金融学教学课件bodie2echapter13.ppt

Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,1,Chapter 13:Capital Market Equilibrium,ObjectiveThe Theory of the CAPMUse of CAPM in benchmarking Using CAPM to determine correct rate for discounting,词拆挚童映搞则俐菲换凉卑辨魁康征粥克研惧炕批识走百酚绑火吏械真芜金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,2,Introduction,CAPM is a theory about equilibrium prices in the markets for risky assetsIt is important because it providesa justification for the widespread practice of passive investing called indexinga way to estimate expected rates of return for use in evaluating stocks and projects.,味绅凯舰流窖匀掣冷倾绦釉柜诅踊倒能惕煤辗适佯痊整秦某燃豆姜纫队窗金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,3,Introduction,Relationship between CAPM and other contents we have learned so far.In part III we learned the valuation of securities and projects,by using NPV-rule,but we didnt consider the influence of risk.In part IV we learned that risk should be managed by the mean-variance method,in which risk should get its reward,and would influence the valuation of portfolios or projects.CAPM would combine the previous 2 parts,and give us a tool of valuation WITH risk.,拔命凹铆悍萍研娠运邓木樊姬悉肤新傲蝎样厩报烤嚏亭孙宫视烩祭戍乃漳金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,4,Chapter 13 Contents,13.1 The Capital Asset Pricing Model in Brief13.2 Determining the Risk Premium on the Market Portfolio 13.3 Risk Premiums on Individual Securities:SML13.4 Using the CAPM in Portfolio Selection13.5 Valuation&Regulating Rates of Return13.6 Modifications and Alternatives to the CAPM,夯味铭碘痹影泰撵梧蛛扒莹吭丙摊限捏四络甫列耐赚纯傀禄嘻娠酷样圆最金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,5,13.1 The Capital Asset Pricing Model in Brief,Developed in the 1960s by Sharp,and independently by Lintner,and MossinIt answers the questionWhat would equilibrium risk premiums be if people had the same set of forecasts of expected returns,risk,and correlations all chose their portfolios according the principles of efficient diversification,惟盎炭萎狭惫衰斋眨方晰实率聊是超竭秤崔够忻拦忽腔缎乾届宽岭泻优媚金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,6,So whats wrong with ms-analysis,The assumptions of the last chapter appeared fully acceptableIn fact it may appear to be pedantic to mention them at allWhy develop a new model for risk-return if the present model aint broke?,忽铡制坠削闷牌衷耶腐宣弦汗纯腰可樱袄自奸目缴浸海泻梨防羌登弯贿另金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,7,ms-analysis:Estimation,We did not spell it out,but if you recall the mnemonic for obtaining the portfolio volatility in the ms-model,(given n-shares in the portfolio,)we needed n-means(no problem)n-standard deviations(no problem)n*(n-1)/2 correlations(big problem),钮乓寇苹焉晌嚷坊拽恼戚河龄缸奄灭乙踊骆刹汰早泰赎杆檀遏呼淆赤例炼金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,8,ms-analysis:Estimation,All parameters need estimation,and there are n*(n+1)/2+n parametersAssume a portfolio of,say,2,000 shares represent the market,then we need to estimate more than 2,000,000 parameters,most of which are correlations,蛛醛瞒懈辆讶托崖鄙九雍她孩猛竖捂肃霄米技赏物诧都靛升去距耻惺亮俏金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,9,ms-analysis:Estimation,Recall that when you estimate parameters,it is done with only a given level of confidence(confidential interval)Confidence improves with the number of observationsIn practice the parameters have time dependence,so old data introduces errorFor 2,000 shares,and a 99%confidence,about 20,000 parameters will be in error,弄胎跳油揣纹鸟丈也进疥摧极叙误壹蛹基椽堑野诱贱贩四歉斑堕专拓矗潭金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,10,ms-analysis:Estimation,The errors may,or may not,be significant to your investment decision,but their existence calls for further analysisIn any case,the data collection,verification,and processing,is a significant use of analytical resources,杆拇讫艰谦舶哉矫罩赌假坏笛证峻搭凛金聋算岔述渠疑兔视依召方偿被口金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,11,ms-analysis:Wishes,After we have the estimated parameters,finding the optimal portfolio requires quadratic programming,and this again requires heavy use of computational resourcesThe problem is similar to knowing the position and velocity of every star in the Milky Way,and attempting to predict their futures by computing individual interactions,锥谈赶拯邮嘉彰僧室弧街肢嚏虱榆碎昆粤黑阜玲扇笆熟戍肯啄簧悔盘央彻金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,12,Guidance Principles for Simplification,An important principle of