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《Lecture 2 - Asset Pricing Models》由會員上傳分享，免費在線閱讀，更多相關內(nèi)容在教育資源-天天文庫。
1、1AssetPricingModels2LearningobjectivesAftercompletionofthischapteryoushouldbeableto:intuitivelyunderstandthe:PortfoliotheoryRelationshipbetweenriskandreturnSystematicandunsystematic(unique)riskcapitalmarketline(CML)capitalassetpricingmodel(CAPM)andthesecuritymarketline(SML)linkbetwee
2、ntheCMLandSMLapplytheCAPMinpricingriskyassetsincludingshare3LearningobjectivesAftercompletionofthischapteryoushouldbeableto:understandtheimportanceofportfoliodiversificationininvestmentdecisionmakingunderstandthemeanvarianceopportunitysetdescribeportfolioconstructionmethodsusetheCAPM
3、tojustifyvaluesforrelevantinputparametersunderstandtheimportanceofassumptionsunderlyingtheCAPMexplainthedifficultiesassociatedwithtestingtheCAPMdebatewhethertheCAPMisanappropriatemodeltopriceriskyassets.4ChapteroutlineIntroductionPortfolioTheoryTheCAPMUsingtheCAPMTestingtheCAPMExtens
4、ionstotheCAPMSummaryCONTEXTOFDISCUSSIONPOSSIBLEATTITUDETOWARDSRISKOtherassumptionsInvestorisrationalWillrankvariousalternativeinvestmentsInvestorisriskaverseDislikeincreasevarianceininvestmentreturnsOneperiodinvestmenthorizonNofrictionstoinvestingNotransactioncostsNotaxesCanborrowand
5、lendatriskfreerateBehaviourofAustraliaAssetClassesEquityS&P/ASX200AccumulationIndexPropertyS&P/ASXREITsIndexCashCumulativeyieldonthe90daybankacceptedbillFixedInterestUBSCommonwealthBondAccumulationIndexBehaviourofAustraliaAssetClassesEquity$307Property$278FixedInterest$241Cash$212CPI
6、Rosefrom100to$142insameperiodComputationofreturnsrevisitedSupposethesharepriceofABCis$100.Attheendoftheyearthereisanequalchancethatthestockwillbeworth$90,$110or$130.Thereforereturncouldbe-10%,10%or30%Whataboutexpectedreturn?Expectedreturn=1/3(-10+10+30)=+10or10%Theexpectedendofyearpr
7、ice=FV(1+r)=$100(1.1)=$110ThePresentValue,PV=$110/(1.1)=$100TheexpectedreturnisthereforethecorrectrateatwhichtodiscountexpectedcashflowforABC’sstockIftheoddareunchangedandweobservethestockofABCoveralargenumberofyears,returnwillbe-10%athirdoftime,10%afurtherthirdand30%fortherest.Deter
8、miningthedis
