHow Characteristic Line leads to CAPM?The characteristic regression line of an asset explains the assets systematic variability of returns in terms of market forces that affect all assets simultaneouslyThe po

8、rtion of total risk not explained by characteristic line is called unsystematic riskAssets with high degrees systematic risk must be priced to yield high returns in order to induce investors to accept high degrees of risk that are undivesifiable in the marketCAPM illustrates positive relationship be

9、tween systematic risk and return on an assetCapital Asset Pricing Model (CAPM)For a very well-diversified portfolio, beta is the correct measure of a securitys risk. All investments and portfolios of investments must lie along a straight-line in the return-beta spaceRequired return on any asset is a

10、 linear function of the systematic risk of that assetE(ri) = rf + E(rm) rf iThe Capital Asset Pricing Model (CAPM)The CAPM hasA macro component explains risk and return in a portfolio contextA micro component explains individual stock returnsThe micro component is also used to value stocksBeta Coeff

11、icients and The Security Market LineThe return on a stock depends onthe risk free rate (rf)the return on the market (rm)the stocks betathe return on a stock:k= rf + (rm - rf)betaBeta Coefficients and The Security Market LineThe figure relating systematic risk (beta) and the return on a stockBeta Coe

12、fficients and The Security Market LineCAPM can be used to price any asset provided we know the systematic risk of that assetIn equilibrium, every asset must be priced so that its risk-adjusted required rate of return falls exactly on the straight lineIf an investment were to lie above or below that straight line, then an opportunity for riskless arbitrage would exist.Examples of CAPMStocksExpected ReturnBetaA16%1.2B19%1.3C13%0.75E(rm) = 18%rf =