外文翻譯---股票：期望收益和未期望收益-文庫(kù)吧資料
2025-05-22 08:50本頁(yè)面
【正文】 o. 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 primarily affect that pany and, perhaps, a few others (such as primary petitors and suppliers). It is unlikely to have much of an effect on the world oil market, however, or on the affairs of panies not in the oil business, so this is an unsystematic event. Systematic and unsystematic ponents of return The distinction between a systematic risk and an unsystematic risk is never really as exact as we make it out to be. Even the most narrow and peculiar bit of news about a pany ripples through the economy. This is true because every enterprise, no matter how tiny, is a part of economy. It’s like the tale of a kingdom that was lost because one horse lost a shoe. This is mostly hairsplitting, however. Some risks are clearly much more general than others. We’ll see some evidence on this point in just a moment. The distinction between the types of risk a llows us to break down the surprise portion, U, of the return on the Flyers stock into two parts. Earlier, we had the actual return broken down into its expected and surprise ponents: R = E (R) + U We now recognize that the total surprise ponent for Flyers, U, has a systematic and an unsystematic ponent, so: R = E (R) + systematic portion + unsystematic portion Systematic risks are often called market risks because they affect most assets in the market to some degree. The important thing about the way we have broken down the total surprise, U, is that the unsystematic portion is more or less unique to Flyers. For this reason, it is unrelated to the unsystematic portion of return on most other assets. To see why this is important, we need to return to the subject of portfolio risk. Diversification and portfolio risk We’ve seen earlier that portfolio risks can, in principle, be quite different from the risks of the assets that make up the portfolio. We now look more closely at the riskiness of an individual asset versus the risk of a portfolio of many different assets. We will once again examine some market history to get an idea of what happens with actual investments in capital markets. The effect of diversification: another lesson from market history In our previous chapter, we saw that the standard deviation of the annual return on a portfolio of 500 large mon stocks has historically been about 20 percent per year. Does this mean that the standard deviation of the annual return on a typical stock in that
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