the capital asset pricing model (capm)

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1、10-0ChapterTenTheCapitalAssetPricingCorporateFinance10Ross·Westerfield·JaffeSixthEditionModel(CAPM)SixthEditionMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-1ChapterOutline10.1IndividualSecurities10.2ExpectedReturn,Variance,andCovariance10.3TheReturnandRiskforPort

2、folios10.4TheEfficientSetforTwoAssets10.5TheEfficientSetforManySecurities10.6Diversification:AnExample10.7RisklessBorrowingandLending10.8MarketEquilibrium10.9RelationshipbetweenRiskandExpectedReturn(CAPM)10.10SummaryandConclusionsMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrights

3、reserved.10-210.1IndividualSecurities•Thecharacteristicsofindividualsecuritiesthatareofinterestarethe:–ExpectedReturn–VarianceandStandardDeviation–CovarianceandCorrelationMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-310.2ExpectedReturn,Variance,andCovarianceRateo

4、fReturnScenarioProbabilityStockfundBondfundRecession33.3%-7%17%Normal33.3%12%7%Boom33.3%28%-3%Considerthefollowingtworiskyassetworld.Thereisa1/3chanceofeachstateoftheeconomyandtheonlyassetsareastockfundandabondfund.McGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-410

5、.2ExpectedReturn,Variance,andCovarianceStockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%McGraw-Hill/IrwinCopyright©2002byTheMcGraw-

6、HillCompanies,Inc.Allrightsreserved.10-510.2ExpectedReturn,Variance,andCovarianceStockfundBondFundRateofSquaredRateofSquaredScenarioReturnDeviationReturnDeviationRecession-7%3.24%17%1.00%Normal12%0.01%7%0.00%Boom28%2.89%-3%1.00%Expectedreturn11.00%7.00%Variance0.02050.0067StandardDeviation14.3%8.2%E

7、(r)=1´(-7%)+1´(12%)+1´(28%)S333E(r)=11%SMcGraw-Hill/IrwinCopyright©2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.10-610.2ExpectedReturn,Variance,andCovarianceStockfundBondFundRateofSquaredRateof