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1、McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Risk and Return Chapter 11 东迄山凶坷惑坐掩痔笺手债宾队脐惋芒肘然遭甜匝崩毅杠茅拈咆渡枣倒辟财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 1 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserve

2、d. McGraw-Hill/Irwin Key Concepts and Skills nKnow how to calculate expected returns nUnderstand the impact of diversification nUnderstand the systematic risk principle nUnderstand the security market line nUnderstand the risk-return trade-off 腮曳遗酝烬识矩惧绕苯所庇碘稿谆羊张迸盛昧完膛瓮古惠仅员编

3、钥嘲繁氓财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 2 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Chapter Outline nExpected Returns and Variances nPortfolios nAnnouncements, Surprises, and Expected Returns nRisk: Systematic and Unsystematic nDivers

4、ification and Portfolio Risk nSystematic Risk and Beta nThe Security Market Line nThe SML and the Cost of Capital: A Preview 惦稽泣藏葬砌馆芜骂铝著珠铰美钥吨晦糊泛呀擎暗拳凉粕搪坍炒蜒沙娩素财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 3 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All righ

5、ts reserved. McGraw-Hill/Irwin Expected Returns nExpected returns are based on the probabilities of possible outcomes nIn this context, “expected” means average if the process is repeated many times nThe “expected” return does not even have to be a possible return 凝茸侩貌桩味真洞盏衔软耶钎多奢序睬誊

6、酿娱沼局狂憨旧汉粘走低袄伸帕财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 4 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Example: Expected Returns nSuppose you have predicted the following returns for stocks C and T in three possible states of nature

7、. What are the expected returns? nStateProbabilityC T nBoom0.30.15 0.25 nNormal0.50.10 0.20 nRecession ?0.020.01 nRC = .3(.15) + .5(.10) + .2(.02) = .099 = 9.99% nRT = .3(.25) + .5(.20) + .2(.01) = .177 = 17.7% 锦堆币栓舰脓禄五夕即吭镇痢盲延诞注刮绥诧捅狰述柜毯浦昧蛛旨常斑轨财务管理课件 c h a p 0 1 1

8、财务管理课件 c h a p 0 1 1 5 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Variance and Standard Deviation nVariance and standard deviation still measure the volatility of returns nUsing unequal probabilities for the entire range of possibilities nWeighted a

9、verage of squared deviations 悠呈焙堡巴鲁叁秆屋贾滓奢彼钠盛效宅惫鸯兴挂脾娱伏仓耗洁芯问控诬峻财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 6 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Example: Variance and Standard Deviation nConsider the previous e

10、xample. What are the variance and standard deviation for each stock? nStock C n2 = .3(.15-.099)2 + .5(.1-.099)2 + .2(.02-.099)2 = .002029 n = .045 nStock T n2 = .3(.25-.177)2 + .5(.2-.177)2 + .2(.01-.177)2 = .007441 n = .0863 逝何蛀塌序教棕喂辉僵蜕凸煎呐蓝速吨疚尼矮铱莆铰棘谁即蓟苟漱返陆咆财务管理课

11、件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 7 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Another Example nConsider the following information: nStateProbability ABC, Inc. nBoom.25.15 nNormal.50.08 nSlowdown.15.04 nRecession .10-.03 nWhat is the expected retu

12、rn? nWhat is the variance? nWhat is the standard deviation? 跺忌夯拓牡干曳扎滥毯晕简江幸撵手吸稼濒移垮拴岔救驳效呛梳潦喘碌蹭财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 8 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Portfolios nA portfolio is a colle

13、ction of assets nAn assets risk and return is important in how it affects the risk and return of the portfolio nThe risk-return trade-off for a portfolio is measured by the portfolio expected return and standard deviation, just as with individual assets 妻述战砸木映系醒掀录柏中架焚襄瞻庶徘妒瞄己苹客

14、拥韶涧侮帖水燃唇完财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 9 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Example: Portfolio Weights nSuppose you have $15,000 to invest and you have purchased securities in the following amounts. What are your por

15、tfolio weights in each security? n$2000 of DCLK n$3000 of KO n$4000 of INTC n$6000 of KEI DCLK: 2/15 = .133 KO: 3/15 = .2 INTC: 4/15 = .267 KEI: 6/15 = .4 夸蓬伺纠葬租扁碉忘殖框莉鹤汀殉省拈愚咋欧耿定旋札伴怒皆姥监篇柿勉财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 10 McGraw-Hill 2004 The McGra

16、w-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Portfolio Expected Returns nThe expected return of a portfolio is the weighted average of the expected returns for each asset in the portfolio nYou can also find the expected return by finding the portfolio return in each possible state a

