財(cái)務(wù)管理課件002

Chapter13Return,Risk,andtheSecurityMarketLineMcGraw-Hill/IrwinCopyright?2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.Chapter13McGraw-Hill/IrwinCopKeyConceptsandSkillsKnowhowtocalculateexpectedreturnsUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntrade-offBeabletousetheCapitalAssetPricingModel13-2KeyConceptsandSkillsKnowhoChapterOutlineExpectedReturnsandVariancesPortfoliosAnnouncements,Surprises,andExpectedReturnsRisk:SystematicandUnsystematicDiversificationandPortfolioRiskSystematicRiskandBetaTheSecurityMarketLineTheSMLandtheCostofCapital:APreview13-3ChapterOutlineExpectedReturnExpectedReturnsExpectedreturnsarebasedontheprobabilitiesofpossibleoutcomesInthiscontext,“expected”meansaverageiftheprocessisrepeatedmanytimesThe“expected”returndoesnotevenhavetobeapossiblereturn13-4ExpectedReturnsExpectedreturExample:ExpectedReturns

State Probability C T Boom 0.3 15 25 Normal 0.5 10 20 Recession ??? 2 1RC=.3(15)+.5(10)+.2(2)=9.9%RT=.3(25)+.5(20)+.2(1)=17.7%13-5SupposeyouhavepredictedthefollowingreturnsforstocksCandTinthreepossiblestatesoftheeconomy.Whataretheexpectedreturns?Example:ExpectedReturns StatVarianceandStandardDeviationVarianceandstandarddeviationmeasurethevolatilityofreturnsUsingunequalprobabilitiesfortheentirerangeofpossibilitiesWeightedaverageofsquareddeviations13-6VarianceandStandardDeviatioExample:VarianceandStandardDeviationConsiderthepreviousexample.Whatarethevarianceandstandarddeviationforeachstock?StockC2=.3(15-9.9)2+.5(10-9.9)2+.2(2-9.9)2=20.29=4.50%StockT2=.3(25-17.7)2+.5(20-17.7)2+.2(1-17.7)2=74.41=8.63%13-7Example:VarianceandStandardAnotherExampleConsiderthefollowinginformation:

State Probability ABC,Inc.(%) Boom .25 15 Normal .50 8 Slowdown .15 4 Recession .10 -3Whatistheexpectedreturn?Whatisthevariance?Whatisthestandarddeviation?13-8AnotherExampleConsiderthefoPortfoliosAportfolioisacollectionofassetsAnasset’sriskandreturnareimportantinhowtheyaffecttheriskandreturnoftheportfolioTherisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassets13-9PortfoliosAportfolioisacolExample:PortfolioWeightsSupposeyouhave$15,000toinvestandyouhavepurchasedsecuritiesinthefollowingamounts.Whatareyourportfolioweightsineachsecurity?$2000ofC$3000ofKO$4000ofINTC$6000ofBPC:2/15=.133KO:3/15=.2INTC:4/15=.267BP:6/15=.413-10Example:PortfolioWeightsSuppPortfolioExpectedReturnsTheexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsoftherespectiveassetsintheportfolio

Youcanalsofindtheexpectedreturnbyfindingtheportfolioreturnineachpossiblestateandcomputingtheexpectedvalueaswedidwithindividualsecurities13-11PortfolioExpectedReturnsTheExample:ExpectedPortfolioReturnsConsidertheportfolioweightscomputedpreviously.Iftheindividualstockshavethefollowingexpectedreturns,whatistheexpectedreturnfortheportfolio?C:19.69%KO:5.25%INTC:16.65%BP:18.24%E(RP)=.133(19.69)+.2(5.25)+.267(16.65)+.4(18.24)=15.41%13-12Example:ExpectedPortfolioRePortfolioVarianceComputetheportfolioreturnforeachstate:

RP=w1R1+w2R2+…+wmRmComputetheexpectedportfolioreturnusingthesameformulaasforanindividualassetComputetheportfoliovarianceandstandarddeviationusingthesameformulasasforanindividualasset13-13PortfolioVarianceComputetheExample:PortfolioVarianceConsiderthefollowinginformationInvest50%ofyourmoneyinAssetA

