《投资学》博迪第九版课件Chap010.ppt

《投资学》博迪第九版课件Chap010.ppt

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CHAPTER10ArbitragePricingTheoryandMultifactorModelsofRiskandReturn10-1

SingleFactorModelReturnsonasecuritycomefromtwosources:Commonmacro-economicfactorFirmspecificeventsPossiblecommonmacro-economicfactorsGrossDomesticProductGrowthInterestRates10-2

SingleFactorModelEquationri=Returnonsecurityβi=FactorsensitivityorfactorloadingorfactorbetaF=Surpriseinmacro-economicfactor (Fcouldbepositiveornegativebuthasexpectedvalueofzero)ei=Firmspecificevents(zeroexpectedvalue)10-3

MultifactorModelsUsemorethanonefactorinadditiontomarketreturnExamplesincludegrossdomesticproduct,expectedinflation,interestrates,etc.Estimateabetaorfactorloadingforeachfactorusingmultipleregression.10-4

MultifactorModelEquationri=ReturnforsecurityiβGDP=FactorsensitivityforGDPβIR=FactorsensitivityforInterestRateei=Firmspecificevents10-5

MultifactorSMLModelsGDP=FactorsensitivityforGDPRPGDP=RiskpremiumforGDPIR=FactorsensitivityforInterestRateRPIR=RiskpremiumforInterestRate10-6

InterpretationTheexpectedreturnonasecurityisthesumof:Therisk-freerateThesensitivitytoGDPtimestheriskpremiumforbearingGDPriskThesensitivitytointerestraterisktimestheriskpremiumforbearinginterestraterisk10-7

ArbitragePricingTheoryArbitrageoccursifthereisazeroinvestmentportfoliowithasureprofit.Sincenoinvestmentisrequired,investorscancreatelargepositionstoobtainlargeprofits.10-8

ArbitragePricingTheoryRegardlessofwealthorriskaversion,investorswillwantaninfinitepositionintherisk-freearbitrageportfolio.Inefficientmarkets,profitablearbitrageopportunitieswillquicklydisappear.10-9

APTWell-DiversifiedPortfoliosrP=E(rP)+bPF+ePF=somefactorForawell-diversifiedportfolio,ePapproacheszeroasthenumberofsecuritiesintheportfolioincreasesandtheirassociatedweightsdecrea

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