第二章證券投資風(fēng)險和收益(證券投資學(xué)-北大,楊云紅)ppt課件

1、第二章 證券投資風(fēng)險和收益.報答和風(fēng)險的定義投資者制定投資目的應(yīng)思索報答和風(fēng)險投資者厭惡風(fēng)險，承當(dāng)風(fēng)險需求補償不同的投資者對風(fēng)險厭惡程度不一樣，怎樣描寫不同投資者對收益-風(fēng)險之間的權(quán)衡關(guān)系市場給出收益-風(fēng)險之間的公平關(guān)系-市場定價.1. 報答率的定義報答率是對證券表現(xiàn)的一種度量?？倛蟠鹇?持有期收益率HPR(holding period return)假設(shè)紅利在持有期末支付.Example: buy share at $50, at end of year it is worth $55 and pays $2 dividendGross Return=.凈報答率凈報答率=收入收益+資本利得.

2、HPR provides a useful device for simplifying the complex reality of investment analysis. Although no panacea, it allows an analyst to focus on the most relevant horizon in a given situation and offers a good measure of performance over such a period.多期報答率和復(fù)利例子：一種股票現(xiàn)價為46元，假設(shè)一年后價錢為50元，兩年后價錢為56元；在第一年中紅

3、利為1.5元，第二年中紅利為2元，假設(shè)每次分紅都在年末進展，求這種股票在這兩年中的持有期收益率HPR，以及以復(fù)利計算時的每年持有期收益率HPR。.假設(shè)紅利支付后馬上投資.幾何平均與算術(shù)平均. 2. 證券投資的風(fēng)險風(fēng)險是指未來的不確定性沒有風(fēng)險就沒有股市2001年下半年以來的中國股市2001年9.111987年10月19日，被稱為“黑色星期一 DJIA 下跌了22.6%(508點 .近八年中國股市. NASDAQ指數(shù)曾高達5100多點，2002/10/2不到1200！ . 微軟為績優(yōu)股，但股價已較2000年高位下跌約六成！ . LUCENT 2002/10/2股價僅$0.75，不及1999年高位

4、的1%！ .證券投資的風(fēng)險例子：下一年他有5000塊錢用于投資，投資一年，有六種投資時機供選擇：130天到期、如今年收益率為6%的貨幣市場基金2一年定期存款，利率為7.5%310年期長期國債，每年收益為9%4一種股票，現(xiàn)價10元/股，下一年的預(yù)期股價為11.2元/股，且估計紅利為0.2元5一人向他借錢，期限一年，利率15% (6以8.4元人民幣兌1美圓買外匯.證券投資的收益和風(fēng)險問題他投資在哪種證券有哪些風(fēng)險如何度量風(fēng)險假設(shè)該股票下一年的預(yù)期價錢為10元，他能否會投資該股票投資者如何決策.證券投資風(fēng)險風(fēng)險的來源運營風(fēng)險(Business risk)財務(wù)風(fēng)險(Financial risk) 流動

5、風(fēng)險(Liquidity risk)違約風(fēng)險(Default risk)利率風(fēng)險通貨膨脹風(fēng)險國家經(jīng)濟情況系統(tǒng)風(fēng)險與非系統(tǒng)風(fēng)險.收益和風(fēng)險的例子一支股票，現(xiàn)價100元/股，預(yù)期在接下來的一年中的紅利為4元，一年后的價錢預(yù)期為下表所示，無風(fēng)險利率為6%state of the economy probability ending price HPRboom 0.25 140元 44%normal growth 0.50 110元 14%recession 0.25 80元 -16%. 對風(fēng)險證券收益的度量期望報答率 (expected return)樣本均值The record of past r

6、ates of return is one possible source of information about expected return. 由于我們無法知道未來，所以用樣本均值來估計期望報答率. 實現(xiàn)報答率 (realized return)風(fēng)險酬金(risk premium)與超額報答率(excess return).例子：風(fēng)險酬金(risk premium)與超額報答率(excess return)一支股票，現(xiàn)價100元/股，預(yù)期在接下來的一年中的紅利為4元，一年后的價錢預(yù)期為下表所示，無風(fēng)險利率為6%state of the economy probability endin

