1、11-0,CHAPTER,11,An Alternative View of Risk and Return: The APT,11-1,Chapter Outline,11.1 Factor Models: Announcements, Surprises, and Expected Returns 11.2 Risk: Systematic and Unsystematic 11.3 Systematic Risk and Betas 11.4 Portfolios and Factor Models 11.5 Betas and Expected Returns 11.6 The Cap
2、ital Asset Pricing Model and the Arbitrage Pricing Theory 11.7 Parametric Approaches to Asset Pricing 11.8 Summary and Conclusions,11-2,Arbitrage Pricing Theory,Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit. Since no investment is required, an investor
3、can create large positions to secure large levels of profit. In efficient markets, profitable arbitrage opportunities will quickly disappear.,11-3,Arbitrage Pricing Theory,The APT assumes that returns on securities are generated by a number of industrywide and marketwide factors.,11-4,11.1 Factor Mo
4、dels: Announcements, Surprises, and Expected Returns,The return on any security consists of two parts. First the expected returns Second is the unexpected or risky returns. A way to write the return on a stock in the coming month is:,11-5,11.1 Factor Models: Announcements, Surprises, and Expected Re
5、turns,Any announcement can be broken down into two parts, the anticipated or expected part and the surprise or innovation: Announcement = Expected part + Surprise. The expected part of any announcement is part of the information the market uses to form the expectation, R of the return on the stock.
6、The surprise is the news that influences the unanticipated return on the stock, U.,11-6,2007年4月23日傍晚，当从4月24日起证券(股票)交易印花税税率由千分之三降至千分之一的消息正式公布后，股民一致认为是“实质性的特大利好“政策出台，不少股民则立即拿起电话或连线QQ，“连夜“竞相转告，共同期盼股市一路走好。 4月24日的股市果然不负众望，上证综指不但大幅高开，午后更在大盘蓝筹股的推动下展开凌厉升势，最终收市劲升9.29%，创出自1996年12月实施涨跌停制度以来的历史最大涨幅。,11-7,猪流感传染A
7、股 题材炒作让医药股鸡犬升天 2009年4月27日,措手不及的“猪流感”疫情，从墨西哥呈迅速蔓延之势，不足一周的时间已突袭了数个国家。世界卫生组织更在短短几天内把“猪流感”预警级从3级迅速升至5级(共有6级)，各国政府严阵以待。在世界经济微弱复苏萌动的大背景下，“猪流感”的暴发无疑增加了投资者对经济下行的担忧，全球股市都对上周末突然暴发的疫情打了个大“喷嚏”。对A股影响：短期不小 长期不大东兴证券研究所所长银国宏接受红周刊记者采访时，将“猪流感”对A股的影响概括为“短期不小，长期不大。”他认为，医药股会短期飙升，而航空、旅游股会遭受打击。他这种看法也得到大多数分析师的赞同。所谓短期不小，一方面
8、“猪流感”对A股的表现已经明显的显现。4月27日，即墨西哥卫生部正式通报疫情的第二天，全球股市多数受挫，A股也未能独善其身，沪深两市一片惨淡，农业、旅游、航空、消费板块成为重灾区，海南航空牢牢钉在跌停板上；与此同时，医药板块却借机逆势大涨，莱茵生物(18.27,1.66,9.99%)更是连收四个涨停板。,11-8,分析师认为，由于目前国内没有直接预防治疗“猪流感”的疫苗或药品，因此此次行情多是题材炒作。目前看，只有罗氏生产的抗流感药品达菲对“猪流感”病毒在早期有较好的预防效果。据悉2005年罗氏已经将达菲生产授权给上药集团，允许其在流感大暴发时批量生产。另外，由于莱茵生物可以生产达菲的主要原料
9、-莽草酸，因此莱茵生物股票近日持续涨停。,11-9,2009年 04月 30日 11:48 中国股市午盘上涨 部分项目资本金比例下调,华尔街日报报道： 中国股市周四（4月30日）午盘上涨，部分投资项目资本金比例下调推动大盘续升。 上证综指高开后震荡向下，回探20日线（现为2465.08点）后再度走高，午盘涨0.83%，报2488.69点；成交人民币723亿元，较昨日放大约38%。 国信证券分析师指出，国务院刺激投资的举措及美股隔夜上扬均推动A股延续昨日反弹走势，惟猪流感疫情在节前最后一个交易日给市场平添不确定因素，不排除午后冲高回落的可能性。盘面看，个股多升：上海本地股、地产、水泥股涨幅居前，
10、机械、发电设备、新能源、有色金属等板块大面积走高，钢铁、航空、保险等权重股多升，宝钢股份(600019)涨1.21%。医药股继续回落，银行股多疲软，华夏银行(600015)跌2.13%。深证成指涨1.79%，报9550.95点。,11-10,11.2 Risk: Systematic and Unsystematic,A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree. An unsystematic risk is a risk that
11、 specifically affects a single asset or small group of assets. Unsystematic risk can be diversified away. Examples of systematic risk include uncertainty about general economic conditions, such as GNP, interest rates or inflation.我国07年3月份CPI为8.3%，一季度居民消费价格总水平上涨8.0% On the other hand, announcements s
12、pecific to a company, such as a gold mining company striking gold, are examples of unsystematic risk.,11-11,涌金集团董事长魏东辞世的消息今日得以证实，5月1日下午，魏东的家属提供了魏东的最后留言-“写给我最亲爱的人们”。4月29日下午4时许，魏东在北京家中辞世(41岁）。辞世前将写给亲人的最后留言留在书桌抽屉里，在这份最后留言中，魏东说自己受到失眠和抑郁的长期困扰，不愿再拖累家人，并希望亲人和朋友能够好好生活。 事件发生后，由涌金集团控制的两家上市公司国金证券和九芝堂30日均临时停牌。九