State Probability A B

Boom .4 30% -5% Bust .6 -10% 25%Whataretheexpectedreturnandstandarddeviationforeachasset?Whataretheexpectedreturnandstandarddeviationfortheportfolio?Portfolio12.5%7.5%13-14Example:PortfolioVarianceConAnotherExampleConsiderthefollowinginformation

State Probability X Z Boom .25 15% 10% Normal .60 10% 9% Recession .15 5% 10%Whataretheexpectedreturnandstandarddeviationforaportfoliowithaninvestmentof$6,000inassetXand$4,000inassetZ? 13-15AnotherExampleConsiderthefoExpectedvs.UnexpectedReturnsRealizedreturnsaregenerallynotequaltoexpectedreturnsThereistheexpectedcomponentandtheunexpectedcomponentAtanypointintime,theunexpectedreturncanbeeitherpositiveornegativeOvertime,theaverageoftheunexpectedcomponentiszero13-16Expectedvs.UnexpectedReturnAnnouncementsandNewsAnnouncementsandnewscontainbothanexpectedcomponentandasurprisecomponentItisthesurprisecomponentthataffectsastock’spriceandthereforeitsreturnThisisveryobviouswhenwewatchhowstockpricesmovewhenanunexpectedannouncementismadeorearningsaredifferentthananticipated13-17AnnouncementsandNewsAnnounceEfficientMarketsEfficientmarketsarearesultofinvestorstradingontheunexpectedportionofannouncementsTheeasieritistotradeonsurprises,themoreefficientmarketsshouldbeEfficientmarketsinvolverandompricechangesbecausewecannotpredictsurprises13-18EfficientMarketsEfficientmarSystematicRiskRiskfactorsthataffectalargenumberofassetsAlsoknownasnon-diversifiableriskormarketriskIncludessuchthingsaschangesinGDP,inflation,interestrates,etc.13-19SystematicRiskRiskfactorsthUnsystematicRiskRiskfactorsthataffectalimitednumberofassetsAlsoknownasuniqueriskandasset-specificriskIncludessuchthingsaslaborstrikes,partshortages,etc.13-20UnsystematicRiskRiskfactorsReturnsTotalReturn=expectedreturn+unexpectedreturnUnexpectedreturn=systematicportion+unsystematicportionTherefore,totalreturncanbeexpressedasfollows:TotalReturn=expectedreturn+systematicportion+unsystematicportion13-21ReturnsTotalReturn=expectedDiversificationPortfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectorsDiversificationisnotjustholdingalotofassetsForexample,ifyouown50Internetstocks,youarenotdiversifiedHowever,ifyouown50stocksthatspan20differentindustries,thenyouarediversified13-22DiversificationPortfoliodiverTable13.713-23Table13.713-23ThePrincipleofDiversificationDiversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturnsThisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanotherHowever,thereisaminimumlevelofriskthatcannotbediversifiedawayandthatisthesystematicportion13-24ThePrincipleofDiversificatiFigure13.113-25Figure13.113-25DiversifiableRiskTheriskthatcanbeeliminatedbycombiningassetsintoaportfolioOftenconsideredthesameasunsystematic,uniqueorasset-specificriskIfweholdonlyoneasset,orassetsinthesameindustry,thenweareexposingourselvestoriskthatwecoulddiversifyaway13-26DiversifiableRiskTheriskthaTotalRiskTotalrisk=systematicrisk+unsystematicriskThestandarddeviationofreturnsisameasureoftotalriskForwell-diversifiedportfolios,unsystematicriskisverysmallConsequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk13-27TotalRiskTotalrisk=systemaSystematicRiskPrincipleThereisarewardforbearingriskThereisnotarewardforbearingriskunnecessarilyTheexpectedreturnonariskyassetdependsonlyonthatasset’ssystematicrisksinceunsystematicriskcanbediversifiedaway13-28SystematicRiskPrincipleThereMeasuringSystematicRiskHowdowemeasuresystematicrisk?WeusethebetacoefficientWhatdoesbetatellus?Abetaof1impliestheassethasthesamesystematicriskastheoverallmarketAbeta<1impliestheassethaslesssystematicriskthantheoverallmarketAbeta>1impliestheassethasmoresystematicriskthantheoverallmarket13-29MeasuringSystematicRiskHowdTable13.8–SelectedBetasInsertTable13.8here13-30Table13.8–SelectedBetasInsTotalvs.SystematicRiskConsiderthefollowinginformation: StandardDeviation Beta SecurityC 20% 1.25 SecurityK 30% 0.95Whichsecurityhasmoretotalrisk?Whichsecurityhasmoresystematicrisk?Whichsecurityshouldhavethehigherexpectedreturn?13-31Totalvs.SystematicRiskConsiWorktheWebExampleManysitesprovidebetasforcompaniesYahooFinanceprovidesbeta,plusalotofotherinformationunderitsKeyStatisticslinkClickonthewebsurfertogotoYahooFinanceEnteratickersymbolandgetabasicquoteClickonKeyStatistics13-32WorktheWebExampleManysitesExample:PortfolioBetasConsiderthepreviousexamplewiththefollowingfoursecurities

