第12章_系统风险与资本资产定价模型.pdfVIP

系统风险与资本资产定价模型 系统风险系统风险SystematicSystematic RiskRisk • Risk factors that affect a large number of assets • AlsoAlso knownknown asas nonnon-diversifiablediversifiable riskrisk oror marketmarket risk • Includes such things as changes in GGDP, inflation, interest rates, etc. 非系统风险非系统风险UUnsysttematitic RiRiskk • Risk factors that affect a limited number of assets • Also known as unique risk and asset-specific risk • Includes such things as labor strikes, part shortages,shortages, etc.etc. ReturnsReturns • Total Return = expected return + unexpected return • Unexpected return = systematic portion + unsyystematic portion • Therefore, total return can be expressed as follows:follows: • Total Return = expected return + systematic portionportion ++ unsystematicunsystematic portionportion DiversificationDiversification • Portfolio diversification is the investment in several different asset classes or sectors • Diversification is not just holding a lot of assets • ForFor example,example, ifif youyou ownown 5050 internetinternet stocks,stocks, youyou are not diversified •• HoweverHowever, ifif youyou ownown 5050 stocksstocks thatthat spanspan 2020 different industries, then you are diversified ThThe PPriinciiplle off DiDiversifiificatition • DiDiversifiificatition can subbsttantitialllly redduce ththe variability of returns without an equivalent reductionreduction inin expectedexpected returnsreturns • This reduction in risk arises because worse than expectedexpected returnsreturns fromfrom oneone assetasset areare offsetoffset byby better than expected returns from another •• HoweverHowever, therethere isis aa minimumminimum levellevel ofof riskrisk thatthat cannot be diversified away and that is t