7、g price HPRboom 0.25 140元 44%normal growth 0.50 110元 14%recession 0.25 80元 -16%.對風(fēng)險證券風(fēng)險的度量方差、規(guī)范差樣本方差The record of past rates of return is one possible source of information about variance.由于我們無法知道未來，所以用樣本方差來估計方差.We should stress that variability of HPR in the past can be an unreliable guide to risk,

8、 at least in the case of the risk-free asset.For risk-free asset, the variance is zero, but the sample variance is not zero. This reflects variation over time in expected returns rather than fluctuations of actual returns around prior expectations. .最大、最小值之差頻率分布.作業(yè)：計算我國股市的報答率和風(fēng)險目的：使得我們對各種能夠投資的表現(xiàn)有一個合

9、理的預(yù)期。要求：把股票分成大、中、小三個板快分別計算報答率和風(fēng)險按照樣本均值、最大和最小值、分布頻率分別計算報答率.VaR (Value at Risk)the expected maximum loss (or worst loss) over a target horizon within a given confidence interval.例子HPR的方差HPR的規(guī)范差.Annual rates of return, 1926-1999.The trade-off between risk and return普通來說，高收益伴隨著高風(fēng)險The equity premium for

10、the market of U.S. from 1926-2002 is 5.9% .W = 100W1 = 150 Profit = 50W2 = 80 Profit = -20p = .61-p = .4E(W) = pW1 + (1-p)W2 = 6 (150) + .4(80) = 122s2 = pW1 - E(W)2 + (1-p) W2 - E(W)2 =.6 (150-122)2 + .4(80=122)2 = 1,176,000s = 34.293Example: Risk - Uncertain Outcomes.W1 = 150 Profit = 50W2 = 80 Pr

11、ofit = -20p = .61-p = .4100Risky Inv.Risk Free T-billsProfit = 5Risk Premium = 17Example: Risky Investments with Risk-Free Investment.The question of whether a given risk premium provides adequate compensation for the investments risk is age-old. One of central concerns of finance theory is the meas

12、urement of risk and the determination of the risk premiums that investors can expect of risky assets in well-function capital markets. 投資者的選擇方式投資者的成效函數(shù)例子最大化成效函數(shù).5.1 風(fēng)險厭惡例子: a lottery where you will either receive $50,000 if a coin lands heads and lose $20,000 if it lands tails compare this with gett

13、ing $15,000 for suremost people would prefer the sure $15,000: both choices offer an expected reward of $15,000 but one of them also has risk, which we dislikeif the sure thing reward was only $10,000, you might choose the lottery instead.Risk averse.Stock offer higher average returns than bonds bec

14、ause:People are risk averse: to be willing to hold a risky security they must receive higher expected return as a reward for doing so.The additional average returns from stocks should reflect the greater riskiness of stocks.Finance theory says:Average returns over long periods of time are determined

15、 by risk.How much extra return do we need to be compensated for the additional risk?Is the 6% equity premium enough? Is it too much?Equity premium puzzleEconomist have had trouble justifying a premium as big as 6% on the basis of risk.成效 財富.5.2風(fēng)險便好例子.5.3 風(fēng)險中性例子.5.4 風(fēng)險逃避者的無差別曲線當(dāng)資產(chǎn)的報答率 服從以 為均值，以 為規(guī)范差的

16、正態(tài)分布時，風(fēng)險厭惡者的報答與風(fēng)險之間的邊沿替代率是正的，無差別曲線是凸的，并且，位于更西北方向的無差別曲線的成效更高。例子： .圖1：風(fēng)險逃避者的無差別曲線.不同風(fēng)險厭惡程度.無差別曲線不能相交.假設(shè)：一切風(fēng)險厭惡者的無差別曲線如圖1所示，在均值-規(guī)范差平面上，為嚴厲增的凸函數(shù)，并且，越在西北方向的無差別曲線，其成效越高。.6. Asset risk and portfolio riskInvestors must take account of the interplay between asset returns when evaluating the risk of a portfol

