《财务管理：理论与实践》（Brigham）的教学PPTCh 06 Show.ppt

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2018-04-18 发布于湖北
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《财务管理：理论与实践》（Brigham）的教学PPTCh 06 Show.ppt

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《财务管理：理论与实践》（Brigham）的教学PPTCh 06 Show

26 27 29 31 32 34 35 35 37 39 14 43 44 45 46 47 48 50 52 53 If b = 1.0, stock has average risk. If b 1.0, stock is riskier than average. If b 1.0, stock is less risky than average. Most stocks have betas in the range of 0.5 to 1.5. Can a stock have a negative beta? How is beta interpreted? Expected Return versus Market Risk Which of the alternatives is best? Expected Security return Risk, b HT 17.4% 1.29 Market 15.0 1.00 USR 13.8 0.68 T-bills 8.0 0.00 Collections 1.7 -0.86 Use the SML to calculate eachalternative’s required return. The Security Market Line (SML) is part of the Capital Asset Pricing Model (CAPM). SML: ki = kRF + (RPM)bi . Assume kRF = 8%; kM = kM = 15%. RPM = (kM - kRF) = 15% - 8% = 7%. ^ Required Rates of Return kHT = 8.0% + (7%)(1.29) = 8.0% + 9.0% = 17.0%. kM = 8.0% + (7%)(1.00) = 15.0%. kUSR = 8.0% + (7%)(0.68) = 12.8%. kT-bill = 8.0% + (7%)(0.00) = 8.0%. kColl = 8.0% + (7%)(-0.86) = 2.0%. Expected versus Required Returns ^ k k HT 17.4% 17.0% Undervalued Market 15.0 15.0 Fairly valued USR 13.8 12.8 Undervalued T-bills 8.0 8.0 Fairly valued Coll 1.7 2.0 Overvalued . . Coll. . HT T-bills . USR kM = 15 kRF = 8 -1 0 1 2 . SML: ki = kRF + (RPM) bi ki = 8% + (7%) bi ki (%) Risk, bi SML and Investment Alternatives Market Calculate beta for a portfolio with 50% HT and 50% Collections bp = Weighted average = 0.5(bHT) + 0.5(bColl) = 0.5(1.29) + 0.5(-0.86) = 0.22. What is the required rate of returnon the HT/Collections portfolio? kp = Weighted average k = 0.5(17%) + 0.5(2%) = 9.5%. Or use SML: kp = kRF + (RPM) bp = 8.0% + 7%(0.22) = 9.5%. SML1 Original situation Required Rate of Return k (%) SML2 0 0.5 1.0 1.5 2.0 18 15 11 8 New SML ? I = 3% Impact of Inflation Change on SML kM = 18% kM = 15% SML1 Original situation Required Rate of Return (%)