财务管理第十三章课件

Chapter13Return,Risk,andtheSecurityMarketLineMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.KeyConceptsandSkills•Knowhowtocalculateexpectedreturns•Understandtheimpactofdiversification•Understandthesystematicriskprinciple•Understandthesecuritymarketline•Understandtherisk-returntrade-off•BeabletousetheCapitalAssetPricingModel13-2ChapterOutline•ExpectedReturnsandVariances•Portfolios•Announcements,Surprises,andExpectedReturns•Risk:SystematicandUnsystematic•DiversificationandPortfolioRisk•SystematicRiskandBeta•TheSecurityMarketLine•TheSMLandtheCostofCapital:APreview13-3ExpectedReturns•Expectedreturnsarebasedontheprobabilitiesofpossibleoutcomes•Inthiscontext,“expected”meansaverageiftheprocessisrepeatedmanytimes•The“expected”returndoesnotevenhavetobeapossiblereturnniiiRpRE1)(13-4Example:ExpectedReturnsStateProbabilityCTBoom0.31525Normal0.51020Recession???21•RC=.3(15)+.5(10)+.2(2)=9.9%•RT=.3(25)+.5(20)+.2(1)=17.7%13-5•SupposeyouhavepredictedthefollowingreturnsforstocksCandTinthreepossiblestatesoftheeconomy.Whataretheexpectedreturns?VarianceandStandardDeviation•Varianceandstandarddeviationmeasurethevolatilityofreturns•Usingunequalprobabilitiesfortheentirerangeofpossibilities•WeightedaverageofsquareddeviationsniiiRERp122))((σ13-6Example:VarianceandStandardDeviation•Considerthepreviousexample.Whatarethevarianceandstandarddeviationforeachstock?•StockC2=.3(15-9.9)2+.5(10-9.9)2+.2(2-9.9)2=20.29=4.50%•StockT2=.3(25-17.7)2+.5(20-17.7)2+.2(1-17.7)2=74.41=8.63%13-7AnotherExample•Considerthefollowinginformation:StateProbabilityABC,Inc.(%)Boom.2515Normal.508Slowdown.154Recession.10-3•Whatistheexpectedreturn?•Whatisthevariance?•Whatisthestandarddeviation?13-8Portfolios•Aportfolioisacollectionofassets•Anasset’sriskandreturnareimportantinhowtheyaffecttheriskandreturnoftheportfolio•Therisk-returntrade-offforaportfolioismeasuredbytheportfolioexpectedreturnandstandarddeviation,justaswithindividualassets13-9Example:PortfolioWeights•Supposeyouhave$15,000toinvestandyouhavepurchasedsecuritiesinthefollowingamounts.Whatareyourportfolioweightsineachsecurity?$2000ofC$3000ofKO$4000ofINTC$6000ofBPC:2/15=.133KO:3/15=.2INTC:4/15=.267BP:6/15=.413-10PortfolioExpectedReturns•Theexpectedreturnofaportfolioistheweightedaverageoftheexpectedreturnsoftherespectiveassetsintheportfolio•YoucanalsofindtheexpectedreturnbyfindingtheportfolioreturnineachpossiblestateandcomputingtheexpectedvalueaswedidwithindividualsecuritiesmjjjPREwRE1)()(13-11Example:ExpectedPortfolioReturns•Considertheportfolioweightscomputedpreviously.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%13-12PortfolioVariance•Computetheportfolioreturnforeachstate:RP=w1R1+w2R2+…+wmRm•Computetheexpectedportfolioreturnusingthesameformulaasforanindividualasset•Computetheportfoliovarianceandstandarddeviationusingthesameformulasasforanindividualasset13-13Example:PortfolioVariance•ConsiderthefollowinginformationInvest50%ofyourmoneyinAssetAStateProbabilityABBoom.430%-5%Bust.6-10%25%•Whataretheexpectedreturnandstandarddeviationforeachasset?•Whataretheexpectedreturnandstandarddeviationfortheportfolio?Portfolio12.5%7.5%13-14AnotherExample•ConsiderthefollowinginformationStateProbabilityXZBoom.2515%10%Normal.6010%9%Recession.155%10%•Whataretheexpectedreturnandstandarddeviationforaportfoliowithaninvestmentof$6,000inassetXand$4,000inassetZ?13-15Expectedvs.UnexpectedReturns•Realizedreturnsaregenerallynotequaltoexpectedreturns•ThereistheexpectedcomponentandtheunexpectedcomponentAtanypointintime,theunexpectedreturncanbeeitherpositiveornegativeOvertime,theaverageoftheunexpectedcomponentiszero13-16AnnouncementsandNews•Announcementsandnewscontainbothanexpectedcomponentandasurprisecomponent•Itisthesurprisecomponentthataffectsastock’spriceandthereforeitsreturn•Thisisveryobviouswhenwewatchhowstockpricesmovewhenanunexpectedannouncementismadeorearningsaredifferentthananticipated13-17EfficientMarkets•Efficientmarketsarearesultofinvestorstradingontheunexpectedportionofannouncements•Theeasieritistotradeonsurprises,themoreefficientmarketsshouldbe•Efficientmarketsinvolverandompricechangesbecausewecannotpredictsurprises13-18SystematicRisk•Riskfactorsthataffectalargenumberofassets•Alsoknownasnon-diversifiableriskormarketrisk•IncludessuchthingsaschangesinGDP,inflation,interestrates,etc.13-19UnsystematicRisk•Riskfactorsthataffectalimitednumberofassets•Alsoknownasuniqueriskandasset-specificrisk•Includessuchthingsaslaborstrikes,partshortages,etc.13-20Returns•TotalReturn=expectedreturn+unexpectedreturn•Unexpectedreturn=systematicportion+unsystematicportion•Therefore,totalreturncanbeexpressedasfollows:•TotalReturn=expectedreturn+systematicportion+unsystematicportion13-21Diversification•Portfoliodiversificationistheinvestmentinseveraldifferentassetclassesorsectors•Diversificationisnotjustholdingalotofassets•Forexample,ifyouown50Internets