Security Weight Beta C .133 2.685 KO .2 0.195 INTC .267 2.161 BP .4 2.434Whatistheportfoliobeta?.133(2.685)+.2(.195)+.267(2.161)+.4(2.434)=1.94713-33Example:PortfolioBetasConsidBetaandtheRiskPremiumRememberthattheriskpremium=expectedreturn–risk-freerateThehigherthebeta,thegreatertheriskpremiumshouldbeCanwedefinetherelationshipbetweentheriskpremiumandbetasothatwecanestimatetheexpectedreturn?YES!13-34BetaandtheRiskPremiumRememExample:PortfolioExpectedReturnsandBetasRfE(RA)A13-35Example:PortfolioExpectedReReward-to-RiskRatio:DefinitionandExampleThereward-to-riskratioistheslopeofthelineillustratedinthepreviousexampleSlope=(E(RA)–Rf)/(A–0)Reward-to-riskratioforpreviousexample=

(20–8)/(1.6–0)=7.5Whatifanassethasareward-to-riskratioof8(implyingthattheassetplotsabovetheline)?Whatifanassethasareward-to-riskratioof7(implyingthattheassetplotsbelowtheline)?13-36Reward-to-RiskRatio:DefinitiMarketEquilibriumInequilibrium,allassetsandportfoliosmusthavethesamereward-to-riskratio,andtheyallmustequalthereward-to-riskratioforthemarket13-37MarketEquilibriumInequilibriSecurityMarketLineThesecuritymarketline(SML)istherepresentationofmarketequilibriumTheslopeoftheSMListhereward-to-riskratio:(E(RM)–Rf)/MButsincethebetaforthemarketisalwaysequaltoone,theslopecanberewrittenSlope=E(RM)–Rf=marketriskpremium13-38SecurityMarketLineThesecuriTheCapitalAssetPricingModel(CAPM)ThecapitalassetpricingmodeldefinestherelationshipbetweenriskandreturnE(RA)=Rf+A(E(RM)–Rf)Ifweknowanasset’ssystematicrisk,wecanusetheCAPMtodetermineitsexpectedreturnThisistruewhetherwearetalkingaboutfinancialassetsorphysicalassets13-39TheCapitalAssetPricingModeFactorsAffectingExpectedReturnPuretimevalueofmoney:measuredbytherisk-freerateRewardforbearingsystematicrisk:measuredbythemarketriskpremiumAmountofsystematicrisk:measuredbybeta13-40FactorsAffectingExpectedRetExample-CAPMConsiderthebetasforeachoftheassetsgivenearlier.Iftherisk-freerateis4.15%andthemarketriskpremiumis8.5%,whatistheexpectedreturnforeach?SecurityBetaExpectedReturnC2.6854.15+2.685(8.5)=26.97%KO0.1954.15+0.195(8.5)=5.81%INTC2.1614.15+2.161(8.5)=22.52%BP2.4344.15+2.434(8.5)=24.84%13-41Example-CAPMConsiderthebetFigure13.413-42Figure13.413-42QuickQuizHowdoyoucomputetheexpectedreturnandstandarddeviationforanindividualasset?Foraportfolio?Whatisthedifferencebetweensystematicandunsystematicrisk?Whattypeofriskisrelevantfordeterminingtheexpectedreturn?Consideranassetwithabetaof1.2,arisk-freerateof5%,andamarketreturnof13%.Whatisthereward-to-riskratioinequilibrium?Whatistheexpectedreturnontheasset?13-43QuickQuizHowdoyoucomputetComprehensiveProblemTheriskfreerateis4%,andtherequiredreturnonthemarketis12%.Whatistherequiredreturnonanassetwithabetaof1.5?Whatisthereward