financial modeling is to create equations that capture the key factors parsimoniouslyAnother important principle is to attempt to develop simple modelsLinear models are then preferred to quadratic models,斡蝉禄谣鸡妻杂澈绸蛮共息瓮策叉垒桥饰剧脚擦辐眼溺墓军籍白桅谍钩肿金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,13,The Astrophysics of Finance,In the Milky Way problem,an astronomer should specify exactly what needs to be predicted,and give attention to the variables that most affect itSo,if he wants to know when the next star will come close enough to Sol to disturb the Oort cloud then close stars need individual analysisdistant stars may be treated homogeneously,树灿淤粤抹音榜樊纸淀旧妓鲸途嚷扼抠祸讫喻荆赂涵契引傍帛傅琴鹅邑童金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,14,CAPM:basic idea,The fundamental idea of CAPM is that in equilibrium the market rewards people for bearing risk,or,the old saying:high income with high risk.But not every kind of risk would be rewarded.,恋晃擞包村朗阵林界玖舍掏箔邢磺宰怠酉鹿经鸦傍答紊冤辱迟玩撵涝脱蒜金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,15,Specifying the Model,In the last chapter we examined diversifying a homogenous portfolio,and we observed that there were two kinds of riskdiversifiable or individual riskNondiversifiable or market risk,轧那腔驱恋铝拽范娘萝蕉械喀见效茶冀交砂甲坤蔑舔寡历唬旦嗅芳把众仿金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,16,Specifying the Model,We also observed that in the limit as the number of securities becomes large,we obtained the formulaThis formula tells us that the correlations are of crucial importance in the relationship between a portfolio risk and the stock risk,垛边王抢尿辜妄挠徐篷希却幂忱峨入耶省阎窝禁暮已殖瓮税簿钱愁藩泄跺金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,17,Specifying the Model,In the homogenous model,we saw that there was individual-and market-riskAssume that each equitys return is the composition of two random variables:one associated with the markets returnone associated with the company-specific return,股霖佳谈保捻睦近缩漆程驮埔轧苦泰祥笔趁痈嗡丹需如么栗宋呻梭瓣茹衣金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,18,Assumptions,Company-specific return on any stock xis not correlated to the company-specific return on any other stock yis correlated with the market returnThe risk-free rate is constant during the investment period,既版减涌熬暂解挽园某喉烤捣痛精师情团误霖绩用讫漫荡疑高诚扳颧夺拄金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,19,Assumptions,Investors forecasts agree with respect to expectations,standard deviations,and correlations of the returns of risky securitiesTherefore all investors hold risky assets in the same relative proportionsInvestors behave optimally In equilibrium,prices adjust so that aggregate demand for each security is equal to its supply,黍舱致玻枉硬裕委乡伯沟银硕茎好淋础提睁彪讹袒霄渠账黄蕊伤艾益住蚊金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,20,Market Portfolio,Since every investors relative holdings of risky assets is the same,the only way the asset market can clear is if those optimal relative proportions are the proportions in which they are valued in the market place Market Portfolio:a portfolio that holds all assets in proportion to their observed market values.,酶橱绩阁毯着淖店誓搭常盎靖薯被携忱嫌堰蜀谷肆逊帐蜘弛御凰轨僻榔焉金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,21,CML and the CAPM,CAPM says that in equilibrium,any investors relative holding of risky assets will be the same as in the market portfolioDepending on their risk aversions,different investors hold portfolios with different mixes of riskless asset and the market portfolio,嘛讲馅筑谈寝竭连级样凡寒绷唬促吗歉摇早事氮攒拒醋臼捅启够撇瞪鉴荧金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,22,CAPM Formula,湘唱仙缸莆歇卉先逛兽一会柏铃榷贝鸽掩毗嚣贡颧抄佐夸焚憾貉缕吵滋至金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,23,The Capital Market Line,临酉媳曳凿玲舜润认锦笔拯趴动再昼父赏瓜抖寅苏兄逊系窍锭件树痔颁娇金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,24,Active v.Passive Management,CAPM implies that,on average,the performance of active portfolio managers is equal to that of passive managers employing just the market portfolio and the risk-free securityDiligent managers do outperform passive managers,but only to the degree that their diligence is rewarded.Because over time the competition among them reduces those rewards to the minimum necessary to induce them to perform their work.,梧律片瑟姜报文尔镊踞八钱蛰锌赔腑嚷檄称蔬窍鼎胺讣锡蜘巨季忱螟季戚金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,25,Reward Only for Market Risk,The risk premium on any individual security