最新investments 投资学 （博迪bodie, kane, marcuschap010 arbitrage pricing theory and multifactor models of risk and return(共23张ppt课件).pptx

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1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 10Arbitrage Pricing Theory and Multifactor Models of Risk and Return第一页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSSingle Factor Model Returns on a security come from two sourc

2、es: Common macro-economic factor Firm specific events Possible common macro-economic factorsGross Domestic Product Growth Interest Rates 10-2第二页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSSingle Factor Model Equationri = Return on security i= Factor sensitivity or factor loading or factor betaF = Surpri

3、se in macro-economic factor(F could be positive or negative but has expected value of zero)ei = Firm specific events (zero expected value)( )iiiirE rFe10-3第三页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSMultifactor Models Use more than one factor in addition to market return Examples include gross domest

4、ic product, expected inflation, interest rates, etc. Estimate a beta or factor loading for each factor using multiple regression.10-4第四页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSMultifactor Model Equationri = Return for security iGDP = Factor sensitivity for GDP IR = Factor sensitivity for Interest Ra

5、te ei = Firm specific events iiIRiGDPiieIRGDPrEr10-5第五页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSMultifactor SML Models GDP = Factor sensitivity for GDP RPGDP = Risk premium for GDP IR = Factor sensitivity for Interest RateRPIR = Risk premium for Interest Rateii IRiIRGDPiGDPfiRPRPrrE10-6第六页，共二十三页。INVE

6、STMENTS | BODIE, KANE, MARCUSInterpretationThe expected return on a security is the sum of:1.The risk-free rate2.The sensitivity to GDP times the risk premium for bearing GDP risk3.The sensitivity to interest rate risk times the risk premium for bearing interest rate risk10-7第七页，共二十三页。INVESTMENTS |

7、BODIE, KANE, MARCUSArbitrage Pricing Theory Arbitrage occurs if there is a zero investment portfolio with a sure profit.Since no investment is required, investors can create large positions to obtain large profits.10-8第八页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSArbitrage Pricing Theory Regardless of

8、wealth or risk aversion, investors will want an infinite position in the risk-free arbitrage portfolio. In efficient markets, profitable arbitrage opportunities will quickly disappear.10-9第九页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSAPT & Well-Diversified PortfoliosrP = E (rP) + PF + ePF = some factor

9、 For a well-diversified portfolio, eP approaches zero as the number of securities in the portfolio increases and their associated weights decrease10-10第十页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSFigure 10.1 Returns as a Function of the Systematic Factor10-11第十一页，共二十三页。INVESTMENTS | BODIE, KANE, MARCU

10、SFigure 10.2 Returns as a Function of the Systematic Factor: An Arbitrage Opportunity10-12第十二页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSFigure 10.3 An Arbitrage Opportunity10-13第十三页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSFigure 10.4 The Security Market Line10-14第十四页，共二十三页。INVESTMENTS | BODIE, KANE, MA

11、RCUSAPT Model 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 can be extended to multifactor models.10-15第十五页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSAPT and CAPMAPT Equil

12、ibrium means no arbitrage opportunities. APT equilibrium is quickly restored even if only a few investors recognize an arbitrage opportunity. The expected returnbeta relationship can be derived without using the true market portfolio.CAPM Model is based on an inherently unobservable “market” portfol

13、io. Rests on mean-variance efficiency. The actions of many small investors restore CAPM equilibrium. CAPM describes equilibrium for all assets.10-16第十六页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSMultifactor APT Use of more than a single systematic factor Requires formation of factor portfolios What fac

14、tors? Factors that are important to performance of the general economy What about firm characteristics?10-17第十七页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSTwo-Factor Model The multifactor APT is similar to the one-factor case.1122( )iiiiirE rFFe10-18第十八页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSTwo-Facto

15、r Model Track with diversified factor portfolios: beta=1 for one of the factors and 0 for all other factors. The factor portfolios track a particular source of macroeconomic risk, but are uncorrelated with other sources of risk.10-19第十九页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSWhere Should We Look fo

16、r Factors? Need important systematic risk factors Chen, Roll, and Ross used industrial production, expected inflation, unanticipated inflation, excess return on corporate bonds, and excess return on government bonds. Fama and French used firm characteristics that proxy for systematic risk factors.10

17、-20第二十页，共二十三页。INVESTMENTS | BODIE, KANE, MARCUSFama-French Three-Factor Model SMB = Small Minus Big (firm size) HML = High Minus Low (book-to-market ratio) Are these firm characteristics correlated with actual (but currently unknown) systematic risk factors?ittiHMLtiSMBMtiMiiteHMLSMBRr10-21第二十一页，共二十

18、三页。INVESTMENTS | BODIE, KANE, MARCUSThe Multifactor CAPM and the APT A multi-index CAPM will inherit its risk factors from sources of risk that a broad group of investors deem important enough to hedge The APT is largely silent on where to look for priced sources of risk10-22第二十二页，共二十三页。内容(nirng)总结CHAPTER 10。Common macro-economic factor。The risk-free rate。APT and CAPM。10-22第二十三页，共二十三页。