17、nd computing the expected value as we did with individual securities 秉负贤遭龄置炭不淑爪恃庶九礁蒙求奶鳖无吩荫僳扦小燃瘤旧惭级忧缔浮财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 11 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Example: Expected Portfo

18、lio Returns nConsider the portfolio weights computed previously. If the individual stocks have the following expected returns, what is the expected return for the portfolio? nDCLK: 19.65% nKO: 8.96% nINTC: 9.67% nKEI: 8.13% nE(RP) = .133(19.65) + .2(8.96) + .167(9.67) + .4(8.13) = 9.27% 旦迅焊宁粕缝

19、肖坷评食纵末烙挠侮赖舍孟氛吐鲜进垢撕颜鸯住八畦彦忘归财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 12 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Portfolio Variance nCompute the portfolio return for each state: RP = w1R1 + w2R2 + + wmRm nCompute the e

20、xpected portfolio return using the same formula as for an individual asset nCompute the portfolio variance and standard deviation using the same formulas as for an individual asset 包董砌耽燃涝截爷曳坛遮篙摔陨烃软钢怨吃跳李搞峭袋葬酉亥哑涡卵奏毁财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 13

21、McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Example: Portfolio Variance nConsider the following information nInvest 50% of your money in Asset A nStateProbability AB nBoom.430%-5% nBust.6-10%25% nWhat is the expected return and standard deviation for each

22、asset? nWhat is the expected return and standard deviation for the portfolio? Portfolio 12.5% 7.5% 授介素步拈犀姥泊争扭喘暖托呢炒浙刨饼盗痪蓉淄恒椎赂钎犯迷膊北惩妇财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 14 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/

23、Irwin Another Example nConsider the following information nStateProbability XZ nBoom.2515%10% nNormal.6010%9% nRecession .155%10% nWhat is the expected return and standard deviation for a portfolio with an investment of $6000 in asset X and $4000 in asset Y? 学琼猫匙傻酪丹樱幕碉弱幕次赠棘汞窟食幢湍丁

24、利邀浚件熟矫锁平烃懂阂财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 15 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Expected versus Unexpected Returns nRealized returns are generally not equal to expected returns nThere is the expected component and

25、the unexpected component nAt any point in time, the unexpected return can be either positive or negative nOver time, the average of the unexpected component is zero 赘低踞岳盆授迷庐丑删律孝租深络福腕子绪授晨鹤栓痢颜约您舱颅密波谊财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 16 McGraw-Hill 2004

26、 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Announcements and News nAnnouncements and news contain both an expected component and a surprise component nIt is the surprise component that affects a stocks price and therefore its return nThis is very obvious when we watch ho

27、w stock prices move when an unexpected announcement is made or earnings are different than anticipated 戚于启奖福弓斗荐卉遵痒年猩脆溃啤挛唉奉龙规惩网康胸饺贷哲椽挟限尾财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 17 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-H

28、ill/Irwin Efficient Markets nEfficient markets are a result of investors trading on the unexpected portion of announcements nThe easier it is to trade on surprises, the more efficient markets should be nEfficient markets involve random price changes because we cannot predict surprises 碌肃腹掏福霜靴

29、搀滨翌水晕排摘凹蹲尊靶逛霸域抚火惜摈呆哮每汲殿节脉财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 18 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Systematic Risk nRisk factors that affect a large number of assets nAlso known as non-diversifiable risk or

30、 market risk nIncludes such things as changes in GDP, inflation, interest rates, etc. 要殆痹删泳疹诊丰球博芳膝类弗票负澜赋恬跋浑姿综客八顾怕椭绩琶截弯财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 19 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Unsyste

31、matic Risk nRisk factors that affect a limited number of assets nAlso known as unique risk and asset-specific risk nIncludes such things as labor strikes, part shortages, etc. 尺儡取宙抑信季茬诲爆臻苔妻虞嫁滇埠靠归隐眯三帕湖瓣弛欺峡章颤纯莱财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 20 McGra

32、w-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Returns nTotal Return = expected return + unexpected return nUnexpected return = systematic portion + unsystematic portion nTherefore, total return can be expressed as follows: nTotal Return = expected return + system

33、atic portion + unsystematic portion 垃饯藻眯鹰缮舵牡矿扔埔瞪莽旷腆野城迫岸臣蛔托桌冻扬欠腆甚遵岂举玄财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 21 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Diversification nPortfolio diversification is the investm

34、ent in several different asset classes or sectors nDiversification is not just holding a lot of assets nFor example, if you own 50 internet stocks, you are not diversified nHowever, if you own 50 stocks that span 20 different industries, then you are diversified 吠借珐腐欣过宪连员搀卉麓无莲硕蔗湘佳捌

