投資學(xué)課件第9章ca-資料下載頁
2025-05-09 22:29本頁面
【正文】 此股票的正常期望收益率為 6+*（ 146） =% ? 若投資者預(yù)計此股票能提供 17%收益率，則alpha=% 426 CAPM用途 ? CAPM給出了資產(chǎn)的風(fēng)險和收益之間關(guān)系的一種精確預(yù)測 – 數(shù)量化了風(fēng)險，使得投資風(fēng)險可以進(jìn)行比較 – 為評估可行投資提供了一個基準(zhǔn)收益率 – 幫助我們對未上市證券的回報率作出預(yù)測 – 評估基金或股票的風(fēng)險調(diào)整的業(yè)績 427 Disequilibrium Example E(r) 15% SML ? Rm=11% rf=3% Under priced Over priced 428 2. Extensions of the CAPM ? 放松ＣＡＰＭ的假設(shè) ? the CAPM with restricted borrowing: the ZeroBeta model ? 借錢受到限制，或者借入利率高于貸出利率時 429 Black’s Zero Beta Model ? Absence of a riskfree asset ? Combinations of portfolios on the efficient frontier are efficient. ? All frontier portfolios have panion portfolios （伴隨資產(chǎn)組合） that are uncorrelated. ? Returns on individual assets can be expressed as linear binations of efficient portfolios. ? ?),(),(),()()()()( 2QPPQPPiQPQi rrC o vrrC o vrrC o vrErErErE??????430 Efficient Portfolios and Zero Companions Q P Z(Q) Z(P) E[rz (Q)] E[rz (P)] E(r) ? 431 Zero Beta Market Model ? ? 2)()( ),()()()()(MMiMZMMZirrC o vrErErErE????CAPM with E(rz (m)) replacing rf 432 3. CAPM amp。 Liquidity ? Liquidity ? Illiquidity Premium ? Research supports a premium for illiquidity. – Amihud and Mendelson 433 CAPM with a Liquidity Premium ? ? )()()( ifiifi cfrrErrE ???? ?f (ci) = liquidity premium for security i f (ci) increases at a decreasing rate ci： illiquidity cost 434 Liquidity and Average Returns Average monthly return(%) Bidask spread (%) 435 Exercises ? Chapter 9: 3, 18, 28
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