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ID:59341221
大小:130.50 KB
页数:19页
时间:2020-09-20
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1、Chapter13:TheCapitalAssetPricingModelCopyright©PrenticeHallInc.2000.Author:NickBagley,bdellaSoft,Inc.ObjectiveTheTheoryoftheCAPMUseofCAPMinbenchmarkingUsingCAPMtodeterminecorrectratefordiscounting1Chapter13Contents13.1TheCapitalAssetPricingModelinBrief13.2Determiningthe
2、RiskPremiumontheMarketPortfolio13.3BetaandRiskPremiumsonIndividualSecurities13.4UsingtheCAPMinPortfolioSelection13.5Valuation&RegulatingRatesofReturn2IntroductionCAPMisatheoryaboutequilibriumpricesinthemarketsforriskyassetsItisimportantbecauseitprovidesajustificationfor
3、thewidespreadpracticeofpassiveinvestingcalledindexingawaytoestimateexpectedratesofreturnforuseinevaluatingstocksandprojects3SpecifyingtheModelWealsoobservedthatinthelimitasthenumberofsecuritiesbecomeslarge,weobtainedtheformulaThisformulatellsusthatthecorrelationsareofcr
4、ucialimportanceintherelationshipbetweenaportfolioriskandthestockrisk4CAPMFormula513.2DeterminingtheRiskPremiumontheMarketPortfolioCAPMstatesthattheequilibriumriskpremiumonthemarketportfolioistheproductofvarianceofthemarket,s2Mweightedaverageofthedegreeofriskaversionofho
5、ldersofrisk,A6Example:ToDetermine‘A’7CAPMRiskPremiumonanyAssetAccordingthetheCAPM,inequilibrium,theriskpremiumonanyassetisequaltheproductofb(or‘Beta’)theriskpremiumonthemarketportfolio89TableofPrices1011ModelandMeasuredValuesofStatisticalParameters1213TheBetaofaPortfoli
6、oWhendeterminingtheriskofaportfoliousingstandarddeviationresultsinaformulathat’squitecomplexusingbeta,theformulaislinear14ComputingBetaHerearesomeusefulformulaeforcomputingbeta15ValuationandRegulatingRatesofReturnAssumethemarketrateis15%,andtherisk-freerateis5%Computeth
7、ebetaofbetaful’soperations16ValuationandRegulatingRatesofReturnBetaofbetaful’soperationsisequaltothebetaofournewoperationTofindtherequiredreturnonthenewproject,applytheCAPM17ValuationandRegulatingRatesofReturnAssumethatyourcompanyisjustavehicleforthenewproject,thenthebe
8、taofyourunquotedequityis18ValuationandRegulatingRatesofReturnAssumethatyourcompanyhasanexpecteddividendof$6nex
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