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1、FinalPDFtoprinterCHAPTERTENArbitragePricingTheoryandMultifactorModelsof10RiskandReturnTHEEXPLOITATIONOF?securitymispricinginrisk,energypricerisk,andsoon.Thesemodelssuchawaythatrisk-freeprofitscanbeearnedalsoleadustoamultifactorversionoftheiscalledarbitrage.Itinvolvesthesi
2、multane-securitymarketlineinwhichriskpremiumsouspurchaseandsaleofequivalentsecuri-derivefromexposuretomultiplerisksources,tiesinordertoprofitfromdiscrepanciesineachwiththeirownriskpremium.theirprices.PerhapsthemostbasicprincipleWeshowhowfactormodelscombinedofcapitalmarket
3、theoryisthatequilibriumwithano-arbitrageconditionleadtoasimplemarketpricesarerationalinthattheyrulerelationshipbetweenexpectedreturnandoutarbitrageopportunities.Ifactualsecu-risk.Thisapproachtotherisk–returntrade-ritypricesallowforarbitrage,theresultwilloffiscalledarbitra
4、gepricingtheory,orAPT.bestrongpressuretorestoreequilibrium.Inasingle-factormarketwheretherearenoTherefore,securitymarketsoughttosatisfyextra-marketriskfactors,theAPTleadstoaa“no-arbitragecondition.”Inthischapter,meanreturn–betaequationidenticaltothatweshowhowsuchno-arbitr
5、ageconditionsoftheCAPM.Inamultifactormarketwithtogetherwiththefactormodelintroducedinoneormoreextra-marketriskfactors,theChapter8allowustogeneralizethesecurityAPTdeliversamean-betaequationsimilarmarketlineoftheCAPMtogainricherinsighttoMerton’sintertemporalextensionofthein
6、totherisk–returnrelationship.CAPM(hisICAPM).WeasknextwhatfactorsWebeginbyshowinghowthedecompo-arelikelytobethemostimportantsourcessitionofriskintomarketversusfirm-specificofrisk.Thesewillbethefactorsgeneratinginfluencesthatweintroducedinearliersubstantialhedgingdemandstha
7、tbroughtchapterscanbeextendedtodealwiththeustothemultifactorCAPMintroducedinmultifacetednatureofsystematicrisk.Mul-Chapter9.BoththeAPTandtheCAPMthere-tifactormodelsofsecurityreturnscanbeforecanleadtomultiple-riskversionsoftheusedtomeasureandmanageexposuretosecuritymarketl
8、ine,therebyenrichingtheeachofmanyeconomywidefactorssuchasinsightswecanderiveabouttherisk–returnb