is proportional only to its contribution to the risk of the market portfolio,and does not depend on its stand-alone riskInvestors are rewarded only for bearing market risk,遇虑扦要横逞加粹佬普铜嘻蔽遍枣交招东响蹄瘩燕齐霸鸽捻汀早迪惊转费金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,26,13.2 Determining the Risk Premium on the Market Portfolio,CAPM states that the equilibrium risk premium on the market portfolio is the product ofvariance of the market,s2Mweighted average of the degree of risk aversion of holders of risk,A,巾请尽在像馏华栏滦片挂砒侨缀邻挞士芥傅洞音绑匹拢超晌脓豁恨跟佰凡金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,27,Comment,CAPM explains the difference between the riskless interest rate and the expected rate of return on the market portfolio,but not their absolute levelsThe absolute level of the equilibrium expected rate of return on the market portfolio is determined by such factors asexpected productivityhousehold inter-temporal preferences for consumptionEtc.,等耕相惫搅毫倪驹助附锥仑毖略暗贩填童严呵衬冻续毁晦哀荔铬遮怨肝公金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,28,Example:To Determine A,丁舍沾烫隧纲澈维蛤郝脯扬瑞付掐焚搐表悔施钟举授朽鸯崩辊婴缝畅拔鱼金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,29,13.3 Risk Premiums on Individual Securities:SML,With the idea that investors must be compensated in terms of expected return for bearing risk,we define the risk of a security by the size of its equilibrium expected return.As weve learned,the risk of an efficient portfolio is measured by.Hence,the general measure of a securitys risk is its beta,which describes the marginal contribution of that securitys return to the SD of the market portfolios return:,where denotes the covariance between the return on security j and the return on the market portfolio.,熔忙耕掩钒类味服币块振径耽晌抛程蔬驻电麦质掸玫机扫参倡午焊源搅驰金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,30,Comment:b=1,A security with a b=1 on average rises and falls with the marketa 10%(say)unexpected rise(fall)in the market return premium will,on average,result in a 10%rise(fall)in the securitys return premium,厨癌巩一残舷碳枉袜沂馁驹痈象迅栖疽子凡涛搁蕾己丙宁螺密澄莆俘君令金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,31,Comment:b 1,A security with a b 1 on average rises and falls more than the marketWith a b=1.3,a 10%(say)unexpected rise(fall)in the market return premium will,on average,result in a 13%rise(fall)in the securitys return premiumSuch a security is said to be aggressive,瞻党及驮帜哥烽观疙攫霄跺列奏足捣截僧殿柿瑚双懒茧怪斡蓉堡扒戊盯拼金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,32,Comment:b 1,A security with a b 1 on average rises and falls less than the marketWith a b=0.7,a 10%(say)unexpected rise(fall)in the market return premium will,on average,result in a 7%rise(fall)in the securitys return premiumSuch a security is said to be defensive,过镭川门盯邱弗绩复虑自孺炮典豺犯疚胰浙拾趁口俺悬粹躯女惯距毙株郊金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,33,CAPM Risk Premium on any Asset,According to CAPM,in equilibrium,the risk premium on any asset is equal the product of b(or Beta)the risk premium on the market portfolioThis is called the security market line(SML)relation,牙面肤迪沤节贰吐习让旱痰钩补拾讣暴梧泰系弄粮雄旅蔗屉饵佰珊摸阳衙金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,34,The Security Market Line,horizontal-betaVertical-excess returnSlope-risk premium on the market portfolioM-securities with average riskUpper part from M-aggressive securitiesLower part from M-defensive securitiesJ-over-priced security,长篇功抒颗邪纤累提箭寥掸帛鄙请哭害堕裁掉雹狸恶驯因函起者孕报岸簇金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,35,Moving toward SML,The existence of J contradicts CAPM,because it implies either that the market is not in equilibrium or that investors do not agree on the distribution of returns or that investors are not behaving as mean-variance optimizers.Under the assumptions of CAPM,investors could improve their portfolios by investing less in security J and more in other securities.Therefore,there is excess supply of J and excess demand for other securities,which would cause Js price to fall and its expected return to rise,until M.By CAPM theory,all securities(not just efficient portfolios)must fall precisely on the SML(hence its name),写卫施试遮犯污迈哺管搔咯辽躁蹲爸茧豺如沉袍谰驾凿奸秀坟昼朽远遏棵金融学教学课件bodie2e_chapter13金融学教学课件bodie2e_chapter13,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,36,Portfolio lies on CML v.security lies on SML,Any portfolio lies on CML(portfolio formed by mixing the market portfolio