财务管理ppt英文课件Chapter5.ppt

Chapter 5,Risk and Return,找捏任东位奋刃卫支吼孩烈捆夸宁竖甲斧亚聪瞎刨瘦抛交得哩壶除略此情财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,1,Chapter Objectives,Defining Risk and ReturnCalculate the expected return and risk(standard deviation)of both a single asset and a portfolio.Distinguish between systematic and non-systematic risk.Explain the principle of diversification.Explain the capital asset pricing model(CAPM).Explain the security market line(SML).,确讥卉恼骤病蔑谊碾痉一姆技榜终坷疏灼枷汇现类肮凉催苯沉岳台威容惹财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,2,October.This is one of the peculiarly dangerous months to speculate in stocks in.The others are July,January,September,April,November,May,March,June,December,August and February.-Mark Twain,霸北镐骋叁蝴哮稻锤凳耶形详庄烙灌页辖形驮输泉隅番殊罗屡皿驼可眺川财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,3,Income received on an investment plus any change in market price,usually expressed as a percent of the beginning market price of the investment.,Defining Return,珐吾罪自们怒紊犁暗礁袋抵判伦秧岳图僧染舍忍潦渗沁骸娘遥驳粘断狼袜财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,4,Example The stock price for Stock A was$10 per share 1 year ago.The stock is currently trading at$9.50 per share,and shareholders just received a$1 dividend.What return was earned over the past year?,=5%,Return Example,么浪泻滇寝赊你召造硷户裸骨盖懂撼剃杖沫隐翌旱壳硕乖欺出救外古插攀财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,5,Most decisions involve a gambleProbabilities can be known or unknown,and outcomes can be known or unknownRisk-exists when:Possible outcomes and probabilities are knowne.g.,Roulette Wheel or DiceUncertainty-exists when:Possible outcomes or probabilities are unknowne.g.,Drilling for Oil in an unknown field,Risk and Uncertainty,句藉宜拢倪陆茵甫诣图抹嚎臆朔渭抄帧季珍哭浮腥淤麦亦雕泳蛹垄叶蔚捍财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,6,Concepts of Risk,Risk-The variability of returns from those that are expected.When probabilities are known,we can analyze risk using probability distributions.Assign a probability to each state of nature,and be exhaustive,so that pi=1,克真我畴湛滞懈巾听囤戚错酪暑蕴债豁养满落玛书挣认厩失器益经椒腋游财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,7,Expected Return&Variance,Expected return-the weighted average of the distribution of possible returns in the future.Variance of returns-a measure of the dispersion of the distribution of possible returns.Rational investors like return and dislike risk.The quantification of risk and return is a crucial aspect of modern finance-need to understand the relationship between risk and return in order to make a“good”investment.,强津捧淡京逞伙凉奉京捣罐储痒冶轧拓颜贺近泞庙鼓佰瀑兵驯怖翅我泊怀财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,8,Discrete vs.Continuous Distributions,Discrete Continuous,怕蛹蹲阜户恬疥啃抽速互琅叛谢倦峰镐卑幼皑也伏旦痞畦熊素油障娃西酉财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,9,-R is the expected return for the asset,-Ri is the return for the ith possibility,-Pi is the probability of that return occurring,-n is the total number of possibilities.,Determining Expected Return(Discrete Dist.),款丁榔介潘店挚倚圆挛向悄诈橇鹊业映楷唾颤馋奴烯微猴监掀搜红部玄督财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,10,Standard Deviation,s,is a statistical measure of the variability of a distribution around its mean.It is the square root of variance.Note,this is for a discrete distribution.,Determining Standard Deviation(Risk Measure),趋雨真慰次吏继邱秸酬硬佬尿银沛定头膨俘骋猖凭阻冯傅赘阅榔呐户茵厦财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,11,Example:Calculating Expected Return,嚼胆斟柿迷条色拟狮叹王睹循卷獭蚀赋踪诗椅妻厦市闻易狸滴缮疯弘攫赏财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,12,Example:Calculating Variance,有耸掉罢付惟挫炭军宅润冲圃脉咬翠敖炉锌糊起砌陀寄缠榔匝尧咙邑阔睡财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,13,Example:Expected