资本资产定价模型ppt课件.ppt

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1、CHAPTER9资本资产定价模型Itistheequilibriummodelthatunderliesallmodernfinancialtheory它是一种均衡模型,是现代金融理论的基石Derivedusingprinciplesofdiversificationwithsimplifiedassumptions它通过使用分散化和简化假设而来Markowitz,Sharpe,LintnerandMossinareresearcherscreditedwithitsdevelopment此模型由马科维茨,夏普,林特纳和莫森研究CapitalAssetPricingModel

2、(CAPM)资本资产定价模型Individualinvestorsarepricetakers个人投资者是价格接受者Single-periodinvestmenthorizon投资持有期都相同：单期投资Investmentsarelimitedtotradedfinancialassets投资范围仅限于金融市场上的交易资产Notaxesandtransactioncosts无所得税和交易税Assumptions假设Informationiscostlessandavailabletoallinvestors信息由投资者共享Investorsarerationalmean-va

3、rianceoptimizers投资者是理性的,追求均值方差最优者Therearehomogeneousexpectations同质期望AssumptionsContinued假设（续）Allinvestorswillholdthesameportfolioforriskyassets–marketportfolio所以投资者持有相同风险资产组合-市场组合Marketportfoliocontainsallsecuritiesandtheproportionofeachsecurityisitsmarketvalueasapercentageoftotalmarketvalu

4、e市场组合包含所有证券并且每一证券作为总市场价值的一部份是其市场价值ResultingEquilibriumConditions均衡条件Riskpremiumonthemarketdependsontheaverageriskaversionofallmarketparticipants市场风险溢价取决于所有市场参与者的平均风险厌恶水平RiskpremiumonanindividualsecurityisafunctionofitscovariancewiththemarketResultingEquilibriumConditionsContinued均衡条件续Figure

5、9.1TheEfficientFrontierandtheCapitalMarketLine有效前沿和资本市场线MarketRiskPremium市场风险溢价Theriskpremiumonthemarketportfoliowillbeproportionaltoitsriskandthedegreeofriskaversionoftheinvestor:Theriskpremiumonindividualsecuritiesisafunctionoftheindividualsecurity’scontributiontotheriskofthemarketportfol

6、io单个证券的风险溢价取决于单个证券对投资组合风险的贡献程度Anindividualsecurity’sriskpremiumisafunctionofthecovarianceofreturnswiththeassetsthatmakeupthemarketportfolio单个证券的风险溢价是该资产收益与市场组合收益的协方差的函数ReturnandRiskForIndividualSecurities单个证券收益和风险UsingGETextExample通用电器公司为例CovarianceofGEreturnwiththemarketportfolio:Therefore

7、,thereward-to-riskratioforinvestmentsinGEwouldbe:UsingGETextExampleContinued续例Reward-to-riskratioforinvestmentinmarketportfolio:Reward-to-riskratiosofGEandthemarketportfolio:AndtheriskpremiumforGE:ExpectedReturn-BetaRelationship期望收益-贝塔关系CAPMholdsfortheov