第10章-套利定价理论与多因素模型.ppt

10-* CHAPTER 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return 套利定价理论与多因素模型 Single Factor Model单因素模型 Returns on a security come from two sources 证券收益有两大源泉 Common macro-economic factor 公共宏观经济因素 Firm specific events 公司特有事件 Possible common macro-economic factors 可能的公共宏观经济因素 Gross Domestic Product Growth 国内生产总值的增长 Interest Rates 利率 Single Factor Model Equation单因素模型公式 ri = Return for security I = Factor sensitivity or factor loading or factor beta F = Surprise in macro-economic factor (F could be positive, negative or zero) ei = Firm specific events Multifactor Models多因素模型 Use more than one factor in addition to market return 除市场收益外,不止使用一个因素 Examples include gross domestic product, expected inflation, interest rates etc. 例子包括国内生产总值,期望的通货膨胀,利率等 Estimate a beta or factor loading for each factor using multiple regression. 使用多元回归去估计一个贝塔值或每个因素的因子载荷 Multifactor Model Equation多因素模型公式 ri = E(ri) + GDP GDP + IR IR + ei ri = Return for security i GDP= Factor sensitivity for GDP IR = Factor sensitivity for Interest Rate ei = Firm specific events Multifactor SML Models多因素证券市场线的模型 E(r) = rf + GDPRPGDP + IRRPIR GDP = Factor sensitivity for GDP RPGDP = Risk premium for GDP IR = Factor sensitivity for Interest Rate RPIR = Risk premium for Interest Rate Arbitrage Pricing Theory套利定价理论 Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit 套利-通过零投资组合而获得无风险利润 Since no investment is required, an investor can create large positions to secure large levels of profit 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 In efficient markets, profitable arbitrage opportunities will quickly disappear 在有效市场中,这种套利机会会迅速消失 APT Well-Diversified Portfolios套利定价理论及充分分散的投资组合 rP = E (rP) + bPF + eP F = some factor For a well-diversified portfolio: eP approaches zero Similar to CAPM, Figure 10.1 Returns as a Function of the Systematic Factor