/riskratio?Whatistherequiredreturnonaportfolioconsistingof40%oftheassetaboveandtherestinanassetwithanaverageamountofsystematicrisk?13-44ComprehensiveProblemTheriskEndofChapter13-45EndofChapter13-45Chapter13Return,Risk,andtheSecurityMarketLineMcGraw-Hill/IrwinCopyright?2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.Chapter13McGraw-Hill/IrwinCopKeyConceptsandSkillsKnowhowtocalculateexpectedreturnsUnderstandtheimpactofdiversificationUnderstandthesystematicriskprincipleUnderstandthesecuritymarketlineUnderstandtherisk-returntrade-offBeabletousetheCapitalAssetPricingModel13-47KeyConceptsandSkillsKnowhoChapterOutlineExpectedReturnsandVariancesPortfoliosAnnouncements,Surprises,andExpectedReturnsRisk:SystematicandUnsystematicDiversificationandPortfolioRiskSystematicRiskandBetaTheSecurityMarketLineTheSMLandtheCostofCapital:APreview13-48ChapterOutlineExpectedReturnExpectedReturnsExpectedreturnsarebasedontheprobabilitiesofpossibleoutcomesInthiscontext,“expected”meansaverageiftheprocessisrepeatedmanytimesThe“expected”returndoesnotevenhavetobeapossiblereturn13-49ExpectedReturnsExpectedreturExample:ExpectedReturns

State Probability C T Boom 0.3 15 25 Normal 0.5 10 20 Recession ??? 2 1RC=.3(15)+.5(10)+.2(2)=9.9%RT=.3(25)+.5(20)+.2(1)=17.7%13-50SupposeyouhavepredictedthefollowingreturnsforstocksCandTinthreepossiblestatesoftheeconomy.Whataretheexpectedreturns?Example:ExpectedReturns StatVarianceandStandardDeviationVarianceandstandarddeviationmeasurethevolatilityofreturnsUsingunequalprobabilitiesfortheentirerangeofpossibilitiesWeightedaverageofsquareddeviations13-51VarianceandStandardDeviatioExample:VarianceandStandardDeviationConsiderthepreviousexample.Whatarethevarianceandstandarddeviationforeachstock?StockC2=.3(15-9.9)2+.5(10-9.9)2+.2(2-9.9)2=20.29=4.50%StockT2=.3(25-17.7)2+.5(20-17.7)2+.2(1-17.7)2=74.41=8.63%13-52Example:VarianceandStandardAnotherExampleConsiderthefollowinginformation:

State Probability ABC,Inc.(%) Boom .25 15 Normal .50 8 Slowdown .15 4 Recession .10 -3Whatistheexpectedreturn?Whatisthevariance?Whatisthestandarddeviation?13-53AnotherExampleConsiderthefoPortfoliosAportfolioisacollectionofassetsAnasset’sriskandreturnareimportantinhowtheyaffecttheriskandreturnoftheportfolioTherisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassets13-54PortfoliosAportfolioisacolExample:PortfolioWeightsSupposeyouhave$15,000toinvestandyouhavepurchasedsecuritiesinthefollowingamounts.Whatareyourportfolioweightsineachsecurity?$2000ofC$3000ofKO$4000ofINTC$6000ofBPC:2/15=.133KO:3/15=.2INTC:4/15=.267BP:6/15=.413-55Example:PortfolioWeightsSuppPortfolioExpectedReturnsTheexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsoftherespectiveassetsintheportfolio

Youcanalsofindtheexpectedreturnbyfindingtheportfolioreturnineachpossiblestateandcomputingtheexpectedvalueaswedidwithindividualsecurities13-56PortfolioExpectedReturnsTheExample:ExpectedPortfolioReturnsConsidertheportfolioweightscomputedpreviously.Iftheindividualstockshavethefollowingexpectedreturns,whatistheexpectedreturnfortheportfolio?C:19.69%KO:5.25%INTC:16.65%BP:18.24%E(RP)=.133(19.69)+.2(5.25)+.267(16.65)+.4(18.24)=15.41%13-57Example:ExpectedPortfolioRePortfolioVarianceComputetheportfolioreturnforeachstate:

RP=w1R1+w2R2+…+wmRmComputetheexpectedportfolioreturnusingthesameformulaasforanindividualassetComputetheportfoliovarianceandstandarddeviationusingthesameformulasasforanindividualasset13-58PortfolioVarianceComputetheExample:PortfolioVarianceConsiderthefollowinginformationInvest50%ofyourmoneyinAssetA

State Probability A B

Boom .4 30% -5% Bust .6 -10% 25%Whataretheexpectedreturnandstandarddeviationforeachasset?Whataretheexpectedreturnandstandarddeviationfortheportfolio?Portfolio12.5%7.5%13-59Example:PortfolioVarianceConAnotherExampleConsiderthefollowinginformation