13、芝堂称公司发生重大事项，临时停牌一天。国金证券当天上午发布公告称因股票交易异动，早盘停牌一小时，但该公司10点30分后亦一直未复牌。上证所此后公告，国金证券因重大事项未公告，4月30日全天停牌。,11-12,11.2 Risk: Systematic and Unsystematic,Systematic Risk; m,Nonsystematic Risk; ,n,Total risk; U,We can break down the risk, U, of holding a stock into two components: systematic risk and unsystemat
14、ic risk:,11-13,11.3 Systematic Risk and Betas,The beta coefficient, b, tells us the response of the stocks return to a systematic risk. In the CAPM, b measured the responsiveness of a securitys return to a specific risk factor, the return on the market portfolio.We shall now consider many types of s
15、ystematic risk.,11-14,11.3 Systematic Risk and Betas,For example, suppose we have identified three systematic risks on which we want to focus: InflationGDP growth The dollar-euro spot exchange rate, S($,) Our model is:,11-15,Systematic Risk and Betas: Example,Suppose we have made the following estim
16、ates: bI = -2.30 bGDP = 1.50 bS = 0.50. Finally, the firm was able to attract a “superstar” CEO and this unanticipated development contributes 1% to the return.,11-16,Systematic Risk and Betas: Example,We must decide what surprises took place in the systematic factors. If it was the case that the in
17、flation rate was expected to be by 3%, but in fact was 8% during the time period, then FI = Surprise in the inflation rate = actual expected = 8% 3% = 5%,11-17,Systematic Risk and Betas: Example,If it was the case that the rate of GDP growth was expected to be 4%, but in fact was 1%, then FGDP = Sur
18、prise in the rate of GDP growth= actual expected= 1% 4%= 3%,11-18,Systematic Risk and Betas: Example,If it was the case that dollar-euro spot exchange rate, S($,), was expected to increase by 10%, but in fact remained stable during the time period, then FS = Surprise in the exchange rate= actual exp
19、ected = 0% 10% = 10%,11-19,Systematic Risk and Betas: Example,Finally, if it was the case that the expected return on the stock was 8%, then,11-20,11.4 Portfolios and Factor Models,Now let us consider what happens to portfolios of stocks when each of the stocks follows a one-factor model. We will cr
20、eate portfolios from a list of N stocks and will capture the systematic risk with a 1-factor model. The ith stock in the list have returns:,11-21,Relationship Between the Return on the Common Factor & Excess Return,Excess return,The return on the factor F,If we assume that there is no unsystematic r
21、isk, then ei = 0,11-22,Relationship Between the Return on the Common Factor & Excess Return,Excess return,The return on the factor F,If we assume that there is no unsystematic risk, then ei = 0,11-23,Relationship Between the Return on the Common Factor & Excess Return,Excess return,The return on the
22、 factor F,Different securities will have different betas,11-24,Portfolios and Diversification,We know that the portfolio return is the weighted average of the returns on the individual assets in the portfolio:,11-25,Portfolios and Diversification,The return on any portfolio is determined by three se
23、ts of parameters:,In a large portfolio, the third row of this equation disappears as the unsystematic risk is diversified away.,11-26,Portfolios and Diversification,So the return on a diversified portfolio is determined by two sets of parameters: The weighed average of expected returns. The weighted
24、 average of the betas times the factor F.,In a large portfolio, the only source of uncertainty is the portfolios sensitivity to the factor.,11-27,11.5 Betas and Expected Returns,The return on a diversified portfolio is the sum of the expected return plus the sensitivity of the portfolio to the facto
