财务管理专业英语3E教学课件作者刘媛媛 Topic 6.ppt

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1、6.1IntroductiontoRiskandReturn6.2EfficientMarketHypothesis(EMH)6.3PortfolioTheory6.4BetaandCapitalAssetPricingModel6.5ArbitragePricingTheoryIntroductiontoRiskandReturn1.Allfinancialassetsareexpectedtoproducecashflows,andtheriskofanassetisjudgedbytheriskofitscashflows.2.Herearetwo

2、assumptionsaboutriskandreturn:Assumption(1):Thereturnsfrominvestmentsarenormallydistributed.Assumption(2):Investorsarerisk-averse.3.Theriskofanassetcanbeconsideredintwoways:(1)onastand-alonebasis(2)inaportfoliocontext4.Inaportfoliocontext,anasset’sriskcanbedividedintotwocomponent

3、s:(1)diversifiablerisk(2)marketrisk5.Anassetwithahighdegreeofrelevant(market)riskmustprovidearelativelyhighexpectedrateofreturntoattractinvestors.IntroductiontoRiskandReturnWhatisReturn?Expectedreturnreferstotheexpectedchangeinthevalueofanassetoveragiven(future)timeperiod.WhatisR

4、isk?riskisusuallyestimatedwiththestandarddeviation,whichisthesquarerootofthevarianceofreturns.IntroductiontoRiskandReturnUncertaintysensitivityanalysisscenarioanalysisProbabilityNormaldistributionEfficientMarketHypothesis(EMH)Assumption1:Thereturnsfrominvestmentsarenormallydistri

5、buted.Assumption2:Investorsarerisk-averse.Assumption3:Investorsarerational.Assumption4:Investorsarepricetakers.Assumption5:TheEfficientMarketHypothesis(EMH)holds.EfficientMarketHypothesis(EMH)EfficientmarkethypothesisPricesfullyreflectallavailableinformationonaparticularstockand/

6、ormarket.Noinvestorhasanadvantageinpredictingareturnonastockpricesincenoonehasaccesstoinformationnotalreadyavailabletoeveryoneelse.FinancialmarketefficiencyThreetypesoffinancialmarketefficiency:allocationallyefficientoperationallyefficientinformationallyefficientFinancialmarke

7、tefficiencyThreemainfactorsassociatedwithinformationalmarketefficiencyThetypeofinformationtowhichthemarketpricereactsThespeedatwhichthemarketpricereactstoinformationThedegreetowhichmarketparticipantsover-orunder-reacttoinformationFinancialmarketefficiencyFormsofInformationalEf

8、ficiencyFama(1970)distinguishesthreeform