Return&Variance,Expected Returns:,搐察皆磨帖畦及埃龚淫慑邢了宛锣扑镀嗅滦毙滥所知坦逐纠虹哪钢倔堰扦财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,14,Example:Expected Return&Variance,Variances:,Standard Deviations:,廓撒揪其绷藕斌爬吞淤嫉非由迈蛋绥限篷渺赞惠荐父搅保德晓滩猿镑堰乞财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,15,Example:Portfolio Return&Variance,Assume 50%of portfolio in asset A and 50%in asset B.,赎门结养频监约份船椰熬株章占淆雄采故矽卓反兄圣痕澳袖纤衣秀漫驮底财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,16,Example:Portfolio Return&Variance,Var(Rp)(0.50 x Var(RA)+(0.50 x Var(RB).By combining assets in a portfolio,the risks faced by the investor can significantly change.,棱任插影狄枕哪呆晨呵丢汹囚去谩禽驳尔陵萍棉呛扭咽亲匀烘兰印园答爽财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,17,R=S(Ri)/(n)-R is the expected return for the asset,-Ri is the return for the ith observation,-n is the total number of observations.,n,i=1,Determining Expected Return(Continuous Dist.),育授痛妊乌酮宜核珠拓衷臂颜古衙践会钞龙剂到应谊任辜塔方目眨铣椎伺财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,18,n,i=1,Determining Standard Deviation(Risk Measure),s=S(Ri-R)2(n)Note,this is for a continuous distribution where the distribution is for a population.R represents the population mean in this example.,混胁惊剥屡逻数违甄涤士威堕盖东决上桅灼诞烩彭疡墅哄苟钞厅岔柏在蚜财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,19,Coefficient of Variation is the ratio of the standard deviation of a distribution to the mean of that distribution.,Coefficient of Variation,C.V.is a measure of risk per dollar of expected return.It is a measure of RELATIVE risk.Coefficient of Variation is good for comparing projects of different sizes.,占图腐陆锡招脑秤北迈幢究畜橙悠奋痔椒挥故促驶婿侠月带侩扮匀美玻谅财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,20,Example of Two Gambles,A:Prob X.5 10.5 20 R=15,=5,CV=5/15=.333B:Prob X.5 20.5 40 R=30,=10,CV=10/30=.333,屑纽佛剐闸涡末孽崇难桓贡临简蝉开督滦夸胆蹿茁把诡载咕碰持猜蓉哪楼财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,21,Continuous Probability Distributions,Expected valued is the mode for symmetric distributions.,RA,RB,A,B,A is riskier,but it has a higher expected value,舌酱娶哪热肋厚而鞠痔失乒滚粒从奇而屠叮隔豺双娜即丰梗俐恐川奏葡骇财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,22,Certainty Equivalent(CE)is the amount of cash someone would require with certainty at a point in time to make the individual indifferent between that certain amount and an amount expected to be received with risk at the same point in time.Investors view of riskRisk AverseRisk NeutralRisk Seeking,Risk Attitudes,亦目搭瘟花侩咎雾雀讶加及疟供毕甲芹癸渣趁泽涂荣皋奖纯署慰嚼嚣青茧财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,23,Risk Preference Certainty equivalent Expected valueRisk Indifference Certainty equivalent=Expected valueRisk Aversion Certainty equivalent Expected valueMost individuals are Risk Averse.,Risk Attitudes,戊告各榆锻纳晓迄肿悟俊早吟米矾胃蛆旗刻燎和冻娇帕橡症陨跨铀壹量窿财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,24,Risk Attitude Example,Example You have the choice between(1)a guaranteed dollar reward or(2)a coin-flip gamble of$100,000(50%chance)or$0(50%chance).What are the Risk Attitude tendencies of each?a.Mary requires a guaranteed$25,000,or more,to call off the gamble.b.Raleigh is just as happy to take$50,000 or take the risky gamble.c.Shannon requires at least$52,000 to call off the gamble.,坦荫黎菩盗洒唁涝凯狭风蒋祁赠钱柞卑茅锣闸惶抑淹园笨蛹末喧遭毁亿轧财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,25,The expected value of the gamble is$50,000.Mary shows“risk aversion”because her“certainty equivalent”the expected value of the gamble.,Risk Attitude Example,巨舆箍蹭戈蹭予绩枣庸光六驹堕靠夺企副歉斟翰虫暴舶镜双梯瓦根坚都襟财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,26,Risk and Changing Economic Conditions,Inflation Risk-Inflation increases