投资学Chap009.ppt

CAPM and the Single Index Model First, investors can diversify nonsystematic risk. Second, by choosing stocks with positive alpha, or taking short positions in negative-alpha stocks, the risk premium on Q can be increased. Prices of positive alpha stocks will rise and prices of negative alpha stocks will fall. This will continue until all alpha values are driven to zero. Investors will be content to minimize risk by completely eliminating unique risk, that is, by holding the broadest possible, market portfolio. When all stocks have zero alphas, the market portfolio is the optimal risky portfolio. 9-* Figure 9.4 Estimates of Individual Mutual Fund Alphas, 1972-1991 9-* The Role of CAPM The model gives us a precise prediction of the relationship that we should observe between the risk of an asset and its expected return. It provides a benchmark rate of return for evaluating possible investments. It helps us make an educated guess as to the expected return on assets that have not yet been traded in the marketplace. 9-* INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS INVESTMENTS | BODIE, KANE, MARCUS CHAPTER 9 The Capital Asset Pricing Model It is the equilibrium model that underlies all modern financial theory Derived using principles of diversification with simplified assumptions Markowitz, Sharpe, Lintner and Mossin are researchers credited with its development Capital Asset Pricing Model (CAPM) 9-* The Key Insight of CAPM The CAPM asked what would happen if all investors shared an identical investable universe and used the same input list to draw their efficient frontiers. The