套利定价理论与多因素模型.ppt

10-*10-**CHAPTER10ArbitragePricingTheoryandMultifactorModelsofRiskandReturn套利定价理论与多因素模型SingleFactorModel

单因素模型Returnsonasecuritycomefromtwosources证券收益有两大源泉Commonmacro-economicfactor公共宏观经济因素Firmspecificevents公司特有事件Possiblecommonmacro-economicfactors可能的公共宏观经济因素GrossDomesticProductGrowth国内生产总值的增长InterestRates利率ei=Firmspecificevents05F=Surpriseinmacro-economicfactor03ri=ReturnforsecurityI01(Fcouldbepositive,negativeorzero)04=Factorsensitivityorfactorloadingorfactorbeta02SingleFactorModelEquation

单因素模型公式MultifactorModels

多因素模型Usemorethanonefactorinadditiontomarketreturn除市场收益外,不止使用一个因素Examplesincludegrossdomesticproduct,expectedinflation,interestratesetc.例子包括国内生产总值,期望的通货膨胀,利率等Estimateabetaorfactorloadingforeachfactorusingmultipleregression.使用多元回归去估计一个贝塔值或每个因素的因子载荷ri=E(ri)+GDPGDP+IRIR+eiei=Firmspecificeventsri=ReturnforsecurityiIR=FactorsensitivityforInterestRateGDP=FactorsensitivityforGDPMultifactorModelEquation

多因素模型公式E(r)=rf+GDPRPGDP+IRRPIRRPIR=RiskpremiumforInterestRateGDP=FactorsensitivityforGDPIR=FactorsensitivityforInterestRateRPGDP=RiskpremiumforGDPMultifactorSMLModels

多因素证券市场线的模型ArbitragePricingTheory

套利定价理论Arbitrage-arisesifaninvestorcanconstructazeroinvestmentportfoliowithasureprofit套利-通过零投资组合而获得无风险利润Sincenoinvestmentisrequired,aninvestorcancreatelargepositionstosecurelargelevelsofprofit由于没有投资是必需的，投资者可以构建大量的投资组合以确保大的利润水平Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear在有效市场中,这种套利机会会迅速消失APTWell-DiversifiedPortfolios套利定价理论及充分分散的投资组合rP=E(rP)+bPF+eP123654SimilartoCAPM,Forawell-diversifiedportfolio:ePapproacheszeroF=somefactorlogoFigure10.1ReturnsasaFunctionoftheSystematicFac