CAPM--资产定价模型英文版课件.pptx

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1、PMM1008PrinciplesofFinanceandInvestmentCapitalAssetPricingModel(CAPM)IntroductionCAPMisbasedonMarkowitz’sportfoliotheoryanddefinesalinearrelationshipbetweenthesystematicriskofasecurityanditsrequiredrateofreturn.OriginallydevelopedindividuallybySharpe,MossinandLinte

2、r,thislinearrelationshipisrepresentedbythesecuritymarketline(SML).Ri=Rf+βi(Rm–Rf)Thisstatesthattheexpectedreturnoftheriskyinvestmentequalsthereturnfromtherisk-freeinvestmentplusthereturnfromthemarketportfolio.RiskUnsystematicrisk–riskthatcanbediversifiedawaybyholdi

3、ngawelldiversifiedportfolioSystematicrisk–riskthatcannotbediversifiedaway,itcomprisestheriskfactorscommontoallfirms.Itismeasuredbybeta,β,whichisthesensitivityofsystematicrisktochangesinmarketreturns.BetaβThisisanindexoftheresponsivenessinthechangesinreturnsofasecur

4、ityinrelationtochangesinthestockmarket.Themarketβisalways1(one)andisthebenchmarkforthesystematicriskofsecuritiestobemeasured.Itmeasuresthesensitivityofthereturnsonsecuritytochangesinsystematicrisk.BetaβIftheβ=1.5Thisismoresystematicriskthanthemarket.Soifthemarketre

5、turnincreasesby10%thenthesecurity’sreturnwillincreaseby1.5x10%=15%Thiswouldbeanaggressivesecurityandisattractivetoinvestorswhenthemarketisrising.Betafiguresarecalculatedbythemarkets.CAPMAssumptionsBasedonasimpleworld.InvestorsarerationalInvestorsarelookingtomaximis

6、etheirwealthFreeinformationFreelyabletoborrowandlendDiversifiedportfolioPerfectlycompetitivemarketCAPMRi=Rf+βi(Rm–Rf)WhereRi=rateofreturnofthesecurityfoundfromusingthemodel(intheUKshort-datedtreasurybills)Rf=riskfreerateofinterest(governmentbonds)Βi=betaforthesecur

7、ity(systematicriskβ=1forthemarket)Rm=thereturnonthemarketfoundbyusingstockexchangeindicese.gFTSE100asarepresentationofthemarketExample:Supposewearegiventhefollowinginformationaboutsecurityi,themarketandtherisk-freerateofreturnisRm=20%,Rf=12%andbetais0.90.Calculatet

8、heexpectedreturnofsecurityi.Ri=Rf+βi(Rm–Rf)Ri=0.12+(0.90x(0.20–0.12)Ri=0.192Ri=19.2%Example:Supposewearegiventhefollowinginformationaboutsecurity