投资学-第六讲-因素模型与套利定价理论课件.ppt

1、(ri-rf)=i+i(rm-rf)+eia aRisk PremRisk PremMarket Risk PremMarket Risk Prem or Index Risk Prem or Index Risk Premi i 市场超额收益市场超额收益(rm-rf)=0(rm-rf)=0时的股票预期收益率时的股票预期收益率i(rm-rf)=i(rm-rf)=随整个市场运动的收益成分随整个市场运动的收益成分ei=ei=不受市场影响的公司特有事件不受市场影响的公司特有事件a aLet:Ri=(ri-rf)Rm=(rm-rf)Risk premiumformat就有就有：Ri =a ai+i(R

2、m)+eiExcess Returns(i)Excess Returns(i)SCLSCL.Excess returnsExcess returnson market indexon market indexRi=Ri=i+iRm+ei i+iRm+ei.截距-2.59%斜率1.1357Jan.Jan.Feb.Feb.DecDec中值中值标准差标准差5.415.41-3.44-3.44.2.432.43-.60-.604.974.977.247.24.93.93.3.903.901.751.753.323.32市场超额收益市场超额收益GMGM的超额收益的超额收益估计系数估计系数估计的标准差估计

3、的标准差特有事件特有事件 残差项残差项 的方差的方差=12.60%=12.60%残差项的标准差残差项的标准差=3.55%=3.55%R-SQR=0.575 R-SQR=0.575 证券特征线证券特征线 Security Characteristic Line Security Characteristic Line-2.590-2.590(1.547)(1.547)1.13571.1357(0.309)(0.309)rGM-rf=+(rm-rf)rGM-rf=+(rm-rf)(1112222111PMPNiPPNiPPNiPPPPPPeeNeNNeRpaaaNumber of Number o

4、f SecuritiesSecuritiesSt.DeviationSt.DeviationMarket RiskMarket RiskUnique RiskUnique Risks2(eP)=s2(e)/ns2(eP)=s2(e)/nbP2sM2bP2sM2.:E.Ret.E.Ret.St.Dev.St.Dev.*P P*D DShort 3 shares of D and buy 1 of A,B&C to form P.Short 3 shares of D and buy 1 of A,B&C to form P.You earn a higher rate on the invest

5、ment than you pay on the You earn a higher rate on the investment than you pay on the short sale.short sale.FE(r)%PortfolioFE(r)%Individual SecurityE(r)%Beta for FBeta for F1076Risk Free 4ADC.51.0E(r)%Beta(Market Index)Beta(Market Index)Risk Free M1.0E(rM)-rfE(rM)-rfMarket Risk PremiumMarket Risk Premium APT with Market Index Portfolio