chap011Risk, Return and Capital Budgeting(财务管理,台湾大学,Matthew Will).ppt

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chap011Risk, Return and Capital Budgeting(财务管理,台湾大学,Matthew Will).ppt

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chap011Risk, Return and Capital Budgeting(财务管理,台湾大学,Matthew Will)

Topics Covered Measuring Market Risk Beta Risk and Return CAPM Capital Budgeting and Project Risk Measuring Market Risk Market Portfolio - Portfolio of all assets in the economy. In practice a broad stock market index is used to represent the market. Beta - Sensitivity of a stock’s return to the return on the market portfolio. Measuring Market Risk Example - Turbo Charged Seafood has the following % returns on its stock, relative to the listed changes in the % return on the market portfolio. The beta of Turbo Charged Seafood can be derived from this information. Measuring Market Risk Example - continued Measuring Market Risk When the market was up 1%, Turbo average % change was +0.8% When the market was down 1%, Turbo average % change was -0.8% The average change of 1.6 % (-0.8 to 0.8) divided by the 2% (-1.0 to 1.0) change in the market produces a beta of 0.8. Measuring Market Risk Example - continued Portfolio Betas Diversification decreases variability from unique risk, but not from market risk. The beta of your portfolio will be an average of the betas of the securities in the portfolio. If you owned all of the SP Composite Index stocks, you would have an average beta of 1.0 Stock Betas Risk and Return Risk and Return Measuring Market Risk Market Risk Premium - Risk premium of market portfolio. Difference between market return and return on risk-free Treasury bills. Measuring Market Risk CAPM - Theory of the relationship between risk and return which states that the expected risk premium on any security equals its beta times the market risk premium. Measuring Market Risk Security Market Line - The graphic representation of the CAPM. Security Market Line Capital Asset Pricing Model Testing the CAPM Testing the CAPM Stock Expected Returns Capital Budgeting Project Risk The project cost of capital depends on the use to which the capital is being put. Therefore, it depends on the risk of the project and not the risk of the company. Capital Budgeting Pro