投资学：Chap009.ppt

1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin CHAPTER 9 The Capital Asset Pricing Model INVESTMENTS | BODIE, KANE, MARCUS It is the equilibrium model that underlies all modern financial theory Derived using principles of div

2、ersification with simplified assumptions Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development Capital Asset Pricing Model (CAPM) INVESTMENTS | BODIE, KANE, MARCUS Assumptions Individual investors are price takers Single-period investment horizon Investments are limited

3、 to traded financial assets No taxes and transaction costs Information is costless and available to all investors Investors are rational mean-variance optimizers There are homogeneous expectations INVESTMENTS | BODIE, KANE, MARCUS All investors will hold the same portfolio for risky assets market po

4、rtfolio Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value Resulting Equilibrium Conditions INVESTMENTS | BODIE, KANE, MARCUS Risk premium on the market depends on the average risk aversion of all market participants

5、 Risk premium on an individual security is a function of its covariance with the market Resulting Equilibrium Conditions INVESTMENTS | BODIE, KANE, MARCUS Figure 9.1 The Efficient Frontier and the Capital Market Line INVESTMENTS | BODIE, KANE, MARCUS Market Risk Premium The risk premium on the marke

6、t portfolio will be proportional to its risk and the degree of risk aversion of the investor: 2 2 () where is the variance of the market portolio and is the average degree of risk aversion across investors MfM M E rrA A INVESTMENTS | BODIE, KANE, MARCUS The risk premium on individual securities is a

7、 function of the individual securitys contribution to the risk of the market portfolio. An individual securitys risk premium is a function of the covariance of returns with the assets that make up the market portfolio. Return and Risk For Individual Securities INVESTMENTS | BODIE, KANE, MARCUS GE Ex

8、ample Covariance of GE return with the market portfolio: Therefore, the reward-to-risk ratio for investments in GE would be: 11 (,),( ,) nn GEMGEk kkkGE kk Cov rrCov rw rw Cov r r ()() GEs contribution to risk premium GEs contribution to variance(,)(,) GEGEf GEf GEGEMGEM wE rrE rr w Cov rrCov rr INV

9、ESTMENTS | BODIE, KANE, MARCUS GE Example Reward-to-risk ratio for investment in market portfolio: Reward-to-risk ratios of GE and the market portfolio should be equal: 2 () Market risk premium Market variance Mf M E rr 2 , M fM MGE fGE rrE rrCov rrE INVESTMENTS | BODIE, KANE, MARCUS GE Example The

10、risk premium for GE: Restating, we obtain: fM M MGE fGE rrE rrCOV rrE 2 , fMGEfGE rrErrE INVESTMENTS | BODIE, KANE, MARCUS Expected Return-Beta Relationship CAPM holds for the overall portfolio because: This also holds for the market portfolio: P ()( ) and Pkk k kk k E rw E r w ()() MfMMf E rrE rr I

11、NVESTMENTS | BODIE, KANE, MARCUS Figure 9.2 The Security Market Line INVESTMENTS | BODIE, KANE, MARCUS Figure 9.3 The SML and a Positive-Alpha Stock INVESTMENTS | BODIE, KANE, MARCUS The Index Model and Realized Returns To move from expected to realized returns, use the index model in excess return

12、form: The index model beta coefficient is the same as the beta of the CAPM expected return-beta relationship. iiiMi RRe INVESTMENTS | BODIE, KANE, MARCUS Figure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-1991 INVESTMENTS | BODIE, KANE, MARCUS Is the CAPM Practical? CAPM is the best model t

13、o explain returns on risky assets. This means: Without security analysis, is assumed to be zero. Positive and negative alphas are revealed only by superior security analysis. INVESTMENTS | BODIE, KANE, MARCUS Is the CAPM Practical? We must use a proxy for the market portfolio. CAPM is still consider

14、ed the best available description of security pricing and is widely accepted. INVESTMENTS | BODIE, KANE, MARCUS Econometrics and the Expected Return- Beta Relationship Statistical bias is easily introduced. Miller and Scholes paper demonstrated how econometric problems could lead one to reject the C

15、APM even if it were perfectly valid. INVESTMENTS | BODIE, KANE, MARCUS Extensions of the CAPM Zero-Beta Model Helps to explain positive alphas on low beta stocks and negative alphas on high beta stocks Consideration of labor income and non-traded assets INVESTMENTS | BODIE, KANE, MARCUS Extensions o

16、f the CAPM Mertons Multiperiod Model and hedge portfolios Incorporation of the effects of changes in the real rate of interest and inflation Consumption-based CAPM Rubinstein, Lucas, and Breeden Investors allocate wealth between consumption today and investment for the future INVESTMENTS | BODIE, KA

17、NE, MARCUS Liquidity and the CAPM Liquidity: The ease and speed with which an asset can be sold at fair market value Illiquidity Premium: Discount from fair market value the seller must accept to obtain a quick sale. Measured partly by bid-asked spread As trading costs are higher, the illiquidity di

18、scount will be greater. INVESTMENTS | BODIE, KANE, MARCUS Figure 9.5 The Relationship Between Illiquidity and Average Returns INVESTMENTS | BODIE, KANE, MARCUS Liquidity Risk In a financial crisis, liquidity can unexpectedly dry up. When liquidity in one stock decreases, it tends to decrease in other stocks at the same time. Investors demand compensation for liquidity risk Liquidity betas