Lecture+3+资本资产定价模型与有效市场假说.pptVIP

有效市场的类别 Weak Form弱式有效 Security prices reflect all information found in past prices and volume. Semi-Strong Form半强有效 Security prices reflect all publicly available information. Strong Form强式有效 Security prices reflect all information—public and private. 经典案例 浓缩橘子汁市场的价格 天气预报预测价格？ 价格预测天气？ 金融风险管理 * Example：Detecting Illegal Arms Trade investor knowledge countries under arms embargo events that suddenly increase or decrease conflict intensity If a weapon-making company is trading illegally, an event that increases the demand for arms may increase stock prices Estimating the Value of Political Connections During 1995-1997, the Indonesian financial markets were occasionally hit by rumors about Suhartos health. companies affiliated with President Suhartos children( Bimantara and Citra Lamtoro Groups * eight countries that were under UN arms embargo in the period 1990-2005: Angola, Ethiopia, Liberia, Rwanda, Sierra Leone, Somalia, Sudan, and Yugoslavia. * 资产定价 金融风险管理 * 风险 回顾：系统性风险与个体风险 资本资产定价模型：系统性风险如何度量及定价？ 金融风险管理 * 股票的风险：beta (b) 如果所有投资者都持有市场组合，那么此时度量一只股票风险程度的指标就是该股票的beta (b)值. 即每只股票收益率与市场组合收益之间的一种相关程度： 估计 b Security Returns Return on market % Ri = a i + biRm + ei Slope = bi Characteristic Line Estimates of b for Selected Stocks Stock Beta C-MAC Industries 1.85 Nortel Networks 1.61 Bank of Nova Scotia 0.83 Bombardier 0.71 Investors Group. 1.22 Maple Leaf Foods 0.83 Roger Communications 1.26 Canadian Utilities 0.50 TransCanada Pipeline 0.24 The Formula for Beta Clearly, your estimate of beta will depend upon your choice of a proxy for the market portfolio. Relationship between Risk and Expected Return (CAPM) Expected Return on the Market: Expected return on an individual security: Market Risk Premium This applies to individual securities held within well-diversified portfolios. Expected Return on an Individual Security This formula is called the Capital Asset Pricing Model (CAPM) Assume bi = 0, then the expected return is RF. Assume bi = 1, then Expected return