Chap资本资产定价模型.pptx

INVESTMENTS|BODIE,KANE,MARCUS9-1It is the equilibrium model that underlies all modern financial theory综合所有现代金融理论的均衡模型Derived using principles of diversification with simplified assumptions利用分散化和简化的原则建立Markowitz,Sharpe,Lintner and Mossin are researchers credited with its development马克维茨、夏普、林特和莫森逐步发展而来Capital Asset Pricing Model(CAPM)资本资产定价模型CAPM模型INVESTMENTS|BODIE,KANE,MARCUS9-2Assumptions假设Individual investors are price takers个人投资者都是价格接受者Single-period investment horizon单期的投资持有期Investments are limited to traded financial assets投资范围仅限于市场上公开交易的金融资产No taxes and transaction costs没有税收和交易成本Information is costless and available to all investors信息是没有费用Investors are rational mean-variance optimizers投资者都是理性的，都追求资产组合的方差最小化There are homogeneous expectations同质期望，对经济前景的看法相同INVESTMENTS|BODIE,KANE,MARCUS9-3All investors will hold the same portfolio for risky assets market portfolio所有投资者均持有相同的风险资产-市场组合Market portfolio contains all securities and the proportion of each security is its market value as a percentage of total market value市场组合是包含所有证券，而且比例就是它们的市值占据市场总市值的比例Resulting Equilibrium Conditions导致的均衡关系或者条件INVESTMENTS|BODIE,KANE,MARCUS9-4Risk premium on the market depends on the average risk aversion of all market participants市场的风险溢价水平依赖与所有市场参与者的风险厌恶程度Risk premium on an individual security is a function of its covariance with the market单个证券的风险溢价水平是它和市场的协方差的函数Resulting Equilibrium Conditions导致的均衡条件INVESTMENTS|BODIE,KANE,MARCUS9-5Figure 9.1 The Efficient Frontier and the Capital Market Line有效边界与资本市场线INVESTMENTS|BODIE,KANE,MARCUS9-6Market Risk Premium市场的风险溢价The risk premium on the market portfolio will be proportional to its risk and the degree of risk aversion of the investor:市场组合的风险溢价正比于风险大小和投资者的风险厌恶情况INVESTMENTS|BODIE,KANE,MARCUS9-7The risk premium on individual securities is a function of the individual securitys contribution to the risk of the market portfolio单个证券的合理风险溢价取决于单个资产对投资者的所有资产组合风险的贡献程度An individual securitys risk premium is a function of the covariance of returns with the assets that make up the market portfolio.单个资产的风险溢价也取决于这个资产与市场组合资产的协方差水平Return and Risk For Individual Securities单个证券的收益与风险INVESTMENTS|BODIE,KANE,MARCUS9-8GE Example通用电气公司的案例Covariance of GE return with the market portfolio:通用收益与市场组合协方差Therefore,the reward-to-risk ratio for investments in GE would be:收益风险比为INVESTMENTS|BODIE,KANE,MARCUS9-9GE Example通用电气公司的案例Reward-to-risk ratio for investment in market portfolio:投资市场组合的风险收益比Reward-to-risk ratios of GE and the market portfolio should be equal:通用公司和市场组合的风险收益比在投资者行为一致的情况下应该相等INVESTMENTS|BODIE,KANE,MARCUS9-10GE Example通用电气公司的案例The risk premium for GE:风险溢价Restating,we obtain:重新排列后INVESTMENTS|BODIE,KANE,MARCUS9-11Expected Return-Beta Relationship期望收益贝塔关系CAPM holds for the overall portfolio because:对任一资产均成立因为可以通过别的资产复制任一种证券收益This also holds for the market portfolio:对市场组合本身也是成立的INVESTMENTS|BODIE,KANE,MARCUS9-12Figure 9.2 The Security Market Line证券市场线INVESTMENTS|BODIE,KANE,MARCUS9-13Figure 9.3 The SML and a Positive-Alpha Stock证券市场线与一只阿尔法正值的股票INVESTMENTS|BODIE,KANE,MARCUS9-14The Index Model and Realized Returns指数模型与实现收益To move from expected to realized returns,use the index model in excess return form:从期望收益到实现收益The index model beta coefficient is the same as the beta of the CAPM expected return-beta relationship.