公司理財(精要版·原書第12版)中文Ch13-報酬、風險與證券市場線課件

1、第 13 章報酬、風險與證券市場線Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.第 13 章報酬、風險與證券市場線Copyright 2學會如何計算期望報酬率、方差和標準差掌握多樣性的影響總結(jié)系統(tǒng)風險原則描述證券市場線和風險報酬抉擇學習目標Copyright 2019 McGraw-Hill Education.All rights reserv

2、ed. No reproduction or distribution without the prior written consent of McGraw-Hill Education.學會如何計算期望報酬率、方差和標準差學習目標Copyrigh期望報酬率和方差投資組合宣告、意外事項和期望報酬率風險：系統(tǒng)的和非系統(tǒng)的分散化與投資組合風險系統(tǒng)風險與貝塔系數(shù)證券市場線證券市場線與資本成本：預(yù)習章節(jié)綱要Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without

3、the prior written consent of McGraw-Hill Education.期望報酬率和方差章節(jié)綱要Copyright 2019 M期望報酬率是基于未來可能結(jié)果的概率在此情形中，“期望”是指該過程重復(fù)多次的平均值“期望”報酬甚至不一定是可能出現(xiàn)的報酬期望報酬率Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.期望報酬率是基于

4、未來可能結(jié)果的概率期望報酬率Copyrigh假設(shè)你已經(jīng)預(yù)測了以下三種可能的經(jīng)濟狀況下股票C和T的收益，期望報酬率是多少？經(jīng)濟狀況發(fā)生概率 C T_景氣0.30.150.25正常0.50.100.20蕭條 ? 0.02 0.01RC = 0.3(15) + 0.5(10) + 0.2(2) = 9.9%RT = 0.3(25) + 0.5(20) + 0.2(1) = 17.7%示例: 期望報酬率Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the

5、 prior written consent of McGraw-Hill Education.假設(shè)你已經(jīng)預(yù)測了以下三種可能的經(jīng)濟狀況下股票C和T的收益，期方差和標準差衡量了報酬率的波動性在整個可能性范圍內(nèi)使用不相等的概率偏差平方的加權(quán)平均值方差和標準差Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.方差和標準差衡量了報酬率的波動性方差和標準差Co

6、pyrigh回到前面的例子，每只股票的方差和標準差是多少？股票 C2 = 0.3(0.15-0.099)2 + 0.5 (0.10-0.099)2 + 0.2 (0.02-0.099)2 = 0.002029 = 4.50%股票 T2 = 0.3 (0.25-0.177)2 + 0.5 (0.20-0.177)2 + 0.2 (0.01-0.177)2 = 0.007441 = 8.63%示例:方差和標準差Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution witho

7、ut the prior written consent of McGraw-Hill Education.回到前面的例子，每只股票的方差和標準差是多少？示例:方差和標考慮以下信息:經(jīng)濟狀況發(fā)生概率 報酬率景氣0.25 0.15正常0.50 0.08放緩 0.15 0.04蕭條 0.10-0.03期望報酬率是多少？方差是多少？標準差是多少？另一示例Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent o

8、f McGraw-Hill Education.考慮以下信息:另一示例Copyright 2019 Mc投資組合是資產(chǎn)的集合一項資產(chǎn)風險和報酬的重要性在于它們對投資組合的風險和報酬產(chǎn)生影響與單個資產(chǎn)一樣，投資組合的風險報酬通過投資組合的期望收益率和標準差來衡量投資組合Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.投資組合是資產(chǎn)的集合投資組合Cop

9、yright 2019假設(shè)你有15,000美元的投資資金，并且購買了以下金額的證券。你在每種證券中的投資組合權(quán)重是多少？$2000 的 C$3000 的 KO$4000 的 INTC$6000 的 BP示例:投資組合權(quán)重C: 2/15 = 0.133KO: 3/15 = 0.2INTC: 4/15 = 0.267BP: 6/15 = 0.4Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of Mc

10、Graw-Hill Education.假設(shè)你有15,000美元的投資資金，并且購買了以下金額的證券投資組合的期望報酬率是投資組合中各個資產(chǎn)的期望報酬率的加權(quán)平均值你還可以像我們對單個資產(chǎn)所做的那樣，通過查找每種可能經(jīng)濟狀況下的投資組合報酬率來計算期望報酬率投資組合的期望報酬率Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.投資組合的期望報酬率是投

