CAPM(资本资产定价模型英文教程)课件.ppt

CAPMandtheCharacteristicLine1

TheCharacteristicLineTotalriskofanyassetcanbeassessedbymeasuringvariabilityofitsreturnsTotalriskcanbedividedintotwoparts—diversifiablerisk(unsystematicrisk)andnon-diversifiablerisk(systematicrisk)Thecharacteristiclineisusedtomeasurestatisticallytheundiversifiableriskanddiversifiableriskofindividualassetsandportfolios2

Characteristiclinefortheithassetis:ri,t=ai+birm,t+ei,tORri,t=birm,t+ai+ei,tTakeVarianceofbothsidesofEquationVAR(ri,t)=VAR(birm,t)+VAR(ai)+VAR(ei,t)VAR(birm,t)=VAR(ri,t)-VAR(ei,t)ORVAR(ei,t)=VAR(ri,t)-VAR(birm,t)3

BetaCoefficientsAnindexofrisk

Measuresthevolatilityofastock(orportfolio)relativetothemarket4

BetaCoefficientsCombineThevariabilityoftheasset’sreturn

ThevariabilityofthemarketreturnThecorrelationbetweenthestocksreturnandthemarketreturn5

BetaCoefficientsBetacoefficientsaretheslopeoftheregressionlinerelatingthereturnonthemarket(theindependentvariable)tothereturnonthestock(thedependentvariable)6

BetaCoefficients7

InterpretationoftheNumericalValueofBetaBeta=1.0Stocksreturnhassamevolatilityasthemarketreturn

Beta1.0Stocksreturnismorevolatilethanthemarketreturn8

InterpretationoftheNumericalValueofBeta9

InterpretationoftheNumericalValueofBetaBeta1.0Stocksreturnislessvolatilethanthemarketreturn10

InterpretationoftheNumericalValueofBeta11

HighBetaStocksMoresystematicmarketrisk

Maybeappropriateforhigh-risktolerant(aggressive)investors12

LowBetaStocksLesssystematicmarketrisk

Maybeappropriateforlow-risktolerant(defensive)investors13

IndividualStockBetasMaychangeovertime

Tendencytomovetoward1.0,themarketbeta14

PortfolioBetasWeightedaverageoftheindividualassetsbetas

Maybemorestablethanindividualstockbetas15

HowCharacteristicLineleadstoCAPM?Thecharacteristic