【正文】 1110 Risk: Systematic and Unsystematic A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree. An unsystematic risk is a risk that specifically affects a single asset or small group of assets. Unsystematic risk can be diversified away. Examples of systematic risk include uncertainty about general economic conditions, such as GNP, interest rates or 07年 3月份 CPI為 %，一季度居民消費價格總水平上漲 % On the other hand, announcements specific to a pany, such as a gold mining pany striking gold, are examples of unsystematic risk. McGrawHill/Irwin Corporate Finance, 7/e 169。盤面看，個股多升：上海本地股、地產(chǎn)、水泥股漲幅居前，機械、發(fā)電設(shè)備、新能源、有色金屬等板塊大面積走高，鋼鐵、航空、保險等權(quán)重股多升，寶鋼股份 (600019)漲%。 McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 118 分析師認為，由于目前國內(nèi)沒有直接預防治療“豬流感”的疫苗或藥品，因此此次行情多是題材炒作。他這種看法也得到大多數(shù)分析師的贊同。世界衛(wèi)生組織更在短短幾天內(nèi)把“豬流感”預警級從 3級迅速升至 5級 (共有 6級 )，各國政府嚴陣以待。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 116 2021年 4月 23日傍晚，當從 4月 24日起證券 (股票 )交易印花稅稅率由千分之三降至千分之一的消息正式公布后，股民一致認為是 實質(zhì)性的特大利好 政策出臺，不少股民則立即拿起電話或連線 ， 連夜 競相轉(zhuǎn)告，共同期盼股市一路走好。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 112 Arbitrage Pricing Theory Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit. Since no investment is required, an investor can create large positions to secure large levels of profit. In efficient markets, profitable arbitrage opportunities will quickly disappear. McGrawHill/Irwin Corporate Finance, 7/e 169。McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 113 Arbitrage Pricing Theory The APT assumes that returns on securities are generated by a number of industrywide and marketwide factors. McGrawHill/Irwin Corporate Finance, 7/e 169。 4月 24日的股市果然不負眾望，上證綜指不但大幅高開，午后更在大盤藍籌股的推動下展開凌厲升勢，最終收市勁升 %，創(chuàng)出自 1996年 12月實施漲跌停制度以來的歷史最大漲幅。在世界經(jīng)濟微弱復蘇萌動的大背景下，“豬流感”的暴發(fā)無疑增加了投資者對經(jīng)濟下行的擔憂，全球股市都對上周末突然暴發(fā)的疫情打了個大“噴嚏”。 所謂短期不小，一方面“豬流感”對 A股的表現(xiàn)已經(jīng)明顯的顯現(xiàn)。目前看，只有羅氏生產(chǎn)的抗流感藥品達菲對“豬流感”病毒在早期有較好的預防效果。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 119 2021年 04月 30日 11:48 中國股市午盤上漲 部分項目資本金比例下調(diào) 華爾街日報報道： 中國股市周四（ 4月 30日）午盤上漲，部分投資項目資本金比例下調(diào)推動大盤續(xù)升。醫(yī)藥股繼續(xù)回落，銀行股多疲軟，華夏銀行 (600015)跌 %。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1111 涌金集團董事長魏東辭世的消息今日得以證實， 5月 1日下午，魏東的家屬提供了魏東的最后留言 “寫給我最親愛的人們”。九芝堂稱公司發(fā)生重大事項，臨時停牌一天。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1112 Risk: Systematic and Unsystematic Systematic Risk。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1113 Systematic Risk and Betas The beta coefficient, b, tells us the response of the stock’s return to a systematic risk. In the CAPM, b measured the responsiveness of a security’s return to a specific risk factor, the return on the market portfolio. We shall now consider many types of systematic risk. ) ( ) ( 2 , M M i i R R R Cov ? b = McGrawHill/Irwin Corporate Finance, 7/e 169。 + 180。 + 180。 = S GDP F F R R McGrawHill/Irwin Corporate Finance, 7/e 169。 = S GDP F F R R % 1 50 . 0 %) 3 ( 50 . 1 % 5 30 . 2 + 180。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1118 Systematic Risk and Betas: Example If it was the case that dollareuro spot exchange rate, S($,€), was expected to increase by 10%, but in fact remained stable during the time period, then FS = Surprise in the exchange rate = actual – expected = 0% – 10% = – 10% % 1 50 . 0 %) 3 ( 50 . 1 % 5 30 . 2 + 180。 + 180。 + 180。 2021 The McGrawHill Companies, Inc. All Rights