1. ©2009 陳欣得財務管理 —03 風險 1 Part III 風險 9 資本市場理論 10 風險與報酬：資本資產定價模式 11 風險與報酬：套利定價理論 12 風險、資金成本與資本預算

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4. ©2009 陳欣得 財務管理 —03 風險 4 第九章 資本市場理論 9.1 報酬 9.2 持有期間的報酬 9.3 報酬率的統計數字 9.4 平均報酬與無風險報酬

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15. ©2009 陳欣得 財務管理 —03 風險 15 第十章 風險與報酬：資本資產定價模式 10.1 報酬的期望值、變異數與共變數 10.2 兩資產組合的效率前緣 10.3 多項資產組合的風險 10.4 無風險借貸 10.5 決定資產風險 10.6 報酬與風險的關係

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22. ©2009 陳欣得財務管理 —03 風險 22 跨期借貸觀念

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31. ©2009 陳欣得 財務管理 —03 風險 31 第十一章 風險與報酬：套利定價理論

32. Slide 32 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin 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 can create large positions to secure large levels of profit. –In efficient markets, profitable arbitrage opportunities will quickly disappear.

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34. Slide 34 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin 11.1 Factor Models: Announcements, Surprises, and Expected Returns The return on any security consists of two parts. –First, the expected returns –Second, the unexpected or risky returns A way to write the return on a stock in the coming month is:

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36. Slide 36 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Risk: Systematic and Unsystematic Systematic Risk: m Nonsystematic Risk:  n 22 Total risk We can break down the total risk of holding a stock into two components: systematic risk and unsystematic risk: 

37. Slide 37 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas For example, suppose we have identified three systematic risks: inflation, GNP growth, and the dollar-euro spot exchange rate, S($,€). Our model is:

38. Slide 38 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example Suppose we have made the following estimates:  I = -2.30  GNP = 1.50  S = 0.50 Finally, the firm was able to attract a “superstar” CEO, and this unanticipated development contributes 1% to the return.

39. Slide 39 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example We must decide what surprises took place in the systematic factors. If it were the case that the inflation rate was expected to be 3%, but in fact was 8% during the time period, then: F I = Surprise in the inflation rate = actual – expected = 8% – 3% = 5%

40. Slide 40 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example If it were the case that the rate of GNP growth was expected to be 4%, but in fact was 1%, then: F GNP = Surprise in the rate of GNP growth = actual – expected = 1% – 4% = – 3%

41. Slide 41 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example If it were the case that the dollar-euro spot exchange rate, S($,€), was expected to increase by 10%, but in fact remained stable during the time period, then: F S = Surprise in the exchange rate = actual – expected = 0% – 10% = – 10%

42. Slide 42 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin Systematic Risk and Betas: Example Finally, if it were the case that the expected return on the stock was 8%, then:

43. Slide 43 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin 11.6 CAMP 與 APT 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 assumption of the market portfolio. APT can be extended to multifactor models.

44. Slide 44 Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin 11.7 Empirical Approaches to Asset Pricing Both the CAPM and APT are risk-based models. Empirical methods are based less on theory and more on looking for some regularities in the historical record. 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

45. ©2009 陳欣得 財務管理 —03 風險 45 第十二章 風險、資金成本與資本預算 12.1 權益成本 12.2 估計 Beta 值 12.3 影響 Beta 值的因素 12.4 基本權益成本估計模型之延伸 12.5 降低資金成本

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