公司理财--第11章

bi
Cov( Ri , RM )
( RM )
2
• We shall now consider many types of systematic risk.
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-6
11.2 Risk: Systematic and Unsystematic
We can break down the risk, U, of holding a stock into two components: systematic risk and unsystematic risk: Total risk; U
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-1
Chapter Outline
11.1 Factor Models: Announcements, Surprises, and Expected Returns 11.2 Risk: Systematic and Unsystematic 11.3 Systematic Risk and Betas 11.4 Portfolios and Factor Models 11.5 Betas and Expected Returns 11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory 11.7 Parametric Approaches to Asset Pricing 11.8 Summary and Conclusions
R R 2.30 5% 1.50 FGDP 0.50 FS 1%
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.ห้องสมุดไป่ตู้
11-11
Systematic Risk and Betas: Example
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-3
11.1 Factor Models: Announcements, Surprises, and Expected Returns
R R 2.30 FI 1.50 FGDP 0.50 FS 1%
We must decide what surprises took place in the systematic factors. If it was the case that the inflation rate was expected to be by 3%, but in fact was 8% during the time period, then FI = Surprise in the inflation rate = actual – expected = 8% - 3% = 5%
11-0
Chapter Eleven

An AlternativeCorporate Finance View of Risk Ross Westerfield Jaffe and Return: The APT
Sixth Edition
11
Sixth Edition
McGraw-Hill/Irwin
• Suppose we have made the following estimates: 1. bI = -2.30 2. bGDP = 1.50 3. bS = 0.50. Finally, the firm was able to attract a “superstar” CEO and this unanticipated development contributes 1% to the return. ε 1%
R R U becomes R Rmε

Nonsystematic Risk; Systematic Risk; m
where m is the systematic risk ε is the unsystemat ic risk
n
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
The surprise is the news that influences the unanticipated return on the stock, U.
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
11-5
11.2 Risk: Systematic and Unsystematic
• A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree. • An unsystematic risk is a risk that specifically affects a single asset or small group of assets. • Unsystematic risk can be diversified away. • Examples of systematic risk include uncertainty about general economic conditions, such as GNP, interest rates or inflation. • On the other hand, announcements specific to a company, such as a gold mining company striking gold, are examples of unsystematic risk.
R R U where R is the expected part of the return U is the unexpected part of the return
McGraw-Hill/Irwin
Copyright © 2002 by The McGraw-Hill Companies, Inc. All rights reserved.
McGraw-Hill/Irwin
11-8
11.3 Systematic Risk and Betas
• For example, suppose we have identified three systematic risks on which we want to focus: 1. Inflation 2. GDP growth 3. The dollar-euro spot exchange rate, S($,€) Our model is:
•
R Rmε R R βI FI βGDP FGDP βS FS ε βI is the inflation beta βGDP is the GDP beta βS is the spot exchange rate beta ε is the unsystemat ic risk
R R 2.30 5% 1.50 FGDP 0.50 FS 1%
If it was the case that the rate of GDP growth was expected to be 4%, but in fact was 1%, then FGDP = Surprise in the rate of GDP growth = actual – expected = 1% - 4% = -3%
11-7
11.3 Systematic Risk and Betas
• The beta coefficient, b, tells us the response of the stock’s return to a systematic risk. • In the CAPM, b measured the responsiveness of a security’s return to a specific risk factor, the return on the market portfolio.
• The return on any security consists of two parts. – First the expected returns – Second is the unexpected or risky returns. • A way to write the return on a stock in the coming month is:
11-4
11.1 Factor Models: Announcements, Surprises, and Expected Returns
• Any announcement can be broken down into two parts, the anticipated or expected part and the surprise or innovation: • Announcement = Expected part + Surprise. • The expected part of any announcement is part of the information the market uses to form the expectation, R of the return on the stock.