現(xiàn)代企業(yè)資本市場理論分析

現(xiàn)代企業(yè)資本市場理論分析9.1 Returns:VeryImportantDollarReturnsthesumofthecashreceivedandthechangeinvalueoftheasset,indollars.Time01InitialinvestmentEndingmarketvalueDividendsPercentageReturns:thesumofthecashreceivedandthechangeinvalueoftheassetdividedbytheoriginalinvestment.Frequently:rt=ln(1+(pt-pt-1+dt)/pt-1)isbetterformodeling.Fechner’sLaw:responseisproportionaltostimulusDollarReturn=Dividend+ChangeinMarketValue9.1 Returns9.1 Returns:ExleSupposeyoubought100sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(=20centspershare×100shares).Attheendoftheyear,thestocksellsfor$30.Howdidyoudo?Quitewell.Youinvested$25*100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,000–$2,500).Yourpercentagegainfortheyearis9.1 Returns:ExleDollarReturns$520gainTime01-$2,500$3,000$20PercentageReturns9.2 Holding-PeriodReturnsTheholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnperiods,whenthereturnduringperiodiisgivenasri:HoldingPeriodReturn:ExleSupposeyourinvestmentprovidesthefollowingreturnsoverafour-yearperiod.[NotethatthisisaPV,NOTNPVHoldingPeriodReturn:ExleAninvestorwhoheldthisinvestmentwouldhaveactuallyrealizedanannualreturnof9.58%:So,ourinvestormade9.58%onhismoneyforfouryears,realizingaholdingperiodreturnof44.21%HoldingPeriodReturnsAfamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks,bonds,andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield.Theypresentyear-by-yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates:Large-CompanyCommonStocksSmall-companyCommonStocksLong-TermCorporateBondsLong-TermU.S.GovernmentBondsU.S.TreasuryBillsTheFutureValueofanInvestmentof$1in1926$40.22$15.64Source:?Stocks,Bonds,Bills,andInflation

2000Yearbook?,IbbotsonAssociates,Inc.,Chicago(annuallyupdatesworkbyRogerG.IbbotsonandRexA.Sinquefield).Allrightsreserved.HistoricalReturns,1926-1999Source:?Stocks,Bonds,Bills,andInflation

2000Yearbook?,IbbotsonAssociates,Inc.,Chicago(annuallyupdatesworkbyRogerG.IbbotsonandRexA.Sinquefield).Allrightsreserved.Chartisapproximate.–90%+90%0%

Average Standard

Series AnnualReturnDeviation DistributionLargeCompanyStocks 13.0% 20.3%SmallCompanyStocks 17.7 33.9Long-TermCorporateBonds 6.1 8.7Long-TermGovernmentBonds 5.6 9.2U.S.TreasuryBills 3.8 3.2Inflation 3.2 4.5 9.4AverageStockReturnsandRisk-FreeReturnsTheRiskPremiumistheadditionalreturn(overandabovetherisk-freerate,rF)resultingfrombearingrisk.Oneofthemostsignificantobservationsofstockmarketdataisthislong-runexcessofstockreturnovertherisk-freereturn.Theaverageexcessreturnfromlargecompanycommonstocksfortheperiod1926through1999was9.2%=13.0%–3.8%Theaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through1999was13.9%=17.7%–3.8%Theaverageexcessreturnfromlong-termcorporatebondsfortheperiod1926through1999was2.3%=6.1%–3.8%RiskPremiaSupposethatTheWallStreetJournalannouncedthatthecurrentrateforone-yearTreasurybillsis5%.Whatistheexpectedreturnonthemarketofsmall-companystocks?Recallthattheaverageexcessreturnfromsmallcompanycommonstocksfortheperiod1926through1999was13.9%Givenarisk-freerateof5%,wehaveanexpectedreturnonthemarketofsmall-companystocksof18.9%=13.9%+5%TheRisk-ReturnTradeoffRatesofReturn1926-1999Source:?Stocks,Bonds,Bills,andInflation

2000Yearbook?,IbbotsonAssociates,Inc.,Chicago(annuallyupdatesworkbyRogerG.IbbotsonandRexA.Sinquefield).Allrightsreserved.RiskPremiumsRateofreturnonT-billsisessentiallyrisk-free:defaultrisk-free.Investinginstocksisrisky,buttherearecompensations.ThedifferencebetweenthereturnonT-billsandstocksistheriskpremiumforinvestinginstocks.AnoldsayingonWallStreetis“Youcaneithersleepwelloreatwell.”9.5 RiskStatisticsThereisnouniversallyagreed-upondefinitionofrisk.Themeasuresofriskthatwediscussarevarianceandstandarddeviation.Thestandarddeviationisthestandardstatisticalmeasureofthespreadofasle,anditwillbethemeasureweusemostofthistime.Itsinterpretationisfacilitatedbyadiscussionofthenormaldistribution.NormalDistributionAlargeenoughsledrawnfromanormaldistributionlookslikeabell-shapedcurve.ProbabilityReturnon

largecompanycommon

stocks68%95%>99%–3

–47.9%–2

–27.6%–1

–7.3%0

13.0%+1

33.3%+2

53.6%+3

73.9%theprobabilitythatayearlyreturnwillfallwithin20.1percentofthemeanof13.3percentwillbeapproximately2/3.Note:returnsforindividualassetsusuallyarenotnormallydistributed.NormalDistributionThe20.1-percentstandarddeviationwefoundforstockreturnsfro