大学课件:公司金融学ch03.ppt
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1、3-1CHAPTER 3 Risk and ReturnnBasic return conceptsnBasic risk conceptsnStand-alone risknPortfolio(market)risknRisk and return:CAPM/SML3-2What are investment returns?nInvestment returns measure the financial results of an investment.nReturns may be historical or prospective(anticipated).nReturns can
2、be expressed in:lDollar terms.lPercentage terms.3-3What is the return on an investment that costs$1,000 and is soldafter 1 year for$1,100?nDollar return:nPercentage return:$Received -$Invested$1,100 -$1,000 =$100.$Return/$Invested$100/$1,000 =0.10=10%.3-4What is investment risk?nTypically,investment
3、 returns are not known with certainty.nInvestment risk pertains to the probability of earning a return less than that expected.nThe greater the chance of a return far below the expected return,the greater the risk.3-5Probability distributionRate ofreturn(%)50150-20Stock XStock Yn Which stock is risk
4、ier?Why?3-6Assume the FollowingInvestment AlternativesEconomyProb.T-BillHTCollUSRMPRecession 0.10 8.0%-22.0%28.0%10.0%-13.0%Below avg.0.20 8.0-2.0 14.7-10.0 1.0Average 0.40 8.0 20.0 0.0 7.0 15.0Above avg.0.20 8.0 35.0-10.0 45.0 29.0Boom 0.10 8.0 50.0-20.0 30.0 43.0 1.003-7What is unique about the T-
5、bill return?nThe T-bill will return 8%regardless of the state of the economy.nIs the T-bill riskless?Explain.3-8Do the returns of HT and Collections move with or counter to the economy?nHT moves with the economy,so it is positively correlated with the economy.This is the typical situation.nCollectio
6、ns moves counter to the economy.Such negative correlation is unusual.3-9Calculate the expected rate of return on each alternative.n1=iiiPr=rr=expected rate of return.rHT=0.10(-22%)+0.20(-2%)+0.40(20%)+0.20(35%)+0.10(50%)=17.4%.3-10n HT has the highest rate of return.n Does that make it best?rHT17.4%
7、Market15.0USR13.8T-bill 8.0Collections 1.73-11What is the standard deviationof returns for each alternative?.Variance deviation Standard 122niiiPrr3-12 T-bills=0.0%.HT=20.0%.Coll=13.4%.USR=18.8%.M=15.3%.12niiiPrrHT:=(-22-17.4)20.10+(-2-17.4)20.20 +(20-17.4)20.40+(35-17.4)20.20 +(50-17.4)20.10)1/2=20
8、.0%.3-13Prob.Rate of Return(%)T-billUSRHT0813.817.43-14nStandard deviation measures the stand-alone risk of an investment.nThe larger the standard deviation,the higher the probability that returns will be far below the expected return.nCoefficient of variation is an alternative measure of stand-alon
9、e risk.3-15Expected Return versus RiskExpectedSecurityreturnRisk,HT 17.4%20.0%Market 15.0 15.3USR 13.8 18.8T-bills 8.0 0.0Collections 1.7 13.43-16Coefficient of Variation:CV=Expected return/standard deviation.CVT-BILLS=0.0%/8.0%=0.0.CVHIGH TECH=20.0%/17.4%=1.1.CVCOLLECTIONS=13.4%/1.7%=7.9.CVU.S.RUBB
10、ER=18.8%/13.8%=1.4.CVM=15.3%/15.0%=1.0.3-17Expected Return versus Coefficient of VariationExpectedRisk:Risk:Securityreturn CVHT 17.4%20.0%1.1Market 15.0 15.31.0USR 13.8 18.81.4T-bills 8.0 0.00.0Collections 1.7 13.47.93-18Return vs.Risk(Std.Dev.):Which investment is best?T-billsColl.MktUSRHT0.0%2.0%4
11、.0%6.0%8.0%10.0%12.0%14.0%16.0%18.0%20.0%0.0%5.0%10.0%15.0%20.0%25.0%Risk(Std.Dev.)Return3-19Portfolio Risk and ReturnAssume a two-stock portfolio with$50,000 in HT and$50,000 in Collections.Calculate rp and p.3-20Portfolio Return,rprp is a weighted average:rp=0.5(17.4%)+0.5(1.7%)=9.6%.rp is between
12、 rHT and rColl.rp=wiri ni=13-21Alternative Methodrp=(3.0%)0.10+(6.4%)0.20+(10.0%)0.40 +(12.5%)0.20+(15.0%)0.10=9.6%.Estimated Return(More.)EconomyProb.HTColl.Port.Recession 0.10-22.0%28.0%3.0%Below avg.0.20 -2.0 14.7 6.4Average 0.40 20.0 0.0 10.0Above avg.0.20 35.0-10.0 12.5Boom 0.10 50.0-20.0 15.03
13、-22n p=(3.0-9.6)20.10+(6.4-9.6)20.20+(10.0-9.6)20.40+(12.5-9.6)20.20 +(15.0-9.6)20.10)1/2 =3.3%.n p is much lower than:leither stock(20%and 13.4%).laverage of HT and Coll(16.7%).nThe portfolio provides average return but much lower risk.The key here is negative correlation.3-23Two-Stock PortfoliosnT
14、wo stocks can be combined to form a riskless portfolio if r r=-1.0.nRisk is not reduced at all if the two stocks have r r=+1.0.nIn general,stocks have r r 0.65,so risk is lowered but not eliminated.nInvestors typically hold many stocks.nWhat happens when r r=0?3-24What would happen to therisk of an
15、average 1-stockportfolio as more randomlyselected stocks were added?n p would decrease because the added stocks would not be perfectly correlated,but rp would remain relatively constant.3-25Large015Prob.21 1 35%;Large 20%.Return3-26#Stocks in Portfolio102030 40 2,000+Company Specific(Diversifiable)R
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