le01TheInvestmentSetting(资产定价-上海交大,蔡明超).pptx

《le01TheInvestmentSetting(资产定价-上海交大,蔡明超).pptx》由会员分享，可在线阅读，更多相关《le01TheInvestmentSetting(资产定价-上海交大,蔡明超).pptx（42页珍藏版）》请在得力文库 - 分享文档赚钱的网站上搜索。

1、Lec 1The Investment Setting 为了弥补50%的退步，我们往往需要付出100%的努力-股票市场启示录1The Investment Settinga)explain the concept of required rate of return and discuss the components of it.b)differentiate between the real and the nominal risk-free rate of return c)explain the risk premium and the associated fundamental s

2、ources of risk;d)define the security market line and discuss the factors that cause movements along,changes in the slope of,and shifts of the security market line.2Why Do Individuals Invest?By saving money(instead of spending it),individuals tradeoff present consumption for a larger future consumpti

3、on.3LOS a:concept of required rate of return and components of an investors required rate of return.The real risk free rate of interest:The real risk free rate of interest is determined by the supply and demand for funds in the economy.The inflation premium is an adjustment to the real risk free rat

4、e to compensate investors for expected changes in the price indexes and money market conditions being tightened or eased due to inflationary expectations.The risk premium is what investors demand for the uncertainty associated with an investment.4How Do We Measure The Rate Of Return On An Investment

5、?The pure rate of interest is the exchange rate between future consumption and present consumption.Market forces determine this rate.5Peoples willingness to pay the difference for borrowing today and their desire to receive a surplus on their savings give rise to an interest rate referred to as the

6、pure time value of money.How Do We Measure The Rate Of Return On An Investment?6If the future payment will be diminished in value because of inflation,then the investor will demand an interest rate higher than the pure time value of money to also cover the expected inflation expense.How Do We Measur

7、e The Rate Of Return On An Investment?7If the future payment from the investment is not certain,the investor will demand an interest rate that exceeds the pure time value of money plus the inflation rate to provide a risk premium to cover the investment risk.How Do We Measure The Rate Of Return On A

8、n Investment?8Measures of Historical Rates of ReturnHolding Period ReturnHolding Period YieldHPY=HPR-11.10-1=0.10=10%9Annual Holding Period ReturnAnnual HPR=HPR 1/nwhere n=number of years investment is heldAnnual Holding Period YieldAnnual HPY=Annual HPR-1Measures of Historical Rates of Return10Meas

9、ures of Historical Rates of ReturnArithmetic Mean1.411Measures of Historical Rates of ReturnGeometric Mean1.512A Portfolio of InvestmentsThe mean historical rate of return for a portfolio of investments is measured as the weighted average of the HPYs for the individual investments in the portfolio.1

10、3Computation of HoldingPeriod Yield for a Portfoliotab 1.114Expected Rates of ReturnRisk is uncertainty that an investment will earn its expected rate of returnProbability is the likelihood of an outcome15Expected Rates of Return1.616Risk AversionThe assumption that most investors will choose the le

11、ast risky alternative,all else being equal and that they will not accept additional risk unless they are compensated in the form of higher return 17 Probability DistributionsRisk-free InvestmentExhibit 1.118 Probability DistributionsRisky Investment with 3 Possible ReturnsExhibit 1.219 Probability D

12、istributionsRisky investment with ten possible rates of returnExhibit 1.320Measuring the Risk of Expected Rates of Return1.721Measuring the Risk of Expected Rates of ReturnStandard Deviation is the square root of the variance1.822Measuring the Risk of Expected Rates of ReturnCoefficient of variation

13、(CV)a measure of relative variability that indicates risk per unit of return Standard Deviation of ReturnsExpected Rate of Returns1.923Measuring the Risk of Historical Rates of Returnvariance of the seriesholding period yield during period Iexpected value of the HPY that is equal to the arithmetic m

14、ean of the seriesthe number of observations1.1024LOS b:real,nominal risk-free rate of return and computation of both return measuresreal risk-free rate of interest is the price charged for the exchange between current goods and future goods by investors in the economy.The inflation premium is an adj

15、ustment to the real risk-free rate to compensate investors for expected changes in the price indexes and money market conditions being tightened or eased due to inflationary expectations.25LOS b:real,nominal risk-free rate of return and computation of both return measuresThe adjustment is:nominal ri

16、sk free rate=(1+real risk free rate)(1+inflation rate)For the exam,you will want to know:1.The nominal risk free rate is approximated by:Real risk free rate+Inflation rate.2.The real risk free rate=(1+nominal risk free rate)/(1+inflation rate)-1 26LOS c:Explain the risk premium and the associated fu

17、ndamental sources of risk.risk premium is what investors demand for the uncertainty associated with an investment.The risk premium addresses the following types of risk exposureBusiness riskFinancial riskLiquidity riskExchange rate riskCountry risk27Business RiskUncertainty of income flows caused by

18、 the nature of a firms business Sales volatility and operating leverage determine the level of business risk.28Financial RiskUncertainty caused by the use of debt financing.Borrowing requires fixed payments which must be paid ahead of payments to stockholders.The use of debt increases uncertainty of

19、 stockholder income and causes an increase in the stocks risk premium.29Liquidity RiskUncertainty is introduced by the secondary market for an investment.How long will it take to convert an investment into cash?How certain is the price that will be received?30Exchange Rate RiskUncertainty of return

20、is introduced by acquiring securities denominated in a currency different from that of the investor.Changes in exchange rates affect the investors return when converting an investment back into the“home”currency.31Country RiskPolitical risk is the uncertainty of returns caused by the possibility of

21、a major change in the political or economic environment in a country.Individuals who invest in countries that have unstable political-economic systems must include a country risk-premium when determining their required rate of return32Risk PremiumRisk premium by fundamental risk f(Business Risk,Fina

22、ncial Risk,Liquidity Risk,Exchange Rate Risk,Country Risk)Portfolio Theory I:risk premium is determined by f(Systematic Market Risk)They are highly correlated33Risk Premium and Portfolio TheoryThe relevant risk measure for an individual asset is its co-movement with the market portfolio Systematic r

23、isk relates the variance of the investment to the variance of the marketBeta measures this systematic risk of an asset34Fundamental Risk versus Systematic RiskFundamental risk comprises business risk,financial risk,liquidity risk,exchange rate risk,and country riskSystematic risk refers to the porti

24、on of an individual assets total variance attributable to the variability of the total market portfolio 35LOS d:SML,slope,shiftDefine the security market line and discuss the factors that cause movements along,changes in the slope of,and shifts of the security market line.36security market line(SML)

25、.The equation of the SML is ER=Rf+(RM-Rf)BetaExhibit 1.7(Expected)37Changes in the Required Rate of Return Due to Movements Along the SMLExhibit 1.838Changes in the Slope of the SMLThe market risk premium for the market portfolio(contains all the risky assets in the market)can be computed:RPm=E(Rm)-

26、NRFR where:RPm=risk premium on the market portfolioE(Rm)=expected return on the market portfolioNRFR=expected return on a risk-free asset39 Change in Market Risk PremiumExhibit 1.10NRFRExpected ReturnRmRm Counterclockwise of SML,when expected return on the market portfolio increases40Capital Market Conditions,Expected Inflation,and the SMLExhibit 1.11NRFRNRFRExpected Return41Parallel shift of SMLSML shift whenHigh Economic growthIncreasing inflationTightness in money or capital market42