17、ioThe risk of individual asset in a portfolio must be measured in the context of the effect of their return on overall portfolio variability.ExampleBest Candy stockSugarKane stockNormal Year for SugarAbnormal YearBullish Stock MarketBearish Stock MarketSugar CrisisProbabilityRate of return2

18、5%10%-25%Normal Year for SugarAbnormal YearBullish Stock MarketBearish Stock MarketSugar CrisisProbabilityRate of return13%2.5%35%.The reward and risk of three alternative (the rate of return of T-bills is 5%)PortfolioExpected ReturnStandard DeviationAll in Best Candy10.05%18.9%Half in T-bi

19、lls7.75%9.45%Half in SugarKane8.25%4.83%.7. 證券定價方法個人定價(Personal Valuation)這種定價在只需一種證券時是正確的。 例如，寵物的價錢市場定價(Market Valuation)A security need not and should not be valued without considering available alternatives. Current market values of other securities provide important information, because a securi

20、ty is seldom so unique that nothing else is comparable. Security valuation should not be done in a vacuum, it should instead be performed in a market context.-W. F. Sharpe, etc.定價是相對的.保險中的例子： 假設(shè)一種人身保險，對象為60歲安康的老人：假設(shè)從投保之日起，在一年之內(nèi)被投保人去世，保險公司支付投保人100000元，否那么，保險公司不支付任何款項。這種險種的價錢為2300元。如今，某公司60歲的總裁向他貸款，條件

21、是，假設(shè)一年后他還健在，他支付給他100000元，否那么，他回收不了任何貸款。問題是，他究竟應(yīng)該貸多少給這位總裁。. 代表這位總裁答應(yīng)支付給他100000元的這份協(xié)議，其實是他購買的一份證券，從這個角度來看，問題變成，這份證券的價錢為多少？.由無套利原理，這個價錢顯然依賴于市場上已有的證券：保險公司的保險和無風(fēng)險利率。作為投資者，他將利用套期保值來對沖投資的風(fēng)險。假設(shè)無風(fēng)險利率為=8%。他貸款給公司總裁即，他以價錢買了一份證券，再花2300元給這位總裁買一份保險。一年后，假設(shè)這位總裁去世，他不能追回任何貸款，但他得到保險公司的賠償100000元。假設(shè)這位總裁健在，保險公司不會支付任何賠償，但他

22、按照協(xié)議從這位總裁處得到100000元。所以，無論哪種情況發(fā)生，他都會得到100000元。這正是金融學(xué)方法論的本質(zhì)所在：利用知價錢證券來模擬未知價錢，以到達定價之目的。.下表列出了本例中套期保值的過程。證券 不確定事件總裁去世 總裁健在 本錢貸款 0 100000元 P保險 100000元 0 2300元總和 100000元 100000元 92592.59元由無風(fēng)險利率，無風(fēng)險證券組合如今的價錢為92592.59元。由此，他如今貸款為 P =90292.59元。.證券市場定價定價公式資產(chǎn)價錢運動的緣由為了定價我們需求現(xiàn)金流需求報答率.折現(xiàn)值公式 =riskless nominal interest rate+risk premium =real interest rate +expected inflation+risk premium 稱為折現(xiàn)率期望報答率需求報答率.股價運動的緣由未來紅利的預(yù)期值發(fā)生變化現(xiàn)金流折現(xiàn)率發(fā)生變化無風(fēng)險利率風(fēng)險酬金風(fēng)險量變化投資者需求的每單位風(fēng)險補償發(fā)生變化風(fēng)險價錢.Understanding the effect of economic reportsBonds and Inflationif news comes out that inflation is higher than expected, b