Stock Valuation And Risk参考.ppt

4.1 Measures of Stock Risk Value at Risk Estimates the largest expected loss to a particular investment position for a specified confidence level Warns investors about the potential maximum loss that they may incur with their investment portfolio Focuses on the “loss” side of possible returns Used to analyze risk of a portfolio 4.2 Applying Value at Risk Methods of determining the maximum expected loss Use of historical returns Example: count the percent of total days that a stock drops a certain level Use of standard deviation Used to derive boundaries for a specific confidence level Use of beta Used in conjunction with a forecast of a maximum market drop Beta serves as a multiplier of the expected market loss 4.2 Applying Value at Risk Deriving the maximum dollar loss Apply the maximum percentage loss to the value of the investment Common adjustments to the value-at-risk applications Investment horizon desired Length of historical period used Time-varying risk Restructuring the investment portfolio 4.3 Forecasting Stock Price Volatility and Beta Methods of forecasting stock price volatility Historical method Time-series method Implied standard deviation Derived from the stock option pricing model Forecasting a stock portfolios volatility One method involves forecasts of individual volatility levels and using correlation coefficients Forecasting a stock portfolio’s beta Forecast changes in individual stock betas 4.3 Stock Performance Measurement Sharpe Index Assumes total variability is the appropriate measure of risk A measure of reward relative to risk 4.3 Stock Performance Measurement Treynor Index Assumes that beta is the appropriate type of risk Measure of risk-adjusted return Higher the value; the higher the return relative to the risk-free rate 4.4 Stock Market Forms of Efficiency Weak-form efficiency Security prices reflect all historical price and volume information Implication: investors cannot earn abnormal returns based on past price movements Semis