11、資組合中各個資產(chǎn)的期望報酬率的加權(quán)平考慮之前計算的投資組合權(quán)重。 如果單只股票具有以下期望報酬率，那么投資組合的期望報酬率是多少？C: 19.69%KO: 5.25%INTC: 16.65%BP: 18.24%E(RP) = 0.133(19.69%) + 0.2(5.25%) + 0.267 (16.65%) + 0.4(18.24%) = 15.41%示例:投資組合的期望報酬率Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior

12、written consent of McGraw-Hill Education.考慮之前計算的投資組合權(quán)重。 如果單只股票具有以下期望報酬率計算每種經(jīng)濟狀況下投資組合的報酬率:RP = w1R1 + w2R2 + + wmRm使用與單個資產(chǎn)相同的公式來計算投資組合的期望報酬率使用與單個資產(chǎn)相同的公式來計算投資組合的方差和標準差投資組合的方差Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of M

13、cGraw-Hill Education.計算每種經(jīng)濟狀況下投資組合的報酬率:RP = w1R1 考慮以下有關(guān)報酬和概率的信息:投資你 50% 的資金到 A資產(chǎn)經(jīng)濟狀況發(fā)生概率AB投資組合景氣 0.430%-5%12.5%蕭條 0.6 -10%25%7.5%單個資產(chǎn)的期望報酬率和標準差是多少？投資組合的期望報酬率和標準差是多少？示例: 投資組合的方差Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent

14、of McGraw-Hill Education.考慮以下有關(guān)報酬和概率的信息:示例: 投資組合的方差Copy考慮以下有關(guān)報酬和概率的信息： 經(jīng)濟狀況 發(fā)生概率 XZ 景氣0.2515%10%正常0.6010%9%蕭條 0.155%10%如果投資組合中對資產(chǎn)X的投資為6,000美元，對資產(chǎn)Z的投資為4,000美元，那么投資組合的期望報酬率和標準差是多少？另一示例: 投資組合的方差Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior w

15、ritten consent of McGraw-Hill Education.考慮以下有關(guān)報酬和概率的信息：另一示例: 投資組合的方差Co實際報酬率通常不同于期望報酬率實際報酬有預(yù)期的部分和非預(yù)期的部分在任何時候，非預(yù)期報酬可能是正數(shù)或負數(shù)長期來看，非預(yù)期的部分平均值為0期望報酬率和非期望報酬率Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.實際

16、報酬率通常不同于期望報酬率期望報酬率和非期望報酬率Cop宣告和消息包含預(yù)期部分和意外事項意外事項影響股價，繼而影響報酬當意外消息宣布或收益與預(yù)期不同時，我們會觀察到股價的波動情況，這一點非常明顯宣告和消息Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.宣告和消息包含預(yù)期部分和意外事項宣告和消息Copyright有效的市場是投資者在接收到意外消息的基

17、礎(chǔ)上進行交易的結(jié)果根據(jù)意外消息進行交易越容易，市場就越有效我們無法預(yù)測意外情況，因此有效市場使得價格變動具有隨機性有效市場Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.有效的市場是投資者在接收到意外消息的基礎(chǔ)上進行交易的結(jié)果有效系統(tǒng)風險所影響的資產(chǎn)非常多也稱為不可分散風險或市場風險包括GDP、通貨膨脹、利率等的變化。系統(tǒng)風險Copyright 2

18、019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.系統(tǒng)風險所影響的資產(chǎn)非常多系統(tǒng)風險Copyright 2非系統(tǒng)風險影響的是單個或是一小部分資產(chǎn)也稱作特有風險或具體資產(chǎn)風險包括罷工，零件短缺等非系統(tǒng)風險Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribut

