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1、CHAPTER11AnAlternativeViewofRiskandReturnTheArbitragePricingTheoryInJanuary2006,Yahoo!,AppleComputer,andDutchNotexactly:Thestockpricefellby2percent.Finally,semiconductorcompanyASMLjoinedahostofotherASMLannounceditsearningswerelessthanhalfofthecompaniesinannouncingoperatingresults.Asyoumightea
2、rningsfromthesamequarterinthepreviousyear,onexpect,newssuchasthistendstomovestockprices.asalesdeclineof30percent.EvenwiththisapparentlyYahoo!,forexample,reportedapro?tincreaseoftroublingnews,thecompany’sstockjumpedover83percentandarevenueincreaseof39percent.But6percent.investorsdidn’tsay“Yaho
3、o!”Instead,thestockpriceTwooftheseannouncementsseempositive,yetdroppedby12percentwhenthemarketopened.Applethestockpricefell.Thethirdannouncementseemsannouncedrevenuesforthemostrecentquarterof$5.75negative,yetthestockpricejumped.Sowhenisgoodbillion,anincreaseof65percentoverthesamequarternewsre
4、allygoodnews?Theanswerisfundamentaltointhepreviousyear,andthecompany’snetincomeunderstandingriskandreturn,andthegoodnewsisthisnearlydoubledto$565million.So,didinvestorscheer?chapterexploresitinsomedetail.11.1FactorModels:Announcements,Surprises,andExpectedReturnsWelearnedinthepreviouschapterh
5、owtoconstructportfoliosandhowtoevaluatetheirreturns.Wenowstepbackandexaminethereturnsonindividualsecuritiesmoreclosely.Bydoingthiswewill?ndthattheportfoliosinheritandalterthepropertiesofthesecuritiestheycomprise.Tobeconcrete,letusconsiderthereturnonthestockofacompanycalledFlyers.Whatwilldeter
6、minethisstock’sreturnin,say,thecomingmonth?Thereturnonanystocktradedina?nancialmarketconsistsoftwoparts.First,thenor-malorexpectedreturnfromthestockisthepartofthereturnthatshareholdersinthemarketpredictorexpect.Itdependsonalloftheinformationshareholdershavethatbearsonthestock,anditusesallofou
7、runderstandingofwhatwillin?uencethestockinthenextmonth.Thesecondpartistheuncertainorriskyreturnonthestock.Thisistheportionthatcomesfrominformationthatwillberevealedwithinthemonth.Thelistofsuchinforma-tionisendless,butherearesomeexamples:Newsa
