投資金融之單一指數(shù)和多因素模型(編輯修改稿)
2025-01-22 05:55 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 ..93..ExcessMkt. Ret.ExcessGM Ret.Using the Text Example from Table 85623Estimated coefficientStd error of estimateVariance of residuals = Std dev of residuals = RSQR = 223。()()rGM rf = + 223。(rm rf) ??回歸結(jié)果Regression Results624n市場(chǎng)風(fēng)險(xiǎn)或系統(tǒng)風(fēng)險(xiǎn) Market or systematic risk: risk related to the macro economic factor or market index.n非系統(tǒng)性風(fēng)險(xiǎn)或公司特有的風(fēng)險(xiǎn) Unsystematic or firm specific risk: risk not related to the macro factor or market index.nTotal risk = Systematic + Unsystematic風(fēng)險(xiǎn)構(gòu)成Components of Risk625 風(fēng)險(xiǎn)：系統(tǒng)性和非系統(tǒng)性風(fēng)險(xiǎn)Risk: Systematic and Unsystematicn 系統(tǒng)性風(fēng)險(xiǎn)會(huì)影響到大部分資產(chǎn) A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree.n 非系統(tǒng)性風(fēng)險(xiǎn)只會(huì)影響到單一資產(chǎn)或某一小類的資產(chǎn)。非系統(tǒng)性風(fēng)險(xiǎn)可以被分散掉。 An unsystematic risk is a risk that specifically affects a single asset or small group of assets. Unsystematic risk can be diversified away.n 系統(tǒng)性風(fēng)險(xiǎn)包括那些一般經(jīng)濟(jì)狀態(tài)的不確定性，如GNP、利率、通貨膨脹等。 Examples of systematic risk include uncertainty about general economic conditions, such as GNP, interest rates, or inflation. n 換句話說(shuō)，一個(gè)公司特定的消息，如金礦開(kāi)采公司發(fā)現(xiàn)黃金，就是非系統(tǒng)性風(fēng)險(xiǎn)。 On the other hand, announcements specific to a pany, such as a gold mining pany striking gold, are examples of unsystematic risk.626 風(fēng)險(xiǎn)各組成部分的衡量Measuring Components of Risk?i2 = ?i2 ?m2 + ?2(ei)where。?i2 = 總方差（ total variance）?i2 ?m2 = 系統(tǒng)性方差（ systematic variance）?2(ei) = 非系統(tǒng)性方差（ unsystematic variance）?ij=cov(ri,rj)=?i ?j ?m2627 隨機(jī)誤差項(xiàng) ei THE RANDOM ERROR TERMS einTHE RANDOM ERROR TERMS ei 顯示因素模型不能解釋的部分 shows that the factor model cannot explain perfectly 實(shí)際收益和因素模型預(yù)期的收益之間的差異就是 ei （ the difference between what the actual return value is and what the model expects it to be is attributable to ei）628Total Risk = Systematic Risk + Unsystematic RiskSystematic Risk/Total Risk = R2223。i2 ? m2 / ?2 = R2?i2 ?m2 / [?i2 ?m2 + ?2(ei) ]= R2Examining Percentage of Variance629 風(fēng)險(xiǎn)分散 —— 國(guó)際經(jīng)驗(yàn) 630 中國(guó)股市的分散與風(fēng)險(xiǎn)中國(guó)股市的分散與風(fēng)險(xiǎn)631 指數(shù)模型和分散化Index Model and Diversification632 分散化DIVERSIFICATIONuUnique Risk216。mathematically can be expressed as633 分散化DIVERSIFICATIONn總組合的風(fēng)險(xiǎn) TOTAL PORTFOLIO RISK also has two parts: market and uniqueuMarket Risk216。分散化會(huì)導(dǎo)致市場(chǎng)風(fēng)險(xiǎn)的平均化（ diversification leads to an averaging of market risk）uUnique Risk216。越是分散化的組合，其非系統(tǒng)性的風(fēng)險(xiǎn)越?。?as a portfolio bees more diversified, the smaller will be its unique risk）634 風(fēng)險(xiǎn)降低和分散化Risk Reduction with DiversificationNumber of Securitie
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