财务管理Chapter_07

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1、PrinciplesofCorporateFinanceChapter7McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedIntroductiontoRisk,Return,andtheOpportunityCostofCapitalTopicsCovered75YearsofCapitalMarketHistoryMeasuringRiskPortfolioRiskBetaandUniqueRiskDiversificationTheValueofanInvestmentof$

2、1in1926Source:IbbotsonAssociatesIndexYearEnd16402258764.148.916.6Source:IbbotsonAssociatesIndexYearEnd16602676.65.01.7RealreturnsTheValueofanInvestmentof$1in1926RatesofReturn1926-2000Source:IbbotsonAssociatesYearPercentageReturnMeasuringRiskVariance-Averagevalueofsquareddeviationsfrommean.Amea

3、sureofvolatility.StandardDeviation-Averagevalueofsquareddeviationsfrommean(squareroot).Ameasureofvolatility.MeasuringRiskCoinTossGame-calculatingvarianceandstandarddeviationTheexpectedreturnis(40+10+10-20)/4=10MeasuringRiskReturn%#ofYearsHistogramofAnnualStockMarketReturnsMeasuringRiskDiversif

4、ication-Strategydesignedtoreduceriskbyspreadingtheportfolioacrossmanyinvestments.UniqueRisk-Riskfactorsaffectingonlythatfirm.Alsocalled“diversifiablerisk.”MarketRisk-Economy-widesourcesofriskthataffecttheoverallstockmarket.Alsocalled“systematicrisk.”MeasuringRiskMeasuringRiskMeasuringRiskPortf

5、olioRiskThevarianceofatwostockportfolioisthesumofthesefourboxesPortfolioRiskExampleSupposeyouinvest65%ofyourportfolioinCoca-Colaand35%inReebok.TheexpecteddollarreturnonyourCCis10%x65%=6.5%andonReebokitis20%x35%=7.0%.Theexpectedreturnonyourportfoliois6.5+7.0=13.50%.Assumeacorrelationcoefficient

6、of1.thestandarddeviationofcolaandReebokare31.5and58.5respectively.PortfolioRiskExampleSupposeyouinvest65%ofyourportfolioinCoca-Colaand35%inReebok.TheexpecteddollarreturnonyourCCis10%x65%=6.5%andonReebokitis20%x35%=7.0%.Theexpectedreturnonyourportfoliois6.5+7.0=13.50%.Assumeacorrelationcoeffici

7、entof1.thestandarddeviationofcolaandReebokare31.5and58.5respectively.PortfolioRiskExampleSupposeyouinvest65%ofyourportfolioinCoca-Colaand35%inReebok.TheexpecteddollarreturnonyourCCis10%x65%=6.5%andonReebokitis20%x35%=7.0%.Theexpectedret