【正文】 但是，風(fēng)險溢價的數(shù)值是多少呢？一般認為，未來風(fēng)險溢價的最佳估計值是過去歷史風(fēng)險溢價的平均值。而具有廣泛基礎(chǔ)的綜合指數(shù)無疑是一個很多投資者持有的高度多元化的投資組合的代表。那些風(fēng)險厭惡程度高的投資者可以在風(fēng)險組合 A與無風(fēng)險資產(chǎn)之間進行組合，例如選擇 4 點。 金融經(jīng)濟學(xué)家通常假設(shè)，世界上所有的投資者對期望收益，方差和協(xié)方差的估計完全相同。這是因為：根據(jù)定義，系統(tǒng)性風(fēng)險在某種程度上對幾乎所有的資產(chǎn)都將產(chǎn)生影響。未預(yù)期的法 律訴訟，勞動事故及諸如此類的事件將減少公司未來的現(xiàn)金流，進而降低 股票的價值。因此， 2020 年時相當(dāng)糟糕的一年。換言之，某些風(fēng)險可以分散，而另一些風(fēng)險則不可以。 圖闡明了兩個要點。當(dāng)我們隨機抽取 100 只股票時，該組合的標準差將減少 60%，從 49%降低到 20%。 多元化效果：來自資本市場歷史的另一個啟示 在前面章節(jié)中，我們知道由 500 只大公司普通股構(gòu)成的組合，其年度收益的標準差從歷史上看平均每年大約為 20%。 正因為這兩種類型風(fēng)險存在這種區(qū)別，所以我們可以將 F公司總的驚奇收益分為兩個部分。例如，如果通貨膨脹高于預(yù)期水平，這一出乎意料的信息將會影響工 資，原材料成本，公司所擁有資產(chǎn)的價值及公司產(chǎn)品的銷售價格。系統(tǒng)性風(fēng)險對大多數(shù)資產(chǎn)產(chǎn)生影響，只不過每種資產(chǎn)受影響的程度有大有小?？偠灾绻覀儷@得的收益一直和我們所預(yù)期的一樣，那么這種投資就不存在不確定性，并且從定義上說它是無風(fēng)險的。今天，市場對某些重要因素的理解構(gòu)成了信息的基礎(chǔ)，而這些重要因素影響了未來年份股票的收益。 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 primaril