資本資產(chǎn)定價模型 CAPMPPT學(xué)習(xí)教案

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1、會計學(xué)12第1頁/共73頁3第2頁/共73頁4NE(r) = p(s)r(s)s=12E(r) - srsp N1=s = 2)()(離差平方離差平方離差平方第3頁/共73頁5%11)(%)28(31%)12(31%)7(31)(SSrErE離差平方離差平方第4頁/共73頁6%7)(%)3(31%)7(31%)17(31)(BBrErE離差平方離差平方第5頁/共73頁72(11%( 7%)3.24% 離差平方離差平方第6頁/共73頁8%01.%)12%11(2離差平方離差平方第7頁/共73頁9%89. 2%)28%11(2離差平方離差平方第8頁/共73頁10%)89. 2%01. 0%24.

2、3(31%05. 2離差平方離差平方第9頁/共73頁110205. 0%3 .14離差平方離差平方第10頁/共73頁12第11頁/共73頁13注意到股票的收益率和風(fēng)險都比債券的高。讓我們考慮一個風(fēng)險收益權(quán)衡的組合：一半由股票構(gòu)成、一半由債券構(gòu)成。第12頁/共73頁14組合的收益率等于組合中的股票和債券收益率的加權(quán)平均值。SSBBPrwrwr%)17(%50%)7(%50%5第13頁/共73頁15組合的收益率等于組合中的股票和債券收益率的加權(quán)平均值。%)7(%50%)12(%50%5 . 9SSBBPrwrwr第14頁/共73頁16組合的收益率等于組合中的股票和債券收益率的加權(quán)平均值。%)3(%

3、50%)28(%50%5 .12SSBBPrwrwr第15頁/共73頁17組合的期望收益率是組合中各個證期望收益率的加權(quán)平均。%)7(%50%)11(%50%9)()()(SSBBPrEwrEwrE第16頁/共73頁18有兩個風(fēng)險證券組成的組合的方差是：BSSSBB2SS2BB2P)(w2(w)(w)(w其中BS 是股票基金和債券基金收益率的相關(guān)系數(shù)。第17頁/共73頁19注意到分散化使得風(fēng)險下降。由一半股票和一半債券構(gòu)成的組合風(fēng)險比組合中的股票或者債券的風(fēng)險都小。第18頁/共73頁20p(w11+w22)第19頁/共73頁21第20頁/共73頁22第21頁/共73頁23第22頁/共73頁24

4、經(jīng)濟(jì)狀況經(jīng)濟(jì)狀況發(fā)生概率發(fā)生概率股票股票A 報酬率報酬率股票股票B報酬率報酬率蕭條蕭條0.200.150.20正常正常0.500.200.30景氣景氣0.300.600.40第23頁/共73頁25第24頁/共73頁26第25頁/共73頁27第26頁/共73頁28第27頁/共73頁29我們可以考慮除了50%股票和50%債券組合方式之外的情況100% 債券100% 股票第28頁/共73頁30我們可以考慮除了50%股票和50%債券組合方式之外的情況100% bonds100% stocks% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15

5、%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%

6、8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%5

7、0%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4

8、%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.

9、2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10

10、.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Retur

11、n0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8

12、%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%

13、35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.

14、1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6

15、%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85

16、%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%1

17、00%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8

18、.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6

19、%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0

20、.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.

21、0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0% in stocks Risk Return0%8.2%7.0%5%7.0%7.2%10%5.9%7.4%15%4.8%7.6%20%3.7%7.8%25%2.6%8.0%30%1.4%8.2%35%0.4%8.4%40%0.9%8.6%45%2.0%8.8%50%3.1%9.0%55%4.2%9.2%60%5.3%9.4%65%6.4%9.6%70%

22、7.6%9.8%75%8.7%10.0%80%9.8%10.2%85%10.9%10.4%90%12.1%10.6%95%13.2%10.8%100%14.3%11.0%第29頁/共73頁31100% stocks100% bonds注意到一些組合優(yōu)于其他的組合，因為他們在同等的風(fēng)險水平下收益比較高。這些有效的組合構(gòu)成的集合在圖中稱為有效前沿。第30頁/共73頁32100% 債券收益100% 股票 = 0.2 = 1.0 = -1.0第31頁/共73頁33第32頁/共73頁ijjiNjNiiNiiPwww11212222211111,NNNiijiijijNN 其中1 N組合方差平均方差11N

