[精选]第十一章 套利定价理论.pptx

《[精选]第十一章 套利定价理论.pptx》由会员上传分享，免费在线阅读，更多相关内容在应用文档-天天文库。

1、ChapterOutline11.1FactorModels:Announcements,Surprises,andExpectedReturns11.2Risk:SystematicandUnsystematic11.3SystematicRiskandBetas11.4PortfoliosandFactorModels11.5BetasandExpectedReturns11.6TheCapitalAssetPricingModelandtheArbitragePricingTheory11.7ParametricApproache

2、stoAssetPricing11.8SummaryandConclusionsArbitragePricingTheoryArbitrage-arisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,aninvestorcancreatelargepositionstosecurelargelevelsofprofit.Inefficientmarkets,profitablearbitrageop

3、portunitieswillquicklydisappear.11.1FactorModels:Announcements,Surprises,andExpectedReturnsThereturnonanysecurityconsistsoftwoparts.FirsttheexpectedreturnsSecondistheunexpectedorriskyreturns.Awaytowritethereturnonastockinthecomingmonthis:11.1FactorModels:Announcements,Su

4、rprises,andExpectedReturnsAnyannouncementcanbebrokendownintotwoparts,theanticipatedorexpectedpartandthesurpriseorinnovation:Announcement=Expectedpart+Surprise.Theexpectedpartofanyannouncementispartoftheinformationthemarketusestoformtheexpectation,Rofthereturnonthestock.T

5、hesurpriseisthenewsthatinfluencestheunanticipatedreturnonthestock,U.11.2Risk:SystematicandUnsystematicAsystematicriskisanyriskthataffectsalargenumberofassets,eachtoagreaterorlesserdegree.Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.Uns

6、ystematicriskcanbediversifiedaway.Examplesofsystematicriskincludeuncertaintyaboutgeneraleconomicconditions,suchasGNP,interestratesorinflation.Ontheotherhand,announcementsspecifictoacompany,suchasagoldminingcompanystrikinggold,areexamplesofunsystematicrisk.11.2Risk:System

7、aticandUnsystematicSystematicRisk;mNonsystematicRisk;nTotalrisk;UWecanbreakdowntherisk,U,ofholdingastockintotwocomponents:systematicriskandunsystematicrisk:11.3SystematicRiskandBetasThebetacoefficient,b,tellsustheresponseofthestock’sreturntoasystematicrisk.IntheCAPM,b

8、measuredtheresponsivenessofasecurity’sreturntoaspecificriskfactor,thereturnonthemarketportfolio.Weshall