公司金融5

1PrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.MyersSlidesbyMatthewWillSlidesEditedbyMinggaoShen9.CapitalAssetPricingModel(CAPM)9-2McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTopicsCoveredŠTheCapitalMarketLine(CML)RelationshipŠTheSecurityMarketLine(SML)RelationshipŠCAPMŠTheCharacteristicLineŠTestingtheCAPMŠCAPMAlternativesÎArbitragePricingTheory9-3McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMotivationŠCapitalmarkettheoryextendsportfoliotheoryandseekstodevelopamodelforpricingallriskyassetsbasedontheirrelevantrisksŠAssetPricingModelsÎCapitalassetpricingmodel(CAPM)allowsforthecalculationoftherequiredrateofreturnforanyriskyassetbasedonmarketriskÎArbitragePricingTheory(APT)isamulti-factormodelfordeterminingtherequiredrateofreturn9-4McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheCapitalMarketLineŠTheCMLleadsallinvestorstoinvestintheMportfolio(theInvestmentDecision)ŠIndividualinvestorsshoulddifferinpositionontheCMLdependingonriskpreferences(theFinancingDecision)ŠRiskyportfolios,however,arenottailoredtoeachindividual’staste(TheSeparationTheorem)9-5McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedARiskMeasurefortheCMLŠInvestorsshouldfocusonriskthatcannotbemanagedbydiversificationŠTotalrisk=systematic(nondiversifiable)risk+nonsystematic(diversifiable)riskŠTherelevantriskofanindividualstockisitscontributiontotheriskinessofawell-diversified,market-levelportfolioÎPortfoliosratherthanindividualassetsmostimportant9-6McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedARiskMeasurefortheCMLŠBecauseallindividualriskyassetsarepartoftheportfolioMandtherelevantriskisthecontributiontotheriskofM,anasset’srateofreturninrelationtothereturnfortheMportfoliomaybedescribedusingthefollowinglinearmodel:itiimtitrαβrε=++29-7McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCapitalAssetPricingModelAssumptions:1.AllinvestorsseektoinvestinMarkowitzefficientportfolio.2.Unlimitedborrowingandlendingattheriskfreerate.3.Allinvestorshavehomogeneousexpectations.4.NoTaxesandnotransactioncosts.5.Capitalmarketsareinequilibrium.Themainidea:Inacompetitivemarket,theexpectedriskpremiumvariesindirectproportiontobeta.9-8McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheCapitalAssetPricingModelŠExistenceofarisk-freeassetresultsinacapitalmarketline(CML)thatbecomestherelevantfrontierforinvestorsŠAnasset’scovariancewiththemarketportfolioistherelevantriskmeasureŠThecapitalassetpricingmodel(CAPM)isusedtodetermineanappropriaterequiredrateofreturnonariskyassetgivenitsrisk9-9McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheCapitalAssetPricingModelŠCAPMindicateswhatshouldbetheexpectedorrequiredratesofreturnonriskyassetsŠHelpstovalueanassetbyprovidinganappropriatediscountratetouseinvaluationmodelsŠBycomparinganexpectedrateofreturntotherequiredrateofreturnimpliedbyCAPM,theover/undervaluationofthesecuritycanbeestimatedCapitalMarketLineŠLinefromrftoTiscapitalmarketline(CML)Šx=riskpremium=E(rm)-rfŠy=risk=σmŠSlope=x/y=[E(rm)-rf]/σmŠy-intercept=rfE(rm)rfσMTMyx9-11McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCapitalMarketLineŠSlopeoftheCMListhemarketpriceofriskforefficientportfolios,ortheequilibriumpriceofriskinthemarketŠRelationshipbetweenriskandexpectedreturnfor(investment)portfolio(EquationforCML):mffmE(r)rE(r)rσσ−=+×9-12McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheSecurityMarketLineŠCMLEquationonlyappliestomarketsinequilibriumandefficientportfoliosŠTheSecurityMarketLinedepictsthetradeoffbetweenriskandexpectedreturnforindividualsecuritiesŠUnderCAPM,allinvestorsholdthemarketportfolioÎHowdoesanindividualsecuritycontributetotheriskofthemarketportfolio?39-13McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheSecurityMarketLineŠAsecurity’scontributiontotheriskofthemarketportfolioisσi,m/σmÎRiskmeasuretouseinCMLforassetiÎWhatisriskmeasureformarketportfolio?,mfimifmmifimfE(r)rσE(r)rσσE(r)rE(r)rβ−=+×=+×−9-14McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheCapitalAssetPricingModelŠExpectedrateofreturnofariskyassetisdeterminedbytherfplusariskpremiumfortheindividualassetŠTheriskpremiumisdeterminedbythesystematicriskoftheasset(beta)andtheprevailingmarketriskpremium(rm-rf)ifimfE(r)rE(r)rβ=+×−9-15McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheCapitalMarketLineReturnRisk(StandardDeviation).rfRiskFreeReturn=EfficientPortfolioMarketReturn=rm9-16McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTheSecurityMarketLineReturn.rfRiskFreeReturn=EfficientPortfolioMarketReturn=rmBETA1.09-17McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedSecurityMarketLineReturn.rfRiskFreeReturn=BETASecurityMarketLine(SML)9-18McGrawHill/Irwin