英文版公司理財課件cha

Chapter10Introductiontorisk,return,andtheopportunitycostofcapital1英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第1頁!ObjectivesEstimatetheopportunitycostofcapitalforan“average-risk”projectCalculatethestandarddeviationofreturnforindividualmonstocksorforastockportfolioUnderstandwhydiversificationreducesriskDistinguishbetweenuniquerisk,whichcanbediversifiedaway,andmarketriskwhichcannot2英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第2頁!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk3英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第3頁!Wheninvestorsbuyastockorabond,theirreturnesintwoforms:(1)Adividendorinterestpaymentand(2)Acapitalgainoracapitalloss4英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第4頁!problemSupposeyoubought100sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(20centspershare×100shares).Attheendoftheyear,thestocksellsfor$30.Howdidyoudo?5英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第5頁!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk6英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第6頁!Whenyouinvestinastock,youdon’tknowwhatreturnyouwillearn.Butbylookingatthehistoryofsecurityreturns,youcangetsomeidea7英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第7頁!MarketindexesFinancialanalystscan’ttraceeverystock,sotheyrelyonmarketindexestosummarizethereturnondifferentclassesofsecuritiesMarketindex:measureoftheinvestmentperformanceoftheoverallmarketDowJonesIndustrialAverage:indexoftheinvestmentperformanceofaportfolioof30“blue-chip”stocksStandard&Poor’spositeindex:indexoftheinvestmentperformanceofaportfolioof500largestocks.AlsocalledtheS&P5008英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第8頁!Thesafestinvestment,Treasurybills,hadthelowestratesofreturn.Long-termgovernmentbondsgaveslightlyhigherreturnsthanTreasurybillsMaturitypremium:extraaveragereturnfrominvestinginlong-versusshort-termTreasurysecuritiesMaturitypremium9英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第9頁!Thehistoricalrecordshowsthatinvestorshavereceivedariskpremiumforholdingriskyassets.Averagereturnsonhigh-riskassetsarehigherthanthoseonlow-riskassets10英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第10頁!Theexpectedreturnonaninvestmentprovidespensationtoinvestorsbothforwaiting(thetimevalueofmoney)andforworrying(theriskoftheparticularasset)Thecalculationsassumethatthereisanormal,stableriskpremiumonthemarketportfolio11英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第11頁!Variance:方差Standarddeviation:標(biāo)準(zhǔn)差A(yù)veragereturn:平均收益率12英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第12頁!Commonstocks’riskshowsupinthewidespreadofoutes;highorlowreturnsforTreasurybondsandbillsaremuchlessmon.InvestorsinTreasurybondsandbillscouldbemuchmoreconfidentoftheoutethanmonstockholders13英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第13頁!VarianceandstandarddeviationInvestmentriskdependsonthedispersion

分散

orspreadofpossibleoutesThestandardmeasuresarevarianceandstandarddeviationVariance:averagevalueofsquareddeviations離差

frommean(均值).Ameasureofvolatility分散性Standarddeviation:squarerootofvariance.Anothermeasureofvolatility14英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第14頁!rt=returnfortheithoute

prt=probabilityofoccurrenceoftheithoute

n=numberofoutesconsidered15英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第15頁!Thelargerthestandarddeviation,themorevariableareaninvestment’sreturnsandriskieristheinvestment.Astandarddeviationofzeroindicatesnovariabilityandthusnorisk.16英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第16頁!17英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第17頁!Asexpected,Treasurybillsweretheleastvariablesecurity,andsmall-firmstockswerethemostvariable.Governmentandcorporatebondsholdthemiddleground.18英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第18頁!expectedrateofreturnforStockX=18%expectedrateofreturnforStockY=18%StockXappearsriskierthanStockYbecausepossiblereturnsfromXaremorevariable,measuredbyitsstandarddeviationof13.91percent,thanthosefromStockY,whichhaveastandarddeviationofonly5.06percent19英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第19頁!Diversification:分散投資Portfolio:投資組合Unique