19、ion without the prior written consent of McGraw-Hill Education.非系統(tǒng)風險影響的是單個或是一小部分資產(chǎn)非系統(tǒng)風險Copyri實際報酬率= 預(yù)期部分報酬率+ 意外部分報酬率意外部分報酬率=系統(tǒng)部分報酬率+ 非系統(tǒng)部分報酬率因此，實際報酬率能如下表達: 實際報酬率= 預(yù)期報酬率+ 系統(tǒng)部分報酬率+ 非系統(tǒng)部分報酬率報酬率Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior wr

20、itten consent of McGraw-Hill Education.實際報酬率= 預(yù)期部分報酬率+ 意外部分報酬率報酬率Copy投資組合分散化是將投資分散到幾種不同類別或行業(yè)的資產(chǎn)中多元化不是指持有大量資產(chǎn)例如，如果你持有50只互聯(lián)網(wǎng)股票，那你就沒有進行分散但是，如果持有的50只股票跨20個不同行業(yè)，那么你的股票就會分散化分散化Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McG

21、raw-Hill Education.投資組合分散化是將投資分散到幾種不同類別或行業(yè)的資產(chǎn)中分散化表 13-7Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.表 13-7Copyright 2019 McGraw-分散化可大大減少報酬的波動性，而不會降低期望報酬風險的降低是由于一項資產(chǎn)低于預(yù)期的回報會被另一項資產(chǎn)高于預(yù)期的回報所抵消然而，存在著一個

22、不能被分散的最低風險水平，那就是系統(tǒng)風險的部分。分散化原則Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.分散化可大大減少報酬的波動性，而不會降低期望報酬分散化原則C圖 13-1Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribut

23、ion without the prior written consent of McGraw-Hill Education.圖 13-1Copyright 2019 McGraw-這類風險是可以通過投資組合而被化解掉的風險通常被認為等同于非系統(tǒng)性風險，特有風險或具體資產(chǎn)風險如果我們僅持有一項或單一行業(yè)的資產(chǎn)，那我們將面臨著的風險本可以通過分散投資來化解可分散風險Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written c

24、onsent of McGraw-Hill Education.這類風險是可以通過投資組合而被化解掉的風險可分散風險Copy整體風險= 系統(tǒng)風險+ 非系統(tǒng)風險報酬率的標準差是對整體風險的一個度量對于極度分散化的投資組合來說，非系統(tǒng)風險非常小因此，分散化投資組合的整體風險實質(zhì)上等于系統(tǒng)風險整體風險Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.整體風

25、險= 系統(tǒng)風險+ 非系統(tǒng)風險整體風險Copyright承擔風險會有回報承擔不必要的風險是沒有回報的風險資產(chǎn)的預(yù)期回報僅取決于該資產(chǎn)的系統(tǒng)風險，因為非系統(tǒng)風險是可以分散的系統(tǒng)風險原則Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.承擔風險會有回報系統(tǒng)風險原則Copyright 2019怎樣計量系統(tǒng)風險？使用貝塔系數(shù)貝塔系數(shù)告訴我們什么？貝塔系數(shù)為1說

26、明這項資產(chǎn)的系統(tǒng)風險等于市場整體的系統(tǒng)風險貝塔系數(shù)小于1說明這項資產(chǎn)的系統(tǒng)風險小于市場整體的系統(tǒng)風險貝塔系數(shù)大于1說明這項資產(chǎn)的系統(tǒng)風險大于市場整體的系統(tǒng)風險計量系統(tǒng)風險Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.怎樣計量系統(tǒng)風險？計量系統(tǒng)風險Copyright 201表 13-8 貝塔系數(shù)Copyright 2019 McGraw-Hill

27、Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.表 13-8 貝塔系數(shù)Copyright 2019 M考慮以下信息: 標準差 貝塔系數(shù)資產(chǎn) C 20%1.25資產(chǎn) K30%0.95哪項資產(chǎn)的整體風險較高？哪項資產(chǎn)的系統(tǒng)風險較高？哪項資產(chǎn)應(yīng)該有更高的期望報酬率？整體風險和系統(tǒng)風險Copyright 2019 McGraw-Hill Education.All rights reserved. No re

28、production or distribution without the prior written consent of McGraw-Hill Education.考慮以下信息:整體風險和系統(tǒng)風險Copyright 20許多網(wǎng)站都提供了公司的貝塔系數(shù)雅虎財務(wù)在其“主要統(tǒng)計信息”部分提供了貝塔系數(shù)以及許多其他信息。輸入股票代碼并獲得基本報價點擊“關(guān)鍵統(tǒng)計數(shù)據(jù)”WEB示例Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior wri

