博迪《金融学》课后习题答案-英文ch13_IM_1E.docVIP

Instructor’s Manual Chapter 13 Page  PAGE 156 CHAPTER 13 THE CAPITAL ASSET PRICING MODEL Objectives Explain the theory behind the CAPM. Explain how to use the CAPM to establish benchmarks for measuring the performance of investment portfolios. Explain how to infer from the CAPM the correct risk-adjusted discount rate to use in discounted-cash-flow valuation models. Explain the APT and its relationship to the CAPM. Outline TOC \f13.1 The Capital Asset Pricing Model in Brief 13.2 Determinants of the Risk Premium on the Market Portfolio 13.3 Beta and Risk Premiums on Individual Securities 13.4 Using the CAPM in Portfolio Selection 13.5 Valuation and Regulating Rates of Return 13.6 Extensions, Modifications, and Alternatives to the CAPM  Summary The CAPM has three main implications: In equilibrium, everyone’s relative holding of risky assets are the same as in the market portfolio. The size of the risk-premium of the market portfolio is determined by the risk-aversion of investors. The risk premium on any asset is equal to its beta times the risk premium on the market portfolio. Whether or not the CAPM is strictly true, it provides a rationale for a very simple passive portfolio strategy: Diversify your holdings of risky assets in the proportions of the market portfolio, and Mix this portfolio with the risk-free asset to achieve a desired risk-reward combination. The CAPM is used in portfolio management primarily in two ways: To establish a logical and convenient starting point in asset allocation and security selection To establish a benchmark for evaluating portfolio management ability on a risk-adjusted basis. In corporate finance the CAPM is used to determine the appropriate risk-adjusted discount rate in valuation models of the firm and in capital budgeting decisions. The CAPM is also used to establish a “fair” rate of return on invested capital for regulated firms and in cost-plus pricing. Today few financial scholars consider the CAPM in its simplest f