CAPM--资产定价模型英文版

PMM1008PrinciplesofFinanceandInvestment-CapitalAssetPricingModel(CAPM)IntroductionCAPMisbasedonMarkowitz’sportfoliotheoryanddefinesalinearrelationshipbetweenthesystematicriskofasecurityanditsrequiredrateofreturn.OriginallydevelopedindividuallybySharpe,MossinandLinter,thislinearrelationshipisrepresentedbythesecuritymarketline(SML).Ri=Rf+βi(Rm–Rf)Thisstatesthattheexpectedreturnoftheriskyinvestmentequalsthereturnfromtherisk-freeinvestmentplusthereturnfromthemarketportfolio.Risk•Unsystematicrisk–riskthatcanbediversifiedawaybyholdingawelldiversifiedportfolio•Systematicrisk–riskthatcannotbediversifiedaway,itcomprisestheriskfactorscommontoallfirms.Itismeasuredbybeta,β,whichisthesensitivityofsystematicrisktochangesinmarketreturns.Betaβ•Thisisanindexoftheresponsivenessinthechangesinreturnsofasecurityinrelationtochangesinthestockmarket.•Themarketβisalways1(one)andisthebenchmarkforthesystematicriskofsecuritiestobemeasured.•Itmeasuresthesensitivityofthereturnsonsecuritytochangesinsystematicrisk.Betaβ•Iftheβ=1.5Thisismoresystematicriskthanthemarket.Soifthemarketreturnincreasesby10%thenthesecurity’sreturnwillincreaseby1.5x10%=15%Thiswouldbeanaggressivesecurityandisattractivetoinvestorswhenthemarketisrising.Betafiguresarecalculatedbythemarkets.CAPMAssumptions•Basedonasimpleworld.•Investorsarerational•Investorsarelookingtomaximisetheirwealth•Freeinformation•Freelyabletoborrowandlend•Diversifiedportfolio•PerfectlycompetitivemarketCAPMRi=Rf+βi(Rm–Rf)Where•Ri=rateofreturnofthesecurityfoundfromusingthemodel(intheUKshort-datedtreasurybills)•Rf=riskfreerateofinterest(governmentbonds)•Βi=betaforthesecurity(systematicriskβ=1forthemarket)•Rm=thereturnonthemarketfoundbyusingstockexchangeindicese.gFTSE100asarepresentationofthemarketExample:•Supposewearegiventhefollowinginformationaboutsecurityi,themarketandtherisk-freerateofreturnisRm=20%,Rf=12%andbetais0.90.•Calculatetheexpectedreturnofsecurityi.Ri=Rf+βi(Rm–Rf)Ri=0.12+(0.90x(0.20–0.12)Ri=0.192Ri=19.2%Example:•Supposewearegiventhefollowinginformationaboutsecurityi,themarketandtherisk-freerateofreturnisRm=14%,Rf=6%andbetais1.2•Calculatetheexpectedreturnofsecurityi.Ri=Rf+βi(Rm–Rf)Ri=0.06+(1.2x(0.14–0.06)Ri=0.156Ri=15.6%Bynextweek•CapitalInvestmentAppraisals•Advantagesanddisadvantagesofpayback–Jenny•Advantagesanddisadvantagesofaccountingrateofreturn–Jasmine•Advantagesanddisadvantagesofnetpresentvalue–Cherry•Advantagesanddisadvantagesofinternalrateofreturn–Fanny