【正文】 多元化和投資組合風險 在本章的前面部分，我們已經知道投資組合的風險在本質上與構成投資組合的各種證券的風險是完全不同的。在前面，我們將實際收益分為期望收益和驚奇收益兩個部分： R = E (R) + U 我們現(xiàn)在知道 F公司總的驚奇收益由系統(tǒng)性和非系 統(tǒng)性兩部分組成，從而： R = E (R) + 系統(tǒng)性部分 + 非系統(tǒng)性部分 由于系統(tǒng)性風險在某種程度上對市場上大多數的資產都產生影響，因此它經常被稱為市場風險。即使是范圍最小和一丁點的信息都可能使經濟產生波動，因為無論一個公司的規(guī)模有多么小，都是經濟的一個組成部分。這使所有公司對系統(tǒng)風險都保持高度警覺。我 們將在下文交替使用這些專業(yè)術語。因為系統(tǒng)性風險對整個市場都有影響，所以有時候也被稱為“市場風險”。那么，哪些信息對于 F 公司來說特別重要呢？ 顯然，公布關于利率或 GDP 的信息對幾乎所有的公司都很重要，而關于 F公司總裁的信息，研發(fā)信息， 銷售信息，對 F公司來說特別重要。換言之，資產的風險來自于驚奇，即未預期事件。在任一給定年份中，未期望收益可能為正，也可能為負，但全部年份平均下來，其均值將為零。 股票收益的第二部分是不確定收益，也稱為風險收益，它來自于當年披露但市場未預期的信息。決定未來年份股票收益的因素是什么 ？ 在金融市場上交易的任何一只股票收益都是由兩部分組成。 外文翻譯 ： Stock:Expected and unexpected return To begin, for concreteness, we consider the return on the stock of a pany called Flyers. What will determine this stock’s return in, say, the ing year? The return on any stock traded in a financial market is posed of two parts. First, the normal, or expected, return from the stock is the part of the return that shareholders in the market predict or expect. This return depends on the information shareholders have that bears on the stock, and it is based on the market’s understanding today of the important factors that will influence the stock in the ing year. The second part of the return on the stock is the uncertain, or risky, part. This is the portion that es from unexpected information revealed within the year. A list of all possible sources of such information would be endless, bet here are a few examples: News about Flyers research Government figures released on gross domestic product (GDP) The results from the latest arms control talks The news that Flyers’s sales figures are higher tan expected A sudden, unexpected drop in interest rates Based on this discussion, one way to express the return on Flyers stock in the ing year would be: Total return = expected return + unexpected return R = E (R) + U Where R stands for the actual total return in the year, E(R) stands for the expected part of the return, and U stands for the unexpected part of the return. What this says is that the actual return, R, differs from the expected return, E(R), because of surprises that occur during the year. In any given year, the unexpected return will be positive or negative, but, through time, the average value of U will be zero. This simply means that on average, the actual return equals the expected return. Risk: systematic and unsystematic The unanticipated part of the return, that portion resulting from surprises, is the true risk of any investment. After all, if we always receive exactly what we expect, then the investment is perfectly predictable and by definition, riskfree. In other words, the risk of owning an asset es from surprisesunanticipated events. There are important differences, though, among various sources of risk. Look back at our previous list of news stories. Some of these stories are directed specifically at Flyers, and some are more general. Which of the news items are of specific importance to Flyers? Announcements about interest rates or GDP are clearly important for nearly all panies, whereas the news about Flyers’s president, its research, or its sales is of specific interest to Flyers. We will distinguish between these two types of events, because, as we shall see, they have very different implications. Systematic and unsystematic risk The first type of surprise, the one that affects a large number of assets, we will label systematic risk. A systematic risk is one that influences a large number of assets, each to a greater of lesser extent. Because systematic risks have marketwide effects, they are sometimes called market risks. The second type of surprise we will call unsystematic risk. An unsystematic risk is one that affects a single asset or a small group of assets. Because these risks are unique to individual panies or assets, they are sometimes called unique or asset specific risks. We will use these terms interchangeably. As we have seen, uncertainties about general economic conditions, such as GDP, interest rates, or inflation, are examples of systematic risks. These conditions affect nearly all panies to some degree. An unanticipated increase, or surprise, in inflation, for example, affects wages and the costs of supplies that panies buy, it affects the value of the assets that panies own, and it affects the prices at which panies sell their products. Forces such as these, to which all panies are susceptible, are the essence of systematic risk. In contrast, the announcement of an oil strike by a pany will primarily affect that pany and, perhaps, a few others (such as primary petitors and suppliers