【正文】 金融經(jīng)濟(jì)學(xué)家把這個差異作為未來風(fēng)險溢價的有效估計值： 例如，假如用一年期國庫券的收益率估計的無風(fēng)險利率為 1%，那么市場的期望收益就等于： %=1%+% 當(dāng)然，股票未來的風(fēng)險溢價有可能高于或低于歷史平均的風(fēng)險溢價，這是因為股票未來的風(fēng)險可能高于或低于歷史平均的風(fēng)險水平，或者因為投資者對風(fēng)險的規(guī)避程度可能高于或低于歷史的平均水平。因為股票具有風(fēng)險，某一時期市場的實際收益有可能低于無風(fēng)險利率 RF， 甚至可能出現(xiàn)負(fù)值。這一結(jié)果要求我們更加準(zhǔn)確的掌握多元化組合中單個證券的風(fēng)險。當(dāng)然，在實踐中，并非所有的投資 者都持有相同的組合。由于這是一個非常重要的結(jié)論，因此我們重新表述如下： 在一個具有共同期望的世界中，所有的投資者都將持有 A點所代表的風(fēng)險資產(chǎn)組合。因為相同的無風(fēng)險利率適用于每個投資者，所以所有的投資者都會將 A 點作為他們持有的風(fēng)險資產(chǎn)組合。這一假設(shè)稱為共同期望假設(shè)。顯然，其他投資者對上述變量有著不同的估計。顯然，基于上述原因，系統(tǒng)性風(fēng)險和不可分散化風(fēng)險這兩個專業(yè)術(shù)語經(jīng)常交替使用。 事實上，可分散化風(fēng)險和非系統(tǒng)性風(fēng)險這兩個專業(yè)術(shù)語經(jīng)常交替使用 多元化與系統(tǒng)性風(fēng)險 我們已經(jīng)知道非系統(tǒng)性風(fēng)險可以通過多元化進(jìn)行消除。另一方面，如果我們持 有一個規(guī)模很大的組合，該組合中的一些股票因為公司特有的消極事件而增加價值，一些股票則因為公司特有的消極事件而降低價值。 根據(jù)定義，非系統(tǒng)性風(fēng)險指的是單個資產(chǎn)，或者之多一小類資產(chǎn)特有的風(fēng)險。與這些損失相抵的股票是伊士曼柯達(dá)公司。其中下跌的股票依次是伊士曼柯達(dá)公司， AT%T 和美國默克集團(tuán)。在 2020 年，道瓊斯工業(yè)平均指數(shù)上揚了近25%。在圖中，最低水平的風(fēng)險稱為不可分散風(fēng)險。將投資從單一資產(chǎn)擴展至多個資產(chǎn)投資進(jìn)而構(gòu)建組合的過程稱為多元化。當(dāng)組合中股票數(shù)量達(dá)到 10 只時，多元化效應(yīng)已實現(xiàn)了大部分。之所以存在很小的差異是因為這兩個組合包含的證券以及所考察的時間期間不完全一樣。如果你隨機抽取紐約證券交易所中的某兩只股票，每只股票各投資 50%的資金，你所獲得收益的標(biāo)準(zhǔn)差每年平均是 37%，如此類推。你可能會懷疑，但這是一個非常重要的觀察結(jié)果。我們現(xiàn)在要更詳細(xì)的觀 察單個資產(chǎn)的風(fēng)險以及由多種不同資產(chǎn)構(gòu)成的組合的風(fēng)險。 在我們分解總的驚奇收益時，一個關(guān)鍵點在于非系統(tǒng)性部分對于 F 公司而言，或多或少是獨特的。當(dāng)然，這樣說有點吹毛求疵。 相比之下，某石油公司發(fā)生工人罷工事件可能僅僅影響這個公司或某些公司。 正如我們所看到的，關(guān)于經(jīng)濟(jì)狀況的不確定性，如 GDP，利率或通貨膨脹，都是系統(tǒng)性風(fēng)險的典型例子。 第二種類型的驚奇稱為非系統(tǒng)性風(fēng)險。我們將區(qū)分上述這兩種不同類型的事件，因為在下文我們將看到它們具有完全不同的含義。 雖然有各種各樣的風(fēng)險來源，但它們之間存在著重要的差別。顯然，這表明平均而言，實際收益等于 期望收益。將這樣的信息來源全部列舉出來將是無窮 盡的，這里舉幾個例子進(jìn)行說明： F公司的研發(fā)信息 政府公布國內(nèi)生產(chǎn)總值 最新軍備控制決判結(jié)果 F公司銷售量高于預(yù)期 利率突然下調(diào) 根據(jù)上述論述， F 公司股票在未來年份的收益可寫成： R = E (R) + U 其中， R 表示一年中實際的總收益， E(R)表示總收益中的期望部分， U 表示總收益中的未期望部分。股票收益的第一部分來自股票的正常收益，也稱為期望收益，它是股票持有人預(yù)測或期望獲得的收益。T (down 19 percent), and Merck (down 11 percent). In contrast to 2020, consider 2020 when the DJIA was down about 17 percent, a fairly bad year. The big losers in this year were Home Depot (down 52 percent), and Intel (down 50 percent). Working to offset these losses was Eastman Kodak (up 20 percent). Again, the lesson is clear: diversification reduces exposure to extreme outes, both good and bad. Diversification and unsystematic risk From our discussion of portfolio risk, we know that some of the risk associated with individual assets can be diversified away and some cannot. We are left with an obvious question: why is this so? It turns out that the answer hingers on the distinction we made earlier between systematic and unsystematic risk. By definition, an unsystematic risk is one that is particular to a single asset or, at most, a small group. For example, if the asset under consideration is stock in a single pany, the discovery of positive NPV projects such as successful new products and innovative cost saving will tend to increase the value of the stock. Unanticipated lawsuits, industrial accidents, strikes, and similar events will tend to decrease future cash flows and thereby reduce share value. Here is the important observation: if we only held a single stock, then the value of our investment would fluctuate because of panyspecific events. If we hold a large portfolio, on the other hand, some of the stocks in the portfolio will go up in value because of positive panyspecific events and some will go down in value because of negative events. The effect on the overall value of the portfolio will be relatively small, however, because these effects will tend to cancel each other out. Now we see why some of the variability associated with individual assets is eliminated by diversification. When we bine assets into portfolios, the unique, or unsystematic, eventsboth positive and negativetend to “wash out” once we have more than just a few assets. This is an important point that bears repeating: Unsystematic risk is essentially eliminated by diversification, so a portfolio with many assets has almost no unsystematic risk. In fact, the terms diversifiable risk and unsystematic risk are often used interchangeably. Diversification and systematic risk We’ve seen that unsystematic risk can be eliminated by diversifying. What about systematic risk? Can it also be eliminated by diversification? The answer is no because, by definition, a systematic risk affects almost all assets to some degree. As a result, no matter how many assets we put into a portfolio, the systematic risk does not go away. Thus, for obvious reasons, the terms systematic risk and nondiversifiable risk are used interchangeably. Because we have introduced so many different terms, it is useful to summarize our discussion before moving on. What we have seen is that the total risk of an investment, as measured by the standard deviation of its return, can be written as: Total risk = systematic risk + unsystematic risk Systematic risk is also called nondiversifiable risk or market risk. Unsystematic risk is also called div