and the return on your investment does not keep pace.Business Cycle Risk-Your Investments return fluctuates in tandem with the overall business cycle.Interest-Rate Risk-Newly-Issued bonds offer higher rates than your bonds.,沉茬庐河虾一渭姬扛妮刻肺仿纷叛夹锤堪弗衔战彼垒辕项划杉盂蹲篇粥昂财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,27,Risk and Changing Conditions of the Security Issuer,Management Risk-The company in which you invested has poor managersBusiness Risk-Risks associated with a companys product/service lines.Financial Risk-The risk of insolvency because the company has borrowed too much.,置缎辕伊拢台龄灿拢镶贡翌捐棕箩墓昏氓闷管柱僳琼肥膜渗泳彪睦弹斗诣财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,28,A Portfolio,A Portfolio is simply a group of assets held at the same time.,“Dont put all your eggs in one basket.”,乃相耿宝席图梅乖圃瓷必钧题暖酣娩谗喘靶肝渍靛擎己迟琴瓷迢筹钟悯秀财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,29,Diversification,Diversification lowers investment risk.It accomplishes this goal because asset returns are Poorly correlated.Diversification is Not effective if asset returns are strongly,positively correlated.The return correlations among stocks,bonds,and bills are low;Holding these investments in a portfolio is effective.,刷拐但脓杰潦萝魁亢厕皿溶赋脖漆蔼仙仓逆谍惭何坠率聋档询胳镭绝擦霓财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,30,Combining securities that are not perfectly,positively correlated reduces risk.,Diversification and the Correlation Coefficient,促箕箩嘴吗刀闪旨畏岁臣撬圭撒伏艇屈全卷木类磺碳戚前龟浊田邦武敞氏财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,31,Diversification,The process of spreading investments across different assets,industries and countries to reduce risk.Total risk=systematic risk+non-systematic riskNon-systematic risk can be eliminated by diversification;systematic risk affects all assets and cannot be diversified away.,去盖乒角堪仑腿核蒙润鼻侧罩惯焚别肩肇螺骤挽五剔玄着蔫厚某籽漫边鸽财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,32,Systematic Risk is the variability of return on stocks or portfolios associated with changes in return on the market as a whole.Unsystematic Risk is the variability of return on stocks or portfolios not explained by general market movements.It is avoidable through diversification.,Total Risk=Systematic Risk+Unsystematic Risk,Total Risk=Systematic Risk+Unsystematic Risk,川蛇宛扎堂厩撞网符健旺嘲鸿从膘估办慧属枣辜槽步秧仇默芜委巴傈团增财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,33,TotalRisk,Unsystematic risk,Systematic risk,STD DEV OF PORTFOLIO RETURN,NUMBER OF SECURITIES IN THE PORTFOLIO,Factors such as changes in nations economy,tax reform by the Congress,or a change in the world situation.,Systematic Risk,担莱蝇航藏问铀锄约虏猾橇碑炔螟榜刊盲暂喳谴舶涌涸渴笔斟龋力剁抹鞋财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,34,TotalRisk,Unsystematic risk,Systematic risk,STD DEV OF PORTFOLIO RETURN,NUMBER OF SECURITIES IN THE PORTFOLIO,Factors unique to a particular companyor industry.For example,the death of akey executive or loss of a governmentaldefense contract.,Unsystematic Risk,泅茬枝埠肯权比零缨啸诱辙盘秋冒滦岿渠貉强块采丛祝人疑洪梗智秆碌系财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,35,1.Capital markets are efficient.2.Homogeneous investor expectations over a given period.3.Risk-free asset return is certain(use short-to intermediate-term Treasuries as a proxy).4.Market portfolio contains only systematic risk(use S&P 500 Indexor similar as a proxy).,CAPM Assumptions,豹霜阉聊梦湿男琵抡袱迹管嗽榜户冶嘴竣殷钒拔贞串奶曳宾足寓谣兰磷成财务管理ppt英文课件Chapter 5财务管理ppt英文课件Chapter 5,Copyright 2001 Prentice-Hall,Inc.Fundamentals of Financial Management,11/e by Van Horne and Wachowicz.Slides prepared by Wu Xiaolan,36,The Capital Asset Pricing Model(CAPM),CAPM is a model that describes the relationship between risk and expected(requ