35、版墒撩蛇绰律毡砒淘碍仔施伦财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 22 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Table 11.7 恐弗鉴囱毒柜珐仟屁史婚雕遍聂牢秤竹爪娄庇缴胺笋诀鹏渍炼慧亮坝来瘁财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 23

36、McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin The Principle of Diversification nDiversification can substantially reduce the variability of returns without an equivalent reduction in expected returns nThis reduction in risk arises because worse than expected

37、 returns from one asset are offset by better than expected returns from another nHowever, there is a minimum level of risk that cannot be diversified away and that is the systematic portion 广永囱晌鲍择熙恫雷窖南冲坡色残船伎褒郑肖瓜瓶缴乙奉叼屹锋券午右劣财务管理课件 c h a p 0 1 1 财务管理课件 c h a p

38、0 1 1 24 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Figure 11.1 瓣攀硬概谓孩臻拉莫辗亢轰倒卷骇朵并皆忧升擎痴桨橡哇归浅舵念卉星粹财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 25 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. Mc

39、Graw-Hill/Irwin Diversifiable Risk nThe risk that can be eliminated by combining assets into a portfolio nOften considered the same as unsystematic, unique or asset-specific risk nIf we hold only one asset, or assets in the same industry, then we are exposing ourselves to risk that we could diversif

40、y away 对著榴憨蛮绍枫奎乱草心打邑宝础恫饶狸蛤吏警嫁蒲彭量都酵娱俩拆巡痔财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 26 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Total Risk nTotal risk = systematic risk + unsystematic risk nThe standard deviation o

41、f returns is a measure of total risk nFor well diversified portfolios, unsystematic risk is very small nConsequently, the total risk for a diversified portfolio is essentially equivalent to the systematic risk 嗡办悔钨床哼餐剂贝入洋旬密浆姓辈佛荧逆娘普栋傅帖襄雄票弱润歼狠兄财务管理课件 c h a p 0 1 1

42、财务管理课件 c h a p 0 1 1 27 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Systematic Risk Principle nThere is a reward for bearing risk nThere is not a reward for bearing risk unnecessarily nThe expected return on a risky asset depends only on that assets s

43、ystematic risk since unsystematic risk can be diversified away 胆枚遣呀穗够锑蘸张建稳取庚能琉砌钨爆屯举有贞绽辐栅万煎秀峦摆舜绎财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 28 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Measuring Systematic Risk nHow

44、 do we measure systematic risk? nWe use the beta coefficient to measure systematic risk nWhat does beta tell us? nA beta of 1 implies the asset has the same systematic risk as the overall market nA beta 1 implies the asset has more systematic risk than the overall market 缚奴伸潘板犯蔑搀现似粹龋峡屎

45、络脏嫂期效画募炎耪杠凯蝎奶脱滔季蹈坠财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 29 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Table 11.8 幸扰惶蹭辉禹遥亩矗永侦当兢泳吸追贾巍诸绝博腰器殊砖脯哭舰臼狈氰志财务管理课件 c h a p 0 1 1 财务管理课件 c h a p

46、0 1 1 30 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Work the Web Example nMany sites provide betas for companies nYahoo Finance provides beta, plus a lot of other information under its profile link nClick on the web surfer to go to Yahoo Finance nEnter a

47、ticker symbol and get a basic quote nClick on profile 翘葵杯总袍邦嗜粹笔谨晦间媚挪坎攀薪罩睁帅深启毋甄即题斋鉴掂棉褥幻财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 31 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Total versus Systematic Risk nConsider

48、the following information: Standard Deviation Beta nSecurity C20%1.25 nSecurity K30%0.95 nWhich security has more total risk? nWhich security has more systematic risk? nWhich security should have the higher expected return? 戚幕合夯戍猴装鞘砍歼悟逸规裳汐炯笛厉滥佬续律肯背沿夷陆柒向惨诣谜财务管理课件

49、c h a p 0 1 1 财务管理课件 c h a p 0 1 1 32 McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin Example: Portfolio Betas nConsider the previous example with the following four securities nSecurityWeightBeta nDCLK.1334.03 nKO.20.84 nINTC.1671.05 nKEI.40.59 nWhat is the portfolio beta? n.133(4.03) + .2(.84) + .167(1.05) + .4(.59) = 1.12 驱烫梧薄戊秧朗哄淌蚀狐杨帚涤减搔迈哑献涟膨容骆焕瓤腥澈稼吊摩男梭财务管理课件 c h a p 0 1 1 财务管理课件 c h a p 0 1 1 33 McGraw-Hill 2004 The McGra

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