25、r.,11-28,Relationship Between b & Expected Return,If shareholders are ignoring unsystematic risk, only the systematic risk of a stock can be related to its expected return.,11-29,Relationship Between b & Expected Return,Expected return,b,A,B,C,D,SML,11-30,11.6 The Capital Asset Pricing Model and the
26、 Arbitrage Pricing Theory,APT applies to well diversified portfolios and not necessarily to individual stocks. With APT it is possible for some individual stocks to be mispriced - not lie on the SML. APT is more general in that it gets to an expected return and beta relationship without the assumpti
27、on of the market portfolio. APT can be extended to multifactor models.,11-31,11.7 Empirical Approaches to Asset Pricing,Both the CAPM and APT are risk-based models. There are alternatives. Empirical methods are based less on theory and more on looking for some regularities in the historical record.
28、Be aware that correlation does not imply causality. Related to empirical methods is the practice of classifying portfolios by style e.g. Value portfolio Growth portfolio,11-32,11.8 Summary and Conclusions,The APT assumes that stock returns are generated according to factor models such as: As securit
29、ies are added to the portfolio, the unsystematic risks of the individual securities offset each other. A fully diversified portfolio has no unsystematic risk. The CAPM can be viewed as a special case of the APT. Empirical models try to capture the relations between returns and stock attributes that
30、can be measured directly from the data without appeal to theory.,11-33,Multiple Choice Questions,1. Both the APT and the CAPM imply a positive relationship between expected return and risk. The APT views risk A) very similarly to the CAPM via the beta of the security. B) in terms of individual inter
31、security correlation versus the beta of the CAPM. C) via the industry wide or marketwide factors creating correlation between securities. D) the standardized deviation of the covariance. E) None of the above.,11-34,Answer: C,11-35,2. In the equation R = + U, the three symbols stand for: A) average r
32、eturn, expected return, and unexpected return. B) required return, expected return, and unbiased return. C) actual total return, expected return, and unexpected return. D) required return, expected return, and unbiased risk. E) risk, expected return, and unsystematic risk.,11-36,Answer: C,11-37,3. W
33、hich of the following is true about the impact on market price of a security when a company makes an announcement and the market has discounted the news? A) The price will change a great deal; even though the impact is primarily in the future, the future value is discounted to the present. B) The pr
34、ice will change little, if at all, since the impact is primarily in the future. C) The price will change little, if at all, since the market considers this information unimportant. D) The price will change little, if at all, since the market considers this information untrue. E) The price will chang
35、e little, if at all, since the market has already included this information in the securitys price.,11-38,Answer: E,11-39,4.Systematic risk is defined as A) a risk that specifically affects an asset or small group of assets. B) any risk that affects a large number of assets. C) any risk that has a h
36、uge impact on the return of a security. D) the random component of return. E) None of the above.,11-40,Answer: B,11-41,The systematic response coefficient for productivity, P, would produce an unexpected change in any security return of _ P if the expected rate of productivity was 1.5% and the actual rate was 2.25%. A) 0.75% B) -0.75% C) 2.25% D) -2.25% E) 1.5%,11-42,Answer: ARationale: Ri = PFP = P(2.25- 1.5)= 0.75 P,