riskordiversifiablerisk:特有風(fēng)險或可分散風(fēng)險Marketriskorsystematicrisk:市場風(fēng)險或系統(tǒng)風(fēng)險20英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第20頁!Dothesestandarddeviationslookhightoyou?Amazon.68.2%DellComputer45.5Ford42.7Boeing33.8McDonald’s28.1GeneralElectric24.3Wal-Mart23.1H.J.Heinz21.8Pfizer20.4ExxonMobil15.721英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第21頁!Noticethatdiversification

reducesriskrapidlyat

first,thenmoreslowly.Evenalittlediversificationcanprovideasubstantialreductioninvariability.

22英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第22頁!Portfoliodiversificationworksbecausepricesofdifferentstocksdonotmoveexactlytogether.Diversificationworksbestwhenthereturnsarenegativelycorrelated.23英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第23頁!24英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第24頁!1.Investorscareabouttheexpectedreturnandriskoftheirportfolioofassets.Theriskoftheoverallportfoliocanbemeasuredbythevolatilityofreturns,thatis,thevarianceorstandarddeviationSummary25英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第25頁!Diversificationreducesthespreadofreturns26英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第26頁!Diversificationeliminatesuniquerisk.Butthereissomeriskthatdiversificationcannoteliminate.Thisiscalledmarketrisk27英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第27頁!Marketrisk:economywide(macroeconomic)sourcesofriskthataffecttheoverallstockmarket.Alsocalledsystematicrisk.Marketriskstemsfromeconomywideperilsthatthreatenallbusiness.Marketriskexplainswhystockshaveatendencytomovetogether,soevenwell-diversifiedportfoliosareexposedtomarketmovementsForareasonablywell-diversifiedportfolio,onlymarketriskmattersMarketrisk28英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第28頁!RiskdefinedInthemostbasicsense,riskisthechanceoffinancialloss.Assetshavinggreaterchancesoflossareviewedasmoreriskythanthosewithlesserchancesofloss.Moreformally,theriskisusedinterchangeablywithuncertaintytorefertothevariabilityofreturnsassociatedwithagivenasset.29英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第29頁!Percentagereturn:收益率Dividendyield:股利收益率Capitalgain:資本利得Capitalloss:資本損失Realrateofreturn:實際收益率Nominalrateofreturn:名義收益率Inflationrate:通脹率30英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第30頁!Where:rt=actual,expected,orrequiredrateofreturnduringperiodt;Dt:cashreceivedfromtheassetinvestmentinthetimeperiodt-1tot;Pt:price(value)ofassetattimet;Pt-1:price(value)ofassetattimet-1,initialpricePercentagecapitalgainRt=Dividendyield+31英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第31頁!Quitewell.Youinvested$25×100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,000–$2,500).Yourpercentagegainfortheyearis:20.8%=$2,500$52032英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第32頁!Marketindex:市場指數(shù)DowJonesIndustrialAverage:道瓊斯工業(yè)股票平均價格指數(shù)Standard&Poor’spositeindex:標(biāo)準(zhǔn)普爾綜合指數(shù)Maturitypremium:期限溢價Riskpremium:風(fēng)險溢價marketportfolio:市場組合33英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第33頁!RiskdefinedInthemostbasicsense,riskisthechanceoffinancialloss.Assetshavinggreaterchancesoflossareviewedasmoreriskythanthosewithlesserchancesofloss.Moreformally,thetermriskisusedinterchangeablywithuncertaintytorefertothevariabilityofreturnsassociatedwithagivenasset.34英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第34頁!Thehistoricalrecord35英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第35頁!RiskpremiumCommonstockswereinaclassbythemselves.Investorswhoacceptedtheriskofmonstocksreceivedonaverageanextrareturnof7.6%ayearoverthereturnonTreasurybills.ThisistheriskpremiumRiskpremium:expectedreturninexcessofrisk-freereturnaspensationforrisk36英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第36頁!TheopportunitycostofcapitalforsafeprojectsistherateofreturnofferedbysafeTreasurybillsTheopportunitycostofcapitalfor“average-risk”projectsistheexpectedreturnonthemarketportfolioUsinghistoricalevidencetoestimatetoday’scostofcapital37英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第37頁!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk38英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第38頁!Probabilitydistribution概率分布