29、tten consent of McGraw-Hill Education.許多網(wǎng)站都提供了公司的貝塔系數(shù)WEB示例Copyright 考慮以下4項資產(chǎn)的信息資產(chǎn)權(quán)重 貝塔系數(shù) C0.1331.685KO0.20.195INTC0.2671.161BP0.41.434投資組合的貝塔系數(shù)是多少？0.133(1.685) + 0.2(0.195) + 0.267(1.161) + 0.4(1.434) = 1.147示例: 投資組合的貝塔系數(shù)Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or di

30、stribution without the prior written consent of McGraw-Hill Education.考慮以下4項資產(chǎn)的信息示例: 投資組合的貝塔系數(shù)Copyri風險溢價= 期望報酬率 無風險報酬率貝塔系數(shù)越高，風險溢價應(yīng)該越高我們能否定義風險溢價與貝塔系數(shù)之間的關(guān)系，以便估計期望報酬率呢？可以！貝塔系數(shù)和風險溢價Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent

31、 of McGraw-Hill Education.風險溢價= 期望報酬率 無風險報酬率貝塔系數(shù)和風險溢價Co示例: 投資組合的期望報酬率和貝塔系數(shù)RfE(RA)ACopyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.示例: 投資組合的期望報酬率和貝塔系數(shù)RfE(RA)ACo報酬風險比率是上面例子中直線的斜率斜率 = (E(RA) Rf) / (A 0)

32、上面例子的報酬風險比率= (20 8) / (1.6 0) = 7.5如果資產(chǎn)的報酬風險比率為8會發(fā)生什么？（意味著該資產(chǎn)落在線的上方）如果資產(chǎn)的報酬風險比率為7會發(fā)生什么？（意味著該資產(chǎn)落在線的下方）報酬風險比率：定義和示例Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.報酬風險比率是上面例子中直線的斜率報酬風險比率：定義和示例C在均衡狀態(tài)下，所

33、有資產(chǎn)和投資組合具有相同的報酬風險比率，并且都等于市場的報酬風險比率市場均衡Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.在均衡狀態(tài)下，所有資產(chǎn)和投資組合具有相同的報酬風險比率，并且證券市場線(SML)是市場均衡的表現(xiàn)證券市場線的斜率就是報酬風險比率 : (E(RM) Rf) / M但由于市場的貝塔系數(shù)始終等于，因此斜率能表示為SML斜率 = E

34、(RM) Rf =市場風險溢價證券市場線Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.證券市場線(SML)是市場均衡的表現(xiàn)證券市場線Copyrig資本資產(chǎn)定價模型定義了風險與報酬之間的關(guān)系E(RA) = Rf + A(E(RM) Rf)如果我們知道一項資產(chǎn)的系統(tǒng)風險，那我們可以用CAPM模型確定其期望報酬率不管是金融資產(chǎn)還是實物資產(chǎn)資本資產(chǎn)定價模

35、型(CAPM)Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.資本資產(chǎn)定價模型定義了風險與報酬之間的關(guān)系資本資產(chǎn)定價模型(貨幣的純粹時間價值:通過無風險利率來計量承擔系統(tǒng)風險的回報:通過市場風險溢價來計量系統(tǒng)風險的大小: 通過貝塔系數(shù)來計量影響期望報酬率的因素Copyright 2019 McGraw-Hill Education.All rights reserved. No reproduction or distribution without the prior written consent of McGraw-Hill Education.貨幣的純粹時間價值:通過無風險利率來計量影響期望報酬率的因素考慮以下每項資產(chǎn)的貝塔系數(shù)，如果無風險利率3.15% ，市場風險溢價是7.5%，每項資產(chǎn)的期望報酬率是多少？資產(chǎn) 貝塔系數(shù)期望報酬率 JNJ0.673.15 + 0.67(7.5) = 8.18% TWTR0.853.15 + 0.85(7.5) = 9.53% TSLA1.193.15 + 1.19(7.5) = 12.08