Index Models参考.ppt

INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 8 Index Models Reduces the number of inputs for diversification Easier for security analysts to specialize Advantages of the Single Index Model βi = response of an individual security’s return to the common factor, m. Beta measures systematic risk. m = a common macroeconomic factor that affects all security returns. The SP 500 is often used as a proxy for m. ei = firm-specific surprises Single Factor Model Single-Index Model Regression Equation: Expected return-beta relationship: Single-Index Model Risk and covariance: Variance = Systematic risk and Firm-specific risk: Covariance = product of betas x market index risk: Single-Index Model Correlation = product of correlations with the market index Index Model and Diversification Variance of the equally weighted portfolio of firm-specific components: When n gets large, σ2(ep) becomes negligible and firm specific risk is diversified away. Figure 8.1 The Variance of an Equally Weighted Portfolio with Risk Coefficient βp Figure 8.2 Excess Returns on HP and SP 500 Figure 8.3 Scatter Diagram of HP, the SP 500, and HP’s Security Characteristic Line (SCL) Table 8.1 Excel Output: Regression Statistics for the SCL of Hewlett-Packard Table 8.1 Interpretation Correlation of HP with the SP 500 is 0.7238. The model explains about 52% of the variation in HP. HP’s alpha is 0.86% per month(10.32% annually) but it is not statistically significant. HP’s beta is 2.0348, but the 95% confidence interval is 1.43 to 2.53. Figure 8.4 Excess Returns on Portfolio Assets Alpha and Security Analysis Use macroeconomic analysis to estimate the risk premium and risk of the market index. Use statistical analysis to estimate the beta coefficients of all securities and their residual variances, σ2 (ei). Alpha and Security Analysis Establish the expected r