金融學課件：第13章 資本資產(chǎn)定價模型

1、1Copyright Prentice Hall Inc. 2000. Author: Nick Bagley, bdellaSoft, Inc.學習目的學習目的CAPM理論投資中 CAPM的應用 應用 CAPM決定正確的貼現(xiàn)率234ji,exemplarexemplarexemplarportfioio5mfmfrmfmrrsloperr62MfrArm70 . 220. 006. 014. 0,06. 0,20. 0,14. 0222ArAArrMMMMMMrfrrfrfrr8ifmfrifmfrrrrrii9Security Prices102030405060700.000 0.083

2、 0.167 0.250 0.333 0.417 0.500 0.583 0.667 0.750 0.833 0.917 1.000YearsValueMarket_PriceStock_Z_Price10monthMkt_Price Z_Pricehpr_Mkthpr_Z050.0030.00 hpr_Mkthpr_Zannual_cont_mktannual_cont_zreg_line155.8433.8711.68%12.90%132.55%145.56%176.82%252.8733.65-5.32%-0.64%-65.59%-7.75%-64.54%358.1939.1910.07

3、%16.47%115.15%182.98%155.62%460.3341.303.66%5.38%43.19%62.90%67.97%556.9738.93-5.57%-5.74%-68.71%-70.89%-68.35%651.5234.20-9.56%-12.15% -120.56% -155.40% -131.50%752.8035.882.47%4.91%29.32%57.54%51.08%855.0438.244.24%6.56%49.83%76.22%76.06%955.7640.641.32%6.28%15.70%73.08%34.48%1062.2046.2611.55%13.

4、83%131.12%155.46%175.09%1156.8441.01-8.62%-11.34% -108.23% -144.43% -116.49%1255.3039.54-2.71%-3.58%-32.93%-43.78%-24.76%an_an_fact 1.1059341.318151mu10.07%27.62%an_cont_rate 0.100690.27623sig0.2590990.325796rho0.968777beta1.21815711Regression of Returns of Z on Market -200%-150%-100%-50%0%50%100%15

5、0%200%-150%-100%-50%0%50%100%150%Market ReturnReturn on Z12 m m z z 模型 15% 20% 12% 25% 90% 1.13 統(tǒng)計值 10% 26% 28% 33% 97% 1.22 13Security Market LineMarket Portfolio-20%-15%-10%-5%0%5%10%15%20%-2.0-1.5-1.0-0.50.00.51.01.52.0Beta (Risk)Expected Risk Premium14irirnrrrwrwrwinnnwwww.21221121.21, 12.22211jijirrjinirirwrwrwjiinnwww15fMfriMMiiMMiMiMMiMiirri,2,2,1604. 10*20. 03 . 1*80. 0bondcompanycompanybondequityequitycompanyww17%4 .1505. 015. 004. 105. 0fmfrrrr1873.