MIP/MB-IPB/08 1 MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4b: CAPM.

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MIP/MB-IPB/08 1 MANAJEMEN INVESTASI DAN PORTOFOLIO Lecture 4b: CAPM

MIP/MB-IPB/08 2 Reduces the number of inputs for diversification. Easier for security analysts to specialize. Advantages of the Single Index Model

MIP/MB-IPB/08 3 r i = E(R i ) + ß i F + e ß i = index of a securities’ particular return to the factor F= some macro factor; in this case F is unanticipated movement; F is commonly related to security returns Assumption: a broad market index like the S&P500 is the common factor. Single Factor Model

MIP/MB-IPB/08 4 (r i - r f ) = i + ß i (r m - r f ) + e i  Risk Prem Market Risk Prem or Index Risk Prem i = the stock’s expected return if the market’s excess return is zero ß i (r m - r f ) = the component of return due to movements in the market index (r m - r f ) = 0 e i = firm specific component, not due to market movements  Single Index Model

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