【正文】 methods are based less on theory and more on looking for some regularities in the historical record. Be aware that correlation does not imply causality. Related to empirical methods is the practice of classifying portfolios by style . Value portfolio Growth portfolio McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1141 The systematic response coefficient for productivity, bP, would produce an unexpected change in any security return of __ bP if the expected rate of productivity was % and the actual rate was %. A) % B) % C) % D) % E) % McGrawHill/Irwin Corporate Finance, 7/e 169。 Expected Return If shareholders are ignoring unsystematic risk, only the systematic risk of a stock can be related to its expected return. F β R R P P P + = McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1119 Systematic Risk and Betas: Example Finally, if it was the case that the expected return on the stock was 8%, then % 1 50 . 0 %) 3 ( 50 . 1 % 5 30 . 2 + 180。 + 180。 McGrawHill/Irwin Corporate Finance, 7/e 169。 McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 116 2021年 4月 23日傍晚，當(dāng)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(rèn)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。 4月 24日的股市果然不負(fù)眾望，上證綜指不但大幅高開，午后更在大盤藍(lán)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。 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。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1112 Risk: Systematic and Unsystematic Systematic Risk。 = S GDP F F R R McGrawHill/Irwin Corporate Finance, 7/e 169。 + 180。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1129 Relationship Between b amp。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1142 Answer: A Rationale: Ri = bPFP = bP( )= bP 。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1130 The Capital Asset Pricing Model and the Arbitrage Pricing Theory APT applies to well diversified portfolios and not necessarily to individual stocks. With APT it is possible for some individual stocks to be mispriced not lie on the SML. APT is more general in that it gets to an expected return and beta relationship without the assumption of the market portfolio. APT can be extended to multifactor models. McGrawHill/Irwin Corporate Finance, 7/e 169。 = S F R R %12%1%)10(%)3(%%8=+?+?+?=RR% 8 = R McGrawHill/Irwin Corporate Finance, 7/e 169。 + 180。 ? n ? Total risk。 國信證券分析師指出，國務(wù)院刺激投資的舉措及美股隔夜上揚(yáng)均推動 A股延續(xù)昨日反彈走勢，惟豬流感疫情在節(jié)前最后一個交易日給市場平添不確定因素，不排除午后沖高回落的可能性。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 117 豬流感傳染 A股 題材炒作讓醫(yī)藥股雞犬升天 2021年 4月 27日 措手不及的“豬流感”疫情，從墨西哥呈迅速蔓延之勢，不足一周的時間已突襲了數(shù)個國家。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 114 Factor Models: Announcements, Surprises, and Expected Returns The return on any security consists of two parts. First the expected returns Second is the unexpected or risky returns. A way to write the return on a stock in the ing month is: return theof part unexpected theis return theof part expected theis where U RU R R + = McGrawHill/Irwin Corporate Finance, 7/e 169。據(jù)悉 2021年羅氏已經(jīng)將達(dá)菲生產(chǎn)授權(quán)給上藥集團(tuán)，允許其在流感大暴發(fā)時批量生產(chǎn)。國金證券當(dāng)天上午發(fā)布公告稱因股票交易異動，早盤停牌一小時，但該公司 10點 30分后亦一直未復(fù)牌。 = S GDP I F F F R R % 1 50 . 0 50 . 1 % 5 30 . 2 + 180。 + 1