第九章 资本市场理论综述

McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-0ChapterOutline9.1Returns9.2Holding-PeriodReturns9.3ReturnStatistics9.4AverageStockReturnsandRisk-FreeReturns9.5RiskStatistics9.6SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-19.1Returns:VeryImportant•DollarReturns–thesumofthecashreceivedandthechangeinvalueoftheasset,indollars.Time01InitialinvestmentEndingmarketvalueDividends•PercentageReturns:thesumofthecashreceivedandthechangeinvalueoftheassetdividedbytheoriginalinvestment.Frequently:rt=ln(1+(pt-pt-1+dt)/pt-1)isbetterformodeling.Fechner’sLaw:responseisproportionaltostimulusMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-2DollarReturn=Dividend+ChangeinMarketValue9.1ReturnspercentagereturndollarreturnbeginningmarketvaluedividendchangeinmarketvaluebeginningmarketvaluedividendyieldcapitalgainsyieldThisisnotstatutory(taxlaw)capitalgainsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-39.1Returns:Example•Supposeyoubought100sharesofWal-Mart(WMT)oneyearagotodayat$25.Overthelastyear,youreceived$20individends(=20centspershare×100shares).Attheendoftheyear,thestocksellsfor$30.Howdidyoudo?•Quitewell.Youinvested$25*100=$2,500.Attheendoftheyear,youhavestockworth$3,000andcashdividendsof$20.Yourdollargainwas$520=$20+($3,000–$2,500).•Yourpercentagegainfortheyearis500,2$520$%8.20McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-49.1Returns:Example•DollarReturns–$520gainTime01-$2,500$3,000$20•PercentageReturns500,2$520$%8.20McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-59.2Holding-PeriodReturns•Theholdingperiodreturnisthereturnthataninvestorwouldgetwhenholdinganinvestmentoveraperiodofnperiods,whenthereturnduringperiodiisgivenasri:holdingperiodreturn(1r1)(1r2)(1rn)1sometimescalledbuyandholdreturnforthe4yearperiodMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-6HoldingPeriodReturn:Example•Supposeyourinvestmentprovidesthefollowingreturnsoverafour-yearperiod.[NotethatthisisaPV,NOTNPVYearReturn110%2-5%320%415%%21.444421.1)15.1()20.1()95(.)10.1(1)1()1()1()1(returnperiodholdingYour4321rrrrMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-7HoldingPeriodReturn:Example•Aninvestorwhoheldthisinvestmentwouldhaveactuallyrealizedanannualreturnof9.58%:YearReturn110%2-5%320%415%%58.9095844.1)15.1()20.1()95(.)10.1()1()1()1()1()1(returnaverageGeometric443214ggrrrrrr•So,ourinvestormade9.58%onhismoneyforfouryears,realizingaholdingperiodreturnof44.21%4)095844.1(4421.1McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-8HoldingPeriodReturn:Example•Notethatthegeometricaverageisnotthesamethingasthearithmeticaverage.Infinanceweusethegeometricaverage.Forsmallchanges,thearithmeticaverageisapproximatelythesameasthegeometric.YearReturn110%2-5%320%415%%104%15%20%5%104returnaverageArithmetic4321rrrrMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-9HoldingPeriodReturns•Afamoussetofstudiesdealingwiththeratesofreturnsoncommonstocks,bonds,andTreasurybillswasconductedbyRogerIbbotsonandRexSinquefield.•Theypresentyear-by-yearhistoricalratesofreturnstartingin1926forthefollowingfiveimportanttypesoffinancialinstrumentsintheUnitedStates:–Large-CompanyCommonStocks–Small-companyCommonStocks–Long-TermCorporateBonds–Long-TermU.S.GovernmentBonds–U.S.TreasuryBillsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-10TheFutureValueofanInvestmentof$1in19260.110100019301940195019601970198019902000CommonStocksLongT-BondsT-Bills$40.22$15.6463.845,2$)1()1()1(1$199919271926rrrSource:©Stocks,Bonds,Bills,andInflation2000Yearbook™,IbbotsonAssociates,Inc.,Chicago(annuallyupdatesworkbyRogerG.IbbotsonandRexA.Sinquefield).Allrightsreserved.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-119.3ReturnStatistics•Thehistoryofcapitalmarketreturnscanbesummarizedbydescribingthe–averagereturn–thestandarddeviationofthosereturns–thefrequencydistributionofthereturns:bargraph.TRRRT)(11)()()(22221TRRRRRRVARSDTMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-12HistoricalReturns,1926-1999Source:©Stocks,Bonds,Bills,andInflation2000Yearbook™,IbbotsonAssociates,Inc.,Chicago(annuallyupdatesworkbyRogerG.IbbotsonandRexA.Sinquefield).Allrightsreserved.Chartisapproximate.–90%+90%0%AverageStandardSeriesAnnualReturnDeviationDistributionLargeCompanyStocks13.0%20.3%SmallCompanyStocks17.733.9Long-TermCorporateBonds6.18.7Long-TermGovernmentBonds5.69.2U.S.TreasuryBills3.83.2Inflation3.24.5McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.9-139.4AverageStockReturnsandRisk-FreeReturns•TheRiskPremiumistheadditionalreturn(overandabovetherisk-freerate,rF)resultingfrombearingrisk.•