财务管理基础-financial-management-清华大学出版社ppt5

5.1VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.Chapter5RiskandReturn5.2VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.AfterstudyingChapter5,youshouldbeableto:1.Understandtherelationship(or“trade-off”)betweenriskandreturn.2.Defineriskandreturnandshowhowtomeasurethembycalculatingexpectedreturn,standarddeviation,andcoefficientofvariation.3.Discussthedifferenttypesofinvestorattitudestowardrisk.4.Explainriskandreturninaportfoliocontext,anddistinguishbetweenindividualsecurityandportfoliorisk.5.Distinguishbetweenavoidable(unsystematic)riskandunavoidable(systematic)riskandexplainhowproperdiversificationcaneliminateoneoftheserisks.6.Defineandexplainthecapital-assetpricingmodel(CAPM),beta,andthecharacteristicline.7.Calculatearequiredrateofreturnusingthecapital-assetpricingmodel(CAPM).8.DemonstratehowtheSecurityMarketLine(SML)canbeusedtodescribethisrelationshipbetweenexpectedrateofreturnandsystematicrisk.9.Explainwhatismeantbyan“efficientfinancialmarket”anddescribethethreelevels(orforms)ofmarketefficiency.5.3VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.RiskandReturn•DefiningRiskandReturn•UsingProbabilityDistributionstoMeasureRisk•AttitudesTowardRisk•RiskandReturninaPortfolioContext•Diversification•TheCapitalAssetPricingModel(CAPM)•EfficientFinancialMarkets5.4VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.DefiningReturnIncomereceivedonaninvestmentplusanychangeinmarketprice,usuallyexpressedasapercentofthebeginningmarketpriceoftheinvestment.Dt+(Pt–Pt-1)Pt-1R=5.5VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.ReturnExampleThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershareandshareholdersjustreceiveda$1dividend.Whatreturnwasearnedoverthepastyear?5.6VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.ReturnExampleThestockpriceforStockAwas$10pershare1yearago.Thestockiscurrentlytradingat$9.50pershareandshareholdersjustreceiveda$1dividend.Whatreturnwasearnedoverthepastyear?$1.00+($9.50–$10.00)$10.00R==5%5.7VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.DefiningRiskWhatrateofreturndoyouexpectonyourinvestment(savings)thisyear?Whatratewillyouactuallyearn?DoesitmatterifitisabankCDorashareofstock?Thevariabilityofreturnsfromthosethatareexpected.5.8VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.DeterminingExpectedReturn(DiscreteDist.)R=S(Ri)(Pi)Ristheexpectedreturnfortheasset,Riisthereturnfortheithpossibility,Piistheprobabilityofthatreturnoccurring,nisthetotalnumberofpossibilities.nI=15.9VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.HowtoDeterminetheExpectedReturnandStandardDeviationStockBWRiPi(Ri)(Pi)-0.150.10–0.015-0.030.20–0.0060.090.400.0360.210.200.0420.330.100.033Sum1.000.090Theexpectedreturn,R,forStockBWis.09or9%5.10VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.DeterminingStandardDeviation(RiskMeasure)s=S(Ri–R)2(Pi)StandardDeviation,s,isastatisticalmeasureofthevariabilityofadistributionarounditsmean.Itisthesquarerootofvariance.Note,thisisforadiscretedistribution.ni=15.11VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.HowtoDeterminetheExpectedReturnandStandardDeviationStockBWRiPi(Ri)(Pi)(Ri-R)2(Pi)–0.150.10–0.0150.00576–0.030.20–0.0060.002880.090.400.0360.000000.210.200.0420.002880.330.100.0330.00576Sum1.000.0900.017285.12VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.DeterminingStandardDeviation(RiskMeasure)ni=1s=S(Ri–R)2(Pi)s=.01728s=0.1315or13.15%5.13VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.CoefficientofVariationTheratioofthestandarddeviationofadistributiontothemeanofthatdistribution.ItisameasureofRELATIVErisk.CV=s/RCVofBW=0.1315/0.09=1.465.14VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.Discreteversus.ContinuousDistributions00.050.10.150.20.250.30.350.4–0.15–0.039%21%33%DiscreteContinuous00.0050.010.0150.020.0250.030.035-50%-41%-32%-23%-14%-5%4%13%22%31%40%49%58%67%5.15VanHorneandWachowicz,FundamentalsofFinancialManagement,13thedition.©PearsonEducationLimited2009.CreatedbyGregoryKuhlemeyer.ContinuousDistributionProblem•Assumethatthefollowi