指数模型中的贝塔系数同CAPM定理中的贝塔是一样的INVESTMENTS|BODIE,KANE,MARCUS9-15Figure 9.4 Estimates of Individual Mutual Fund Alphas,1972-1991单个共同基金阿尔法值的估计INVESTMENTS|BODIE,KANE,MARCUS9-16Is the CAPM Practical?CAPM模型实际吗？CAPM is the best model to explain returns on risky assets.This means:CAPM模型是解释资产风险回报率的最佳模型Without security analysis,is assumed to be zero.理论上完美市场中的所有的阿尔法值都将为零，也就是没有超额收益，不需要证券分析Positive and negative alphas are revealed only by superior security analysis.正值或者负值的阿尔法值只有被优秀的证券分析所揭示出来INVESTMENTS|BODIE,KANE,MARCUS9-17Is the CAPM Practical?CAPM模型实际吗？We must use a proxy for the market portfolio.我们必须为市场组合找到一个替代资产 CAPM is still considered the best available description of security pricing and is widely accepted.即使这样CAPM模型仍然被看做是资产定价的最广为人知的模型，而且被很多人所接受INVESTMENTS|BODIE,KANE,MARCUS9-18Econometrics and the Expected Return-Beta Relationship期望收益-贝塔关系的计量经济学Statistical bias is easily introduced.统计偏差很容易出现Miller and Scholes paper demonstrated how econometric problems could lead one to reject the CAPM even if it were perfectly valid.这两个人的论文证明了即使模型是完全正确的，现实数据的计量模型也可能无法发现CAPM所证实的关系INVESTMENTS|BODIE,KANE,MARCUS9-19Extensions of the CAPMCAPM模型的扩展Zero-Beta Model零贝塔值模型Helps to explain positive alphas on low beta stocks and negative alphas on high beta stocksConsideration of labor income and non-traded assets考虑工资收入或者不可交易资产比如人力资本的回报INVESTMENTS|BODIE,KANE,MARCUS9-20Extensions of the CAPM CAPM模型的扩展Mertons Multiperiod Model and hedge portfolios莫顿的多期和对冲模型Incorporation of the effects of changes in the real rate of interest and inflation包含真实利率、通胀变化效应的模型Consumption-based CAPM基于消费的模型Rubinstein,Lucas,and BreedenInvestors allocate wealth between consumption today and investment for the future投资者当期消费一部分，未来消费投资的部分INVESTMENTS|BODIE,KANE,MARCUS9-21Liquidity and the CAPM流动性与CAPM模型Liquidity:The ease and speed with which an asset can be sold at fair market value资产在不错的市场价格下变现的快速和方便Illiquidity Premium:Discount from fair market value the seller must accept to obtain a quick sale.流动性溢价是偏离不错市场价格的折扣，是因为卖者想要快速出售资产的代价Measured partly by bid-asked spread部分的可以被买卖价差所衡量As trading costs are higher,the illiquidity discount will be greater.交易成本越高流动性折扣越大INVESTMENTS|BODIE,KANE,MARCUS9-22Figure 9.5 The Relationship Between Illiquidity and Average Returns流动性与平均收益之间的关系INVESTMENTS|BODIE,KANE,MARCUS9-23Liquidity Risk流动性风险In a financial crisis,liquidity can unexpectedly dry up.金融危机时流动性枯竭When liquidity in one stock decreases,it tends to decrease in other stocks at the same time.流动性干涸的相关性很强Investors demand compensation for liquidity risk 需要流动性风险补偿Liquidity betas流动性贝塔