Aprobabilitydistributionisamodelthatrelatesprobabilitiestotheassociatedoutes.Thesimplesttypeofprobabilitydistributionisthebarchart(histogram)柱狀圖,

whichshowsonlyalimitednumberofoute-probabilitycoordinates坐標(biāo).39英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第39頁!Ifweknewallthepossibleoutesandassociatedprobabilities,acontinuousprobabilitydistributioncouldbedeveloped.Thistypeofdistributioncanbethoughtofasabarchart(histogram),foraverylargenumberofoutes.Continuousprobabilitydistribution40英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第40頁!41英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第41頁!Selftest10.442英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第42頁!MeasuringthevariationinstockreturnsWhenestimatingthespreadofpossibleoutesfrominvestinginthestockmarket,mostfinancialanalystsstartbyassumingthatthespreadofreturnsinthepastisareasonableindicationofwhatcouldhappeninthefuture.Therefore,theycalculatethestandarddeviationofpastreturns43英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第43頁!Youmayfinditinterestingtoparethecoin-tossinggameandthestockmarketasalternativeinvestments.Thestockmarketgeneratedanaverageannualreturnof4.18percentwithastandarddeviationof19.54percent.Thegameoffers10and21percent,respectively—slightlylowerreturnandaboutthesamevariability.44英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第44頁!YouhaveestimatedthefollowingprobabilitydistributionsofexpectedfuturereturnsforstocksXandY:A.whatistheexpectedrateofreturnforStockX?Y?B.WhatistheSDofexpectedreturnsforStockX?Y?C.Whichstockwouldyouconsidertoberiskier?Why?StockXStockYprobabilityreturnprobabilityreturn0.210%0.2-4%0.6180.6180.2260.24045英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第45頁!ContentRatesofreturn:areviewAcenturyofcapitalmarkethistoryMeasuringriskRiskanddiversificationThinkingaboutrisk46英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第46頁!Riskisbestjudgedinaportfoliocontext環(huán)境.Mostinvestorsdonotputalltheireggsintoonebasket:Theydiversify.Thustheeffectiveriskofanysecuritycannotbejudgedbyanexaminationofthatsecurityalone.Partoftheuncertaintyaboutthesecurity’sreturnisdiversifiedawaywhenthesecurityisgroupedwithothersinaportfolio.47英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第47頁!DiversificationThemarketportfolioismadeupofindividualstocks,whyisn’titsvariabilityequaltotheaveragevariabilityofitsponents?DiversificationreducesvariabilityDiversification:strategydesignedtoreduceriskbyspreadingtheportfolioacrossmanyinvestments48英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第48頁!Supposeyoucalculateandparethestandarddeviationsofrandomlychosenone-stockportfolios,two-stockportfolios,five-stockportfolios,etc.Ahighproportionoftheinvestmentswouldbeinthestocksofsmallpaniesandindividuallyveryrisky.However,youcanseefromFigurethatdiversificationcancutthevariabilityofreturnsaboutinhalf.Noticealsothatyoucangetmostofthisbenefitwithrelativelyfewstocks:Theimprovementisslightwhenthenumberofsecuritiesisincreasedbeyond,say,20or30.49英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第49頁!AssetversusportfolioriskTheexpectedreturnoneachstockissimplytheaverageofthethreepossibleoutes.Thevarianceistheaverageofthesquareddeviationsfromtheexpectedreturn,andthestandarddeviationisthesquarerootofthevariance50英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第50頁!51英文版公司理財課件cha共56頁，您現(xiàn)在瀏覽的是第51頁!Summary2.Thestandarddeviationofthereturnsofanindividualsecuritymeasureshowriskythatsecuritywouldbeifheldinisolation.Butaninvestorwhoholdsaportfolioofsecuritiesisint