CAPM(资本资产定价模型英文教程).pptVIP

* * * * * * * * * * * CAPM and the Characteristic Line The Characteristic Line Total risk of any asset can be assessed by measuring variability of its returns Total risk can be divided into two parts—diversifiable risk (unsystematic risk) and non-diversifiable risk (systematic risk) The characteristic line is used to measure statistically the undiversifiable risk and diversifiable risk of individual assets and portfolios Characteristic line for the ith asset is: ri,t = ai + birm,t + ei,t OR ri,t = birm,t + ai + ei,t Take Variance of both sides of Equation VAR (ri,t) = VAR(birm,t ) +VAR(ai) + VAR(ei,t) VAR(birm,t ) = VAR (ri,t) - VAR(ei,t) OR VAR(ei,t) = VAR(ri,t) - VAR(birm,t ) Beta Coefficients An index of risk Measures the volatility of a stock (or portfolio) relative to the market Beta Coefficients Combine The variability of the asset’s return The variability of the market return The correlation between the stocks return and the market return Beta Coefficients Beta coefficients are the slope of the regression line relating the return on the market (the independent variable) to the return on the stock (the dependent variable) Beta Coefficients Interpretation of the Numerical Value of Beta Beta = 1.0 Stocks return has same volatility as the market return Beta 1.0 Stocks return is more volatile than the market return Interpretation of the Numerical Value of Beta Interpretation of the Numerical Value of Beta Beta 1.0 Stocks return is less volatile than the market return Interpretation of the Numerical Value of Beta High Beta Stocks More systematic market risk May be appropriate for high-risk tolerant (aggressive) investors Low Beta Stocks Less systematic market risk May be appropriate for low-risk tolerant (defensive) investors Individual Stock Betas May change over time Tendency to move toward 1.0, the market beta Portfolio Betas Weighted average of the individual assets betas May be more stable than individual stock betas How Characteristic