CH06RiskandRatesofReturn(财务管理,英文版)

6-1Copyright©2001byHarcourt,Inc.Allrightsreserved.CHAPTER6RiskandRatesofReturnStand-aloneriskPortfolioriskRisk&return:CAPM/SML6-2Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatisinvestmentrisk?Investmentriskpertainstotheprobabilityofactuallyearningalowornegativereturn.Thegreaterthechanceoflowornegativereturns,theriskiertheinvestment.6-3Copyright©2001byHarcourt,Inc.Allrightsreserved.ProbabilitydistributionExpectedRateofReturnRateofreturn(%)100150-70FirmXFirmY6-4Copyright©2001byHarcourt,Inc.Allrightsreserved.AnnualTotalReturns,1926-1998AverageStandardReturnDeviationDistributionSmall-companystocks17.4%33.8%Large-companystocks13.220.3Long-termcorporatebonds6.18.6Long-termgovernment5.79.2Intermediate-termgovernment5.55.7U.S.Treasurybills3.83.2Inflation3.24.5017.4%013.2%06.1%05.7%05.5%03.8%03.2%6-5Copyright©2001byHarcourt,Inc.Allrightsreserved.InvestmentAlternatives(Givenintheproblem)EconomyProb.T-BillHTCollUSRMPRecession0.18.0%-22.0%28.0%10.0%-13.0%Belowavg.0.28.0-2.014.7-10.01.0Average0.48.020.00.07.015.0Aboveavg.0.28.035.0-10.045.029.0Boom0.18.050.0-20.030.043.01.06-6Copyright©2001byHarcourt,Inc.Allrightsreserved.WhyistheT-billreturnindependentoftheeconomy?Willreturnthepromised8%regardlessoftheeconomy.6-7Copyright©2001byHarcourt,Inc.Allrightsreserved.DoT-billspromiseacompletelyrisk-freereturn?No,T-billsarestillexposedtotheriskofinflation.However,notmuchunexpectedinflationislikelytooccuroverarelativelyshortperiod.6-8Copyright©2001byHarcourt,Inc.Allrightsreserved.DothereturnsofHTandColl.movewithorcountertotheeconomy?HT:Moveswiththeeconomy,andhasapositivecorrelation.Thisistypical.Coll:Iscountercyclicaloftheeconomy,andhasanegativecorrelation.Thisisunusual.6-9Copyright©2001byHarcourt,Inc.Allrightsreserved.Calculatetheexpectedrateofreturnoneachalternative:.Pk=kˆn1=iiik=expectedrateofreturn.kHT=(-22%)0.1+(-2%)0.20+(20%)0.40+(35%)0.20+(50%)0.1=17.4%.^^6-10Copyright©2001byHarcourt,Inc.Allrightsreserved.kHT17.4%Market15.0USR13.8T-bill8.0Coll.1.7HTappearstobethebest,butisitreally?^6-11Copyright©2001byHarcourt,Inc.Allrightsreserved.What’sthestandarddeviationofreturnsforeachalternative?=Standarddeviation.===Variance2.P)kˆk(n1ii2i6-12Copyright©2001byHarcourt,Inc.Allrightsreserved.T-bills=0.0%.HT=20.0%.Coll=13.4%.USR=18.8%.M=15.3%.1/2T-bills=.P)kˆk(n1ii2i(8.0–8.0)20.1+(8.0–8.0)20.2+(8.0–8.0)20.4+(8.0–8.0)20.2+(8.0–8.0)20.16-13Copyright©2001byHarcourt,Inc.Allrightsreserved.Prob.RateofReturn(%)T-billUSRHT0813.817.46-14Copyright©2001byHarcourt,Inc.Allrightsreserved.Standarddeviation(i)measurestotal,orstand-alone,risk.Thelargerthei,thelowertheprobabilitythatactualreturnswillbeclosetotheexpectedreturn.6-15Copyright©2001byHarcourt,Inc.Allrightsreserved.ExpectedReturnsvs.RiskSecurityExpectedreturnRisk,HT17.4%20.0%Market15.015.3USR13.8*18.8*T-bills8.00.0Coll.1.7*13.4**Seemsmisplaced.6-16Copyright©2001byHarcourt,Inc.Allrightsreserved.CoefficientofVariation(CV)Standardizedmeasureofdispersionabouttheexpectedvalue:Showsriskperunitofreturn.CV==.Stddev^kMean6-17Copyright©2001byHarcourt,Inc.Allrightsreserved.0ABA=B,butAisriskierbecauselargerprobabilityoflosses.=CVACVB.^k6-18Copyright©2001byHarcourt,Inc.Allrightsreserved.PortfolioRiskandReturnAssumeatwo-stockportfoliowith$50,000inHTand$50,000inCollections.Calculatekpandp.^6-19Copyright©2001byHarcourt,Inc.Allrightsreserved.PortfolioReturn,kpkpisaweightedaverage:kp=0.5(17.4%)+0.5(1.7%)=9.6%.kpisbetweenkHTandkCOLL.^^^^^^^^kp=Swiki.ni=16-20Copyright©2001byHarcourt,Inc.Allrightsreserved.AlternativeMethodkp=(3.0%)0.10+(6.4%)0.20+(10.0%)0.40+(12.5%)0.20+(15.0%)0.10=9.6%.^EstimatedReturnEconomyProb.HTColl.Port.Recession0.10-22.0%28.0%3.0%Belowavg.0.20-2.014.76.4Average0.4020.00.010.0Aboveavg.0.2035.0-10.012.5Boom0.1050.0-20.015.06-21Copyright©2001byHarcourt,Inc.Allrightsreserved.CVp==0.34.3.3%9.6%p==3.3%.12/(3.0–9.6)20.10+(6.4–9.6)20.20+(10.0–9.6)20.40+(12.5–9.6)20.20+(15.0–9.6)20.106-22Copyright©2001byHarcourt,Inc.Allrightsreserved.p=3.3%ismuchlowerthanthatofeitherstock(20%and13.4%).p=3.3%islowerthanaverageofHTandColl=16.7%.\Portfolioprovidesaveragekbutlowerrisk.Reason:negativecorrelation.^6-23Copyright©2001byHarcourt,Inc.Allrightsreserved.GeneralstatementsaboutriskMoststocksarepositivelycorrelated.rk,m0.65.35%foranaveragestock.Combiningstocksgenerallylowersrisk.6-24Copyright©2001byHarcourt,Inc.Allrightsreserved.ReturnsDistributionforTwoPerfectlyNegativelyCorrelatedStocks(r=-1.0)andforPortfolioWM25150-10-10-100015152525StockWStockMPortfolioWM...............6-25Copyright©2001byHarcourt,Inc.Allrightsreserved.ReturnsDistributionsforTwoPerfectlyPositivelyCorrelatedStocks(r=+1.0)andforPortfolioMM’StockM01525-10StockM’01525-10PortfolioMM’01525-106-26Copyright©2001byHarcourt,Inc.Allrightsreserved.Whatwouldhappentotheriskinessofanaverage1-stockportfolioasmorerandomlyselectedstockswereadded?pwoulddecreasebecausetheaddedstockswouldnotbeperfectlycorrelatedbutkpwouldremainrelativelyconstant.^6-27Copyright©2001byHarcourt,Inc.