State Probability X Z Boom .25 15% 10% Normal .60 10% 9% Recession .15 5% 10%Whataretheexpectedreturnandstandarddeviationforaportfoliowithaninvestmentof$6,000inassetXand$4,000inassetZ? 13-60AnotherExampleConsiderthefoExpectedvs.UnexpectedReturnsRealizedreturnsaregenerallynotequaltoexpectedreturnsThereistheexpectedcomponentandtheunexpectedcomponentAtanypointintime,theunexpectedreturncanbeeitherpositiveornegativeOvertime,theaverageoftheunexpectedcomponentiszero13-61Expectedvs.UnexpectedReturnAnnouncementsandNewsAnnouncementsandnewscontainbothanexpectedcomponentandasurprisecomponentItisthesurprisecomponentthataffectsastock’spriceandthereforeitsreturnThisisveryobviouswhenwewatchhowstockpricesmovewhenanunexpectedannouncementismadeorearningsaredifferentthananticipated13-62AnnouncementsandNewsAnnounceEfficientMarketsEfficientmarketsarearesultofinvestorstradingontheunexpectedportionofannouncementsTheeasieritistotradeonsurprises,themoreefficientmarketsshouldbeEfficientmarketsinvolverandompricechangesbecausewecannotpredictsurprises13-63EfficientMarketsEfficientmarSystematicRiskRiskfactorsthataffectalargenumberofassetsAlsoknownasnon-diversifiableriskormarketriskIncludessuchthingsaschangesinGDP,inflation,interestrates,etc.13-64SystematicRiskRiskfactorsthUnsystematicRiskRiskfactorsthataffectalimitednumberofassetsAlsoknownasuniqueriskandasset-specificriskIncludessuchthingsaslaborstrikes,partshortages,etc.13-65UnsystematicRiskRiskfactorsReturnsTotalReturn=expectedreturn+unexpectedreturnUnexpectedreturn=systematicportion+unsystematicportionTherefore,totalreturncanbeexpressedasfollows:TotalReturn=expectedreturn+systematicportion+unsystematicportion13-66ReturnsTotalReturn=expectedDiversificationPortfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectorsDiversificationisnotjustholdingalotofassetsForexample,ifyouown50Internetstocks,youarenotdiversifiedHowever,ifyouown50stocksthatspan20differentindustries,thenyouarediversified13-67DiversificationPortfoliodiverTable13.713-68Table13.713-23ThePrincipleofDiversificationDiversificationcansubstantiallyreducethevariabilityofreturnswithoutanequivalentreductioninexpectedreturnsThisreductioninriskarisesbecauseworsethanexpectedreturnsfromoneassetareoffsetbybetterthanexpectedreturnsfromanotherHowever,thereisaminimumlevelofriskthatcannotbediversifiedawayandthatisthesystematicportion13-69ThePrincipleofDiversificatiFigure13.113-70Figure13.113-25DiversifiableRiskTheriskthatcanbeeliminatedbycombiningassetsintoaportfolioOftenconsideredthesameasunsystematic,uniqueorasset-specificriskIfweholdonlyoneasset,orassetsinthesameindustry,thenweareexposingourselvestoriskthatwecoulddiversifyaway13-71DiversifiableRiskTheriskthaTotalRiskTotalrisk=systematicrisk+unsystematicriskThestandarddeviationofreturnsisameasureoftotalriskForwell-diversifiedportfolios,unsystematicriskisverysmallConsequently,thetotalriskforadiversifiedportfolioisessentiallyequivalenttothesystematicrisk13-72TotalRiskTotalrisk=systemaSystematicRiskPrincipleThereisarewardforbearingriskThereisnotarewardforbearingriskunnecessarilyTheexpectedreturnonariskyassetdependsonlyonthatasset’ssystematicrisksinceunsystematicriskcanbediversifiedaway13-73SystematicRiskPrincipleThereMeasuringSystematicRiskHowdowemeasuresystematicrisk?WeusethebetacoefficientWhatdoesbetatellus?Abetaof1impliestheassethasthesamesystematicriskastheoverallmarketAbeta<1impliestheassethaslesssystematicriskthantheoverallmarketAbeta>1impliestheassethasmoresystematicriskthantheoverallmarket13-74MeasuringSystematicRiskHowdTable13.8–SelectedBetasInsertTable13.8here13-75Table13.8–SelectedBetasInsTotalvs.SystematicRiskConsiderthefollowinginformation: StandardDeviation Beta SecurityC 20% 1.25 SecurityK 30% 0.95Whichsecurityhasmoretotalrisk?Whichsecurityhasmoresystematicrisk?Whichsecurityshouldhavethehigherexpectedreturn?13-76Totalvs.SystematicRiskConsiWorktheWebExampleManysitesprovidebetasforcompaniesYahooFinanceprovidesbeta,plusalotofotherinformationunderitsKeyStatisticslinkClickonthewebsurfertogotoYahooFinanceEnteratickersymbolandgetabasicquoteClickonKeyStatistics13-77WorktheWebExampleManysitesExample:PortfolioBetasConsiderthepreviousexamplewiththefollowingfoursecurities

Security Weight Beta C .133 2.685 KO .2 0.195 INTC .267 2.161 BP .4 2.434Whatistheportfoliobeta?.133(2.685)+.2(.195)+.267(2.161)+.4(2.434)=1.94713-78Example:PortfolioBetasConsidBetaandtheRiskPremiumRememberthattheriskpremium=expectedreturn–risk-freerateThehigherthebeta,thegreatertheriskpremiumshouldbeCanwedefinetherelationshipbetweentheriskpremiumandbetasothatwecanestimatetheexpectedreturn?YES!13-79BetaandtheRiskPremiumRememExample:PortfolioExpectedReturnsandBetasRfE(RA)A13-80Example:PortfolioExpectedReReward-to-RiskRatio:DefinitionandExampleThereward-to-riskratioistheslopeofthelineillustratedinthepreviousexampleSlope=(E(RA)–Rf)/(A–0)Reward-to-riskratioforpreviousexample=

(20–8)/(1.6–0)=7.5Whatifanassethasareward-to-riskratioof8(implyingthattheassetplotsabovetheline)?Whatifanassethas