23、平均協(xié)方差隨著N增大，組合的方差趨向于平均協(xié)方差。第33頁/共73頁35不可分散風(fēng)險; 系統(tǒng)風(fēng)險; 市場風(fēng)險可分散風(fēng)險; 非系統(tǒng)風(fēng)險; 具體企業(yè)風(fēng)險; 特有風(fēng)險n組合證券數(shù)量大的情況下，方差項被有效地分散掉，但是協(xié)方差項不能分散掉。因此，分散化可以消除單個證券一部分風(fēng)險，而不是全部的風(fēng)險。組合風(fēng)險第34頁/共73頁36nf. 最高法院的一項裁決顯著地擴(kuò)最高法院的一項裁決顯著地擴(kuò)大了生產(chǎn)者對產(chǎn)品使用者所造大了生產(chǎn)者對產(chǎn)品使用者所造成傷害的責(zé)任。成傷害的責(zé)任。第35頁/共73頁37收益P單個資產(chǎn)第36頁/共73頁38收益P最小方差組合單個資產(chǎn)第37頁/共73頁39收益P最小風(fēng)險組合有效前沿單個證券

24、第38頁/共73頁40100% 債券100% 股票rf收益第39頁/共73頁41標(biāo)準(zhǔn)差 = (.5 x 0)2+ (.5 x .16)2 + (2 x .5 x .5 x 0 x .16 x 0).5 = .5 x .16 = .08 or 8%第40頁/共73頁42第41頁/共73頁43SE(收益)rf = 7.5%15% 16% 第42頁/共73頁44100% 債券100% 股票rf收益平衡基金CML第43頁/共73頁45收益P有效前沿rfCML第44頁/共73頁46收益P有效前沿rfMCML第45頁/共73頁47收益P有效前沿rfMCML第46頁/共73頁48收益P有效前沿rfMCML第

25、47頁/共73頁49100% 債券100% 股票rf收益平衡基金CML第48頁/共73頁50100% 債券100% 股票rf收益最優(yōu)風(fēng)險組合CML第49頁/共73頁51100% 債券100% 股票rf收益最優(yōu)風(fēng)險組合CML第50頁/共73頁52100% 債券100% 股票收益第一最優(yōu)風(fēng)險組合第二最優(yōu)風(fēng)險組合CML0CML10fr1fr第51頁/共73頁53第52頁/共73頁54第53頁/共73頁55收益率進(jìn)行回歸，回歸線的斜率是對貝塔的統(tǒng)計估計。)(2),(MRMRiRCovi第54頁/共73頁56第55頁/共73頁57股票股票貝塔貝塔Bank of America1.55Borland In

26、ternational2.35Travelers, Inc.1.65Du Pont1.00Kimberly-Clark Corp.0.90Microsoft1.05Green Mountain Power0.55Homestake Mining0.20Oracle, Inc.0.49第56頁/共73頁58)()(2,MMiiRRRCov明顯地，你對貝塔的估計取決于你所選擇的市場組合。第57頁/共73頁59單個證券的期望收益:MFRR市場風(fēng)險溢價)(FMiFiRRRR市場風(fēng)險溢價這個公式對多元化組合中的單個證券也適用。第58頁/共73頁60第59頁/共73頁61)(FMiFiRRRR假設(shè) i =

27、 0, 則期望收益率是 RF.假設(shè) i = 1, 則MiRR 證券的期望收益=無風(fēng)險利率+證券貝塔市場風(fēng)險溢價第60頁/共73頁62第61頁/共73頁63第62頁/共73頁64期望收益)(FMiFiRRRRFR1.0MR)(FMiFiRRRR第63頁/共73頁65期望收益%3FR%31.5%5 .135 . 1 i%10MR%5 .13%)3%10(5 . 1%3iR第64頁/共73頁)(FRMRBristolFRBristolR%4 .12%)4 . 8 x 81(.%6 . 5BristolR第65頁/共73頁貝塔期望收益0Rf = 5.6% 1.0Rm = 14%1.5.8112.4%B

28、ristol Myers SquibbRR第66頁/共73頁68第67頁/共73頁69產(chǎn)收益率與市場收益率的敏感產(chǎn)收益率與市場收益率的敏感度度) 第68頁/共73頁70第69頁/共73頁71ABAABB2BB2AA2P)(w2(w)(w)(w)()()(BBAAPrEwrEwrE通過改變wA, 我們就可以得到組合的有效集合。我們以兩個資產(chǎn)為例子畫出有效前沿，有效前沿的彎曲程度反映了多元化的效應(yīng)：兩證券的相關(guān)程度越低，多元化的效應(yīng)越大。兩個證券有效組合的曲線形狀和多個證券的形狀是一致的。第70頁/共73頁72收益P有效前沿rfMCML通過借貸，投資者可以選擇資本市場線上的一點（他所偏好的那一點）。第71頁/共73頁73CAPM認(rèn)為，證券的期望收益率和證券的貝塔正相關(guān)：)()(2,MMiiRRRCov)(FMiFiRRRR第72頁/共73頁